全球研究：覆盖债券洞察 - 夏季利差可能逐渐收窄

Fixed IncomeCreditGlobalFrank WillGlobal Head of SSA & Covered Bond ResearchHSBC Continental Europe SA, Germanyfrank.will@hsbc.de+49 211 910 2157HSBC Global Investment Research PodcastsListen to our insightsFind out moreIssuerofreport:HSBC Continental EuropeSAGermanyViewHSBC Global Research at:https://www.research.hsbc.com Dec 100% Source: HSBC, Bloomberg (only EUR benchmark covered bonds)We expect primary market activity to slow down over the summer months and forecastremaining EUR covered bond issuance of up to EUR55bn until year-end. Assuming the midrepresents c70% of the expected new issue volume in 2025. This means current supplyvolumes are slightly above the long-term average based on our full-year supply forecast for2025 (Chart 1).Non-EUR issuance remains low afterthe strong supply volumes at the beginning of theyear.However, it seems as if primary market activity in UsD has started to come back over the lastfew months, partly driven in our view by the high UsD covered bond redemptions this year(Chart 4). In ligJt of the aforementioned LCR uncertainty, non-UK covered bond issuance inGBP has ben at a standstill since April 2025 (Chart 5).SC微art 4: USD covered bond issuance5 -4202320242025Source: HSBC, BloombergSupply volumes well below the past two yearsDespite the strong pick-up in primary market activity since the end of April, year-to-date EURcovered bond issuance remains cEUR11bn below the corresponding period in 2024 and almostEUR40bn below the strong supply volumes in 2023 (Chart 6). Year-to-date net supply ispositive but remains at cEUR25bn more than EUR1Obn below the corresponding net supply in2024, and almost EUR35bn below the volumes over the same period in 2023 (Chart 7). Chart5:GBPcoveredbondissuance2023■2024■2025Source: HSBC, Bloomberg Primary market activityshould slow down over thesummer months Source: HSBC, Bloomberg (only EUR benchmark covered bonds)AprMayJun7yr■8yr9yr10yr>10yr Source: HSBC, Bloomberg (only EUR benchmark covered bonds)The remaining EUR covered bond redemptions until year-end 2025 amount to EUR54bn,including almost EUR40bn of eurozone redemptions. If full-year gross issuance reaches theupper range of our 2025 supply forecast of EUR160bn, net supply between now and year endshould be more or less flat. Given CBPP3 redemptions of almost EUR14bn between July andDecember 2025, net supply adjusted for maturing ECB holdings would be positive.TenorsSo farthis year,therehas been a strong focus onmedium-term maturities,withtenors betweenfive and seven years, accounting for almost two-thirds of new EUR covered bond issuance(Chart8).However,long-dated issuance has increased.Year-to-date,24out of the 129 newcoveredbondissues (representing17%oftheabsolutenew issuevolume)had maturities ofeight years or longer. Long-dated issuance was particularly strong in the three-month periodfrom April to June (Chart 8).Chart8:MonthlyEURcoveredbondissuancein2025bytenor100%75%50%25%0%JanFeb2yr3yr■ 4yr5yrSource: HSBC, Bloomberg (only EUR benchmark covered bonds; July figures as of 10 July 2025) Marinr6yr There has been a strongfocus on medium-termmaturities this year Secondary market performance of covered bondsAgainst thebackdrop of heightenedpoliticaland economic uncertainty and elevated marketvolatility, covered bonds have performed quite well so far this year. In terms of spreadperformance, they have been quite stable against swaps and are on average several basis pointstighter compared to the start of the year. The spread levels of covered bonds over Bunds areclose to their lows of the past 18 months. Yield levels of covered bonds, on the other hand,thecoveredbond yieldcurveCovered bond spreads over swapsSince the start of this year, covered bonds have slightly outperformed swaps on average. Over thepast two months, covered bonds with tenors of four years and longer continue to grind tighter(Chart 8). Despite a brief widening at the beginning of April, covered bonds have outperformedswaps yeartodate.Maturities upto sevenyearsareonaverage 7-9bptighter againstswapscompared to the beginning of the year. At the long end of the curve the year-to-date spreadtightening hasbeen less pronounced at5-6bp (Chart 9).While short-term market volatility might remain high, covered bonds against swaps will likelyremain relatively stable. The medium-term prospects are positive, partly driven by the still lowyear-to-date supply volumes compared to previous years and the relatively high spread levels ofcovered bondsagainst swaps on a historical basis.Wethereforekeepourmildlybullish sectorstance on covered bonds.Chart 9: Covered bond spreads overChart 10: Year-to-date changes of coveredswapsbond spreads over swaps80m-2404-60-8-7.3Jul-24Oct-24Jan-25Apr-25Jul-25-10 --9.01-3yrs3-5yrs5-7yrs7-10yrs10-15yrs>15yrs1-3Y3-5Y5-7Y7-10Y10-15Y >15YSource: HSBC, S&P Dow Jones Indices (only EUR benchmark covered bonds:Source: HSBC, S&P Dow Jones Indices (only EUR benchmark covered bonds)3-day moving average)Covered bond s