RMBS, covered bond spreads converge — JPM

ECB 230x150 euro sculpture
By Owen Sanderson
30 Jan 2017

Research from JP Morgan ABS and covered bond analysts show generic European ABS spreads in Italy, Spain and the Netherlands trending closest to covered bonds spreads since the European Central Bank launched purchase programmes for both asset classes, in October and November 2014.

JPM’s team see the differential between generic covered bond and RMBS spreads as just 20bp.

The rally in asset-backed spreads is all the more impressive since the central banks of the Eurosystem have bought covered bonds far more aggressively — the ECB holds just €23.5bn of ABS, compared with €207.9bn ...

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