Aegon covered CPT breaks Euribor barrier
Aegon Bank smashed through the mid-swaps flat barrier to price its first conditional pass through (CPT) covered bond substantially below the reference rate on Tuesday. The deal’s success implied that investors saw through the weakness of the structure to the strong credit, or that they have lost their capacity to price extension risk.
Aegon Bank is owned by one of the largest and most systemically important insurance companies in the world. Its cover pool is one of the best in the Netherlands and, according to Fitch, offers the lowest default rate and highest recovery.
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