20 2 20 FR - NORD/LB - NORD/LB...2016/08/31 · Find us on Bloomberg: NRDR Issue volume – Covereds Issue volume – SSA 0 5 10 15 25 30 5 5 5 5 6 6 6 6 6 6 6 6 n AU BE

Please see important disclosure on the last pages.

2

Agenda Page

Market overview 2

Commerzbank: review after pool transfer 5

Savings bank Pfandbriefe in the second quarter of 2016 9

Debt brake? – no problem; budget surplus in the first half 12

ECB tracker 13

Charts & Graphs 18

Publication overview 24

Contacts 25

Find us on Bloomberg: NRDR <GO>

Issue volume – Covereds Issue volume – SSA

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AUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR

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Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research

Fixed Income Research

Covered Bond & SSA View 31 August 2016 34/2016

bbg://screens/NRDR

Covered Bond & SSA View 31 August 2016

NORD/LB Fixed Income Research

Page 2 of 29

Covered Bonds Market overview

Analyst:

Matthias Melms, CIIA, CCrA

Further bonds placed at the

long end

Two further covered bonds have been issued on the primary market in the

past five trading days. The trend towards placing bonds at the long end was

maintained, with UniCredit Spa and DNB issuing papers that featured matur-

ities of ten years. Consequently, all bonds in August were issued at the long

end of the curve, which is in our opinion due to the fact that ever more inves-

tors are seeking bonds that still offer a positive return in the present climate.

In total, the issue volume in August now amounts to EUR 5.3bn. Although

the issue volume is therefore higher than in previous years (2015: EUR

4.8bn; 2014: EUR 0.0bn), it is slightly below the average for the past six

years of EUR 5.7bn. With a term of ten years, the Norwegian DNB also opt-

ed for a maturity at the long end of the curve. Demand for this bond was high

among investors, as a result of which the issue volume was set at EUR

1.5bn. The reoffer spread was also a contributing factor, and, fixed at

ms +3bp, equating to a new issue premium of approximately 5.5bp against

the interpolated secondary market curve. In our opinion, this bond therefore

offers further performance potential. UniCredit placed a EUR 1.0bn bond

from its CPT programme that will mature in October 2026 on the market.

UCGIM 0 3/8 10/31/26 was met with strong interest, which is reflected in the

bid-to-cover ratio of 2.0. When compared with bonds of comparable maturi-

ties in the previous week (CMZB 0 1/8 12/15/26, WLBANK 0.1 08/31/26), the

reoffer spread of ms +20bp means the pick-up is 36bp and 37bp, respective-

ly.

Banca Popolare Emilia Issuer Country Timing ISIN Maturity Volume Spread Rating

DNB Boligkreditt NO 30/08/16 XS1485596511 10y € 1.5bn ms +3bp - / Aaae / -

UniCreditSPA IT 24/08/16 IT0005212987 10.2y € 1.0bn ms +20bp AA+E / - / -

Source: Bloomberg, NORD/LB Fixed Income Research (rating: Fitch/Moody’s/S&P)

NAB seeking approval for

conversion to soft bullet

With National Australia Bank (NAB), a further issuer is now seeking approval

to convert the structure of their existing covered bonds from hard bullet to

soft bullet, with the option to implement a 12-month extension period. Credi-

tors of the bonds NAB 2 5/8 01/13/17, NAB 5 12/20/21, NAB 1 7/8 01/13/23

and NAB 3 09/04/26 are being called on to grant their approval for the con-

version by 9 September. If at least two-thirds of the nominal volume is pre-

sent at the meeting of creditors on 14 September and approval is granted, a

premium of 0.05% will be paid. NAB has been issuing bonds with an exten-

sion option since 8 March 2013, but all covered bonds issued to date have

had a hard bullet structure.

Trader’s comment The bank holiday in the UK had an impact on the market at the start of this

week, with only few sales evident. The trend of the last two weeks has con-

tinued and investors were generally active on the seller side, without any

spread widening occurring as a result. Inventory remains at a very low level,

indicating that there is still positive interest in this area. Bonds issued in the

previous week achieved slight gains on the secondary market and narrowed

versus swaps.



Page 3 of 29

SSA Market overview

Analyst:

Mario Gruppe, CIIA

Bund yields rise only briefly

following the Jackson Hole

meeting

Following the annual meeting of central bankers in Jackson Hole, Bund

yields initially rose slightly. This is likely to have been primarily attributable to

comments by some senior US central bankers, most notably Janet Yellen,

which were interpreted as a signal for a rate rise by the Federal Reserve in

the near future. The remarks by Vice Chairman Stanley Fischer may also be

interpreted to mean that the US central bank will raise rates this year. Ac-

cordingly, Treasury yields tightened slightly. In this environment, yields on

German government bonds also increased somewhat. In the meantime, ten-

year German government bonds returned yield of just over -0.04%, but rap-

idly lost ground again at the beginning of the week. However, in the short

term and a good week before the next meeting of the ECB Governing Coun-

cil, we do not expect any significant movement in yields on Bunds.

Parliamentary vote in Spain The fall in yields on Spanish government bonds is primarily attributable to

indications in recent weeks that the acting Prime Minister Mariano Rajoy will

shortly be able to form a government. Rajoy intends to stand for re-election

this week. Recently, the Conservatives obtained the support of the liberal

people’s party, Ciudadanos. To be sure, both parties together do not have

enough votes for an absolute majority; however, a simple majority would be

sufficient for Rajoy in a second ballot. This obviously presupposes that other

factions will abstain from voting or vote in favour, which is by no means cer-

tain. This would result in another stalemate, which would probably lead to

new elections for the second time in a year. There is little sign of anxiety on

capital markets in the meantime. The decline in yields that has been a fea-

ture of recent weeks has also continued. Meanwhile, there seems to have

been a degree of bottoming out at around 0.95% (10y). Apparently, market

participants first wish to wait for the outcome of the election. The first ballot

is set for this Wednesday. Should Rajoy fail to obtain an absolute majority

here, the second ballot will take place on Friday this week. If he fails to

achieve a (simple) majority then, the signs point towards a fresh round of

elections in autumn.

Summer break drawing

to a close

In recent weeks, the primary market experienced a veritable drought. How-

ever, this situation is not likely to persist. A glance at maturities shows that

there will be a substantial refinancing requirement in the SSA segment over

the next few months. Bonds amounting to more than EUR 10bn will mature

in September and October respectively, before maturities in the last two

months of the year fall back to around EUR 5bn per month.



Page 4 of 29

Primary market A Bundesland, namely NRW, again provided the only large EUR issue last

week. With a maturity of 25 years, this bond features the longest maturity

ever issued in benchmark format. Yet again, the issue underlines the fact

that issuers are using the current market environment to raise more very

long-term funding and secure favourable terms from their perspective for a

long period. Almost 50 investors placed orders for a total of EUR 850m,

meaning that NRW had no difficulties raising its target of EUR 750m. The

majority, a good 55%, went to asset managers, followed by banks (21%) and

insurance companies (16%). In addition to NRW, Lower Saxony and Rhine-

land-Palatinate ventured onto the primary market. Both Länder succeeded in

increasing existing bonds. At ms -15bp, the Lower Saxon tap (6/26) was

priced exactly the same as the Rhineland-Palatinate bond tap (08/26). BNG

also ventured onto the market with a tap (06/24) at ms -10bp.

Issuer Country Timing ISIN Maturity Volume Spread Rating

NRW GE 24.08.2016 DE000NRW0JV3 25.0y 0.75bn ms +10bp AAAe / Aa1e / -

Source: Bloomberg, NORD/LB Fixed Income Research (Rating: Fitch / Moody’s / S&P)

Trader’s comment EUR 750m NRW 08/41 was issued on the primary market at ms +10bp. The

attractive pricing resulted in spreads softening in the ultra-long maturity

segment. In contrast, spreads up to ten years were very stable. Demand

within the framework of the Eurosystem’s purchase programme was some-

what more subdued during the last week, with the result that sales were

somewhat lower overall.



Page 5 of 29

Covered bonds Commerzbank: review after pool transfer

Analyst:


Hypfra is being wound down

and stocks transferred

In May, Commerzbank announced that its wholly-owned subsidiary Hy-

pothekenbank Frankfurt AG (Hypfra, formerly Eurohypo) would be fully

wound down. As part of this process, the portfolio of Hypfra was fully trans-

ferred to Commerzbank. Hypfra itself has been transformed into a service

company (LSF, Loan Solutions Frankfurt) with the aim of further reducing the

portfolio of commercial real estate loans transferred to Commerzbank, oper-

ating mostly independently on behalf of Commerzbank. Furthermore, Hypfra

has relinquished its banking licence and Pfandbrief licence. In the course of

the transaction, all Hypfra's outstanding Pfandbriefe were transferred to

Commerzbank. Large portions of the private residential mortgage loans of

Hypfra have also been transferred into the cover pool of Commerzbank.

However, Hypfra's commercial real estate loans which were earmarked to be

run down were transferred to the cover pool. In the following, we will exam-

ine Commerzbank’s cover pool data as reported for the first half of the year

and identify the extent to which changes have occurred.

Overview of mortgage Pfandbrief pool – Commerzbank Group

Breakdown by size categories – mortgage Pfandbriefe

-5,000

0

5,000

10,000

15,000

20,000

Hypothekenpfandbriefe Cover Pool Overcollateralization

EU

Rm

Coba_Q2 Coba_Q1 Delta Hypfra_Q1

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%


more than 10 mn. Euros more than 1 mn. Euros up to 10 mn. Euros

more than 300,000 Euros up to 1 mn. Euros up to 300,000 Euros

Source: Issuers, NORD/LB Fixed Income Research Source: Issuers, NORD/LB Fixed Income Research

Reduction in mortgage-

backed cover pool

As at 31 March, Commerzbank’s mortgage-backed pool comprised a volume

of EUR 10,004.6m with outstanding Pfandbriefe of EUR 4,150.0m, while

Hypfra had a cover pool amounting to EUR 12.112m as against Pfandbriefe

of EUR 9,665m. By comparison, Commerzbank reported an outstanding

Pfandbrief volume of EUR 12,506m with a cover pool of EUR 17,411m as at

30 June. This data alone shows that the change in the mortgage-backed

pool and outstanding Pfandbriefe cannot be fully accounted for by the trans-

fer of all Hypfra’s cover assets and Pfandbriefe to Commerzbank.



Page 6 of 29

Commercial securities only

account for minor share

At the end of the second quarter, the volume of mortgage Pfandbriefe at

Commerzbank amounted to EUR 12,506m, which represents a reduction of

EUR 1,308m on the combined data for Commerzbank and Hypfra at the end

of the first quarter (Commerzbank: EUR 4,150m + Hypfra: EUR 9,665m). At

the same time, the cover pool decreased by EUR 4,705m from a previous

combined figure of EUR 22,116m (Commerzbank: EUR 10,004m + Hypfra:

EUR 12,112m). An analysis of the maturity structure at the end of the first

quarter of 2016 reveals that Hypfra had a residual term to maturity of less

than six months for (i) a Pfandbriefe volume of EUR 2,109m and (ii) a cover

pool worth EUR 2,760m. We therefore deduce that a significant portion of the

change is attributable to this factor, at least for outstanding Pfandbriefe. With

regard to size categories in the mortgage-backed cover pool, securities with

a volume of less than EUR 300,000 accounted for a share of 83% at Com-

merzbank in the first quarter, while the corresponding figure at Hypfra was

53%. Despite the merger, this percentage increased to 84% in the second

quarter. Distinguishing between the mortgage-backed cover assets by type

of use provides an indication of the change in the cover pool. While residen-

tial made up a share of 63.1% in Hypfra’s pool at the end of the first quarter,

the corresponding value for Commerzbank as at 31 March was 99.9%. Even

with the merger, at 98.1% this figure is virtually unchanged as at 30 June.

Several shifts occurred within the segment of commercial properties used for

residential purposes. The share of condominiums declined from 24.2% to

23.1%, while that of single and multi-family houses has also fallen slightly to

61.8% (previously 64.2%). By contrast, multi-family houses have gained

against the first quarter, with the share rising from 11.6% to 13.1%. Com-

mercial collateral accounts for 1.94% of the pool at present. This is above all

attributable to retail properties, which now constitute 1.4% of mortgage-

backed securities. In the first quarter, receivables from German debtors

formed 100% of Commerzbank’s pool and made up 83.8% of Hypfra’s cover

assets. In the combined pool, receivables from German debtors also domi-

nate and constitute 100% of the original cover pool.

Higher volume of public sec-

tor Pfandbriefe

The transfer of Hypfra's outstanding public sector Pfandbriefe to Com-

merzbank has significantly increased the outstanding volume. While public

sector Pfandbriefe in the amount of EUR 1,872m were outstanding in the first

quarter, the volume had risen to EUR 13,770m as at the end of June, which

represents a further increase of EUR 375m resulting from an absolute

change in the combined values of EUR 13,396m as at 31 March (Com-

merzbank: EUR 1,872m + Hypfra: EUR 11,524m).



Page 7 of 29

Overview of public sector Pfandbrief pool – Commerzbank Group

Breakdown by size categories – public sector Pfandbriefe

0

5,000

10,000

15,000

20,000

Öffentlichen Pfandbriefe Cover Pool Overcollateralization

EU

Rm


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%


more than 100 mn. Euros more than 10 mn. Euros up to 100 mn. Euros up to 10 mn. Euros


Cover pool also recorded

growth

At the same time, the cover pool of public sector Pfandbriefe increased dis-

proportionately: while the combined volume of Commerzbank and Hypfra

amounted to EUR 14,498m in the first quarter (Commerzbank: EUR 2,222m

+ Hypfra: EUR 12,276m), the combined volume of Commerzbank was EUR

15,938m, which is an increase of EUR 1,440m against the pro forma com-

parison with the first quarter. In terms of size categories, it becomes appar-

ent that receivables with a volume in excess of EUR 100m dominate the

combined pool more strongly than had been the case at Commerzbank

(74%) and Hypfra (81%) at the end of the first quarter, accounting for 84% at

the half-year mark. This development is attributable to cover assets in this

size category rising by a further EUR 1,886m in the second quarter in addi-

tion to the aggregate values of EUR 11,324m from Commerzbank and Hyp-

fra from the first quarter (Commerzbank: EUR 1,642m + Hypfra: EUR

9,683m). The consolidation of the cover pools and additional availability of

cover assets also led to a change in the debtor structure. In the first quarter,

receivables to regional authorities still accounted for a share of 47.5% in

Commerzbank’s pool and 48.5% in that of Hypfra, but this ratio has now

decreased to 42% for the combined cover pool. The second-largest asset

category with a share of 30% as at 30 June is receivables from other debt-

ors, which had been less prominent in the first quarter at both Commerzbank

(4.5%) and Hypfra (10.8%). The combined pool also has a different geo-

graphic distribution. While in the first quarter, receivables against German

debtors made up a share of 51.6% in the cover pool of Hypfra and 80.1% in

that of Commerzbank, the combined figure now is 56.8%, with Austria com-

prising 9.4% and Italy 8.6%.



Page 8 of 29

Ratings In response to the pool merger in May, Moody’s had placed all public sector

Pfandbriefe that were issued by Commerzbank before the merger on its

watch list for downgrade, but the ratings have now been confirmed as Aaa in

view of the adequate overcollateralisation. In addition, the assessment of

public sector Pfandbriefe issued by Hypfra was upgraded from Aaa to Aa1.

The mortgage Pfandbriefe of both Commerzbank and Hypfra have been

rated as Aaa by Moody’s, as a result of which there is no change after the

consolidation of the two pools.

Conclusion The transfer of Hypfra’s Pfandbriefe to Commerzbank and the merger of the

cover pools has, in our view, not had a negative impact on the creditor posi-

tion for mortgage Pfandbriefe. Commerzbank has successfully maintained

the pool quality of the existing cover assets and kept the share of residential

practically constant. With regard to public sector Pfandbriefe, the quality also

does not appear to have suffered. Although the previous Commerzbank pool

was significantly smaller than it is now after the merger and the share at-

tributable to Germany has declined substantially, Moody’s assigns a collat-

eral score of 5.1% to the combined pool. This value is therefore slightly lower

than that of Commerzbank’s pool as at 31 March, which had been set at

5.4%. Conversely, Moody’s ascertained a collateral score of 4.7% for Hyp-

fra’s cover pool (public sector) as at 31 December 2015, which is slightly

lower than the current level.



Page 9 of 29

Covered bonds Savings bank Pfandbriefe in the second quarter of 2016

Analyst:

Kai Ebeling, CIIA

Data are based on section 28

reports

All Pfandbrief banks are subject to the transparency provisions of section 28

of the German Pfandbrief Act (Pfand-BG) and publish details of their out-

standing Pfandbriefe and the associated cover assets on their websites eve-

ry quarter. The data on the second quarter of 2016 was combined to give an

overview of the Pfandbrief savings banks in the article. No new Pfandbrief

issuer emerged in the last quarter, so there has been no change in the num-

ber of savings banks examined in comparison with the previous quarter.

Chronological comparison of volume and overcollateralisation

Share of total market circulation

0%

20%

40%

60%

80%

100%

120%

140%

0

5

10

15

20

25

Q2/13Q3/13Q4/13Q1/14Q2/14Q3/14Q4/14Q1/15Q2/15Q3/15Q4/15Q1/16Q2/16

Vo

lum

en

in E

UR

bn

mortgage Pfandbriefe public sector Pfandbriefe

OC mortgage (rhs) OC public sector (rhs)

204

172

377

202

23

9,9%

1,4%

6,0%

0%

2%

4%

6%

8%

10%

12%

0

50

100

150

200

250

300

350

400

Öpfe Hypfe Gesamt

Pfa

nd

bri

ef

volu

me

in

EU

Rb

n

market volume saving banks market share sving banks Pfandbrief


Volume of outstanding mort-

gage Pfandbriefe increases

once more

Up to the end of June 2016, a total of EUR 22.651bn of savings bank Pfand-

briefe were in circulation. Of this figure, EUR 20.181bn (89.12%) were at-

tributable to mortgage Pfandbriefe and EUR 2.470bn (10.9%) to public sec-

tor Pfandbriefe. The total amount in circulation has therefore risen sharply,

by 14.7%, compared with the previous year’s figure

(Q2 2015: EUR 19.755bn), although minimal growth of only 0.1% was

achieved compared with the previous quarter (Q1 2016: EUR 22.623bn).

While the volume of mortgage Pfandbriefe increased slightly compared with

the previous quarter, at EUR 54m (+0.3%), the volume of public sector

Pfandbriefe in circulation recorded a slight fall of EUR 15m (-0.1%). The

decrease amounted to 2.4% compared with the previous year’s figure. The

cover pool increased by EUR 3.501bn compared with the previous year’s

figure (+10.5% yoy) to EUR 36.710bn in total, which results in an overcollat-

eralisation ratio of 62.1%. Sub-divided into the respective asset classes, the

aggregate cover pool volume of mortgage-backed programmes increased by

12.5% yoy to EUR 32.617bn, while the public sector cover pool has fallen by

3.1% yoy to EUR 4.093bn. This results in a current overcollateralisation ratio

of 61.6% for outstanding mortgage Pfandbriefe and 65.7% for public sector

Pfandbriefe.



Page 10 of 29

Share of total volume in-

creasing slightly

However, at EUR 22.65bn, the share of Pfandbrief savings banks must still

be classified as low despite the increase in the volume of outstanding

Pfandbriefe and the slight fall in total market circulation, which stood at EUR

376.8bn in May 2016, compared with Q2 2015 (EUR 19.8bn Pfandbrief sav-

ings banks and EUR 391.3bn total market circulation). Only 1.4% (Q2 2015:

1.3%) of the public sector Pfandbriefe in circulation is attributable to savings

banks as issuers. In the case of mortgage Pfandbriefe (the Bundesbank data

on total circulation also include ship and aircraft Pfandbriefe), the savings

banks at least achieve a share of 9.9% (Q2 2015: 8.7%), which represents

an increase of 1.2 percentage points on last year’s examination of the data.

If the total volume of all types of Pfandbrief is considered, the Pfandbrief

savings banks only account for 6.0% of total market circulation of EUR

376.8bn (in May) with their outstanding volume of EUR 22.65bn and an in-

crease of 1.0 percentage points in the total volume of all savings banks

compared with total market circulation is apparent compared with Q2 2015.

Top 10 – Mortgage Pfandbriefe Top 10 – Public sector Pfandbriefe

24,1%

16,4%

14,5%3,4%

3,4%

3,1%

3,1%

2,2%

2,1%

2,1%

25,2%

Hamburger Sparkasse

Sparkasse KölnBonn

Kreissparkasse Köln

Sparkasse Essen

Sparkasse Pforzheim Calw

Sparkasse MünsterlandOst

Stadtsparkasse Düsseldorf

Taunus Sparkasse

Nassauische Sparkasse

Förde Sparkasse

Others

33,8%

18,1%10,4%

9,4%

8,5%

4,7%

4,5%

3,0%2,1%

1,6%3,9% Sparkasse Hannover

Kreissparkasse Köln

Sparkasse Hanau

Sparkasse Aachen

Stadtsparkasse Düsseldorf

StadtsparkasseMönchengladbach

Sparkasse Holstein

Nassauische Sparkasse

Sparkasse KölnBonn

Kreissparkasse Göppingen

Others


41 savings banks used

Pfandbriefe for funding in

March

At the end of Q2 2016, a total of 41 savings banks funded their operations by

issuing Pfandbriefe. The majority of the banks, namely 38 banks, used mort-

gage Pfandbriefe, while only 14 savings banks had public sector Pfandbriefe

outstanding. Eleven banks currently even make use of both asset classes. In

total some 10% of German savings therefore have the option of funding their

operations via Pfandbriefe. There is consequently a marked gap between

mortgage Pfandbriefe and public sector Pfandbriefe not just in terms of out-

standing volume but also in the number of issuers. With both types of Pfand-

brief, the top 3 issuers in each case account for more than 50% of market

share. Hamburger Sparkasse (24.1%), Sparkasse KölnBonn (16.4%) and

Kreissparkasse Köln (14.5%) together have a 55.0% share of total mortgage

Pfandbriefe in circulation while the three largest Pfandbrief savings banks for

public sector Pfandbriefe are Sparkasse Hannover (33.8%), Kreissparkasse

Köln (18.1%) and Sparkasse Hanau (10.4%), which together account for a

market share of 62.3%. This shows that the option of using Pfandbriefe for

funding purposes plays a significant role for some savings banks.



Page 11 of 29

Breakdown of mortgage Pfandbriefe collateral – savings banks

Breakdown of mortgage Pfandbriefe collateral – vdp banks

50,1%

18,7%13,7%

5,6%

4,2%

3,2%

2,9%

1.6%0,1%0,0%

11,9%

Single-family houses Multi-family housesApartments Other buildingsSubstitution assets Industrial buildingsOffice buildings Retail buildingsUnfinished buildings commercial Plots commercialUnfinished buildings residential Plots residentialDerivatives

24,4%21,9%

20,0%

14,0%

8,8%

8,1%

1,5%

0,7%

2,8%

Single-family houses Multi-family housesOffice buildings Retail buildingsApartments Other buildingsIndustrial buildings Unfinished buildings commercialUnfertige Neubauten privat Plots commercialUnfinished buildings residential


Savings banks concentrate

on local authorities

Mortgage Pfandbriefe represent a key funding instrument for savings banks,

while public sector Pfandbriefe play a subordinate role. However, the focus

of business for savings banks is clear from the composition of the cover

pools for public sector Pfandbriefe. The largest share is accounted for by

local authorities, at 54.0%. Regional authorities hold 25.0% of cover pools,

followed by other debtors, at 18.6%. The high proportion of local authorities

can be explained from the business model of savings banks, which provide

financing for local municipalities in various cases. By contrast, for vdp banks,

regional authorities (34.6%) are the most important type of collateral ahead

of local authorities (33.9%) and other debtors, at 18.2%.

Breakdown of collateral (public sector Pfandbriefe) – savings banks

Breakdown of collateral (public sector Pfandbriefe) – vdp banks

54,0%

25,0%

18,6%

2,3%

Local authorities Regional authoritiesOther public debtors Central government

34,6%

33,9%

18,2%

13,3%

Regional authority Local authorityOther public debtors Central governement


Conclusion Despite another increase in outstanding volumes, savings bank Pfandbriefe

are still a niche product compared with the total German Pfandbriefe in circu-

lation. Nevertheless, the Pfandbrief constitutes a key funding instrument for

some issuers which can help, in particular, to guarantee long-term funding.

Savings bank Pfandbriefe may also be attractive to investors because of

their granularity and the high residential percentage.



Page 12 of 29

SSAs Debt brake? – no problem; budget surplus in the first half

Analyst:

Mario Gruppe, CIIA

Financing surplus

at all levels of government

Sustained sound macroeconomic growth in Germany has had a positive im-

pact on public sector budgets in the first half of 2016. As the Federal Statisti-

cal Office has announced, the financing surplus was EUR 18.5bn in the first

half. This equates to 1.2% of nominal GDP. All levels of government have

received more than they have spent in the period under consideration. Ap-

proximately half of the surpluses were attributable to the federal government

(EUR 9.7bn). However, the Länder (EUR 0.4bn) and municipalities (EUR

2.5bn) also achieved a budget surplus. The positive picture is completed by

the social insurance entities, which also reported a budget surplus of EUR

5.9bn.

Conclusions as to the year

as a whole are only

possible to a limited extent

The chances that the German government will also report a positive budget

for 2016 as a whole are therefore increasing. However, the half year figures

can only be extrapolated to a limited extent, especially as the fiscal balance

is regularly lower in the second half than at the beginning of the year for

structural reasons. The Bundesbank profit is posted in the first half, for in-

stance, which benefits the income side in the first few months of the year. On

the other hand, the expenses side is more stressed from 01 July when the

increase in pensions comes into effect. Some special effects are also likely

to have an adverse impact on budget development in the second half. For

instance, the EU has called for comparatively little capital in the first half,

which is likely to change again over the rest of the year.

German government

benefiting from

low funding costs

Sustained low interest rates continue to have a positive impact. It is therefore

not surprising that interest expenses fell sharply again in the months from

January to June (-13.8%). However, irrespective of this, expenses in total

rose sharply (+3.6%). Perceptibly more was spent on advance payments

(+9.2%), in particular, and social assistance benefits in kind (+6.7%) than

recently. In the case of advance payments, the increase in expenditure for

people seeking protection became apparent primarily. The increase in social

assistance benefits in kind is largely attributable to expenses for social wel-

fare/youth welfare as well as benefits for asylum seekers. However, growth

in expenses was more than offset by the rise in income. At this point, we

should highlight the increase in tax receipts, whereby the increase in proper-

ty and income taxes (+6.1%) was far more marked than was the case for

production and import levies (+3.3%), where value added tax is the most

important item.

Conclusion Sound economic growth and the extremely positive situation on the German

employment market are benefiting public sector budgets. Accordingly, this

led to a budget surplus at all levels of government in the first half of the year.

Germany is therefore succeeding in offsetting the increase in expenses

caused by the influx of refugees with an increase in income. It is therefore

not surprising that the federal government, for instance, is likely to be far less

present in the primary market over the coming year. However, if this trend

persists, the refinancing requirement of the Länder and municipalities is also

likely to shrink.



Page 13 of 29

Covered Bonds/SSA ECB tracker

Analysts:


Mario Gruppe, CIIA

In this section, we publish weekly updates on the covered bonds, ABS, spe-

cific agencies, supranationals and sovereign bonds which the European

Central Bank (ECB) is purchasing. We provide an overview of the develop-

ment of purchases.

Increase to net inflows once

again as the summer break

comes to an end

As at the reference date of 26 August, the ECB reported a portfolio volume

totalling EUR 189.209bn purchased so far as part of the CBPP3. This repre-

sents an increase of EUR 849m on the previous week’s value, with no ma-

turities falling due in the previous reporting period. Overall, net inflows in the

past four weeks rose slightly to EUR 2.575bn (previously:

EUR 2.319bn). On account of the increased primary market activity, we

expect that the weekly purchase volume will rise significantly in the coming

weeks, although the original target volume of EUR 10.0bn (including pur-

chases made under the ABSPP) still does not appear to be attainable, in our

view. In terms of the ABSPP, there were maturities amounting to EUR 200m

in the previous reporting week against purchases of EUR 100m. Overall, the

portfolio declined by EUR 99m to a total of EUR 20.216bn. Net inflows fell

significantly in the past four weeks on account of basis effects to EUR -

223m (previously EUR 25m). Within the framework of the CSPP, the ECB

bought EUR 1,504m last week, bringing the overall volume to a total of EUR

19,333m.

Weekly PSPP purchases fall

significantly again

The trend towards falling PSPP purchase volumes, which has been evident

for a number of weeks now, continued once more in the past trading week.

As at the reference date of 26 August, the Eurosystem had only acquired

new bonds worth a total of EUR 10.3bn. This not only represents one of the

lowest amounts since the overall monthly purchase volume was raised to

EUR 80bn in April, but also one of the lowest since the programme was

launched in spring 2015. While previously we have certainly witnessed the

odd week in which the purchase volumes have deviated noticeably from the

average, the recent trend is striking and can be seen as a distinct tightening

of the market material eligible for purchase. We are of the view that this

assessment of the market situation is supported by the fact that new Bun-

desländer bonds have once again been purchased by the Eurosystem. In

this context, a first Brandenburg bond found its way into the Eurosystem’s

books, among others. Accordingly, we believe that this only increases the

probability that the ECB will not be able to avoid making adjustments to the

terms of purchase at its meeting next week.

Upcoming reverse auctions (Banque de France – BDF)

ISIN Bond Central bank & date

EU000A1G0BC0 EFSF 1 7/8 05/23/23 Banque de France (02.09.)

EU000A1G0BQ0 EFSF 1 3/4 06/27/24 Banque de France (02.09.)

EU000A1U9944 ESM 0 1/2 03/02/26 Banque de France (02.09.)

EU000A1U9977 ESM 0 7/8 07/18/42 Banque de France (02.09.)

Total targeted size: EUR 150-250m Source: BDF, NORD/LB Fixed Income Research



Page 14 of 29

Completed reverse auctions (DeNederlandscheBank – DNB)

ISIN Bond Min. Mean Max Date

XS0695263730 BNG 3 10/25/21 116.880. 116.880 116.880 29.08.

XS1280394229 BNG 0 ½ 08/26/22 N/A N/A N/A 29.08.

XS0951381523 NEDWBK 1 3/4 07/09/20 N/A N/A N/A 29.08.

XS0463097237 NEDWBK 0 ½ 10/27/22 104.080 104.080 104.080 29.08.

XS1346315382 NEDWBK 0 ½ 01/19/23 N/A N/A N/A 29.08.

XS0873878283 BNG 1 ½ 04/15/20 N/A N/A N/A 29.08.

XS0537711144 BNG 2 ⅝ 09/01/20 111.900 111.905 111.910 29.08.

XS0706261368 NEDWBK 3 11/16/23 N/A N/A N/A 29.08.

XS1361603209 NEDWBK 0.05 02/10/21 N/A N/A N/A 29.08.

XS1166023777 BNG 0 ⅜ 01/14/22 103.270 103.270 103.270 29.08.

Total Amount Offered EUR 130m

Total Amount Allocated EUR 50m

Source: DNB, NORD/LB Fixed Income Research

ECB purchase list for PSPP – regional issuers

Issuer Jurisdiction ISINs already purchased

BADWUR GE 2

BAYERN GE -

BERGER GE 9

BREMEN GE 3

BRABUR GE 1

HESSEN GE 7

HAMBRG GE 1

NIESA GE 3

MECVOR GE -

NRW GE 15

RHIPAL GE 4

SAARLD GE -

SCHHOL GE -

SAXONY GE -

SACHAN GE -

THRGN GE -

LAENDER GE -

IDF FR 2

VDP FR 1

MADRID ES 6

CASTIL ES 1

BASQUE ES 1

ARAGON ES 1

WALLOO BE 1

Source: ECB, NORD/LB Fixed Income Research



Page 15 of 29

ECB purchase list for PSPP

Issuer Jurisdiction ISINs already purchased

EIB SNAT 49

EFSF SNAT 32

ESM SNAT 14

EU SNAT 20

COE SNAT 7

NIB SNAT 1

EURAT SNAT -

KFW DE 39

RENTEN DE 16

NRWBK DE 23

LBANK DE 6

CADES FR 18

RESFER FR 13

UNEDIC FR 16

AGFRNC FR 14

OSEOFI FR 11

CDCEPS FR 3

CNA FR 2

ACOSS FR -

BNG NL 22

NEDWBK NL 17

NEDFIN NL 2

OBND AT 8

ASFING AT 8

FINNVE FI 4

TVRFIN FI 2

ICO ES 9

ADIFAL ES 3

CDEP IT 3

IP (REFER / ESTPOR) PT -

SEDABI SI 1

DARSDD SI -

FADE ES 4

KUNTA FI 1

PARPUB PT 1

CASDEL IT -

AFLBNK FR 2

APHP FR -

GDCHU FR -

SPABSS FR -

HSGFIN IE -

FRBRTC BE -

SOCWAL BE -

FONWAL BE -

SWLBEL BE -




Page 16 of 29

CBPP3 Overview

Weekly purchase volume [EURbn] Primary and secondary market share [EURbn]

176

178

180

182

184

186

188

190

0.0

0.5

1.0

1.5

2.0

2.5

17/0

6/1

6

24/0

6/1

6

01/0

7/1

6

08/0

7/1

6

15/0

7/1

6

22/0

7/1

6

29/0

7/1

6

05/0

8/1

6

12/0

8/1

6

19/0

8/1

6

26/0

8/1

6

EU

Rb

n

EU

Rb

n

Weekly purchases Total volume (rhs)

0

20

40

60

80

100

120

140

160

180

200

0

2

4

6

8

10

12

14

Oct-14

Nov-

14D

ec-

14Ja

n-1

5F

eb-1

5M

ar-

15

Apr-

15

May-

15

Jun-1

5Ju

l-15

Aug-1

5S

ep-1

5O

ct-15

Nov-

15D

ec-

15Ja

n-1

6F

eb-1

6M

ar-

16

Apr-

16

May-

16

Jun-1

6Ju

l-16

EU

Rb

n

EU

Rb

nPrimary market Secondary market Total volume (rhs)

Source: Bloomberg, NORD/LB Fixed Income Research Source: ECB, NORD/LB Fixed Income Research

Total volume of covered bond purchase programmes [EURbn]

0

50

100

150

200

250

Jul-0

9

Nov

-09

Ma

r-10

Jul-1

0

Nov

-10

Ma

r-11

Jul-1

1

Nov

-11

Ma

r-12

Jul-1

2

Nov

-12

Ma

r-13

Jul-1

3

Nov

-13

Ma

r-14

Jul-1

4

Nov

-14

Ma

r-15

Jul-1

5

Nov

-15

Ma

r-16

Jul-1

6

CBPP1 [EUR 16,4bn] CBPP2 [EUR 7,4bn] CBPP3 [EUR 189,2bn]

Source: Bloomberg, NORD/LB Fixed Income Research current volume in [ ]



Page 17 of 29

PSPP overview

Weekly purchase volume [EUR bn] Distribution by country at month-end [EUR bn]

650

700

750

800

850

900

950

1000

1050

5

7

9

11

13

15

17

19

17.0

6.1

6

24.0

6.1

6

01.0

7.1

6

08.0

7.1

6

15.0

7.1

6

22.0

7.1

6

29.0

7.1

6

05.0

8.1

6

12.0

8.1

6

19.0

8.1

6

26.0

8.1

6

Weekly purchases Total volume (rhs)

0

20

40

60

80

100

120

140

160

180

200

EU

Rb

n

Source: Bloomberg, NORD/LB Fixed Income Research Source: ECB, NORD/LB Fixed Income Research

Overall distribution of PSPP buying at month-end (EURbn)

Country Adjusted

distribution key1

Purchases (EUR m)

Expected purchases (EUR m)

2

Difference (EUR m)

Average time to maturity in

years

Market average in years

3

Difference in years

DE 26.3% 225,516 224,963 553 7.60 13.90 -6.3

FR 20.7% 179,160 178,366 794 7.71 11.27 -3.6

IT 18.0% 155,876 154,209 1,667 9.24 7.27 2.0

SNAT 0.0% 109,158 109,571 -413 7.05 11.23 -4.2

ES 12.9% 111,788 110,594 1,194 9.71 7.34 2.4

NE 5.9% 50,199 50,054 145 7.71 12.40 -4.7

BE 3.6% 31,038 30,952 86 9.79 14.52 -4.7

AT 2.9% 24,628 24,564 64 9.11 12.53 -3.4

PT 2.6% 20,096 20,953 -857 10.07 7.33 2.7

FI 1.8% 15,819 15,735 84 7.55 10.52 -3.0

IE 1.7% 14,237 14,332 -95 9.31 11.35 -2.0

SK 1.1% 7,290 8,277 -987 7.92 9.35 -1.4

SI 0.5% 3,952 4,120 -168 8.23 8.40 -0.2

LU 0.3% 1,621 1,968 -347 6.65 13.98 -7.3

LV 0.4% 1,050 1,459 -409 6.56 7.02 -0.5

LT 0.6% 1,844 2,438 -594 6.50 6.63 -0.1

MT 0.1% 598 670 -72 10.89 9.79 1.1

CY 0.2% 269 1,506 -1,237 5.19 6.09 -0.9

EE 0.3% 66 426 -360 1.96 0.00 2.0

GR 0.0% 0 0

0.00 13.2 -

Total / average

100.0% 954,205 - - 8.26 9.44 -1.2

1 Based on the ECB capital key, adjusted to include supras and the disqualification of Greece

.

2 Based on the adjusted distribution key.

3 Weighted average time to maturity of the bonds eligible for purchasing under the PSPP.




Page 18 of 29

Covered Bonds Charts & Graphs

Outstanding volume (Bmk.) Top 10 countries (Bmk.)

20.6%

19.8%

11.4%8.1%

5.3%

4.7%

4.5%

4.1%

3.1%

2.8%

15.4%

EUR 1077.8bn

FR

ES

DE

IT

GB

NL

NO

CA

SE

AT

Others

Country Vol. (€bn) No. of CBs ØVol. (€bn) Vol. weight.

ØMod. Duration

FR 222.1 168 1.3 4.2

ES 213.2 163 1.3 3.1

DE 123.3 186 0.7 3.9

IT 87.7 90 1.0 3.2

GB 57.3 47 1.2 3.5

NL 51.2 40 1.3 4.6

NO 48.2 46 1.0 3.3

CA 44.6 36 1.2 3.6

SE 33.9 33 1.0 3.7

AT 30.5 47 0.6 3.1

Issue volume by year (Bmk.) Maturities next 12 months (Bmk.)

0

50

100

150

200

250

300

350

2011 2012 2013 2014 2015 2016

EU

Rb

n

ATAUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR

0

5

10

15

20

25

30

35

40

08/1

6

09/1

6

10/1

6

11/1

6

12/1

6

01/1

7

02/1

7

03/1

7

04/1

7

05/1

7

06/1

7

07/1

7

EU

Rb

n

AUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR

Avg. mod. duration by country (vol. weighted) Rating distribution (vol. weighted)

0

1

2

3

4

5

6

AT

AU

BE

CA

CH

CZ

DE

DK

ES FI

FR

GB IE IT LU

NL

NO

NZ

PT

SE

SG

TR

63.0%

4.2%16.1%

0.9%

5.2%

4.1%0.4% 3.3%

2.2%

0.6%0.0%

6.1%

AAA/Aaa

AA+/Aa1

AA/Aa2

AA-/Aa3

A+/A1

A/A2

A-/A3

BBB+/Baa1

BBB/Baa2

BBB-/Baa3

BB+/Ba1

BB/Ba2

BB-/Ba3

Source: Bloomberg, NORD/LB Fixed Income Research



Page 19 of 29


Spread development (last 15 issues)

DN

BN

O 0 1

/4 0

9/0

7/2

6

DB

0 1

/4 0

8/3

1/2

8

UC

GIM

0 3

/8 1

0/3

1/2

6

SPA

BO

L 0

1/4

08/3

0/2

6

CM

ZB

0 1

/8 1

2/1

5/2

6

WLB

AN

K 0

.1 0

8/3

1/2

6

CB

AA

U 0

1/2

07/2

7/2

6

CM

0 0

7/2

5/2

2

CM

ZB

0.0

5 0

7/1

1/2

4

BR

F 0

1/4

07/0

1/2

3

CA

FFIL

0 3

/8 0

6/2

3/2

5

SH

BA

SS

0.0

5 0

6/2

0/2

2

BZ

LN

Z 0

1/8

06/1

7/2

1

WS

TP 0 1

/8 0

6/1

6/2

1

ND

B 0

3/8

06/1

5/2

3

-20

-15

-10

-5

0

5

10

15

20

25

bp

Reoffer Spread Current ASW

Bid-to-Cover (last 15 issues)

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

DN

BN

O 0

1/4

09/0

7/2

6

DB

0 1

/4 0

8/3

1/2

8

UC

GIM

0 3

/8 1

0/3

1/2

6

SP

AB

OL 0

1/4

08/3

0/2

6

CM

ZB

0 1

/8 1

2/1

5/2

6

WLB

AN

K 0

.1 0

8/3

1/2

6

CB

AA

U 0

1/2

07/2

7/2

6

CM

0 0

7/2

5/2

2

CM

ZB

0.0

5 0

7/1

1/2

4

BR

F 0

1/4

07/0

1/2

3

CA

FF

IL 0

3/8

06/2

3/2

5

SH

BA

SS

0.0

5 0

6/2

0/2

2

BZ

LN

Z 0

1/8

06/1

7/2

1

WS

TP

0 1

/8 0

6/1

6/2

1

ND

B 0

3/8

06/1

5/2

3

EU

Rb

n

Amt. Issued Order Book Bid-to-Cover (rhs)

Spread development by country Performance (total return)

-50 -40 -30 -20 -10 0 10

TRSGSEPTNZNONLITIE

GBFRFI

ES - SingleES - Multi

DKDECHCABEAU

bpΔ 3 Months Δ Week Δ Month

0% 5% 10% 15% 20%

Overall

1-3Y

3-5Y

5-7Y

7-10Y

2016 ytd

2015

2014

2013

2012

2011




Page 20 of 29


Germany & Austria France

-30

-20

-10

0

10

20

30

40

50

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturity

AT DE - Öpfe DE - Hypfe DE - Others

-30

-25

-20

-15

-10

-5

0

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityOF OH Structured

Nordics Other Core

-15

-10

-5

0

5

10

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityDK FI NO SE

-20

-15

-10

-5

0

5

10

15

20

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityBE CH GB LU NL

Overseas & Others Periphery

0

50

100

150

200

250

300

-15

-10

-5

0

5

10

15

20

25

0 1 2 3 4 5 6 7 8 9 10

AS

W in p

b

AS

W in b

p

years to maturityAU CA NZ SG TR (rhs.)

-30

-10

10

30

50

70

90

110

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturity

ES - Single ES - Multi IE IT PT




Page 21 of 29

SSA Charts & Graphs

Outstanding volume (Bmk.) Top 10 countries (Bmk.)

38,0%

36,9%

10,8%

4,9%

4,2% 1,7%

1,0%

0,9%

0,3%

0,3%

1,0%

5,2%

EUR 1461,8bn GE

SNAT

FR

SP

NE

AS

CA

IT

FI

PO

Others

Country Vol. (€bn) No. of bonds

ØVol. (€bn) Vol. weight.

ØMod. Duration

GE 555,3 476 1,2 4,2

SNAT 539,3 123 4,4 6,7

FR 158,6 97 1,6 5,5

SP 71,6 61 1,2 3,1

NE 61,6 57 1,1 4,5

AS 24,9 24 1,0 6,3

CA 15,1 11 1,4 5,3

IT 12,8 14 0,9 7,3

PO 4,9 6 0,8 5,7

FI 4,0 7 0,6 5,0

Issue volume by year (Bmk.) Maturities next 12 months (Bmk.)

0

50

100

150

200

250

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2016e

EU

Rb

n

Other

ES

AT

NL

FR

GE

SNAT

0

5

10

15

20

2508

/16

09

/16

10

/16

11

/16

12

/16

01

/17

02

/17

03

/17

04

/17

05

/17

06

/17

07

/17

EU

Rb

n

Other

ES

AT

NL

FR

GE

SNAT

Avg. mod. duration by country (vol. weighted) Rating distribution (vol. weighted)

0

1

2

3

4

5

6

7

8

GE

SN

AT

FR

SP

NE

AS

CA IT FI

PO

43,8%

12,7%

27,7%

7,9%

0,4%3,5%

1,0%

0,4%0,2%

0,9%

2,8%

AAA/Aaa

AA+/Aa1

AA/Aa2

AA-/Aa3

A+/A1

A/A2

A-/A3

BBB+/Baa1

BBB/Baa2

BBB-/Baa3

BB+/Ba1

BB/Ba2

BB-/Ba3

B+/B1

B/B2

B-/B3

NR




Page 22 of 29

SSA Charts & Graphs

Spread development (last 15 issues) N

RW

0 3

/4 0

8/1

6/4

1

(fix

ed

)

BE

RG

ER

0 5

/8 0

8/2

5/3

6

(fix

ed

)

RH

IPA

L 0

.1 0

8/1

8/2

6

(fix

ed

)

HE

SS

EN

0 3

/4 0

8/0

4/3

6

(fix

ed

)

NIE

SA

0 0

8/0

2/2

4 (

fixed)

AG

FR

NC

0 1

/4 0

7/2

1/2

6

(fix

ed)

ES

M 0

7/8

07/1

8/4

2 (

fixed)

BA

DW

UR

0 0

7/1

9/1

8

(flo

atin

g)

RH

IPA

L 0

07/1

6/1

8 (

fixed)

BN

G 0

.05 0

7/1

3/2

4 (

fixed)

HE

SS

EN

0 3

/8 0

7/0

6/2

6

(fix

ed

)

IDF

0 1

/2 0

6/1

4/2

5 (

fixed)

NIB

0 1

/8 0

6/1

0/2

4 (fi

xed)

CO

E 0

3/8

06/0

8/2

6 (

fixed)

ER

STA

A 0

06/0

7/1

9

(fix

ed

)

-25

-20

-15

-10

-5

0

5

10

15

20

bp

Reoffer Spread / DM Current ASW / DM

Spread development by country Performance (total return)

-25 -20 -15 -10 -5 0 5

GE

SNAT

FR

SP

NE

AS

bp1W 1M 3M

-5% 0% 5% 10% 15% 20% 25% 30%

Overall

1-3

3-5

5-7

7-10

10+

YTD

2015

2014

2013

2012

2011

Performance (total return) – 2015 Performance (total return) – 2015

-1% 0% 1% 2% 3% 4% 5% 6% 7%

Supras

Agencies

Public Banks

Regions

Bundesländer

Periphery

Non-Periphery

1W

1M

3M

6M

12M

YTD

0% 2% 4% 6% 8% 10%

Overall

AAA

AA

A

BBB

1W

1M

3M

6M

12M

YTD




Page 23 of 29

SSA Charts & Graphs

Germany (by segments) France (by risk weight)

-50

-45

-40

-35

-30

-25

-20

-15

-10

-5

0

0 1 2 3 4 5 6 7 8 9 10

AS

W in

bp

years to maturity

National agencies Bundesländer Regional agencies Bunds

-40

-30

-20

-10

0

10

20

30

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AS

W in

bp

years to maturity

RW: 0% RW: 20% OATs

Netherlands & Austria Supranationals

-50

-40

-30

-20

-10

0

10

20

30

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AS

W in

bp

years to maturity

Dutch agencies DSLs Austria Austrian agencies

-70

-60

-50

-40

-30

-20

-10

0

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AS

W in

bp

years to maturity

Supranationals Supranationals Bunds OATs

Core Periphery

-40

-30

-20

-10

0

10

0 1 2 3 4 5 6 7 8 9 10

AS

W in

bp

years to maturityGerman nat. agencies Bundesländer

German reg. agencies French RW: 0%

French RW: 20% Dutch agencies

Austrian agencies Supras

-50

0

50

100

150

200

250

300

350

400

0 1 2 3 4 5 6 7 8 9 10

AS

W in

bp

years to maturity

Spanish agencies Spanish regions Italian agencies

Portuguese agencies Bonos BTPs

Portugal




Page 24 of 29

Appendix Publication overview

Publication Topics

33/2016 24 August Market overview

Moody’s Quarterly Report Q1/2016

USD funding as an alternative to EUR issues

Planning 2017 – German federal government cuts back primary market

volume

ECB Tracker


Property prices increase significantly once again

Sale of Propertize B.V.

ECB Tracker


vdp publishes §28 data for Q2 2016

Movement in the Bund-Länder spread – Lasting trend or temporary

phenomenon?

ECB Tracker


ECBC publishes covered bond statistics for 2015

Overview of PSPP holdings

ECB Tracker

29/2016 27 July Market overview

Yield levels on the covered bond market

More power to the ESM – what prompted the Bundesbank’s proposal?

ECB Tracker


Italian risk with covered bondsMoody‘s

Downward trend in yields puts ECB under growing pressure

ECB Tracker


RLB Oberösterreich assigned Aaa rating by Moody‘s

Overview of PSPP holdings

ECB Tracker


Fitch plans to change rating methodology

High issuance volume in first six months

Half-year review 2016 for SSAs

ECB Tracker



Page 25 of 29

Appendix Contacts

Fixed Income Research

Michael Schulz Head +49 511 361-5309 [email protected]

Kai Niklas Ebeling Covered Bonds +49 511 361-9713 [email protected]

Mario Gruppe Public Issuers +49 511 361-9787 [email protected]

Michaela Hessmert Banks +49 511 361-6915 [email protected]

Christopher Kief Corporates / Retail Products +49 511 361-4710 [email protected]

Melanie Kiene Banks +49 511 361-4108 [email protected]

Jörg Kuypers Corporates / Retail Products +49 511 361-9552 [email protected]

Matthias Melms Covered Bonds +49 511 361-5427 [email protected]

Sascha Remus Corporates / Retail Products +49 511 361-2722 [email protected]

Norman Rudschuck Public Issuers +49 511 361-6627 [email protected]

Martin Strohmeier Corporates / Retail Products +49 511 361-4712 [email protected]

Kai Witt Corporates / Retail Products +49 511 361-4639 [email protected]

Markets Sales

Carsten Demmler Head +49 511 361-5587 [email protected]

Institutional Sales (+49 511 9818-9440)

Daniel Gutschka (Head) [email protected] Gabriele Schneider [email protected]

Thorsten Bock [email protected] Dirk Scholden [email protected]

Uwe Kollster [email protected] Uwe Tacke [email protected]

Daniel Novotny-Farkas [email protected]

Sales Savings Banks / Regional Banks (+49 511 9818-9400)

Christian Schneider (Head) [email protected] Martin Koch [email protected]

Oliver Bickel [email protected] Bernd Lehmann [email protected]

Tobias Bohr [email protected] Jörn Meißner [email protected]

Kai-Ulrich Dörries [email protected] Lutz Schimanski [email protected]

Jan Dröge [email protected] Ralf Schirrling [email protected]

Sascha Goetz [email protected] Brian Zander [email protected]

Stefan Krilcic [email protected]

Sales Asia (+65 64 203136)

Jefferson Ko [email protected] Muhammad Peter Shepherd

[email protected]

Fixed Income / Structured Products Sales Europe (+352 452211-515)

René Rindert (Head) [email protected] Patricia Lamas [email protected]

Morgan Kermel [email protected] Laurence Payet [email protected]

Corporate Sales

Schiffe / Flugzeuge +49 511 9818-8150 Firmenkunden +49 511 9818-4003

Immobilien / Strukturierte Finanzierung

+49 511 9818-8150 FX/MM +49 511 9818-4006

Syndicate / DCM (+49 511 9818-6600)

Thomas Cohrs (Head) [email protected] Wlada Pesotska [email protected]

Axel Hinzmann [email protected] Andreas Raimchen [email protected]

Thomas Höfermann [email protected] Udo A. Schacht [email protected]

Alexander Malitsky [email protected] Marco da Silva [email protected]

Julien Marchand [email protected]

Financial Markets Trading

Corporates +49 511 9818-9690 Collat. Mgmt / Repos +49 511 9818-9200

Covereds / SSAs +49 511 9818-8040 Cust. Exec. & Trading +49 511 9818-9480

Financials +49 511 9818-9490 Frequent Issuers +49 511 9818-9640

Governments +49 511 9818-9660 Structured Products +49 511 9818-9670

Länder & Regionen +49 511 9818-9550

mailto:[email protected]








Page 26 of 29

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the price of the financial instruments described in this Investment Recommendation.



Page 27 of 29

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http://www.dsgv.de/sicherungssystem



Page 28 of 29

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The value of your investments may fluctuate. Results achieved in the past do not offer any guarantee for the future (De waarde van uw

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The information contained in this Investment Recommendation is provided on a non-reliance basis and its author does not accept any

responsibility for its content in terms of correctness, accuracy or otherwise.



Page 29 of 29

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They are obliged to notify the Compliance Unit of all transactions (including external transactions) undertaken by them for their own

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results of the study are not affected by the knowledge of such conflicts of interest. Further information on these matters is set forth in our

Investment Recommendation or Conflict of Interest Policy which is available from the Compliance Unit of NORD/LB upon request.

Time of going to press

31 August 2016 09:10h (CET)

Disclosure of NORD/LB’s potential conflicts of interest according to § 34b Abs. 1 WpHG and

Article 5 and 6 according to the Commission Delegated Regulation (EU) 2016/958 of 9 March 2016

None.

Additional disclosures

Sources and price indications

Depending on the issuer, we use information from financial data suppliers, our own estimates, company data and the public media for the

preparation of our Investment Recommendations. Unless otherwise stated in the report, prices indicated relate to the closing price on the

previous day. Fees and commissions apply to securities (buy, sell, hold) and these may reduce the yield on investments.

Analytical methods and updates

In the preparation of Investment Recommendations, we take company-specific methods used for fundamental securities’ analysis and

quantitative/statistical methods, as well as technical analytical methods as the basis for valuations and for the regular updates. All as-

sumptions and analytical derivations related to our recommendation may be extracted from the underlying research analysis. It should be

noted that the results of analyses provide a snapshot overview and that past developments do not constitute a reliable indicator for future

profits. The basis of the valuations is subject to unforeseen change at any time, potentially leading to different conclusions. The present

report is prepared on a weekly basis. Recipients are not automatically entitled to receive report update publications. Detailed information

with respect to our rating methodology is available at the webpage www.nordlb-pib.de/Bewertungsverfahren.

Recommendation system Share of recommendation (12 months)

Positive: Positive expectations for the issuer, a security type or a specif-

ic security of an issuer.

Neutral: Neutral expectations for the issuer, a security type or a specif-

ic security of an issuer.

Negative: Negative expectations for the issuer, a security type or a

specific security of an issuer.

Relative value (RV): Relative value recommendation in comparison to

a market segment, an issuer or a maturity.

Positive: 47%

Neutral: 46%

Negative: 7%

Recommendation history (12 months)

An overview of all our bond recommendations during the last 12 months is available at the webpage www.nordlb-pib.de/empfehlungsuebersicht_renten. Corresponding password: "renten/Liste3".

Issuer / security Date Recommendation Bond type Cause

Distribution: 31.08.2016 15:25

https://www.nordlb-pib.de/Bewertungsverfahren

https://www.nordlb-pib.de/empfehlungsuebersicht_renten

https://www.nordlb-pib.de/empfehlungsuebersicht_renten

Documents

20 2 20 FR - NORD/LB - NORD/LB...2016/08/31 · Find us on Bloomberg: NRDR Issue volume – Covereds Issue volume – SSA 0 5 10 15 25 30 5 5 5 5 6 6 6 6 6 6 6 6 n AU BE