Covered Bonds

Start Dates: TBC

Duration: 1 Day

Full Fee: €600

Network Members Fee: €350 Book Now

Programme overview

This one-day programme is designed to help those with experience of government bonds to gain an understanding of the risks and benefits of covered bonds. The programme is taught for a former bond trader and sales person with significant experience of the bond market. The programme can be tailored to the specific audience need.

Please contact for more information on course dates.

Learning outcomes:

  • Understand the price, yield, credit risk relationship
  • Know how asset swaps are created and priced
  • Understand how MTN’s differ from Gilts and Bills.
  • Understand how embedded options influence MTN pricing and yields
  • Understand the potential for credit and liquidity risk
  • Know the legal framework for the issuance of covered bonds.
  • Know how to interpret the monthly investor reports for covered bonds.
  • Understand the similarities and differences of the risk profiles of covered bonds compared to RMBS and straight debt
  • Know the basic structures of mortgage backed securities
  • Understands True sale and bankruptcy remoteness concepts
  • Understand tranches and the risk reward of each tranche

Who is the course for?

This 1 day programme is aimed at front, middle and operations staff at banks. It would also suit corporate treasury staff at building societies

Course Content:

Online Pre-work

  • Bonds – An Introduction
  • Bond Prices & Yields
  • Swaps – An Introduction


  • Introduction and Bond maths recap

Swaps and Asset Swaps

  • Creation of Synthetic Floating Rate Instruments
  • Recap of Swaps
  • Creating Asset Swaps
  • Using the logic of Asset Swaps for Relative Value comparison


  • Credit Ratings and Credit Risk
  • Credit Spreads, Fixed and Floating
  • Liquidity
  • Finding value in fixed rate instruments
  • Finding value in floating rate instruments
  • MTNs with embedded options (Callable, Capped Floating etc)
  • Liquidity and Credit Spread risks in MTNs
  • Case Studies from recent issues

Covered Bonds

  • Evaluating the risk profile of covered bonds
  • Brief recap of the legal framework used to issue covered bonds in England & Wales
  • What are the protections against issuer default
  • Reading the monthly investor reports (online, Harmonised Transparency Template))
  • How do the programme features impact ratings and liquidity
  • How do the risks and rewards of covered bonds compare to RMBS, and straight debt?
  • Liquidity and Spreads in the covered bonds market.
  • Case Studies from Santander, Lloyds and RBS


  • Recap of Securitisation Structures
  • True Sale and Bankruptcy remoteness concepts
  • Credit Enhancement and Tranches
  • Securitising Mortgage Cashflows
  • How bullet classes are created
  • Yield, Spreads and Liquidity in RMBS
  • Case Studies of Triumph and Disaster, Granite, Holmes and others

Summary and Close

Trainer Profile

Please contact for further information on training providers.