全球-信贷策略-担保债券季报：供应不足

www.research.hsbc.comDisclosures & Disclaimer: This report must be read with the disclosures and the analyst certifications inthe Disclosure appendix, and with the Disclaimer, which forms part of it.Fixed IncomeGlobalJune 2020By: Frank WillCovered Bond Quarterly Lack of supply We lower our sector call to ‘neutral’ from ‘mildly bullish’ as we expect the strong outperformance of covered bonds to slow downHigh redemption volumes from September to November might help to offset negative supply impact of huge TLTRO-III allotmentWe expect less demand from bank treasuries following the record TLTRO allotment 1 Fixed Income ● Global June 2020 Executive Summary 2 Covered Bond Quarterly: Lack of supply? 3 Covered bonds have recovered almost 75% of their losses 3 Fewer covered bond purchases by the ECB 5 ECB announced record TLTRO-III allotment of EUR1,308bn 8 EUR covered bond supply 10 USD covered bond supply 12 GBP covered bond supply 13 Buybacks are en vogue 14 Volatile investor demand for covered bonds 16 Conditional pass-through covered bonds 18 Social covered bond issuance rising more quickly than green 19 Country recommendations 21 Our recommendations by country 21 Australia (neutral from underweight) 24 Austria (overweight) 26 Belgium (overweight) 28 Canada (neutral) 30 Denmark (neutral) 32 Finland (overweight) 34 France (overweight) 36 Germany (overweight) 38 Greece (underweight) 40 Ireland (overweight) 42 Italy (underweight) 44 Japan (underweight) 46 Korea (underweight) 48 Luxembourg (neutral) 50 The Netherlands (overweight) 52 New Zealand (neutral from underweight) 54 Norway (neutral) 56 Poland (underweight) 58 Portugal (underweight) 61 Singapore (underweight) 63 Slovakia (underweight) 65 Spain (underweight) 67 Sweden (neutral) 69 Switzerland (neutral) 71 Turkey (underweight) 73 The UK (neutral) 75 Risks to our country views 77 Disclosure appendix 80 Disclaimer 84 Contents Fixed Income ● Global June 2020 2  Spreads: Since mid-April, covered bonds across the curve have continued to tighten versus swaps and the covered bond market has been able to recover almost 75% of its COVID-19 related losses already. However, the tightening trend has started to slow down a bit recently. We believe the covered bond rally is not completely over yet and think that spreads could tighten by another 10bp on average over the summer months.  New sector call: However, we are now less enthusiastic about the outperformance potential for covered bonds until the end of the year, and lower our sector call to ‘neutral’ from ‘mildly bullish’. There are three main reasons for this change. First, covered bond spreads are already approaching pre-crisis levels, leaving less room for further outperformance, particularly against the SSA sector where for instance French covered bonds are already trading through OATs at the long end of the curve. Second, we believe to a large extent the spread tightening trend was driven by Eurozone bank treasuries looking for ECB eligib