Covered Bond & SSA View - NORD/LB - NORD/LB · PDF fileECBC publishes covered bond statistics for 2015 4 ... and in some cases reaching, record low levels. ... and BoJ has been digested,

Please see important disclosure on the last pages.

2

Agenda Page

Market overview 2

ECBC publishes covered bond statistics for 2015 4

Overview of PSPP holdings 6

ECB tracker 8

Charts & Graphs 13

Publication overview 19

Contacts 20

Find us on Bloomberg: NRDR <GO>

Issue volume – Covereds Issue volume – SSA

0

5

10

15

20

25

30

08

/15

09

/15

10

/15

11

/15

12

/15

01

/16

02

/16

03

/16

04

/16

05

/16

06

/16

07

/16

EU

Rbn

AUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR

0

5

10

15

20

25

30

35

09

/15

10

/15

11

/15

12

/15

01

/16

02

/16

03

/16

04

/16

05

/16

06

/16

07

/16

08

/16

EU

Rb

n

Other

ES

AT

NL

FR

GE

SNAT

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

Fixed Income Research

Covered Bond & SSA View 3 August 2016 30/2016

bbg://screens/NRDR

Covered Bond & SSA View 3 August 2016

NORD/LB Fixed Income Research

Page 2 of 24

Covered Bonds Market overview

Analyst:

Kai Ebeling, CIIA

Stress test results deliver few

surprises

The results of stress tests carried out on 51 European banks underline the

fact that capitalisation within the European banking sector is now far better

than in 2014. However, it clearly revealed the core problem of some institu-

tions: many banks lack a sustainable business model and consequently now

face the challenge of almost having to “reinvent” themselves. Despite the

favourable market conditions for issuers, no EUR-denominated covered

bonds were placed on the primary market over the last five trading days

(benchmark format). In the USD segment, BayernLB placed a 3y bond with a

volume of USD 300m at ms +45bp.

Fitch publishes Global

Covered Bond Surveillance

Snapshot for Q2 2016

Fitch has published its Global Covered Bond Surveillance Snapshot for the

second quarter of 2016. The report consists of an overview of aggregated

trends and facts about the 130 programmes publicly rated by the agency, a

summary of what Fitch considers to be the most significant events in the past

quarter and an overview of its published reports. The last quarter included

two downgrades and two upgrades, which means that Fitch carried out a total

of seven programme upgrades and three downgrades in the first six months

of this year. Around 50% of the rating adjustments are attributable to a

change in the issuer default rating (IDR), which serves as the starting point

for ascertaining the covered bond rating. With regard to the distribution of

ratings, Fitch above all highlights covered bonds in the rating categories of A

and BBB. When compared with the previous year, the proportion of A-rated

covered bonds has increased to 8.7% (2014: 6.3%), while the share of pro-

grammes rated in the BBB category is just 10.2% (2014: 13.3%). At present,

80 programmes have a rating of AAA.

FMS Wertmanagement plans

further buyback of

outstanding securities from

the DEPFA Group

Last week, FMS Wertmanagement (FMS-WM) disclosed that it had so far

purchased approximately EUR 5.6bn of outstanding covered bonds issued by

the DEPFA Group (DEPFA ACS Bank and DEPFA Pfandbrief Bank Interna-

tional) since announcing its public buyback offer in January 2016. Covered

bonds totalling around EUR 2.6bn were purchased in the context of the public

tender offer and a further EUR 3.0bn was acquired under bilateral agree-

ments with investors. All hybrid capital has now been purchased and is jointly

held by FMS-WM and DEPFA. According to FMS-WM, the purchases of the

various debt instruments issued by the DEPFA Group aim to accelerate the

wind down of DEPFA and it therefore intends to conduct further purchases of

securities. In a next step, this may lead to an adjustment of the cover pools,

which could affect the market liquidity of the outstanding securities in the

future. In compliance with legal minimum requirements, FMS-WM will assess

further measures, including a reduction in ratings expenses, among other

things.

Trader’s comment The past five trading days were once again a period of narrowing spreads,

with all jurisdictions dropping towards, and in some cases reaching, record

low levels. On the whole, liquidity in the market is (almost) non-existent. For

the coming weeks, spread levels will remain well-supported on account of the

existing demand surplus.



Page 3 of 24

SSA Market overview

Analyst:

Norman Rudschuck, CIIA

Bank of England only

gives minimal indication

of what is next

Just as the information from the last central bank meetings of the ECB, Fed

and BoJ has been digested, the BoE has its next scheduled meeting tomor-

row. An interest rate cut has already been priced in, with a 50% cut from

0.50% to 0.25% the most likely scenario. This would allow enough scope for

a further rate cut while the door is also open for quantitative measures. Nei-

ther should affect interest rate levels in the rest of Europe. 10y Bunds are

hovering at around -0.05%. Spanish BONOs are testing the historically low

1% mark. This is also having a significant impact on SSA markets. We do

not expect a trend reversal in the foreseeable future. On the contrary, it is

currently more likely that the low interest rate environment will worsen.

ESM comments on Greece Klaus Regling emphasised in an interview that Greece should be able to

leave the rescue programme in around two years, provided that the country

adheres to the reform agenda. He added that the bailout fund has adopted

the same approach as the IMF, with the difference that the ESM has globally

paid out almost three times as much as the IMF since 2011.

L-Bank presents balance of

its lending to promote

business development

Dr Axel Nawrath, CEO of L-Bank, explained that “development loans trigger

new developments while safeguarding what is well established” when he

presented the bank’s balance of loans for promoting business development

for the first half of the year. L-Bank extended EUR 1.7bn to enterprises in

Baden-Wuerttemberg during the first six months of 2016. This was approxi-

mately 7% less than in 2015. Of the total figure, EUR 337m were granted to

start-up companies whereas established SMEs received financing totalling

EUR 1.1bn. A further EUR 230m comprised financial assistance for the

economy and agricultural loans. The 4,520 businesses financed in total plan

to invest EUR 2.3bn, using these funds. Dr Nawrath indicated that the fi-

nancing secured 149,000 jobs and facilitated the creation of 5,800 new jobs.

According to Nawrath, who was commenting on the further trend in the sec-

ond half of the year, “although Brexit doesn’t change the underlying mega

trends, the impact on short and medium-term economic developments and

consequently demand for financing is difficult to estimate at this juncture”.

Primary market Last week, Rentenbank increased a tap issue by EUR 300m at ms -18bp.

EIB was busy with a 2024 tap issue at ms -24bp worth EUR 400m. Hessen

had a transaction with the longest maturity (20y) since 1998, raising

EUR 500m at ms +3bp. The trading week under review was rounded off by

the Land of Brandenburg (EUR 300m for 20 years at ms +2bp).

Issuer Country Timing ISIN Maturity Volume Spread Rating

HESSEN GE 28.07.2016 DE000A1RQC02 20.0y 0.5bn +3bp - / - / -

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

Trader’s comment Finally, we are seeing some new bond issues in the Länder segment. Lower

Saxony and Hessen each issued bonds worth EUR 500m with Niesa 08/24

(area ms -10bp, pricing ms -12bp) and Hessen 08/36 (area ms +4bp, pricing

ms +3bp) respectively. Both bond issues were very well received in the mar-

ket. This impressively shows how much the market has dried up. The Eu-

rosystem reduced its bond purchases in the Länder segment. Market and

sales demand for long maturities remained at a high level. Accordingly, the

spread level continued to tighten. At the moment, 8y bonds have a 0% yield.



Page 4 of 24

Covereds ECBC publishes covered bond statistics for 2015

Analyst:

Kai Ebeling, CIIA

Outstanding covered bond

volume drops to EUR

2,498.2bn

Last month, the European Covered Bond Council (ECBC) published its an-

nual statistics on the development of the global covered bond market. The

review shows the development of outstanding volumes per asset class since

2003 as well as the outstanding volumes and new issuance of covered bonds

per jurisdiction as at the end of 2015, broken down into the various asset

classes. According to the statistics, the outstanding covered bond volume at

the end of the year amounted to EUR 2,498.2bn, which means it has de-

clined for the third consecutive year (2014: EUR 2,504.5bn). However, there

has been a considerable slowdown in the negative trend, with the decline

now amounting to just -0.25% year on year (yoy).

Covered bond volume by asset class Covered bond volume by size of issue

0

2

4

6

8

10

12

14

16

18

0

500

1,000

1,500

2,000

2,500

3,000

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Ou

tsta

nd

ing

vo

lum

e in

EU

Rb

n

Ou

tsta

nd

ing

vo

lum

e in

EU

Rb

n

Public Sector (lhs) Mortgage (lhs) Ships (rhs) Others (rhs)

48.5%

14.1%

9.7%

27.7%

Benchmark (EUR 1bn and above) Benchmark (EUR 500m to EUR 999m)

Others (below EUR 500m) Private Placements

Source: ECBC, NORD/LB Fixed Income Research Source: Emittent, NORD/LB Fixed Income Research

Mortgage-backed covered

bond volume increased for

the first time since 2012

A differentiation of the outstanding volume according to asset class shows

that the decline in the outstanding bond volume is attributable to the reduced

volume of public sector covered bonds, which has now fallen for the ninth

consecutive year (2015: EUR 371.5bn; -9.1% yoy). All other asset classes

recorded an increased or unchanged volume. The volume of mortgage-

backed covered bonds consequently rose for the first time since 2012 (2015:

EUR 2,115.3bn; +1.4% yoy). Covered bonds backed by ships as well as

NORD/LB’s aircraft Pfandbriefe, which fall under “others”, continue to be

almost negligible, although the outstanding volume of ship-backed covered

bonds increased again for the first time since 2012 (2015: EUR 10.4bn;

+5.6% yoy).

Around 63% of issues were

placed in benchmark format

In terms of issue size and type of placement, around 72.3% of the volumes

outstanding was publicly placed. Approximately 63% of issues were placed in

benchmark format, with the volumes of 48.5% of bonds placed on the market

exceeding EUR 1bn. When compared with 2014, the share of issues with a

volume of between EUR 0.5bn and EUR 1bn has risen considerably (+23.2%

yoy), while the volume in other categories has declined. In 2015, the issue

volume amounted to EUR 539.6bn, which is the highest volume since 2012

and at the same time represents an increase of 17.9% yoy. Of this, around

80% of bonds were publicly placed and approximately 62% had a volume of

more than EUR 0.5bn.



Page 5 of 24

In 2015, 314 issuers were

represented on the market

with 434 programmes

At 63.8% of the total market volume, the majority of outstanding covered

bonds are denominated in euros. A further 28.8% are denominated in the

local currency of the issuers, while the remaining 7.4% is attributable to other

currencies, such as the USD-denominated covered bond placed by a Norwe-

gian issuer. With regard to new issues over the past year,

EUR-denominated covered bonds accounted for a share of 51%, while 43%

related to local currencies. At 79.5%, the largest proportion of outstanding

covered bonds featured a fixed coupon and 19.7% had variable interest

rates. A similar picture emerges for papers issued in the last year, with 78.0%

being fixed coupon and 21.8% variable. The number of new issuers has in-

creased over the last year to total 13 (2014: nine issuers). As at 31 Decem-

ber 2015, there were therefore 314 issuers with 434 covered bond pro-

grammes in total.

Covered bond volume by currency Covered bond volume by jurisdiction

63.8%

28.8%

7.4%

Denominated in Euro Denominated in domestic currency

Denominated in other currencies

Germany (15.39%)Denmark (15.34%)France (12.93%)Spain (11.24%)Sweden (8.89%)Italy (5.23%)United Kingdom (4.85%)Switzerland (4.46%)Norway (4.38%)Canada (3.43%)Australia (2.75%)The Netherlands (2.45%)Austria (1.8%)Portugal (1.4%)Finland (1.36%)Ireland (1.29%)Belgium (0.68%)Czech Republic (0.47%)Luxembourg (0.41%)New Zealand (0.37%)Greece (0.2%)Slovak Republic (0.17%)United States (0.16%)Hungary (0.12%)South Korea (0.08%)Poland (0.05%)Iceland (0.05%)Singapore (0.04%)Cyprus (0.03%)Panama (0.01%)

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

German issuers account for

highest outstanding volume

As was previously the case at the end of 2014, the highest volume of out-

standing covered bonds is once again attributable to German issuers (EUR

384.4bn), followed by Denmark, at just EUR 1.3bn less (EUR 383.1bn), and

France (EUR 323.1bn). Issuers from 26 different countries were active in the

market in 2015, with Danish issuers accounting for by far the highest total

issue volume of EUR 164.0bn. Next in the rankings are Swedish banks (EUR

60.7bn) and German Pfandbriefe (EUR 58.1bn). With Singapore, a new ju-

risdiction joined in the last year, although a EUR-denominated covered bond

in benchmark format only originated from the country this year.

Conclusion The volume of outstanding covered bonds has fallen once again in the past

year, but at a significantly lower rate on account of a year-on-year increase in

the new issuance volume across all asset classes, with the exception of air-

craft Pfandbriefe. As a result, the net supply continued to decline in public

sector covered bonds alone. At 314, the number of issuers is the highest it

has been since 2011. As in previous years (2013 and 2014), they again

placed around 80% of the issue volume publicly. The issue volume has

above all risen considerably in the “overseas & others” region, which is ex-

pected to once more be a key growth driver in the covered bond market this

year.



Page 6 of 24

SSAs Overview of PSPP holdings

Analyst:


Total volume exceeds

EUR 950bn mark

At the start of the month – as usual – the ECB published the current overview

of its bond holdings resulting from purchases under the PSPP. Once again,

the expansion of the monthly EAPP buying volume to EUR 80bn, which has

been in place since April, was evident. In July, central bank purchases actu-

ally exceeded this target volume, as was also the case in the previous

months. Under the PSPP alone, a significant volume of EUR 69.7bn was

purchased. Overall, the Eurosystem has purchased bonds from govern-

ments, agencies, supranationals as well as regional bonds totalling EUR

954.2bn since the expanded asset purchasing programme was implemented

more than a year ago. The monthly buying volume is likely to settle slowly at

around the EUR 70bn mark, as we expected, given that the Corporate Sector

Purchase Programme (CSPP) started in June this year and accordingly ac-

counts for a share of the total volume. The total volume purchased across all

asset classes amounted to EUR 80.6bn. This once again surpassed the tar-

get. It was surprising, given that we are in the summer lull and lower pur-

chases were expected. However, a lower figure may occur in August. In view

of maturities, net inflows into CBPP3 amounted to only EUR 3.3bn in June.

The average time to maturity of PSPP holdings was 8.26 years at the end of

June (+0.1 years). At last month’s meeting of the ECB’s Governing Council,

nothing was resolved that would indicate a specific direction. Yet, it is to be

expected that interest rates will remain low in the segment of public issuers

beyond 2017.

Distribution of purchases

by country in line with

expectations

The distribution of purchases by jurisdiction continues to be based relatively

closely on the ECB key. As a result of the above-mentioned effects of pur-

chases being brought forward, the amounts purchased currently exceed the

estimate for almost all countries. However, this estimate was based on a

linear trend in purchases. In terms of volume, the higher than planned pur-

chases are particularly noticeable among the bigger eurozone member

states. Nevertheless, we would not yet describe this as an imbalance.

Distribution of purchases by country vs expectations

Distribution of purchases by country and average time to maturity (2016)

0

50

100

150

200

250

EU

Rb

n

Actual Estimated

0

3

6

9

12

15

Ave

rag

e r

em

ain

ing

ma

turi

ty i

n y

ea

rs

PSPP (as at 31 July 2016) PSPP (as at 30 June)

PSPP (as at 31 May) PSPP (as at 30 April)

PSPP (as at 31 March) PSPP (as at 29 Feb)

PSPP (as at 31 Jan) Market

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



Page 7 of 24

Distribution by time to

maturity reveals differences

Furthermore, the distribution according to average time to maturity once

again provides some interesting insights into the PSPP, in our opinion. While

the average time to maturity remained relatively close to 8 years (weighted

average of bonds purchased under the PSPP), the market average was 9.4

years for the bonds which may potentially be purchased under the pro-

gramme following the reduction in the rate of the deposit facility by the ECB

at the beginning of March this year. This meant that, on the one hand, signif-

icantly more securities were available for buying in the short term. On the

other hand, yields declined substantially, especially in the wake of the Brexit

referendum, and this mainly impacted in July, with only some degree of set-

tling evident since then.

Supra bonds purchased

have an average maturity

of 6.8 years

With regard to supras, purchases via the Eurosystem confirmed the trend of

previous months. Following the ECB’s interest rate cut, the average time to

maturity of the bonds purchased decreased to 6.8 years. The time to maturity

was similar in July, whereas the average time to maturity of bonds available

in the market (and eligible for purchase) is now 11.2 years. Ultimately, the

average time to maturity of bonds purchased has hovered around 7-year

mark for many months. In the early stages of the programme, it was at a

higher level. However, the average has been fairly steady in recent months.

Maturities purchased

remain heterogeneous

A glance at the maturity pattern of the various countries highlights the estab-

lished heterogeneity. With 10.1 and 10.9 years respectively, the time to ma-

turity of all Portuguese and Maltese bonds purchased to date is the longest,

followed by Belgium (9.8 years) and Spain (9.7 years). With regard to Portu-

gal and Spain, the delta of the average time to maturity of securities available

in the market and eligible to buy under the purchasing programme remained

the highest (+2.7 years and +2.4 years respectively). The situation in Germa-

ny and the Netherlands is a mirror image of this. For these two countries, the

delta between the maturity of govies purchased and paper traded in the mar-

ket is also extremely high. Although Germany is in the midfield with an aver-

age time to maturity of 7.6 years for Bunds, the average for all eligible securi-

ties available for purchasing in the market is significantly higher at 13.9

years. In the Netherlands, the average time to maturity of securities pur-

chased is currently 7.7 years, compared with 12.4 years average time to

maturity across all bonds qualifying for purchase.

Conclusion The distribution of PSPP purchases in July was unsurprising. Diversification

across the various countries continues to be based relatively closely on the

ECB’s capital key. As a result, only minor differences occurred. It should be

noted that (in some cases) purchases in the last four months were signifi-

cantly higher than the target volume envisaged. Under the PSPP alone, the

volume purchased in the month ended amounted to almost EUR 70bn. In our

view, this still reflects the effect of anticipatory purchases. In the coming

weeks, the volume purchased is unlikely to match the levels recently seen

because of the ongoing summer break. Any discrepancy is particularly evi-

dent in countries with high volumes outstanding. However, as mentioned

above, this should only be a temporary phenomenon.



Page 8 of 24

Covered Bonds/SSA ECB tracker

Analysts:

Kai Ebeling, 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.

In July, net inflows as part of

the CBPP3 fall to lowest

value since the start of the

programme

As at the reference date of 22 July, the ECB reported a portfolio volume

totalling EUR 186.041bn purchased so far as part of the CBPP3. This repre-

sents an increase of EUR 534m on the previous week’s value, meaning that

net inflows in the past four weeks fell to EUR 3.053bn (previously: EUR

4.438bn). This is the lowest value since January of this year. At the same

time, the average weekly net inflows fell to the lowest value since November

2014, at EUR 2.022bn. Net inflows in this week consisted of purchases

amounting to EUR 0.9bn and maturities of EUR 0.4bn. In total, the recently

published figures reveal just how serious the situation regarding illiquidity

related to the ECB’s purchase programme on the covered bond market is.

As we expect very low primary market activity over the coming weeks until

the end of the summer break, the weekly purchase volume as part of the

CBPP3 is also likely to remain at a low level. In the last reporting period, the

ECB was faced with maturities amounting to EUR 126m, meaning that net

inflows for the past four weeks now total EUR 632m (previously EUR 858m).

Weekly PSPP purchases

total EUR 16.5bn

The figures published on Monday afternoon dropped slightly for the first

time in three weeks: in the period under review, bonds with a total value of

EUR 16.5bn were acquired (reference date: 29 July) following on from the

previous week in which EUR 17.5bn were purchased. We still expect this

value to gradually stabilise above the EUR 15bn mark – this now seems to

be happening. In the previous period under review, several newcomers

were included on the SSA shopping list: once again, a new BNG ISIN in

addition to one new ISIN each from AGFRNC, OSEOFI as well as the ESM

found their way into the Eurosytem’s books. Furthermore, four regional

German bonds were acquired by the Eurosystem: in addition to the familiar

faces of NRW and BERGER, the city state of Bremen made its debut, fea-

turing twice straight away. This week, the BDF will be concentrating on four

ESM bonds. On this occasion, medium to long maturities (2024-2026) and

ultra-long maturities (2042) will all be targeted on Friday. The planned pur-

chase volume was again confirmed at between EUR 150-250m, and there-

fore remains constant.

Upcoming reverse auctions (Banque de France – BDF)

ISIN Bond Central bank & date

EU000A1U9951 ESM 0 1/8 04/22/24 Banque de France (05.08.)

EU000A1U9894 ESM 1 09/23/25 Banque de France (05.08.)



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



Page 9 of 24

Completed reverse auctions (DeNederlandscheBank – DNB)

ISIN Bond Min. Mean Max Date

XS0986065992 BNG 1 ¼ 10/29/18 N/A N/A N/A 01.08.

XS0820548716 NEDWBK 1 ⅝ 08/23/19 106.1700 106.1700 106.1700 01.08.

XS0463097237 BNG 3 ⅞ 11/04/19 N/A N/A N/A 01.08.

XS0478263816 BNG 3 ¾ 01/14/20 N/A N/A N/A 01.08.

XS0212342066 NEDWBK 3 ⅞ 02/17/20 N/A N/A N/A 01.08.

XS0873878283 BNG 1 ½ 04/15/20 106.9300 106.9300 106.9300 01.08.

XS0537711144 BNG 2 ⅝ 09/01/20 112.1600 112.1600 112.1600 01.08.

XS1014773128 BNG 1 ⅞ 01/14/21 109.7400 109.7400 109.7400 01.08.

XS1361603209 NEDWBK 0.05 02/10/21 N/A N/A N/A 01.08.

XS1166023777 BNG 0 ⅜ 01/14/22 103.3400 103.3470 103.3600 01.08.

Total Amount Offered EUR 123m

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 7

BREMEN GE 2

BRABUR GE -

HESSEN GE 6

HAMBRG GE 1

NIESA GE 2

MECVOR GE -

NRW GE 12

RHIPAL GE 3

SAARLD GE -

SCHHOL GE -

SAXONY GE -

SACHAN GE -

THRGN GE -

LAENDER GE -

IDF FR 2

VDP FR 1

MADRID ES 5

CASTIL ES 1

BASQUE ES 1

WALLOO BE 1

Source: ECB, NORD/LB Fixed Income Research



Page 10 of 24

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 37

RENTEN DE 16

NRWBK DE 20

LBANK DE 6

CADES FR 18

RESFER FR 13

UNEDIC FR 16

AGFRNC FR 14

OSEOFI FR 10

CDCEPS FR 3

CNA FR 2

ACOSS FR -

BNG NL 22

NEDWBK NL 12

NEDFIN NL 2

OBND AT 8

ASFING AT 7

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 -

KUNTA FI 1

PARPUB PT -

CASDEL IT -

AFLBNK FR 2

APHP FR -

GDCHU FR -

SPABSS FR -

HSGFIN IE -

FRBRTC BE -

SOCWAL BE -

FONWAL BE -

SWLBEL BE -




Page 11 of 24

CBPP3 Overview

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

170

172

174

176

178

180

182

184

186

188

0.0

0.5

1.0

1.5

2.0

2.5

20.0

5.1

6

27.0

5.1

6

03.0

6.1

6

10.0

6.1

6

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

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 7.5bn] CBPP3 [EUR 186.6bn]

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



Page 12 of 24

PSPP overview

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

600

650

700

750

800

850

900

950

1000

5

7

9

11

13

15

17

19

21

20.0

5.1

6

27.0

5.1

6

03.0

6.1

6

10.0

6.1

6

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

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 13 of 24

Covered Bonds Charts & Graphs

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

20.5%

19.9%

11.2%8.5%

5.3%

4.7%

4.2%

4.1%

3.1%

2.8%

15.6%

EUR 1084.2bn

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 4.3

ES 215.7 165 1.3 3.2

DE 121.8 184 0.7 4.0

IT 92.2 92 1.0 3.0

GB 57.2 47 1.2 3.6

NL 51.2 40 1.3 4.6

NO 45.7 44 1.0 3.1

CA 44.6 36 1.2 3.7

SE 33.9 33 1.0 3.8

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

07/1

6

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

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

62.9%

4.3%16.1%

0.9%

4.9%

4.4%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 14 of 24


Spread development (last 15 issues)

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

SA

BS

M 0

5/8

06/1

0/2

4

CM

ZB

0 1

/2 0

6/0

9/2

6

PM

IIM

0 5

/8 0

6/0

8/2

3

DB

0 1

/2 0

6/0

9/2

6

SR

BA

NK

0 1

/8 0

9/0

8/2

1

DEX

GR

P

0.0

5 0

9/0

8/2

1

-20

-10

0

10

20

30

40

50

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

3.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

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

SA

BS

M 0

5/8

06/1

0/2

4

CM

ZB

0 1

/2 0

6/0

9/2

6

PM

IIM

0 5

/8 0

6/0

8/2

3

DB

0 1

/2 0

6/0

9/2

6

SR

BA

NK

0 1

/8 0

9/0

8/2

1

DE

XG

RP

0.0

5 0

9/0

8/2

1

EU

Rb

n

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

Spread development by country Performance (total return)

-40 -20 0 20 40 60 80

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 15 of 24


Germany & Austria France

-20

-10

0

10

20

30

40

50

60

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

-20

-15

-10

-5

0

5

10

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

25

30

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

350

-10

-5

0

5

10

15

20

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.)

-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 16 of 24

SSA Charts & Graphs

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

37,9%

36,7%

11,1%

4,9%

4,3% 1,7%

1,0%

0,7%

0,3%

0,3%

1,0%

5,1%

EUR 1463,7bn GE

SNAT

FR

SP

NE

AS

CA

IT

PO

FI

Others

Country Vol. (€bn) No. of bonds

ØVol. (€bn) Vol. weight.

ØMod. Duration

GE 555,2 475 1,2 4,2

SNAT 537,5 123 4,4 6,8

FR 162,0 103 1,6 5,6

SP 71,3 60 1,2 3,2

NE 63,4 58 1,1 4,4

AS 24,9 24 1,0 6,4

CA 15,1 11 1,4 5,3

IT 10,7 11 1,0 8,1

PO 4,8 8 0,6 4,2

FI 4,3 5 0,9 6,1

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

9

GE

SN

AT

FR

SP

NE

AS

CA IT

PO FI

43,5%

12,8%

27,9%

7,8%

0,4%3,5%

0,8%

0,5%

0,2%

1,0%

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 17 of 24

SSA Charts & Graphs

Spread development (last 15 issues) H

ES

SE

N 0

3/4

08/0

4/3

6

(fix

ed

)

NIE

SA

0 0

8/0

2/2

4 (

fix

ed

)

AG

FR

NC

0 1

/4 0

7/2

1/2

6

(fix

ed

)

ES

M 0

7/8

07/1

8/4

2 (

fixe

d)

BA

DW

UR

0 0

7/1

9/1

8

(flo

atin

g)

RH

IPA

L 0

07

/16

/18

(fi

xe

d)

BN

G 0

.05 0

7/1

3/2

4 (

fixe

d)

HE

SS

EN

0 3

/8 0

7/0

6/2

6

(fix

ed

)

IDF

0 1

/2 0

6/1

4/2

5 (

fix

ed

)

NIB

0 1

/8 0

6/1

0/2

4 (fi

xe

d)

CO

E 0

3/8

06

/08

/26

(fi

xe

d)

ER

STA

A 0

06/0

7/1

9

(fix

ed

)

KF

W 0

06/3

0/2

1 (

fixe

d)

NIE

SA

0 1

/2 0

6/0

8/2

6

(fix

ed

)

BN

G 0

1/4

06

/07

/24

(fi

xe

d)

-35

-30

-25

-20

-15

-10

-5

0

5

10

15

20

bp

Reoffer Spread / DM Current ASW / DM

Spread development by country Performance (total return)

-20 -15 -10 -5 0

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%

Supras

Agencies

Public Banks

Regions

Bundesländer

Periphery

Non-Periphery

1W

1M

3M

6M

12M

YTD

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

Overall

AAA

AA

A

BBB

1W

1M

3M

6M

12M

YTD




Page 18 of 24

SSA Charts & Graphs

Germany (by segments) France (by risk weight)

-50

-40

-30

-20

-10

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

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

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

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 19 of 24

Appendix Publication overview

Publication Topics

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

25/2016 29 June Market overview

Impact of Brexit decision on covered bonds

Varyingly strong effects expected on Public issuers

ECB Tracker


UK covered bonds reveal potential

The PSPP and yields on German bonds

ECB Tracker


Relative value for rates products

ECB Tracker


Moody’s quarterly report Q4/2015 an overview

Draghi freezes yields – a review of the ECB council meeting

Overview of PSPP holdings

ECB Tracker


The savings banks’ Pfandbrief market – an overview

ECB Tracker



Page 20 of 24

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 Saving 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]

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

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]








Page 21 of 24

Disclaimer

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individual investment advice with respect to the appropriateness of an investment in financial instruments or investment strategies as

contemplated herein as well as for other and more recent information on certain investment opportunities.

Each of the financial instruments referred to herein may involve substantial risks, including capital, interest, index, currency and credit

risks, political, fair value, commodity and market risks. The financial instruments could experience a sudden substantial deterioration in

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NORD/LB and its affiliates may, for their own account or for the account of third parties, participate in transactions involving the financial

instruments described herein or any underlying assets, issue further financial instruments having terms that are the same as or similar to

those governing the financial instruments referred to herein as well as enter into transactions to hedge positions. Such actions may affect

the price of the financial instruments described in this Analysis.

To the extent the financial instruments referred to herein are derivatives, they may involve an initial negative market value from the

customer’s point of view, depending on the terms and conditions prevailing as of the transaction date. Furthermore, NORD/LB reserves

the right to pass on its economic risk from any derivative transaction it has entered into to third parties in the market by way of a mirror

image counter-transaction.

Further information on any fees which may be included in the sales price is set forth in the brochure „Customer Information Relating to

Securities Transactions“ which is available at www.nordlb.de.



Page 22 of 24

The information set forth in this Analysis shall supersede all previous versions of any relevant Analysis and refer exclusively to the date

as of which this Analysis has been drawn up. Any future versions of this Analysis shall supersede this present version. NORD/LB shall

not be under any obligation to update and/or review this Analysis at regular intervals. Therefore, no assurance can be given as to its

currentness and continued accuracy.

By making use of this Analysis, the Recipient shall accept the foregoing terms and conditions.

NORD/LB is a member of the protection scheme of Deutsche Sparkassen-Finanzgruppe. Further information for the Recipient is set

forth in clause 28 of the General Terms and Conditions of NORD/LB or at www.dsgv.de/sicherungssystem.Additional information for

recipients in the UK

NORD/LB subject to limited regulation by the Financial Conduct Authority (“FCA”) und Prudential Regulation Authority (“PRA”). Details

about the extent of our regulation by the FCA and PRA are available from NORD/LB on request.

This Analysis is a financial promotion. Relevant Persons in the UK should contact NORD/LB’s London Branch, Investment Banking

Department, Telephone: 0044 / 2079725400 with any queries.

Investing in financial instruments referred to in this Analysis may expose an investor to a significant risk of losing all of the amount in-

vested.

Additional information for recipients in France

NORD/LB is partially regulated by the Autorité des Marchés Financiers for the conduct of French business. Details about the extent of

our regulation by the respective authorities are available from us on request.

This Analysis does constitute investment research within the meaning of Article 24(1) Directive 2006/73/EC, Article L.544-1 and R.621-

30-1 of the French Monetary and Financial Code and does qualify as research recommendation under Directive 2003/6/EC and Directive

2003/125/EC.

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None of the information contained in this Analysis constitutes a solicitation or offer by NORD/LB or its affiliates to buy or sell any securi-

ties, futures, options or other financial instruments or to participate in any other strategy. Only the published prospectus pursuant to the

Austrian Capital Market Act should be the basis for any investment decision of the Recipient.

For regulatory reasons, products mentioned in this Analysis may not being offered into Austria and are not available to investors in Aus-

tria. Therefore, NORD/LB might not be able to sell or issue these products, nor shall it accept any request to sell or issues these prod-

ucts, to investors located in Austria or to intermediaries acting on behalf of any such investors.

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Evaluations of individual financial instruments on the basis of past performance are not necessarily indicative of future results. It should

be noted that the reported figures relate to past years.

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This Analysis does constitute investment research within the meaning of the definition section of the Cyprus Directive D1444-2007-

01(No 426/07). Furthermore, this material is provided for informational and advertising purposes only and does not constitute an invita-

tion or offer to sell or buy or subscribe any investment product.

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This Analysis does not constitute a prospectus under Danish securities law and consequently is not required to be nor has been filed

with or approved by the Danish Financial Supervisory Authority as this Analysis either (i) has not been prepared in the context of a public

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ties Trading Act or any executive orders issued pursuant thereto, or (ii) has been prepared in the context of a public offering of securities

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The information herein contained describes the view of the author at the time of its publication and it must not be used by its Recipient

unless having first confirmed that it remains accurate and up to date at the time of its use.

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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This Analysis has not been prepared in accordance with Directive 2003/71/EC, as amended, on prospectuses (the “Prospectus Di-

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implement the Prospectus Directive or those measures and therefore may not contain all the information required where a document is

prepared pursuant to the Prospectus Directive or those laws.

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Under no circumstances shall this Analysis constitute an offer to sell, or issue or the solicitation of an offer to buy or subscribe for Prod-

ucts or Services in Luxembourg.

Additional information for recipients in Netherlands

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

belegging kan fluctueren. In het verleden behaalde resultaten bieden geen garantie voor de toekomst).

Additional information for recipients in Poland

This Analysis does not constitute a recommendation within the meaning of the Regulation of the Polish Minister of Finance Regarding

Information Constituting Recommendations Concerning Financial Instruments or Issuers thereof dated 19 October 2005.



Page 23 of 24

Additional information for recipients in Portugal

This Analysis is intended only for institutional clients and may not be (i) used by, (ii) copied by any means or (iii) distributed to any other

kind of investor, in particular not to retail clients. This Analysis does not constitute or form part of an offer to buy or sell any of the securi-

ties covered by the report nor can be understood as a request to buy or sell securities where that practise may be deemed unlawful. This

Analysis is based on information obtained from sources which we believe to be reliable, but is not guaranteed as to accuracy or com-

pleteness. Unless otherwise stated, all views herein contained are solely expression of our research and analysis and subject to change

without notice.

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This Analysis does not constitute or form part of, and should not be construed as a prospectus or offering memorandum or an offer or

invitation to acquire, sell, subscribe for or otherwise trade in shares, subscription rights or other securities nor shall it or any part of it form

the basis of or be relied on in connection with any contract or commitment whatsoever. This Analysis has not been approved by any

regulatory authority. Any offer of securities will only be made pursuant to an applicable prospectus exemption under EC Prospectus

Directive, and no offer of securities is being directed to any person or investor in any jurisdiction where such action is wholly or partially

subject to legal restrictions or where such action would require additional prospectuses, other offer documentation, registrations or other

actions.

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This Analysis has not been approved by the Federal Banking Commission (merged into the Swiss Financial Market Supervisory Authori-

ty “FINMA” on 1 January 2009).

NORD/LB will comply with the Directives of the Swiss Bankers Association on the Independence of Financial Research, as amended.

This Analysis does not constitute an issuing prospectus pursuant to article 652a or article 1156 of the Swiss Code of Obligations. This

Analysis is published solely for the purpose of information on the products mentioned in this advertisement. The products do not qualify

as units of a collective investment scheme pursuant to the Federal Act on Collective Investment Schemes (CISA) and are therefore not

subject to the supervision by the Swiss Financial Market Supervisory Authority (FINMA).

Additional information for recipients in Canada

This Analysis has been prepared for informational purposes only in relation to the products contained in this material and is not, under

any circumstances to be construed as an offering memorandum or as an offering of any securities for sale directly or indirectly in any

province or territory of Canada.

No securities commission or similar regulatory authority in Canada has passed on the merits of these securities nor has it reviewed this

material and any representation to the contrary is an offence.

Relevant selling restrictions, if any, are contained in the prospectus or other documentation for the respective product.

Additional information for recipients in Estonia

It is advisable to examine all the terms and conditions of the services provided by NORD/LB. If necessary, Recipient of this Analysis

should consult with an expert.

Additional information for recipients in Finland

The financial products described in this Analysis may not be offered or sold, directly or indirectly, to any resident of the Republic of Fin-

land or in the Republic of Finland, except pursuant to applicable Finnish laws and regulations. Specifically, in the case of shares, those

shares may not be offered or sold, directly or indirectly, to the public in the Republic of Finland as defined in the Finnish Securities Mar-

ket Act (746/2012, as amended). The value of investments may go up or down. There is no guarantee to get back the invested amount.

Past performance is no guarantee of future results.

Additional information for recipients in Czech Republic

There is no guarantee to get back the invested amount. Past performance is no guarantee of future results. The value of investments

could go up and down

The information contained in this Analysis 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 24 of 24

Arrangements for the confidential treatment of sensitive customer and business data as well as for avoiding and handling conflicts of

interest

NORD/LB has separated its business divisions that may have access to sensitive customer and business data (confidential areas) from

its other divisions (e.g. NORD/LB Research) in terms of functions and locations and/or via relevant data processing arrangements.

The disclosure of confidential information that may have an impact on the prices of securities is monitored by NORD/LB’s Compliance

Unit which is independent of its trading, operational and settlement divisions. This independent unit controls the transactions undertaken

by NORD/LB and its employees on a daily basis to ensure that they are in line with market conditions. The Compliance Unit may impose

such trading bans and restrictions as may be necessary to ensure that information, which may affect the prices of securities, is not mis-

used and to prevent confidential information from being disclosed to divisions that are only allowed to use information available to the

general public. To avoid conflicts of interest in connection with the preparation of financial analyses, the analysts of NORD/LB are

obliged to inform the Compliance Unit of any studies being drawn up and must not invest in the financial instruments handled by them.

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

account or for the account or on behalf of third parties. Thus the Compliance Unit is in a position to identify all unauthorized transactions

undertaken by the analysts, such as insider trading and front and parallel running. When a financial analysis involving conflicts of interest

to be disclosed within the NORD/LB Group is drawn up, any information on such conflicts of interest will only be made available by the

Compliance Unit upon completion of the financial analysis. Any subsequent amendment of the relevant financial analysis may only be

made upon consultation with the Compliance Unit and when it has been ensured that the 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 Financial Analysis or Conflict of Interest

Policy which is available from the Compliance Unit of NORD/LB upon request.

Time of going to press

3 August 2016 08:32h (CET)

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

§ 5 FinAnV

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 financial analyses. 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 financial analyses, we take company-specific methods used for fundamental securities’ analysis, quantita-

tive/statistical methods and models, as well as technical analytical methods as the basis for valuations and for the regular updates. It

should be noted that the results of analyses provide a snapshot overview and that past developments do not constitute a reliable indica-

tor 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.

Recommendation system and history of last 12 months

Positive: Positive expectations for the issuer, a security type or a specific security of an issuer.

Neutral: Neutral expectations for the issuer, a security type or a specific 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.

Issuer / security Date Recommendation Bond type Cause

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