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Credit Hotspot: Conditional Pass-Through Bonds

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Conditional Pass-Through Need Not Be Riskier Than Other Covered Bonds

Covered bonds with a conditional pass-through (CPT) amortisation profile are not necessarily more risky than those with other liquidity protection mechanisms, Fitch Ratings says. In fact, the pass-through feature eliminates the uncertainty and potential losses from a stressed sale of cover assets. 

rating action

Upgrade: Bank of Cyprus Covered Bonds to 'BBB' on New Data

The upgrade only reflects the provision of new line-by-line borrower income information delivered by the issuer, accounting for 87% of the cover pool (from 43.9% as of Sep-2017). 

Liability Profile Rating Neutral for Greek Covered Bonds

The liability redemption profile (soft bullet or conditional pass-through) of Greek covered bonds programmes is currently not a rating driver. The programmes are rated at the 'B' Greece Country Ceiling, mainly based on recoveries from the cover pool in the event of an issuer default. 

rating action

Achmea's Conditional Pass-Through Covered Bonds Rated Final 'AAA'; Outlook Stable

The one-notch IDR uplift reflects that Dutch covered bonds are exempt from bail-in, that Fitch deems the risk of under-collateralisation at the point of resolution to be low, and that a resolution of Achmea is not likely to result in the direct enforcement of the recourse against the cover pool. It further reflects that Achmea Bank's IDR is support-driven.

Peer Review: Dutch Conditional Pass-Through Covered Bonds

The covered bonds issued under each of the programmes – AEGON Bank N.V. (AEGON), F. Van Lanschot Bankiers N.V. (Van Lanschot) and NIBC Bank N.V. (NIBC) – are rated 'AAA', based on a 'AA+' probability of default rating and a further one-notch uplift for recoveries.

Covered Bonds Extension Clauses

Sequence of Events often Clearer in SPV Templates.

Conditional Pass-Through Covered Bonds

Cosme de Montpellier, Senior Director in Fitch’s Covered Bonds team, discusses the main features of conditional pass-through covered bonds, the conditions for a switch to conditional pass-through amortisation and Fitch’s approach to rating these.

Refinancing Risk Eliminated in Pass-Through Covered Bonds

Fitch Ratings says in a new report that payment interruption risk in covered bond programmes with a pass-through structure is mitigated by the removal of refinancing risk. 

Teleconference: Conditional Pass-Through Covered Bonds: Are They All Equal?

Conditional pass-through provisions are not homogeneous, even within a given jurisdiction. The teleconference highlighted key differences existing between programmes, and how they affect Fitch analysis.


Bank of Cyprus Public Company Ltd,  Mortgage Cover Pool, Cypriot Pool



Covered Bonds with Extendible Maturities

Since cover assets generally have longer maturities than the covered bonds they secure, this represents a major risk for the continuity of payments on the covered bonds if the source of payment switches from the issuer to the cover pool.


Hélène M. Heberlein


Hélène M. Heberlein

Analytical Sector Head & EMEA

+33 1 44 29 9140

Cosme de Montpellier


Cosme de Montpellier


+44 203 530 1407

Federica Fabrizi


Federica Fabrizi


+39 02 87 90 87 232

Beatrice Mezza


Beatrice Mezza


+44 203 530 1273

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