Key Takeaways
- Dutch covered bond issuance in 2024 exceeded the past decade's average and outpaced the growth of European benchmark issuances.
- Asset-liability mismatch continues eroding excess spread in Dutch programs, but the overcollateralization buffer provides a safe cushion around the 'AAA' ratings on the covered bonds.
- The key challenge for Dutch residential housing is unchanged: the supply side struggles to keep up with rising demand, thereby keeping homes at increasingly hard-to-afford levels.
In its Dutch Covered Bond Market Insights report, S&P Global Ratings presents the local covered bond market, explains how the relevant legal framework works, provides an overview on the local mortgage market, and compares key characteristics of its rated programs.
Overview: A Unique And Strong Covered Bond Market
The Dutch covered bond market is a relatively small but dynamic one. It has a 6% European covered bond market share, roughly matching with the Netherlands' contribution to the European economy, and comprises 15 residential mortgage-backed programs from nine issuers, representing about €179 billion of outstanding issuance. It is also a concentrated market, with the two largest issuers taking up over 70% of the Dutch covered bond market. We currently rate eight Dutch covered bond programs.
Dutch covered bonds are backed by prime residential mortgages and therefore, typically have low credit risk. However, we observe fairly high and rising asset-liability mismatch risk in the programs. This is because issuers have difficulty funding at long maturities in the current interest rate environment, but the cover pools carry long-term fixed rate mortgages. This leads to mismatches both in terms of maturities and interest rates paid on the asset and covered bond sides.
In 2024, like in most European covered bond markets, issuance in the Dutch covered bond market declined, falling by about 14% year-on-year. Dutch investor-placed benchmark covered bond issuance amounted to €9.7 billion versus €11.3 billion in the previous year. Still, it exceeded the past decade's average Dutch issuance. Also, in almost every year of the past decade, the growth of Dutch benchmark covered bond issuance outpaced the European average.
Chart 1
Chart 2
Slow-to-adjust cover pools support covered bonds' rising costs
After a year of significant rake hikes starting in 2022, the European Central Bank (ECB) resumed its easing course and cut its key rates four times during the second half of 2024 and already once in 2025. Mortgage rates then followed suit. Interest rate volatility led to borrower uncertainty over when they should fix their mortgage rates. Over the past two years, most borrowers have chosen fixed-rate mortgages with reset period of five to 10 years due to heightened rate uncertainty, shifting from the previous trend of selecting fixed-rate mortgages with reset period longer than 10 years. Interest rates in an average Dutch cover pool will reset by 2034.
Chart 3
At the same time, covered bond issuers were facing rising market interest rates when issuing covered bonds, which led to them issuing short- to medium-term covered bonds. This trend started in 2022 and intensified in 2023. However, 2024 saw renewed interest in longer-term covered bond issuances. In 2024, 49% of Dutch benchmark covered bond issuances had maturities exceeding 10 years, up from 36% the previous year.
New mortgages are originated at significantly higher interest rates. However, average mortgage rates in the cover pools adjust slower than the covered bond funding costs that immediately mirror market rates. This is because the shorter liability side is quicker to reprice compared to the longer interest rate fixings of the asset side. The slow-to-adjust cover pools reflect how Dutch residential borrowers previously locked in long-term, fixed-rate, very low financing costs prior to recent rate increases.
This mismatch between the average interest rates that the cover pool yields and what the covered bonds pay has eliminated a large portion of the traditionally high excess spread that characterized Dutch covered bond programs. Currently, Dutch cover pools generate an average interest of about 2.4% to cover an average 1.5% coupon on the covered bonds.
We anticipate the ECB will cut interest rates quicker than previously expected, driven by persistently weak confidence and improved visibility on the disinflation trajectory. We project the main policy rate will reach 2.5% before the summer of 2025, compared to our previous expectation of September 2025 (see "Next Year Will Be A Game Changer").
Chart 4
Environmental, social, and governance
In 2024, no green Dutch benchmark issuance was placed in the market, while they represented about 18% of the issuances in the previous year.
New lending on residential mortgages requires energy performance certificates (EPC), paving the way for an easier selection of green collateral in the medium term. As an incentive for borrowers, Dutch banks lend up to 106% of the property value for financing energy efficiency investment, compared with a 100% loan-to-value (LTV) ratio on non-green loans. Market participants are observing initial signs of correlation between house price and EPC certificate, all else being equal.
Will the benefits of macroprudential changes to the local lending market last?
The Dutch tax system traditionally boosted household indebtedness via mortgage borrowing, favoring high LTV ratios and a large proportion of interest-only loans. From the early 2000s, the government adjusted mortgage interest's generous tax deductibility to curb one of the highest global levels of household indebtedness.
In 2013, the Dutch government launched a comprehensive set of macroprudential measures to address this risk. By now, newly originated mortgages must amortize within 30 years to benefit from tax deductibility. Furthermore, the extent of tax deductibility has been incrementally reduced to the lowest marginal tax bracket (37%) from the highest (52%). In parallel, the maximum LTV ratio reduced to 100% on standard mortgages by 2018, from 120% in the early 2000s, and loan-to-income ratio limits cap the borrower's potential interest burden.
Despite increasing in nominal terms, the GDP-share of residential mortgage loans provided to households has been declining. This is due to the government's series of attempts to keep the overheating market from fueling macroeconomic risks. As a result, mortgage loans now account for 75% of GDP compared with 101% at the start of 2013.
Also, the structure of the mortgage market has changed. The share of interest-only loans in Dutch residential cover pools has decreased to 42% from about 85% in 2010, and the cover pools' average LTV ratio has fallen to 51% from 69%. As a result, household debt decreased to 220% of net disposable income in 2023 from its 286% peak in 2010, based on Organisation for Economic Co-operation and Development data.
Chart 5
From 2021, the trajectory of these measures changed. A combination of looser lending conditions for couples, stamp duty exemption for young first-time buyers, increased LTV allowance on sustainable residential investments (106%), and higher debt-to-income limits were introduced.
High social benefit support
The Dutch social security system is one of the most comprehensive in Europe, encompassing sick leave, unemployment benefits, disability benefits, maternity leave, child support, and pensions. As such, it provides a safety cushion for borrowers if personal circumstances change or if the economy contracts. Employees are entitled to unemployment benefits in the Netherlands if they partially or completely lose their jobs, resulting in more stable collateral performance for residential pools throughout economic cycles, as observed by low default rates of Dutch mortgages.
Conditional pass-through covered bonds a legacy product
Conditional pass-through (CPT) covered bonds lost appeal to many investors when the ECB excluded the product from its reinvestments under the Covered Bond Purchase Program 3 on Jan. 1, 2019. All Dutch issuers have now established soft bullet programs. CPT programs were either merged into soft bullet structures or are no longer actively used for issuance. Currently about 94% of all outstanding Dutch covered bonds have soft bullet maturities--compared with about a 2.5% share of CPT covered bonds.
CPT covered bonds were particularly popular in the Netherlands during the second half of the 2010s. Their popularity primarily stemmed from cover pools' high proportion of interest-only loans, which considerably increased refinancing costs in more traditional soft bullet structures.
CPT covered bonds mitigate the mismatch risk between the assets' redemption profile and liabilities. They allow for bond maturity extensions if the issuer is insolvent and the cover pool asset proceeds are insufficient to redeem the bonds at the initially scheduled maturity. Thereby, CPT covered bonds structurally eliminate refinancing risk from the covered bond program, leading us to delink the rating on a covered bond from the rating on the issuing bank (when the covered bond's overcollateralization is legally or contractually committed). This allows lower-rated issuers to access a 'AAA'-dominated market.
NHG guarantee
Owner-occupier borrowers can apply, subject to strict conditions and limitations, for a Nationale Hypotheek Garantie (NHG) from the Homeownership Guarantee Fund (Waarborgfonds Eigen Woningen; WEW), an independent institution that has fallback agreements with the Dutch government and municipalities. The guarantee covers most of the losses to a lender.
In our analysis, we link the WEW's creditworthiness to that of the Netherlands and give credit to the NHG guarantee in our loss-given default calculation. Therefore, our analysis includes a relatively lower overall loss assumption on cover pools that have a high share of guaranteed loans.
The rated cover pools' average share of NHG guarantee loans in the Dutch covered bond market is currently 23%.
Mortgage Market Overview: Structural Imbalances Fuel House Prices
The Dutch residential property market faces a basic structural challenge: the supply side struggles keeping up with rising demand. Tackling the housing shortage is listed on the government's top priorities' list, and it has allocated €5 billion to support house building until 2029 (see "The Netherlands"). However, its plan to build 100,000 new homes each year has not been met in 2024.
Government regulations and strict environmental standards, together with rising construction costs, inflate and prolong the cost of construction projects. In addition, rent regulation provides limited incentive for investing in creating affordable living space.
The affordable housing segment must comprise two-thirds of rental housing construction. In summer 2024, the Affordable Rent Act introduced strict limits on what landlords are allowed to charge. Properties under rent control are now categorized in a revised point system--based on various factors such as location, size, and amenities--which caps rent levels.
Meanwhile, moderating interest rates, coupled with rising wages and population growth, are driving the strong demand for homes. Notably, single households grew approximately four times faster than multiperson households in 2024. Currently, about 40% of households constitute only one person.
This imbalance between supply and demand for housing boosts residential property prices to increasingly unaffordable levels.
A peculiar mortgage lending market
The Dutch mortgage lending market belongs to the most competitive ones in Europe, with mortgages being provided by both banks and non-banks (e.g., insurance companies). A big chunk of origination is done through brokers or online channels. An emerging trend is using mortgage origination platforms, where mortgages are originated by an entity and then allocated to several investors. Small banks typically outsource mortgage servicing to external providers. Our ratings analysis incorporates both origination and servicing procedures of the cover assets.
Steady economic growth, a healthy labor market, and moderate house price rises
After narrowly avoiding a recession in 2023, we anticipate real GDP growth will reach 0.6% in 2024, averaging 1.5% over 2025-2027. In our analysis, unemployment is the best predictor of mortgage performance. We expect the unemployment rate in the Netherlands to average 3.9% during 2024-2027, one of the lowest in the euro area (see "The Netherlands").
Table 1
| Economic indicators | ||||||||
|---|---|---|---|---|---|---|---|---|
| Year | Real GDP growth (%) | Unemployment rate (%) | HPI change (%)* | |||||
| 2023 | 0.1 | 3.6 | 0.2 | |||||
| 2024 | 0.9 | 3.7 | 5.9 | |||||
| 2025f | 1.6 | 3.8 | 1.0 | |||||
| 2026f | 1.3 | 3.9 | 1.7 | |||||
| 2027f | 1.4 | 3.8 | 1.9 | |||||
| Source: S&P Global Ratings. f--Forecast. HPI--House price index (year-on-year change in Q4 in nominal house prices). | ||||||||
Temperatures are rising again in the Dutch housing market
Dutch house prices have markedly fluctuated over the past few decades. Following a roughly 20% annual increase in the early 2000s, they plummeted by close to double digits into negative territory during 2012-2013. After a short catchup, prices quickly outpaced pre-crisis levels and made housing increasingly hard to afford.
Similarly, the housing market recovered faster and more pronounced from the ECB's interest rate hikes during 2022-2023 than we previously expected. (see "European Housing Markets: Better Housing Affordability Supports Recovery" and "The Netherlands").
Although rising interest rates eased the overheated Dutch market for about six months, owner-occupied house prices have been increasing again since June 2023, reaching double-digit growth rates in summer 2024.
We expect residential property price rises to moderate to about 1% by end-2025 and stay below 2% year-end in the upcoming two years.
Long-term increases in residential property prices keep eroding affordability. Price-to-income ratios for young house buyers have more than doubled compared to the time when their parents were buying their homes.
Given the predominantly long-term and fixed-rate financing in the Dutch mortgage market, mortgage borrowers who signed contracts before mid-2022 are shielded from the most recent rate rises until refinancing. In our rated portfolio, the next interest refixing date is in about nine years (on a weighted-average basis).
The 70% homeownership rate in the Netherlands is aligned with the 67% EU average.
Chart 6
Rated Dutch Cover Pools
Even though Dutch covered bond legislation also contemplates public sector exposures, commercial mortgages, and shipping loans, currently all existing programs only comprise residential mortgage-backed covered bonds. Dutch cover pools predominantly feature mortgages on owner-occupied properties.
Most outstanding mortgages pay a fixed interest rate ranging from five to 15 years. At the end of the fixed-rate period, the rate typically resets to a new fixed rate (fixed-reset interest rate). Until about mid-2022, borrowers opted to benefit from low interest rates by fixing rates for 16 years typically. Following the shorter average fixing period of the loans originated since mid-2022, the cover pools in our rated portfolio will refix in about nine years (on a weighted-average basis).
Recent macroprudential measures have increased the popularity of amortizing structures (linear mortgage loans and annuity mortgages). However, a large stock of interest-only loans remains, and a sizeable share is combined with an insurance or savings product to accumulate repayment capital.
Table 2
| Dutch covered bond programs--Key characteristics | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Program | Outstanding assets (mil. €) | Outstanding covered bonds (mil. €) | WA LTV - indexed (%) | WA life assets, (years) | WA life covered bonds, (years) | Interest rate type, assets | Repayment type, Assets | Repayment type, covered bonds | ||||||||||
| ABN Amro Bank N.V. | 34,635 | 26,269 | 54.60 | 15.9 | 9.3 | Fixed 99.20%; Floating 0.8% | Amortizing 53%; Interest-only 43.7%; Other 3.3% | Hard and soft bullet | ||||||||||
| ABN Amro Bank N.V. retained | 48,168 | 36,000 | 48.10 | 14.9 | 5.4 | Fixed 99%; Floating 1% | Amortizing 56.20%; Interest-only 39.50%; Other 4.3% | Soft bullet | ||||||||||
| Achmea Bank N.V. Soft Bullet | 6,961 | 4,650 | 58.90 | 15.6 | 5.3 | Fixed 97.90%; Floating 2.10% | Amortizing 64.4%; Interest-only 35.6% | Soft bullet | ||||||||||
| Achmea Bank N.V. Soft Bullet retained | 3,222 | 2,000 | 57.80 | 30.7 | 6.4 | Fixed 97.20%; Floating 2.80% | Amortizing 72.4%; Interest-only 27.6% | Soft bullet | ||||||||||
| Knab N.V. Soft Bullet | 3,057 | 2,750 | 48.90 | 17.6 | 6.9 | Fixed 98.4%; Floating 1.6% | Amortizing 64.40%; Interest-only 35.60% | Soft bullet | ||||||||||
| Knab N.V. CPT | 1,224 | 1,000 | 47.50 | 18.7 | 1.7 | Fixed 98.50%; Floating 1.50% | Amortizing 58.73%; Interest-only 41.27% | CPT | ||||||||||
| De Volksbank N.V. | 5,768 | 5,070 | 45.40 | 14.9 | 9.3 | Fixed 97.60%; Floating 2.40% | Amortizing 38.40%; Interest-only 61.60% | Soft bullet | ||||||||||
| ING Bank N.V. Hard And Soft Bullet | 26,292 | 21,645 | 46.10 | 12.4 | 4.8 | Fixed 94.50%; Floating 5.50% | Amortizing 28.80%; Interest-only 57.30%; Other 13.90% | Hard and soft bullet | ||||||||||
| NN Bank N.V. Soft Bullet | 8,488 | 7,345 | 49.80 | 20.4 | 6.3 | Fixed 99.50%; Floating 0.50% | Amortizing 60.70%; Interest-only 39.30% | Soft bullet | ||||||||||
| NIBC Bank N.V. CPT | 4,273 | 3,500 | 49.70 | 16.7 | 4.0 | Fixed 98.40%; Floating 1.60% | Amortizing 47.40%; Interest-only 52.60% | CPT | ||||||||||
| NIBC Bank N.V. Soft Bullet | 1,441 | 1,000 | 60.43 | 19.2 | 4.8 | Fixed 100%; Floating 0% | Amortizing 49.60%; Interest-only 50.40% | Soft bullet | ||||||||||
| Coöperatieve Rabobank U.A. | 24,447 | 22,808 | 52.49 | 18.5 | 8.4 | Fixed 94.50%; Floating 5.50% | Amortizing 70.40%; Interest-only 29.60% | Soft bullet | ||||||||||
| Van Lanschot N.V. Soft Bullet | 1,950 | 1,500 | 50.19 | 15.8 | 3.3 | Fixed 97.19%; Floating 2.81% | Amortizing 32.53%; Interest-only 67.47% | Soft bullet | ||||||||||
| Source: HTTs, Dec. 2024. CPT--Conditional pass-through. WA--Weighted average. LTV--Loan-to-value. | ||||||||||||||||||
Chart 7
The Legal Framework: An Overview
The legislation governing Dutch covered bonds and key product features inherit characteristics from its long-term past. The first Dutch covered bonds were structured products defined by documentation. Starting in 2008, a framework inscribed in the Financial Supervision Act regulated Dutch covered bond issuance. The framework was amended in 2014, when it received the status of law, and in 2015. The governing framework has adapted, finally becoming aligned with the EU's Covered Bond Directive.
Thereby, the Dutch legal framework is rather a "fragmented" one instead of a single piece of legislation. The Financial Supervision Act of 2022 (FSA or Voorstel van Wet - Memorie van Toelichting) together with the Decree on Prudential Rules under the FSA (Besluit prudentiële regels, Wft) primarily govern Dutch covered bond issuance. In addition, provisions of the Dutch Civil Code and the Dutch Bankruptcy Code also provide legislation governing the issuance of covered bonds. Today's legislative package became effective on July 8, 2022, and applies to covered bonds issued since then. Amendments to the previous legal framework were refinements, given the Dutch legislation was already well-aligned to the requirements of the EU harmonization directive.
Bondholders have dual recourse to receive payments on their debt: they have unlimited recourse to the issuing bank but also recourse to the cover pool assets if the issuer becomes insolvent. The framework stipulates a clear segregation of the cover pool assets for the bondholders' benefit, who have a senior claim to them. This is achieved by a transfer of assets from the issuing bank to a bankruptcy-remote covered bond company.
Chart 8
Table 3
| Legal framework comparison | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Netherlands | Germany | France | France | U.K. | ||||||||
| Product | Dutch Legislative Covered Bond | Pfandbrief | Obligations à l'Habitat (OH) | Obligations Foncières (OF) | Regulated covered bond (RCB) | |||||||
| Legislation | Financial Supervision Act | PfandbriefAct (Pfandbriefgesetz) as amended | French Monetary and Financial Code (as amended) | French Monetary and Financial Code (as amended) | Regulated covered bond regulations 2008 | |||||||
| Issuer | Universal credit institution with a special license | Universal credit institution with a special license | Specialized credit institution (SFH) | Specialized credit institution (SCF) | Universal credit institution with a special license | |||||||
| Owner of the cover pool assets | SPE (guarantor of the covered bonds) | Issuer | Credit institution (pledged to the issuer and transferred upon trigger event) | Issuer or credit institution (pledged to the issuer and transferred upon trigger event) | SPE (guarantor of the covered bonds) | |||||||
| Cover pool asset type | Mortgage loans, public sector exposures, ship loans, credit institutions (but exisiting programs only feature residential mortgages) | Public sector assets, mortgage loans, ship loans, aircraft loans, credit institutions | Residential loans | Public sector exposures, residential loans, commercial mortgages and credit institutions | Mortgage loans, public sector exposures | |||||||
| Mortgage cover pool asset location | EEA (currently domestic only) | EEA, Switzerland, U.S., Canada, U.K., Japan, New Zealand, Australia, Singapore | EEA (currently domestic only) | EEA and others | EEA, Switzerland, U.S., Canada, Japan, New Zealand, Australia, Channel Islands, Isle of Man | |||||||
| Residential mortgage cover assets LTV limit | 80% | 60% | Residential: 80% (soft limit), Residential with state guarantee: 100% | Residential: 80% (soft limit). Residential with state guarantee: 100%. Commercial: 60% (soft limit) | Residential: 80% LTV under the CRD; and program documents on regulated covered bonds currently at 75% LTV limit | |||||||
| Primary method for mitigating market risk | Natural hedging | Natural hedging, stress testing | Natural hedging | Derivatives or natural hedging | Derivatives | |||||||
| Mandatory overcollateralization | 5% nominal | 2% nominal for mortgage and public sector covered bonds; 5% nominal for ship and aircraft covered bonds; a minimum coverage of 2% is required on a NPV | 5% nominal | 5% nominal | 8% nominal | |||||||
| SPE--Special-purpose entity. EEA--European Economic Area. NPV--Net present value. LTV--Loan to value. Source: European Covered Bond Council, S&P Global Ratings. | ||||||||||||
Setoff risk
The Dutch mortgage market contains several products that raise specific setoff risk issues upon issuer insolvency. In addition to construction loans ("Bouwdepot") allocated for home improvement, these products also include savings mortgages ("Spaarhypotheek"), insurance mortgages ("Verzekeringshypotheek"), and investment mortgages ("Beleggingshypotheek"), designed to take advantage of a tax asymmetry that allows the borrower to obtain a cheaper effective interest rate on their mortgage loan. In effect, instead of repaying principal to the lender (the bank), the borrower invests in a savings product provided by an insurance company (the insurer). The return on this investment is tax free up to an applicable exemption amount and is used to repay the mortgage loan.
Following issuer insolvency, setoff risk could arise pertaining to deposits maintained by borrowers with the issuer (whose loan has been included in the cover pool). However, setoff risk can only occur if multiple scenarios materialize simultaneously. Hence, we generally consider this to be a remote risk. Moreover, in certain cover pools showing above-average risk potential, committed credit enhancement levels or participation agreements can mitigate setoff risk.
Coverage tests
Issuers typically commit to a minimum level of overcollateralization via contractual agreements, including the asset cover and amortization tests.
These tests not only ensure a minimum ratio of cover pool assets for covered bonds, but also serve to enhance the credit quality of the assets in the portfolio. This is because the tests exclude certain mortgage loans from the amount eligible and therefore create an incentive for issuers to remove them from the cover pool. Ineligible loans can include mortgages subject to setoff risk or impaired assets, among others.
Table 4
| Rated Dutch covered bond programs--overview | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Program | Issuer credit rating | Covered bond rating | Outstanding covered bonds (mil. €)* | Program type | Collateral type | Link to transaction update | ||||||||
| Achmea Bank N.V. Soft Bullet | A-/Stable/A-2 | AAA/Stable/-- | 4,650 | Soft bullet | 100% residential | |||||||||
| Knab N.V. CPT | BBB/Stable/A-2 | AAA/--/-- | 1,000 | CPT | 100% residential | |||||||||
| Knab N.V. Soft Bullet | BBB/Stable/A-2 | AAA/Stable/-- | 2,750 | Soft bullet | 100% residential | |||||||||
| ING Bank N.V. | A+/Stable/A-1 | AAA/Stable/-- | 21,645 | Soft and hard bullet | 100% residential | |||||||||
| NN Bank N.V. Soft Bullet | A/Positive/A-1 | AAA/Stable/-- | 7,345 | Soft bullet | 100% residential | |||||||||
| NIBC Bank N.V. CPT | BBB/Stable/A-2 | AAA/--/-- | 3,500 | CPT | 100% residential | |||||||||
| NIBC Bank N.V. Soft Bullet | BBB/Stable/A-2 | AAA/Stable/-- | 1,000 | Soft bullet | 100% residential | |||||||||
| Van Lanschot N.V. Soft Bullet | BBB+/Stable/A-2 | AAA/Stable/-- | 1,500 | Soft bullet | 100% residential | |||||||||
| *As of Dec. 2024. CPT--Conditional pass-through. | ||||||||||||||
Access our Global Covered Bond Insights dashboard to view the surveillance reports of Dutch mortgage covered bond programs.
Ratings Outlook: Covered Bonds Are Protected From Bank Downgrade Risk
On top of a solid pool performance, Dutch covered bonds benefit from highly rated issuers, the first recourse for bondholders. Moreover, programs with a highly rated issuer which are not CPT can benefit from unused notches of ratings uplift, offering some protection against downgrades of the issuing bank.
CPT programs can benefit from an unlimited number of notches of uplift from the issuer credit rating (ICR), provided that committed overcollateralization in the program is commensurate with the highest achievable rating.
Dutch covered bond programs benefit from 2.5 unused notches. Lowering the ICR up to this extent will not trigger any change in the covered bond program ratings. Considering this, and the availability of credit enhancement exceeding the level required to maintain our ratings, we do not expect the increased required credit enhancement to affect our covered bond program ratings.
Chart 9
Table 5
| Dutch covered bond programs--Credit enhancement | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Program | Available credit enhancement (%) | Target credit enhancement (%) | 'AAA' credit risk (%) | O/C consistent with the current rating (%) | Unused notches | |||||||
| Achmea Bank Soft Bullet CB Program | 26.92 | 13.29 | 3.97 | 6.30 | 3 | |||||||
| Knab N.V. CPT | 19.87 | 2.50 | 2.50 | 2.50 | N/A | |||||||
| Knab N.V. Soft Bullet | 16.98 | 6.33 | 4.23 | 5.81 | 1 | |||||||
| ING Bank N.V. | 30.03 | 9.88 | 2.50 | 2.50 | 4 | |||||||
| NIBC Bank N.V. CPT | 20.39 | 2.50 | 2.50 | 2.50 | N/A | |||||||
| NIBC Bank N.V. Soft Bullet | 44.62 | 32.52 | 11.02 | 27.15 | 1 | |||||||
| NN Bank N.V. Soft Bullet | 12.51 | 8.64 | 3.98 | 3.98 | 4 | |||||||
| Van Lanschot N.V. Soft Bullet | 35.21 | 34.94 | 10.20 | 22.57 | 2 | |||||||
| CB--Covered bond. CPT--Conditional Pass-Through. O/C--Overcollateralization. N/A--Not applicable. | ||||||||||||
Chart 10 shows the breakdown of the average credit enhancement levels commensurate with the current rating on the covered bonds compared with the available credit enhancement across countries.
Dutch programs on average have lower credit and market risk compared to peer countries (access our Global Covered Bond Insights dashboard to view the target credit enhancement levels by country). Consequently, the available credit enhancement is also lower relative to peer countries.
Chart 10
Related Criteria
- Global Methodology And Assumptions: Assessing Pools Of Residential Loans--Europe Supplement, April 4, 2024
- Global Methodology And Assumptions: Assessing Pools Of Residential Loans, Jan. 25, 2019
- Covered Bond Ratings Framework: Methodology and Assumptions, June 30, 2015
- Covered Bonds Criteria, Dec. 9, 2014
- Methodology For Assessing Mortgage Insurance And Similar Guarantees And Supports In Structured And Public Sector Finance And Covered Bonds, Dec. 7, 2014
Related Research
- European Housing Markets: Better Housing Affordability Supports Recovery, Jan. 27, 2025
- House Price Overvaluation Moderates For Europe´s RMBS And Covered Bond Markets, Jan. 20, 2025
- Global Covered Bond Insights Q1 2025: Overall A Healthy Year, Dec. 18, 2024
- The Netherlands, Dec. 17, 2024
- Covered Bonds Outlook 2025: Lower Rates, Higher Uncertainty, Dec. 6, 2024
- Economic Outlook Eurozone Q1 2025: Next Year Will Be A Game Changer, Nov. 26, 2024
- Covered Bonds Primer, March 19, 2024
- Banking Industry Country Risk Assessment: The Netherlands, Sept. 29, 2023
- Glossary Of Covered Bond Terms, April 27, 2018
- An Inside Look At Conditional Pass-Through Covered Bonds, May 25, 2017
This report does not constitute a rating action.
| Primary Credit Analyst: | Judit O Papp, Frankfurt + 49 693 399 9319; judit.papp@spglobal.com |
| Secondary Contact: | Maria Luisa Gomez Grande, Madrid + 34 91 788 7208; marisa.gomez@spglobal.com |
No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.
Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.
To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.
S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.
S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.