【英文】J.P.摩根报告：全球债券手册2019-2020版J.P. Morgan Global Covered Bond Handbook（440页P）

European securitisation bonds typically amortise over time through the repayment of  the underlying exposures (a notable exception to this are UK credit card and UK and  Dutch mortgage master trusts, which offer investors soft-bullet bonds). Distributed  covered bonds typically utilise a hard or soft-bullet redemption profile (there are  some pass-through covered bonds, but these have typically been retained by  originators for use as central bank repo collateral). Increasingly however, ‘hybrid’  instruments known as Conditional Pass-Through (CPT) bonds are being used, which  combine a scheduled soft-bullet maturity, with a pass-through 'tail' following  institutional default. Credit enhancement & Investor protections Covered bonds are less structurally engineered than even the simplest type of passthrough securitisation vehicles (even setting aside the complexities of ABS master  trusts). To this end, covered bonds do away with much of the credit enhancement  offered to securitisation investors (subordinated tranches, reserve funds, excess  spread, etc). Rather, covered bond investors’ main form of credit enhancement stems  from programme over-collateralisation (which is naturally dynamic based on issuer  actions, including collateral additions and the programme’s issuance/redemption  profile).

Unlike in securitisations, where credit enhancement tends to increase over  time as the structure delevers (barring collateral credit issues and the specific case of  master trusts), over-collateralisation in covered bond programmes can increase or  decrease as the programme is utilised by the issuer. Further investor protection is provided to CB investors by tests adopted in local  legislation or programme terms. For example, ‘structured’ covered bond programmes  (i.e. Canada, the Netherlands, the UK, etc) typically require that the assets of the  guarantor entity are subject to an Asset Coverage Test (ACT) on a regular basis. The  test is designed to ensure a minimum level of over-collateralisation in the cover pool  to protect investors from market and liquidity risks. The guarantor must therefore  ensure that on each calculation date, the ‘Adjusted Aggregate Loan Amount’ (i.e. the  aggregate loan amount haircut by predefined criteria) is at least equal to the  outstanding amount of the programme’s CB. The ACT is conducted by the Cash  Manager, with annual third-party asset monitor reviews. Failure to remedy a  breached ACT by the next calculation date usually results in an Issuer Event of  Default.  Similarly, programmes from these jurisdictions also typically include an  Amortisation Test (AT), which is designed to ensure that the cover pool exceeds the  outstanding notional of CB at all times.

The adoption of an AT serves to minimise  time subordination within the structure for outstanding noteholders. Following  service of a Notice to Pay on the guarantor, it must ensure that on each calculation  date following an Issuer Event of Default, the Amortisation Test Aggregate Loan  Amount will at least equal the aggregate outstanding amount of the CB.  Other tests offering protection to bondholders include ‘Pre-maturity Tests’ (which  are designed to ensure the borrower can provide sufficient liquidity in case of  downgrade (i.e. pre-defined period prior to scheduled bond redemption, if a  borrower’s short-term rating is below a prescribed threshold, the borrower must fund  a cash collateral account to ensure redemption)); and ‘Interest Coverage Tests’ to  ensure interest from the cover pool after hedges always exceed interest payments due  on the covered bonds over a given period.