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Fixed Income Research

Covered Bond Special 21 September 2016

Repayment structures on the covered bond market

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NORD/LB Fixed Income Research

Page 2 of 40

Contents Page

Repayment structures on the covered bond market 3

vdp proposes an amendment to the German Pfandbrief Act (PfandBG) 6

Distribution of repayment structures 9

Classification of covered bonds presented in the iBoxx EUR Covered 15

Contacts 37



Page 3 of 40

Overview Repayment structures on the covered bond market

Analyst:

Kai Ebeling, CIIA

Issuers have various

options to choose from

The different options for structuring repayment of a covered bond have preoc-

cupied issuers as well as investors for some time. While hard bullet structures

were usually used in the past, soft bullet structures are becoming increasingly

important. Since the issue of NIBCAP 1 3/4 10/08/18 by the Dutch bank NIBC

in 2013, conditional pass-through structures (CPT structures) have also occa-

sionally appeared on the market among mortgage-backed covered bond pro-

grammes. In this special report, we would like to show how the respective

structures differ from each other and how widespread the individual repayment

models are in the individual covered bond markets with the aim of providing an

overview of the predominant structures of the issuers represented in the iBoxx

EUR Covered.

Scenario I – repayment without a trigger event occurring

Source: NORD/LB Fixed Income Research

How hard bullet structures

work

Until a few years ago, it was common market practice to use hard bullet struc-

tures for arranging the repayment terms of a covered bond or, more precisely,

the potential extension option of a bond on the occurrence of trigger events

(for example, if the issuer were to have difficulty meeting its payments). In the

event that the respective covered bond issuer is not able to meet all outstand-

ing payment obligations, this means investors have a “claim” to the cover pool

of the respective covered bond programme through the dual recourse mecha-

nism via the trustee or administrator, irrespective of the chosen repayment

structure. If the bond falls due for repayment and available funds are insuffi-

cient to meet these obligations with no other options available for generating

liquidity, the collateral in the pool will be sold off if a hard bullet structure is in

place. As a result, investors can expect prompt repayment, but this is coupled

with the risk that any potential market turbulence may decrease the market

value of the underlying assets, which could in extreme circumstances mean

that the sale proceeds do not cover the full repayment amount.



Page 4 of 40

Characteristics of soft

bullet structure

To counter this risk, issuers are increasingly using soft bullet and, less

commonly, CPT structures. Provided that repayment is completed as planned,

there is no difference for investors. As yet, there is not one standard trigger

event on the market that activates the extension option, with various

possibilities for a postponement of the originally planned repayment date

under a soft bullet structure. Examples of models within the soft bullet struc-

ture include (i) insolvency of an issuer with repayment deferred to a later date

by an independent trustee or (ii) the issuer changing the original repayment

date. With regard to the possible extension period, the soft bullet structure

provides for an extension option of 12 months (except for VakifBank; 18

month). The exception to this rule are Spanish multi-cédulas, where the period

amounts to two to three years. They are not taken into account in the following

assessment. There is also no consistency with regard to interest payment

during the extension option, with the majority of outstanding soft bullet struc-

tures switching to a variable rate of interest on commencement of the exten-

sion period, which is generally based on the 1 month Euribor rate plus premi-

um or discount.

Scenario II – repayment after occurrence of a trigger event

Source: NORD/LB Fixed Income Research

Conditional pass-through The original repayment date can be deferred for a significantly longer period of

time for covered bonds that have been placed with a CPT structure. At the

same time, this reduces the refinancing risk to a minimum. In contrast to the

soft bullet structure, when the CPT structure is triggered (as is the case for

soft bullet structures, there is no consistent trigger event), outstanding covered

bonds are repaid on the basis of the inflows that are generated by the

respective cover assets and through the sale of cover assets, provided that

these can attract adequate prices on the market. In contrast to the soft bullet

structure, it is therefore difficult to predict when exactly investors can expect

repayment of outstanding amounts, with the worst case scenario being on

maturity of the cover assets that have the longest term.



Page 5 of 40

Liquidity buffers aim to

reduce the market value

risk under a hard bullet

structure

It has become apparent that the refinancing risk (in the event of prior issuer

insolvency) can be significantly reduced by applying a soft bullet or CPT

structure rather than a hard bullet structure, but that investment in a covered

bond of this kind first necessitates careful scrutiny of the corresponding bond

conditions as there is no consistent market standard with regard to trigger

events or interest payments in any potential subsequent extension periods. In

relation to the refinancing risk associated with hard bullet structures following

issuer insolvency, it should also be noted that the respective issuer is (in part)

legally obligated to reduce this risk by maintaining a liquidity buffer. For exam-

ple, issuers of German Pfandbriefe must cover all maturities for the next 180

days.

Rating agencies take

positive view of switch to

soft bullet or CPT

From the issuers’ perspective, the trend of converting from hard bullet to soft

bullet or CPT structures is therefore also associated with lower liquidity

provision and consequently represents a cost saving. In addition, the rating

agencies take a positive view of soft bullet structures and, to an even greater

degree, CPT structures in their rating assessments on account of the reduced

refinancing risk. For issuers, the switch to a soft bullet structure initially only

entails positive effects. In the following, we will explore the extent to which

investors expect to be compensated for this conversion through higher

spreads or returns.



Page 6 of 40

Excursus vdp proposes an amendment to the German Pfandbrief Act (PfandBG)

Analyst:

Kai Ebeling, CIIA

Implementation of the

option of extending

maturity

The Association of German Pfandbrief Banks (vdp) announced in its quarterly

newsletter for Q2 2016 that it had proposed the implementation of the option

of postponing maturity in the German Pfandbrief Act (PfandBG) to the Federal

Ministry of Finance at the end of last October. Through the proposed

amendment, the vdp aims to prevent insolvency proceedings also being

initiated against the associated cover pool (Pfandbrief bank with limited

liability) in accordance with Section 30 (6) Clause 2 of the PfandBG following

the insolvency of the respective Pfandbrief bank.

The trustee’s options for

action

On the basis of the current version, the PfandBG offers the trustee, who is to

be appointed in addition to the insolvency administrator following initiation of

insolvency proceedings, various options for servicing the outstanding

Pfandbrief issues on time. Among others, these include use of the 180-day

liquidity buffer, the raising of covered loans with other financial institutions or

the central bank, the issue of short-dated Pfandbriefe and the sale of

individual assets or entire portfolios up to the transfer of the entire cover pool

to another Pfandbrief bank. In the opinion of the vdp, the success of the

respective measure not only depends on the available cover assets and the

respective Pfandbriefe but, in particular, on the current market situation and

the state of the interbank market. If the latter is extremely fraught because of a

negative event – such as the insolvency of the U.S. investment bank Lehman

Brothers in 2008 – as a result of which neither refinancing via Pfandbriefe nor

the sale of individual assets is an option, the vdp believes it makes sense to

grant the trustee the option of extending the maturity of maturing Pfandbrief

issues by a maximum of 12 months instead of initiating secondary insolvency

proceedings against the Pfandbrief bank with limited liability, since the market

situation could have stabilised once more in this period. However, this

extension in the term would only be considered, if the trustee is convinced at

the time maturity is deferred that the liabilities can be serviced in full at the

extended repayment date.

Differentiation from existing

soft bullet structures

In comparison with the now more widespread soft bullet structures, a

distinction must be made in the vdp’s proposals. The current existing soft

bullet structures are solely contractual agreements whereby the maturity will

usually be extended by a trigger event and is not a possible option for the

trustee. In contrast, the only statutory options for extending maturities are

currently to be found in the Polish Covered Bond Act. The vdp also believes

that the motivation is different. While the introduction of soft bullet structures

were driven more by rating or regulatory considerations (rating agencies’

requirements regarding overcollateralisation/liquidity buffer vs limiting asset

encumbrance) in the past, the vdp’s aim is to avoid separate insolvency

proceedings against the cover pool because of a lack of short-term liquidity

caused by an extreme market situation.



Page 7 of 40

Scope of the proposed

amendment

With regard to the scope of the proposed amendment, the vdp believes that

the trustee should be given the option to extend the maturity of all issues,

meaning both Pfandbriefe issued in future and those currently in circulation.

There are primarily two reasons for this: first, this is the only way in which the

additional option of extending maturity could be fully effective, since otherwise

a certain proportion of existing maturities would have to be serviced

immediately, second, this would also avoid any fragmentation of the

Pfandbrief market. According to a legal opinion obtained by the vdp, this ap-

proach would be constitutional.

Additional features of the

proposed amendment

Apart from the details already cited, additional parameters must be observed.

Maturities may be extended by a maximum period of up to 12 months, i.e. if

the market were to return to normality early, premature repayment should also

be possible to avoid the liquidity created having to be invested at a low or

negative interest rate until the extension period expires. To prevent a default

under the rating agencies’ rating approaches, the extension in maturity only

relates to the outstanding amount excluding interest payments. The vdp

suggests a variable interest rate for the extension period. To maintain con-

sistency and to avoid individual contractual arrangements, the vdp argues in

favour of enshrining a generally applicable wording in the PfandBG, which

could refer, for example, to a reference interest rate accepted in the credit

sector for the payment period of one month, increased by 50bp.

Comments from the rating

agencies

Moody’s, Fitch and S&P have published assessments of the

present proposed amendment by the vdp. Accordingly, the three rating

agencies view the implementation of the option to extend maturities as a

further enhancement of the PfandBG, although the proposed amendment is

unlikely to have any direct impact on the agencies’ rating assessment. In its

Sector Comment, Moody’s highlights the reduction in the likelihood of a

liquidity gap occurring following the transfer of outstanding payments from the

issuer to the cover pool. However, the proposed amendment would have no

direct impact on the rating of German Pfandbriefe, as Moody’s already views

the PfandBG very highly. Fitch also shares this assessment, although the

agency will not change its assumptions for discontinuity risk either, as

Pfandbriefe already enjoy the highest rating in this regard (for non-CPT

programmes). However, Fitch is of the view that the vdp’s proposal could lead

to a lower breakeven overcollateralisation level, from which mainly

programmes with more significant maturity mismatches would benefit. Under

the planned revised rating methodology, German mortgage Pfandbriefe would

be rated with a payment continuity uplift of up to four notches and public

sector Pfandbriefe of up to five notches. Finally, S&P also assumes that the

proposed amendment of the PfandBG would not amend their rating

assessment for Pfandbriefe.



Page 8 of 40

Conclusion According to our assessment, the implementation of the option for extending

the maturity of outstanding Pfandbrief issues by the trustee for a maximum of

up to 12 months would also be a further positive development for the

PfandBG. We consider it a particularly noteworthy fact that the proposal is

only an additional possible option for action by the trustee, which would only

be considered if the market was severely disrupted and the trustee can

assume with a high degree of probability that the market will stabilise once

more within the extension period. For creditors of outstanding Pfandbrief

issues, this has the advantage that a forced liquidation of the cover pool will in

all probability be avoided. If the proposal should be implemented, we believe

that the vdp recommendation that all Pfandbrief issues, including the

Pfandbriefe in circulation, should be covered by the – revised – legal basis.

One of the reasons why investors value German Pfandbriefe is that the market

is highly transparent, meaning in this case that the contractual structure of the

programmes can be compared relatively easily. In contrast to other

jurisdictions in which there are not only different repayment structures, both

hard and soft bullet structures and, in some cases, CPT structures, even these

are not uniformly regulated so – as mentioned previously – the individual soft

bullet structures therefore have to be compared both with

respect to the defined trigger events and the interest structure for the potential

extension period, for example.



Page 9 of 40

Market analysis Distribution of repayment structures

Analyst:

Kai Ebeling, CIIA

Hard bullets remain the

most prevalent …

This analysis of repayment structures on the covered bond market is based on

the benchmarks that are included in the iBoxx EUR Covered. In terms of

repayment structure, it is evident that the majority of outstanding bonds still

feature a hard bullet structure (405 bonds; EUR 398.3bn). However, at 298

covered bonds, a considerable number have a soft bullet structure

(EUR 312.3bn). Bonds with a CPT structure continue to represent a stark

minority (14 issues; EUR 11.0bn).

Repayment structures in the iBoxx EUR Covered Repayment structures by jurisdiction

55.2%

43.3%

1.5%

Hard Bullet Soft Bullet CPT

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

FR AT AU BE CA CH DE DK ES FI GB IE IT LU NL NO NZ PT SE SG TR

Hard Bullet Soft Bullet CPT

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

… but the number of

jurisdictions with soft bullet

exceeds those with hard

bullet structures

A breakdown of covered bonds according to jurisdiction reveals two points:

hard bullet structures are only still used in 12 countries, with 17 of the 21

jurisdictions now having soft bullet structures. To date, CPT structures have

only been implemented by issuers in Italy and the Netherlands. Alongside

Germany, jurisdictions that exclusively issue covered bonds with hard bullet

structures include Austria, Spain (with the exception of multi-cédulas, which

feature soft bullet structures) and Luxembourg (NORD/LB Luxembourg

Covered Bond Bank). Conversely, Belgium, Canada, Ireland, Norway,

Portugal, Singapore and Turkey only apply soft bullet structures (in both

Singapore and Turkey, only one issuer is active with benchmarks). More than

one kind of repayment model is used in ten jurisdictions (FR, AU, CH, DK, FI,

UK, IT, NL, NZ and SE).

Repayment structures in

France

For these jurisdictions, we have allocated the individual issuers’ bonds to the

various extension options to show which uses a corresponding repayment

structure. In France, 14 of the total of 20 issuers can be clearly allocated into

soft or hard bullet structures. BNP Paribas Home Loan SFH, BPCE SFH,

Credit Mutuel – CIC Home Loan SFH, HSBC SFH, La Banque Postal Home

Loan SHF as well as Société Génèrale SFH have covered bonds with both

soft and hard bullet structures outstanding. CFF is also able

to issue covered bonds with a soft bullet structure in future.



Page 10 of 40

Repayment structures of French issuers

Hard Bullet Soft Bullet

ARKEA HL x ARKEA PUBLIC x AXA BANK EUROPE x BANQUE POPUL CB x BNP PARIBAS HOME x x BNP PARIBAS SCF x BPCE SFH x x CAISSE FR DE FIN x CIE FIN FONCIER x CIF EUROMORTGAGE x CRED AG COV BOND x CRED MUT ARK HL x CRED MUTUEL- CIC x x CREDIT AG HOME L x CREDIT AGRICOLE x CSSE REFIN L'HAB x HSBC SFH x x LA BANQUE POST H x x SOC GENERALE SCF x SOCIETE GENERALE x x

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


Australia

In Australia, the five benchmark issuers use soft bullet structures (almost)

exclusively for their covered bond issues. Only the Australia and New Zealand

Banking Group has an outstanding issue with a hard bullet structure dating

from 2012 (ANZ: XS0731129234). NAB got its investors approval for the con-

version of the hard bullet structure to a soft bullet (NAB 1 ⅞ 01/13/23) this

month.

Repayment structures of Australian issuers


AUST & NZ BANK x COM BK AUSTRALIA x MACQUARIE BK LTD x NATL AUSTRALIABK x x WESTPAC BANKING x



Switzerland

In Switzerland, Credit Suisse and UBS issue benchmarks. In 2014, Credit

Suisse was the first covered bond issuer to transfer its outstanding covered

bonds with a hard bullet structure to a soft bullet structure with the consent of

investors, meaning that the bank only uses this extension option for its issues.

In the case of UBS, so far only UBS 1 3/8 04/16/21 has a soft bullet structure.

Repayment structures of Swiss issuers


CREDIT SUIS GUER x UBS AG LONDON x x




Page 11 of 40


Denmark

Since March this year, two issuers from Denmark have been represented in

the iBoxx EUR Covered. While the newly added BRFkredit uses hard bullet

structures for its two benchmark issues, the covered bonds of Danske Bank

have a soft bullet structure.

Repayment structures of Danish issuers


BRFKREDIT A/S x DANSKE BANK A/S x



Finland

In Finland too, it is relatively easy to distinguish between the repayment

structures used at issuer level. With the exception of Nordea Bank Finland, all

other benchmark issuers use soft bullet structures for their issues.

Repayment structures of Finnish issuers


AKTIA BANK PLC x DANSKE BANK OYJ x NORDEA BANK FIN x OP MORTGAGE BANK x SAMPO BANK PLC x



the UK

In the UK, investors find that virtually all covered bonds have a soft bullet

structure. There are only two bonds with a hard bullet structure still outstand-

ing, both of which were issued by the Bank of Scotland (XS0193640629;

XS0212074388).

Repayment structures of UK issuers


BANK OF SCOTLAND x x BARCLAYS BK PLC x COVENTRY BDG SOC x LEEDS BLDG SOC x LLOYDS BANK PLC x NATIONWIDE BLDG x ROYAL BK SCOTLND x SANTANDER UK PLC x YORKSHRE BLD SOC x



Italy

Italy is one of two jurisdictions in which covered bonds are also issued with a

CPT structure. However, to date, these have only been issued by Monte dei

Paschi di Siena (exclusively) and by UniCredit, which uses CPT structures in a

separate programme. Currently only one ISIN with a CPT structure issued by

UniCredit Bank is represented in the iBoxx (IT0005090813). However, the

issuer placed another benchmark (IT0005212987) at the end of August, which

will also be included in the iBoxx in future and has a CPT structure.



Page 12 of 40

Repayment structures of Italian issuers

CPT Soft Bullet

BANCA POP EMILIA x BANCA POP MILANO x BANCA POP SONDRI x BANCO POPOLARE x CASS RISP PARMA x CREDITO EMILIANO x INTESA SANPAOLO x MEDIOBANCA SPA x MONTE DEI PASCHI x UNICREDIT SPA x x UNIONE DI BANCHE x



the Netherlands

In addition to Italy, some Dutch issuers also use CPT structures for their

covered bond programmes. Following the introduction of this repayment

structure by NIBC Bank in 2014, F van Lanschot Bankiers and Aegon Bank

floated their inaugural issues a year later. However, soft bullet structures are

used by ABN Amro, ING Bank and SNS Bank.

Repayment structures of Dutch issuers

CPT Soft Bullet

ABN AMRO BANK NV x AEGON BANK x F VAN LANSCHOT x ING BANK NV x NIBC BANK NV x SNS BANK x



New Zealand

In New Zealand, the benchmark issuers represented almost exclusively use

soft bullet structures. Only the Bank of New Zealand’s BZLNZ 3 1/8 11/23/17

still has a hard bullet structure.

Repayment structures of New Zealand issuers


ANZ NZ INTL/LDN x ASB FINANCE LTD x BNZ INTL FUND/LN x x WESTPAC SEC NZ x



Sweden

The overwhelming majority of Swedish issuers’ outstanding bonds were

placed with a hard bullet structure. However, covered bonds with a 12-month

extension option are also to be found in this jurisdiction. These include all the

issues by the Swedish Covered Bond Corporation represented in the iBoxx

EUR Covered and two by Stadshypothek (XS1368543135, XS1435031270).



Page 13 of 40

Repayment structures of Swedish issuers


LANSFORSAKRINGAR x SKANDINAV ENSKIL x STADSHYPOTEK AB x x SWEDBANK HYPOTEK x SWEDISH COVERED x

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

Comparison – spreads of

hard and soft bullet bonds

The extent to which investors take into account the option to potentially

extend the term in their investment decision can be inferred by comparing the

spreads of covered bonds with hard bullet to those with soft bullet as well as

soft bullet against CPT. The benchmarks of Société Génèrale SFH in the

iBoxx EUR Covered lend themselves to a spread comparison of hard and soft

bullet bonds. The graph below shows that there is no significant difference in

spreads between the issuer’s different repayment structures, which means

that investors are seemingly not demanding a premium for a soft bullet

structure.

Spread comparison hard vs soft bullet structures Spread comparison soft bullet vs CPT structures

-18

-17

-16

-15

-14

-13

-12

0 2 4 6 8 10

AS

W i

n b

p

maturity

SOCSFH_Hard Bullet SOCSFH_Soft Bullet SOCSFH_Hard Bullet

-10

-5

0

5

10

15

20

25

30

0 2 4 6 8 10

AS

W i

n b

p

maturity

UCGIM_Soft Bullet UCGIM_CPT UCGIM

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

Comparison – spreads of

soft bullet and CPT bonds

For the comparison of soft bullet and CPT structures, the benchmarks of the

Italian UniCredit bank will be contrasted. The graph above indicates that in-

vestors are also not demanding any notable premium for the option to extend

maturities by more than 30 years. However, as CPT bonds are at the long

end of the curve, they are not comparable with any of the UniCredit’s bonds

with soft bullet structures. This means that it is also impossible to make a val-

id judgement as to the extent to which investors demand a premium for cov-

ered bonds with a CPT structure.



Page 14 of 40

Conclusion In conclusion, it is clear that extendible repayment structures are continuing to

gain ground. Although hard bullet structures currently still account for a great-

er number and larger volume on the covered bond market, the number of ju-

risdictions that use soft bullet structures now exceeds that for hard bullet

structures. For the market as a whole, CPT structures are still a rarity, alt-

hough half of all benchmark issuers in the Netherlands already use CPT

structures. While for issuers the conversion to an extendible repayment struc-

ture can both improve the rating and reduce costs on account of lower liquidi-

ty provision, the increasing heterogeneity means that potential investors will

have to more carefully assess the bond conditions in each case. Although no

significant spread premiums were apparent in a comparison of hard bullet and

soft bullet structures, the low number of CPT structures means it is not possi-

ble to draw any reliable conclusions.



Page 15 of 40

Classification of covered bonds presented in the iBoxx EUR Covered Analysts: Matthias Melms / Kai Ebeling

Australia ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

AUST & NZ BANK XS0731129234 Mortgages Hard Bullet - -

AUST & NZ BANK XS0928456218 Mortgages Soft Bullet 12M 1M-Euribor + 17 bp




COM BK AUSTRALIA XS0775914277 Mortgages Soft Bullet 12M 1M-Euribor + 89 bp






MACQUARIE BK LTD XS1371532547 Mortgages Soft Bullet 12M 1M-Euribor + 40 bp

NATL AUSTRALIABK XS0864360358 Mortgages Soft Bullet 12M n/a

NATL AUSTRALIABK XS0940332504 Mortgages Soft Bullet 12M 1M-Euribor + 52 bp

NATL AUSTRALIABK XS1072516427 Mortgages Soft Bullet 12M 1M-Euribor + 53,5 bp

NATL AUSTRALIABK XS1191309720 Mortgages Soft Bullet 12M 1M-Euribor + 29 bp

NATL AUSTRALIABK XS1321466911 Mortgages Soft Bullet 12M 1 M-Euribor + 52 bp

WESTPAC BANKING XS0801654558 Mortgages Soft Bullet 12M n/a

WESTPAC BANKING XS0918557124 Mortgages Soft Bullet 12M 1M-Euribor + 44 bp

WESTPAC BANKING XS1047122665 Mortgages Soft Bullet 12M 1M-Euribor + 54,5 bp



Austria ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

BAWAG PSK XS0830444039 Mortgages Hard Bullet - -



ERSTE GROUP XS0580561545 Mortgages Hard Bullet - -

ERSTE GROUP XS0673643093 Public Loans Hard Bullet - -





HYPO NOE GRUPPE XS0780267406 Public Loans Hard Bullet - -





Page 16 of 40

Austria ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

HYPO NOE GRUPPE XS1112184715 Mortgages Hard Bullet - -

HYPO TIROL BANK AT0000A1JY21 Mortgages Hard Bullet - -

KA FINANZ XS0973424152 Public Loans Hard Bullet - -

KA FINANZ XS1033673440 Public Loans Hard Bullet - -

RAIFF LB NIEDER XS0827597351 Mortgages Hard Bullet - -




RAIFF LB STEIER XS0942965525 Mortgages Hard Bullet - -

RAIFF LB STEIER AT000B092622 Mortgages Hard Bullet - -

UNICREDIT BK AUS AT000B048988 Public Loans Hard Bullet - -


UNICREDIT BK AUS AT000B049390 Mortgages Hard Bullet - -








VORARL LAND HYPO XS0920712600 Mortgages Hard Bullet - -

VORARL LAND HYPO XS1188081936 Mortgages Hard Bullet - -

Belgium ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

BELFIUS BANK SA BE0002419910 Mortgages Soft Bullet 12M 1.25% p.a.(payable monthly)





BELFIUS BANK SA BE0002477520 Public Loans Soft Bullet 12M 0.625% p.a.(payable monthly)

BELFIUS BANK SA BE0002480557 Public Loans Soft Bullet 12M 0.375% p.a.(payable monthly)


BELFIUS BANK SA BE0002499748 Mortgages Soft Bullet 12M 0.25% p.a. (payable monthly)

ING BELGIUM SA BE0002456318 Mortgages Soft Bullet 12M 1M-Euribor + 10 bp

ING BELGIUM SA BE0002491661 Mortgages Soft Bullet 12M 1M-Euribor + 7 bp

KBC BANK NV BE6246364499 Mortgages Soft Bullet 12M 1M-Euribor + 30 bp




Page 17 of 40

Belgium ISIN Cover assets Maturity structure Extendible period Interests during

extendible period




KBC BANK NV BE0002489640 Mortgages Soft Bullet 12M 1M-Euribor - 8 bp

KBC BANK NV BE0002498732 Mortgages Soft Bullet 12M 37,5 bp fixed rate

Canada ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

BANK OF MONTREAL XS1064774778 Mortgages Soft Bullet 12M 1M-Euribor + 36 bp






BANK NOVA SCOTIA XS1051305974 Mortgages Soft Bullet 12M 1M-Euribor + 38 bp


BANK NOVA SCOTIA XS1132503308 Mortgages Soft Bullet 12M 1M-Euribor - 4 bp


BANK NOVA SCOTIA XS1346816322 Mortgages Soft Bullet 12M 1M-Euribor + 35,6 bp

BANK NOVA SCOTIA XS1377941106 Mortgages Soft Bullet 12M 1-M Euribor + 55bp

CAISSE CENT DESJ XS1041750404 Mortgages Soft Bullet 12M 1M-Euribor + 45 bp



CAN IMPERIAL BK XS0958742313 Mortgages Soft Bullet 12M 1M-Euribor + 9 bp



CAN IMPERIAL BK XS1332474912 Mortgages Soft Bullet 12M 1M-Euribor + 29,2 bp

CAN IMPERIAL BK XS1456455572 Mortgages Soft Bullet 12M 1M-Euribor + 34,9 bp

NATL BANK CANADA XS1004892953 Mortgages Soft Bullet 12M 1M-Euribor + 12 bp



ROYAL BK CANADA XS0956580244 Mortgages Soft Bullet 12M 1M-Euribor + 41 bp





ROYAL BK CANADA XS1374751201 Mortgages Soft Bullet 12M 1M-Euribor + 47,25 bp




Page 18 of 40

Canada ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

TORONTO DOM BANK XS1091094448 Mortgages Soft Bullet 12M 1M-Euribor + 7 bp


TORONTO DOM BANK XS1223216497 Mortgages Soft Bullet 12M 1M-Euribor - 2 bp

TORONTO DOM BANK XS1245943755 Mortgages Soft Bullet 12M 1M-Euribor - 1 bp


TORONTO DOM BANK XS1401105587 Mortgages Soft Bullet 12M 1M-Euribor + 43,9 bp

Denmark ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

BRFKREDIT A/S XS1385173734 Mortgages Hard Bullet - -

BRFKREDIT A/S XS1435774903 Mortgages Hard Bullet - -

DANSKE BANK A/S XS0519458755 Mortgages Soft Bullet 12M 1M-Euribor + 100 bp









Finland ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

AKTIA BANK PLC XS0946639381 Mortgages Soft Bullet 12M 3M-Euribor + 15 bp

AKTIA BANK PLC XS1056447797 Mortgages Soft Bullet 12M 3M-Euribor + 8 bp

AKTIA BANK PLC XS1210338015 Mortgages Soft Bullet 12M 3M-Euribor - 4 bp

DANSKE BANK OYJ XS1325648761 Mortgages Soft Bullet 12M 1M-Euribor + 100 bp

NORDEA BANK FIN XS0591428445 Mortgages Hard Bullet - -









OP MORTGAGE BANK XS0646202407 Mortgages Soft Bullet 12M 1M-Euribor + 48 bp





Page 19 of 40

Finland ISIN Cover assets Maturity structure Extendible period Interests during

extendible period





DANSKE BANK OYJ XS0640463062 Mortgages Soft Bullet 12M 1M-Euribor + 100 bp

SAMPO BANK PLC XS0834714254 Mortgages Soft Bullet 12M 1M-Euribor + 100 bp

France ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

AXA BANK EUROPE FR0010957670 Mortgages Soft Bullet 12M 3M-Euribor + 83 bp



BNP PARIBAS SCF FR0010859967 Public Loans Hard Bullet - -

CSSE REFIN L'HAB FR0010345181 Mortgages Hard Bullet - -















CAISSE FR DE FIN FR0010945964 Public Loans Hard Bullet - -












Page 20 of 40


extendible period












CIF EUROMORTGAGE FR0010910620 Mortgages Hard Bullet - -



CIE FIN FONCIER FR0000474652 Mortgages Hard Bullet - -
























Page 21 of 40


extendible period




CREDIT AGRICOLE FR0011321892 Public Loans Hard Bullet - -

CREDIT AGRICOLE FR0011508332 Public Loans Hard Bullet - -

ARKEA PUBLIC FR0011124635 Public Loans Hard Bullet - -

SOC GENERALE SCF FR0010742908 Public Loans Hard Bullet - -




BNP PARIBAS HOME FR0010988873 Mortgages Hard Bullet - -






BNP PARIBAS HOME FR0012716371 Mortgages Soft Bullet 12M 0.375% p.a.

BNP PARIBAS HOME FR0013106622 Mortgages Soft Bullet 12M 0.25% p.a.


BPCE SFH FR0011109321 Mortgages Hard Bullet - -












BPCE SFH FR0012870061 Mortgages Soft Bullet 12M 1M-Euribor - 8 bp

BPCE SFH FR0013111903 Mortgages Soft Bullet 12M 1M-Euribor + 17 bp

CRED AG COV BOND FR0010920900 Mortgages Soft Bullet 12M 1M-Euribor + 77 bp

CRED AG COV BOND FR0010989087 Mortgages Soft Bullet 12M 1M-Euribor + 73 bp

CREDIT AG HOME L FR0011060367 Mortgages Soft Bullet 12M 1M-Euribor + 53 bp



Page 22 of 40


extendible period



CREDIT AG HOME L FR0012332450 Mortgages Soft Bullet 12M 1M-Euribor - 2 bp

CREDIT AG HOME L FR0012936656 Mortgages Soft Bullet 12M 1M-Euribor - 8 bp





CRED MUTUEL- CIC FR0010939207 Mortgages Hard Bullet - -










CRED MUTUEL- CIC FR0013113453 Mortgages Soft Bullet 12M 0.375% p.a.

CRED MUT ARK HL FR0011033125 Mortgages Hard Bullet - -

CRED MUT ARK HL FR0011530492 Mortgages Hard Bullet - -

ARKEA HL FR0012970713 Mortgages Soft Bullet 12M 1M-Euribor + 1 bp

HSBC SFH FR0011470764 Mortgages Hard Bullet - -

HSBC SFH FR0011600923 Mortgages Hard Bullet - -

HSBC SFH FR0012602522 Mortgages Soft Bullet 12M 1M-Euribor - 7 bp

LA BANQUE POST H FR0011565738 Mortgages Hard Bullet - -

LA BANQUE POST H FR0011688464 Mortgages Hard Bullet - -

LA BANQUE POST H FR0012686087 Mortgages Soft Bullet 12M 1M-Euribor - 12 bp

LA BANQUE POST H FR0013090578 Mortgages Soft Bullet 12M 1M-Euribor + 5 bp

SOCIETE GENERALE FR0011180017 Mortgages Hard Bullet - -






SOCIETE GENERALE FR0012562999 Mortgages Soft Bullet 12M 1M-Euribor - 10 bp



Page 23 of 40


extendible period

SOCIETE GENERALE FR0012951960 Mortgages Soft Bullet 12M 0.50% p.a.

SOCIETE GENERALE FR0013094869 Mortgages Soft Bullet 12M 0.50% p.a.

BANQUE POPUL CB FR0010999482 Mortgages Hard Bullet - -

Germany ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

AAREAL BANK AG DE000AAR0157 Mortgages Hard Bullet - -




BAYERISCHE LNDBK DE000BLB6JA9 Mortgages Hard Bullet - -

BERLIN HYP AG DE000BHY1299 Mortgages Hard Bullet - -

BERLIN HYP AG DE000BHY0AJ1 Mortgages Hard Bullet - -

BERLIN HYP AG DE000BHY0AR4 Mortgages Hard Bullet - -

BERLIN HYP AG DE000BHY0GP5 Mortgages Hard Bullet - -

BERLIN HYP AG DE000BHY0A64 Mortgages Hard Bullet - -

BERLIN HYP AG DE000BHY0BA8 Mortgages Hard Bullet - -

BERLIN HYP AG DE000BHY0BC4 Mortgages Hard Bullet - -

BERLIN HYP AG DE000BHY0BD2 Mortgages Hard Bullet - -

COMMERZBANK AG DE000EH1ACA0 Mortgages Hard Bullet - -

COMMERZBANK AG DE000EH1A311 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40JW9 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40J26 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40KE5 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40KG0 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40KX5 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40KZ0 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40LG8 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40LM6 Mortgages Hard Bullet - -

COMMERZBANK AG DE000CZ40LQ7 Mortgages Hard Bullet

COMMERZBANK AG DE000EH094Y1 Mortgages Hard Bullet - -

DEUTSCHE APO ARZ XS1319719313 Mortgages Hard Bullet - -

DEUTSCHE APO ARZ XS1376323652 Mortgages Hard Bullet - -

DEUTSCHE BANK AG DE000DB5EVA0 Mortgages Hard Bullet - -

DEUTSCHE BANK AG DE000DB5DCM7 Mortgages Hard Bullet - -

DEUTSCHE BANK AG DE000DB5DCN5 Mortgages Hard Bullet - -

DEUTSCHE BANK AG DE000DB5DCK1 Mortgages Hard Bullet - -

DEUTSCHE BANK AG DE000DL19SH3 Mortgages Hard Bullet - -



Page 24 of 40


extendible period

DEUTSCHE BANK AG DE000DL19S01 Mortgages Hard Bullet - -

DEUT GENOS-HYPBK DE000A1REYW6 Mortgages Hard Bullet - -

DEUT GENOS-HYPBK DE000A11QBA6 Mortgages Hard Bullet - -

DEUT GENOS-HYPBK DE000A12T606 Mortgages Hard Bullet - -

DEUT GENOS-HYPBK DE000A13SWZ1 Mortgages Hard Bullet - -

DEUT GENOS-HYPBK DE000A13SW15 Mortgages Hard Bullet - -

DEUT GENOS-HYPBK DE000A14KKJ5 Mortgages Hard Bullet - -

DEUT GENOS-HYPBK DE000A14KKM9 Mortgages Hard Bullet - -

DEUTSCHE HYP HAN DE000DHY3681 Mortgages Hard Bullet - -








DEUTSCHE KREDIT DE000DKB0291 Mortgages Hard Bullet - -



DT PFANDBRIEFBAN DE000A1MLUW0 Mortgages Hard Bullet - -

DT PFANDBRIEFBAN DE000A1R0527 Mortgages Hard Bullet - -

DT PFANDBRIEFBAN DE000A1X2566 Mortgages Hard Bullet - -

DT PFANDBRIEFBAN DE000A1X3LT7 Mortgages Hard Bullet - -

DT PFANDBRIEFBAN DE000A11QAP6 Mortgages Hard Bullet - -

DT PFANDBRIEFBAN DE000A11QA31 Mortgages Hard Bullet - -

DT PFANDBRIEFBAN DE000A13SV81 Mortgages Hard Bullet - -

DT PFANDBRIEFBAN DE000A13SWC0 Mortgages Hard Bullet - -

DT PFANDBRIEFBAN DE000A13SWE6 Mortgages Hard Bullet - -

DEUTSCHE POSTBNK DE000A1C9558 Mortgages Hard Bullet - -

DEUTSCHE POSTBNK DE000A0WMBH0 Mortgages Hard Bullet - -

HAMBURGER SPARKA DE000A2AAPV8 Mortgages Hard Bullet - -

HSH NORDBANK AG DE000HSH4MH4 Mortgages Hard Bullet - -

HSH NORDBANK AG DE000HSH4S28 Mortgages Hard Bullet - -

HSH NORDBANK AG DE000HSH4UX4 Mortgages Hard Bullet - -

HSH NORDBANK AG DE000HSH40E5 Mortgages Hard Bullet - -

HSH NORDBANK AG DE000HSH5W21 Mortgages Hard Bullet - -



Page 25 of 40


extendible period

HSH NORDBANK AG DE000HSH5Y29 Mortgages Hard Bullet - -

ING-DIBA AG DE000A1KRJD4 Mortgages Hard Bullet - -

LB BADEN-WUERTT DE000LB0M596 Mortgages Hard Bullet - -

LB BADEN-WUERTT DE000LB00MW9 Mortgages Hard Bullet - -

LB BADEN-WUERTT DE000LB01ZE7 Mortgages Hard Bullet - -

LB BADEN-WUERTT DE000LB06FB4 Mortgages Hard Bullet - -

LB BADEN-WUERTT DE000LB06G44 Mortgages Hard Bullet - -

LB BADEN-WUERTT DE000LB09PR3 Mortgages Hard Bullet - -

LANDBK HESSEN-TH XS0851669050 Mortgages Hard Bullet - -





MUNCHEN HYPOBANK DE000MHB06J1 Mortgages Hard Bullet - -









SPK KOELNBONN DE000SK00644 Mortgages Hard Bullet - -

SPK KOELNBONN DE000SK003B9 Mortgages Hard Bullet - -

SPK KOELNBONN DE000SK003C7 Mortgages Hard Bullet - -

UNICREDIT BANK A DE000HV2AGL5 Mortgages Hard Bullet - -

UNICREDIT BANK A DE000HV2AH47 Mortgages Hard Bullet - -

UNICREDIT BANK A DE000HV2AK00 Mortgages Hard Bullet - -

UNICREDIT BANK A DE000HV2AMG3 Mortgages Hard Bullet - -

UNICREDIT BANK DE000HV2AL33 Mortgages Hard Bullet - -

UNICREDIT BANK DE000HV2AMY6 Mortgages Hard Bullet - -

UNICREDIT BANK DE000HV2AMA6 Mortgages Hard Bullet - -

UNICREDIT BANK DE000HV2AMD0 Mortgages Hard Bullet - -

WL BANK DE000A1MLZQ1 Mortgages Hard Bullet - -

WL BANK DE000A1R1CU6 Mortgages Hard Bullet - -

WL BANK DE000A12UGG2 Mortgages Hard Bullet - -



Page 26 of 40


extendible period

WL BANK DE000A13SR38 Mortgages Hard Bullet - -

WL BANK DE000A14J5J4 Mortgages Hard Bullet - -

WL BANK DE000A14KK32 Mortgages Hard Bullet - -

WL BANK DE000A161ZL4 Mortgages Hard Bullet - -

WL BANK DE000A161ZQ3 Mortgages Hard Bullet - -

WL BANK DE000A161ZU5 Mortgages Hard Bullet - -

WL BANK DE000A2AAX45 Mortgages Hard Bullet - -

BAYERISCHE LNDBK DE000BLB6H38 Public Loans Hard Bullet - -





BAYERISCHE LNDBK DE000BLB6JB7 Public Loans Hard Bullet - -

BAYERISCHE LNDBK DE000BLB6C58 Public Loans Hard Bullet - -

BERLIN HYP AG DE000A0N3YJ4 Public Loans Hard Bullet - -

COMMERZBANK AG DE000CZ40JR9 Public Loans Hard Bullet - -

COMMERZBANK AG DE000CZ40KA3 Public Loans Hard Bullet - -

DEUTSCHE KREDIT DE000DKB0176 Public Loans Hard Bullet - -


DEPFA PFANDBRIEF DE0001617561 Public Loans Hard Bullet - -

DT PFANDBRIEFBAN DE000A1R06C5 Public Loans Hard Bullet - -

DT PFANDBRIEFBAN DE000A13SWB2 Public Loans Hard Bullet - -

DT PFANDBRIEFBAN DE000A13SWG1 Public Loans Hard Bullet - -

DT PFANDBRIEFBAN DE000A1A6LM2 Public Loans Hard Bullet - -

DEXIA KOMMUNALBK DE000DXA1NV3 Public Loans Hard Bullet - -

DEXIA KOMMUNALBK DE000DXA1NW1 Public Loans Hard Bullet - -

DEXIA KOMMUNALBK DE000DXA1NX9 Public Loans Hard Bullet - -

DEXIA KOMMUNALBK DE000DXA1LK0 Public Loans Hard Bullet - -

HSH NORDBANK AG DE000HSH5YK0 Public Loans Hard Bullet - -

LB BADEN-WUERTT DE000LB01ZU3 Public Loans Hard Bullet - -

LB BADEN-WUERTT DE000LB06CF2 Public Loans Hard Bullet - -

LB BADEN-WUERTT DE000LB06DE3 Public Loans Hard Bullet - -

LANDBK HESSEN-TH XS0775280166 Public Loans Hard Bullet - -






Page 27 of 40


extendible period

WL BANK DE000A13SR38 Mortgages Hard Bullet - -

WL BANK DE000A14J5J4 Mortgages Hard Bullet - -

WL BANK DE000A14KK32 Mortgages Hard Bullet - -

WL BANK DE000A161ZL4 Mortgages Hard Bullet - -

WL BANK DE000A161ZQ3 Mortgages Hard Bullet - -

WL BANK DE000A161ZU5 Mortgages Hard Bullet - -

WL BANK DE000A2AAX45 Mortgages Hard Bullet - -






BAYERISCHE LNDBK DE000BLB6JB7 Public Loans Hard Bullet - -

BAYERISCHE LNDBK DE000BLB6C58 Public Loans Hard Bullet - -

BERLIN HYP AG DE000A0N3YJ4 Public Loans Hard Bullet - -

COMMERZBANK AG DE000CZ40JR9 Public Loans Hard Bullet - -

COMMERZBANK AG DE000CZ40KA3 Public Loans Hard Bullet - -



DEPFA PFANDBRIEF DE0001617561 Public Loans Hard Bullet - -

DT PFANDBRIEFBAN DE000A1R06C5 Public Loans Hard Bullet - -

DT PFANDBRIEFBAN DE000A13SWB2 Public Loans Hard Bullet - -

DT PFANDBRIEFBAN DE000A13SWG1 Public Loans Hard Bullet - -

DT PFANDBRIEFBAN DE000A1A6LM2 Public Loans Hard Bullet - -

DEXIA KOMMUNALBK DE000DXA1NV3 Public Loans Hard Bullet - -

DEXIA KOMMUNALBK DE000DXA1NW1 Public Loans Hard Bullet - -

DEXIA KOMMUNALBK DE000DXA1NX9 Public Loans Hard Bullet - -

DEXIA KOMMUNALBK DE000DXA1LK0 Public Loans Hard Bullet - -

HSH NORDBANK AG DE000HSH5YK0 Public Loans Hard Bullet - -

LB BADEN-WUERTT DE000LB01ZU3 Public Loans Hard Bullet - -

LB BADEN-WUERTT DE000LB06CF2 Public Loans Hard Bullet - -

LB BADEN-WUERTT DE000LB06DE3 Public Loans Hard Bullet - -







Page 28 of 40


extendible period




MUNCHEN HYPOBANK DE000MHB07J9 Public Loans Hard Bullet - -

MUNCHEN HYPOBANK DE000MHB11J1 Public Loans Hard Bullet - -

NORDDEUTSCHE L/B DE000NLB2DX9 Public Loans Hard Bullet - -

NORDDEUTSCHE L/B XS0808555162 Public Loans Hard Bullet - -

NORDDEUTSCHE L/B XS1191428652 Public Loans Hard Bullet - -

WL BANK DE000A12UGK4 Public Loans Hard Bullet - -

HSH NORDBANK AG DE000HSH4XT6 Mortgages Hard Bullet - -

NORDDEUTSCHE L/B XS1033923142 Mortgages Hard Bullet - -

Ireland ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

AIB MORTGAGE BNK XS0969616779 Mortgages Soft Bullet 12M 1M-Euribor + 180 bp





BK IRELAND MTGE XS0907907140 Mortgages Soft Bullet 12M 1M-Euribor + 190 bp






Italy ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

MONTE DEI PASCHI IT0004689912 Mortgages CPT 38Y 3M-Euribor + 185 bp





BANCA POP MILANO IT0005135725 Mortgages Soft Bullet 12M 1M-Euribor + 25 bp



BANCA POP SONDRI IT0005175242 Mortgages Soft Bullet 12M 1M-Euribor + 52 bp

BANCO POPOLARE IT0005090516 Mortgages Soft Bullet 12M 3M-Euribor + 28 bp

BANCA POP EMILIA IT0004965346 Mortgages Soft Bullet 12M 3M-Euribor + 215 bp



Page 29 of 40


extendible period



CASS RISP PARMA IT0005057002 Mortgages Soft Bullet 12M 1M-Euribor + 25 bp

CASS RISP PARMA IT0005121592 Mortgages Soft Bullet 12M 1M-Euribor + 16 bp

CREDITO EMILIANO IT0004940679 Mortgages Soft Bullet 12M 1M-Euribor + 180 bp



INTESA SANPAOLO IT0004839046 Mortgages Soft Bullet 12M 3M-Euribor + 180 bp









MEDIOBANCA SPA IT0004966716 Mortgages Soft Bullet 12M 3M-Euribor + 150 bp



UNICREDIT SPA IT0004648603 Mortgages Soft Bullet 12M 1M-Euribor + 112 bp









UNICREDIT SPA IT0005090813 Mortgages CPT 38Y 1M-Euribor + 18 bp


UNIONE DI BANCHE IT0004619109 Mortgages Soft Bullet 12M 1M-Euribor + 120 bp









Page 30 of 40


extendible period



Luxembourg ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

NORD/LB CVRD FIN XS1199018398 Public Loans Hard Bullet - -

NORDLB LX COV XS1316421137 Public Loans Hard Bullet - -

NORDLB LX COV XS1432510631 Public Loans Hard Bullet - -

Netherlands ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

ABN AMRO BANK NV XS0519053184 Mortgages Soft Bullet 12M 1M-Euribor + 83 bp











AEGON BANK XS1327151228 Mortgages CPT 32Y 0.25% p.a. (payable monthly)

AEGON BANK XS1418849482 Mortgages CPT 32Y 0.25% p.a. (payable monthly)

F VAN LANSCHOT XS1224002474 Mortgages CPT 32Y 0.275% p.a. (payable monthly)

F VAN LANSCHOT XS1387192435 Mortgages CPT 32Y 0.375% p.a. (payable monthly)

ING BANK NV XS0576072622 Mortgages Soft Bullet 12M 1M-Euribor + 60 bp








NIBC BANK NV XS0977140531 Mortgages CPT 32Y 1.75% p.a.(payable monthly)

NIBC BANK NV XS1054163347 Mortgages CPT 32Y 0,0125 p.a.(payable monthly)

NIBC BANK NV XS1222431097 Mortgages CPT 32Y 0,0025 p.a.(payable monthly)

NIBC BANK NV XS1423753463 Mortgages CPT 32Y 0.625% p.a.

SNS BANK XS0544664989 Mortgages Soft Bullet 12M 1M-Euribor + 85 bp



Page 31 of 40

Netherlands ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

SNS BANK XS0822050125 Mortgages Soft Bullet 12M 1M-Euribor + 115 bp

New Zealand ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

ANZ NZ INTL/LDN XS0830360524 Mortgages Soft Bullet 12M 1M-Euribor + 43 bp



ASB FINANCE LTD XS0985215184 Mortgages Soft Bullet 12M 1M-Euribor + 25 bp

ASB FINANCE LTD XS1394181157 Mortgages Soft Bullet 12M 1M-Euribor + 57 bp

BNZ INTL FUND/LN XS0562630391 Mortgages Hard Bullet - -

BNZ INTL FUND/LN XS1434582703 Mortgages Soft Bullet 12M 1M-Euribor + 18 bp

WESTPAC SEC NZ XS1079993538 Mortgages Soft Bullet 12M 1M-Euribor + 44 bp



Norway ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

DNB NOR BOLIGKRE XS0537686288 Mortgages Soft Bullet 12M 1M-Euribor + 39 bp

DNB NOR BOLIGKRE XS0637846725 Mortgages Soft Bullet 12M 1M-Euribor + 53 bp

DNB BOLIGKREDITT XS0759310930 Mortgages Soft Bullet 12M 1M-Euribor + 61 bp





DNB BOLIGKREDITT XS1117515871 Mortgages Soft Bullet 12M 1M-Euribor - 3 bp

DNB BOLIGKREDITT XS1308759718 Mortgages Soft Bullet 12M 1M-Euribor + 36,5 bp

DNB BOLIGKREDITT XS1344745481 Mortgages Soft Bullet 12M 1 M-Euribor + 42 bp

DNB BOLIGKREDITT XS1396253236 Mortgages Soft Bullet 12M 1 M-Euribor + 44 bp

EIKA BOLIGKREDIT XS0794570944 Mortgages Soft Bullet 12M 3M-Euribor + 55 bp






SPAREBANK1BOKR XS0587952085 Mortgages Soft Bullet 12M 3M-Euribor + 60 bp







Page 32 of 40

Norway ISIN Cover assets Maturity structure Extendible period Interests during

extendible period





SPAREBANKEN XS1383921803 Mortgages Soft Bullet 12M 1M-Euribor + 22 bp

SPAREBANKEN V BO XS0969571065 Mortgages Soft Bullet 12M 3M-Euribor + 12 bp


SPAREBANKEN V BO XS1225004115 Mortgages Soft Bullet 12M 3M-Euribor - 5 bp



SR-BOLIGKREDITT XS1297977115 Mortgages Soft Bullet 12M 3M-Euribor + 12 bp



Portugal ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

BANCO SAN TOTTA PTBSQEOE0029 Mortgages Soft Bullet 12M 1M-Euribor + 93 bp

BANCO SAN TOTTA PTBSRBOE0021 Mortgages Soft Bullet 12M 1M-Euribor + 55 bp

CAIXA GERAL DEPO PTCGHUOE0015 Mortgages Soft Bullet 12M 3.75% (payable monthly)

CAIXA GERAL DEPO PTCGHAOE0019 Mortgages Soft Bullet 12M 3.0% (payable monthly)

CAIXA GERAL DEPO PTCGH1OE0014 Mortgages Soft Bullet 12M 1.0% (payable monthly)

CAIXA GERAL DEPO PTCG2YOE0001 Mortgages Soft Bullet 12M 1M-Euribor + 80 bp

Singapore ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

UNITED OVERSEAS XS1376390339 Mortgages Soft Bullet 12M n/a

Spain ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

BANCO BILBAO VIZ ES0413211071 Mortgages Hard Bullet - -









BANCO SABADELL ES0413860323 Mortgages Hard Bullet - -




Page 33 of 40


extendible period




BANCO MARE NOSTR ES0413056047 Mortgages Hard Bullet - -

BANCO POP ESPAN ES0413790231 Mortgages Hard Bullet - -








BANCO SANTANDER ES0413900087 Mortgages Hard Bullet - -








CAJA MADRID ES0414950628 Mortgages Hard Bullet - -




BANKIA ES0413307093 Mortgages Hard Bullet - -





BANKINTER SA ES0413679277 Mortgages Hard Bullet - -




CAIXABANK ES0414970196 Mortgages Hard Bullet - -


LA CAIXA ES0414970246 Mortgages Hard Bullet - -




Page 34 of 40


extendible period







CAIXA GALICIA ES0414843146 Mortgages Hard Bullet - -

CAJA RURAL DE CA ES0457089003 Mortgages Hard Bullet - -

CAJA RURAL DE CA ES0457089011 Mortgages Hard Bullet - -

CAJA RURAL NAV ES0415306002 Mortgages Hard Bullet - -

CAJA RURAL NAV ES0415306036 Mortgages Hard Bullet - -

CAJAMAR ES0422714024 Mortgages Hard Bullet - -



DEUTSCHE BK SAE ES0413320054 Mortgages Hard Bullet - -

DEUTSCHE BK SAE ES0413320062 Mortgages Hard Bullet - -

KUTXABANK ES0443307048 Mortgages Hard Bullet - -

KUTXABANK ES0443307063 Mortgages Hard Bullet - -

Sweden ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

LANSFORSAKRINGAR XS0926822189 Mortgages Hard Bullet - -




SKANDINAV ENSKIL XS0548881555 Mortgages Hard Bullet - -







STADSHYPOTEK AB XS0906516256 Mortgages Hard Bullet - -




STADSHYPOTEK AB XS1324397964 Mortgages Soft Bullet 12M 1M-Euribor + 12 bp




Page 35 of 40

Sweden ISIN Cover assets Maturity structure Extendible period Interests during

extendible period


SWEDBANK HYPOTEK XS0925525510 Mortgages Hard Bullet - -





SWEDISH COVERED XS1117542412 Mortgages Soft Bullet 12M 1M-Euribor + 26,3 bp

SWEDISH COVERED XS1248348721 Mortgages Soft Bullet 12M 1M-Euribor + 20 bp



Switzerland ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

CREDIT SUIS GUER XS0692723553 Mortgages Soft Bullet 12M 1M-Euribor + 62 bp

CREDIT SUIS GUER XS1015884833 Mortgages Soft Bullet 12M -

CREDIT SUIS GUER XS1044479373 Mortgages Soft Bullet 12M -

CREDIT SUIS GUER XS1111312523 Mortgages Soft Bullet 12M 1M-Euribor + 7 bp

UBS AG LONDON XS1057841980 Mortgages Soft Bullet 12M 1M-Euribor + 15 bp

UBS AG LONDON XS0470204172 Mortgages Hard Bullet - -

UBS AG LONDON XS0500331557 Mortgages Hard Bullet - -

Turkey ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

VAKIFBANK XS1403416222 Mortgages Soft Bullet 18M 1M-Euribor + 250 bp

United Kingdom ISIN Cover assets Maturity structure Extendible period Interests during

extendible period

SANTANDER UK PLC XS0250729109 Mortgages Soft Bullet 12M 1M-Euribor + 11 bp








BANK OF SCOTLAND XS0193640629 Mortgages Hard Bullet - -

BANK OF SCOTLAND XS0212074388 Mortgages Hard Bullet - -

BANK OF SCOTLAND XS0260981658 Mortgages Soft Bullet 12M 1M-Euribor + 10 bp

BANK OF SCOTLAND XS0304459026 Mortgages Soft Bullet 12M 1M-Euribor + 6 bp

BARCLAYS BK PLC XS0576797947 Mortgages Soft Bullet 12M 1M-Euribor + 85 bp



Page 36 of 40

United Kingdom ISIN Cover assets Maturity structure Extendible period Interests during

extendible period



COVENTRY BDG SOC XS1131109537 Mortgages Soft Bullet 12M 1M-Euribor + 3 bp

LEEDS BLDG SOC XS1398337086 Mortgages Soft Bullet 12M 1M-Euribor + 27 bp

LLOYDS BANK PLC XS1057478023 Mortgages Soft Bullet 12M 1M-Euribor + 15 bp








NATIONWIDE BLDG XS0589642049 Mortgages Soft Bullet 12M 1M-Euribor + 123 bp






NATIONWIDE BLDG XS1308693867 Mortgages Soft Bullet 12M 1M-Euribor + 30,31 bp

NATIONWIDE BLDG XS1374414891 Mortgages Soft Bullet 12M 1M-Euribor + 33,5 bp


ROYAL BK SCOTLND XS0551478844 Mortgages Soft Bullet 12M 1M-Euribor + 140 bp

ROYAL BK SCOTLND XS0577751141 Mortgages Soft Bullet 12M 1M-Euribor + 125 bp

YORKSHRE BLD SOC XS1076256400 Mortgages Soft Bullet 12M 1M-Euribor + 22 bp



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



Page 37 of 40

Appendix Contacts

Fixed Income Research

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

Kai 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]

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] Toni Martikainen [email protected]

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

Patricia Lamas [email protected]

Corporate Sales

Shipping / Aircraft +49 511 9818-8150 Corporate Clients +49 511 9818-4003

Real Estate / Structured Finance

+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 & Regions +49 511 9818-9550

mailto:[email protected]








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Appendix Disclaimer

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situation as well as of the suitability and risks of the investment.



Page 39 of 40

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Past performance, simulations or forecasts are therefore not a reliable indicator of future results. Mutual funds have no guaranteed performance and

past returns do not guarantee future performance.



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Time of going to press: 16 September 2016 (14:14)

Distribution: 21.09.2016 16:26

Documents

Covered Bond Special - NORD/LB · Fixed Income Research Covered Bond Special ... nism via the trustee or administrator, ... Analyst: Kai Ebeling, CIIA