Standard & Poor’s has expanded the information it provides in quarterly overviews of covered bond programmes it rates by disclosing aggregated data about the distribution of covered bond ratings, issuer ratings and outlooks, and comparing some of these characteristics by country.

The rating agency on 19 July published a Q2 2011 report on some of the characteristics and risk indicators it assesses in coming to covered bond rating opinions. The report is the third such overview and S&P expects to continue to publish them on a quarterly basis.

A spokesperson at S&P told The Covered Bond Report that the latest report provides more information than previous ones, referring to seven tables that illustrate on an aggregated basis certain core characteristics. In addition, the rating agency has extended the range of credit risk indicators it discloses in tables to include asset default risk, which the spokesperson said was a very important indicator.

In its introduction to the report S&P said that by disclosing certain aggregated data it aims “to provide a better overview of the distribution of these characteristics, and more transparency on country-specific covered bond characteristics”.

As more data points are collected over time the rating agency said that it expects to expand the charts to show year-on-year trend analyses.

The first three charts provide an overview of the distribution of covered bond ratings, covered bond issuer credit ratings, outlooks, and CreditWatch placements, for example showing that 74% of the programmes S&P rates are rated triple-A and 72% have a stable/developing outlook.

Further charts compare some of these characteristics on a country-by-country basis to identify differences among them, “acknowledging that average numbers do not take into account the specifics of individual programmes”, said the rating agency.

In five tables that follow the aggregated data S&P presents covered bond characteristics and risk indicators, such as asset-liability mismatches, weighted average foreclosure frequency, weighted average maturity of assets/liabilities, and asset default risk.