Fixed Income Research Covered Bond Special - … · 29 Please see important disclosure on the last pages. Bloomberg: NRDR Fixed Income Research Covered Bond Special February

Please see important disclosure on the last pages.

Bloomberg: NRDR <GO>

Fixed Income Research

Covered Bond Special 29 February 2016

LCR Classification of Covered Bonds

We would appreciate your vote!

bbg://screens/NRDR

http://www.euromoney.com/survey/takesurvey/en/FixedIncomeInvestors2016


NORD/LB Fixed Income Research

Seite 2 von 38

Content page

Liquidity Coverage Ratio 3

Classification Overview 3

Classification of Covered Bonds 6

Regulatory Classification: Issuers (Benchmarks) 10

Regulatory Classification: Covered Bonds (iBoxx Euro Covered) 15

Contacts 35



Seite 3 von 38

Liquidity Coverage Ratio

Analyst:

Matthias Melms, CIIA, CCrA

In practice, there are hurdles

to LCR

In October 2014, the European Commission published its Delegated Regula-

tion implementing the liquidity coverage requirement as part of the Capital

Requirement Regulation (CRR). The rules stipulate the details of the provi-

sions relating to the liquidity coverage ratio (LCR) that are already included

in the CRR. In particular, the Delegated Regulation specified the eligibility of

certain assets for inclusion as high-quality liquid assets (HQLA) which must

be retained to cover the net liquidity outflows of the next 30 calendar days

under stressed conditions. While the classification for nearly all of the asset

classes eligible for use under the LCR is more or less static, the criteria for

covered bonds are dynamic, and this can lead to a change in their allocation

to a particular Level category over time. Here, compliance with the transpar-

ency criteria is proving to be a particularly critical point in practice, as this

entails the investor having to carry out a time-consuming check on a semi-

annual basis. Although, Bloomberg, for instance, provides an assessment of

the Level category and provides data relating to the cover pool, we believe

that this data turns out to be incorrect in quite a number of cases. Moreover,

we believe the pool reports are not being subject to checks for completeness

of data pursuant to 129 (7) CRR.

Review of all pool reports In this study, we have therefore examined all of the pool reports for data

completeness on the basis of Article 129 (7) and have used this together

with additional criteria, such as the rating, to reach an assessment of the

Level category. In the first overview, we have only looked at issuer level and

provided an assessment of benchmark issues. Although there are isolated

cases in which the reporting complies with the transparency criteria under

CRR 129 (7), but does not comply with further characteristics such as the

existence of the Covered Bond Law. In case an issuer maintains further

programs, it was assumed that from this benchmark issues can be also po-

tentially emitted. There is also a link here to the pool reports. It is then up to

the investor to reach an assessment for a particular ISIN together with the

flow chart (see page 6). The second overview shows the eligibility of all

bonds included in the iBoxx Euro Covered index based on the LCR criteria.

Shortcomings in reporting Our review of the individual pool reports revealed that it was not possible to

find a report for each and every pool of an issuer. In such cases, the issuer's

covered bonds do not qualify for the LCR portfolio. Similarly, where there

was a pool report but it did not include all of the information required under

Article 129 (7), the bonds cannot be used as part of the LCR.

Ratings from four rating

agencies taken into account

To be able to allocate the assets clearly to a Level category, we did not just

use the ratings from Fitch, Moody's and S&P, but also included the less

widespread rating from DBRS in order to reach an objectively accurate as-

sessment under the LCR. In some cases, the use of a fourth rating agency

resulted in a different allocation to that produced on the basis of the ratings

from Fitch, Moody's and S&P alone.



Seite 4 von 38

Classification Overview

Level 1 assets (minimum of 60% of liquidity buffer; min. 30% excl. covered bonds)

Minimum haircut

(for shares or units in CIUs)

(a) Coins and bank notes - (-)

(b) Following exposures to central banks: - (-)

(i) Assets representing claims on or guaranteed by the ECB or an EEA Member State’s central

bank

(ii) Assets representing claims on or guaranteed by central banks of third countries, minimum

rating of AA-

(iii)

Reserves held by the credit institution in a central bank referred to in (i) and (ii) provided that

the credit institution is permitted to withdraw such reserves at any time during stress periods

and the conditions for such withdrawal have been specified in an agreement between the rele-

vant competent authority and the ECB or the central bank

(c) Assets representing claims on or guaranteed by the following central or regional governments, local

authorities or public sector entities (PSEs): - (-)

(i) Central government of an EEA Member State

(ii) Central government of a third country; minimum rating of AA-

(iii)

Regional governments or local authorities in an EEA Member State, provided that they are

treated as exposures to the central government of the EEA Member State (i.e., risk weight of

0%)

(iv)

Regional governments or local authorities in a third country of the type referred to in (ii), pro-

vided that they are treated as exposures to the central government of the third country (i.e.,

same risk weight as central government [0%])

(v)

PSEs provided that they are treated as exposures to the central government of an EEA Mem-

ber State or to one of the regional governments or local authorities referred to in (iii) (i.e.,

same risk weight of 0%)

(d) Assets representing claims on or guaranteed by the central government or the central bank of a

third country with a lower rating than AA- under certain conditions (see following pages) - (-)

(e) Assets issued by credit institutions which meet at least one of the following requirements: - (-)

(i)

Incorporated or established by the central government of an EEA Member state or the region-

al government or local authority in an EEA Member State, the government or local authority is

under the legal obligation to protect the economic basis of the credit institution and maintain

its financial viability throughout its life-time and any exposure to that regional government or

local authority, if applicable, is treated as an exposure to the central government of the EEA

Member State (i.e., risk weight of 0%);

(ii) the credit institution is a promotional lender as defined in the paragraph (see following pages)

(f) Qualifying EEA Covered Bonds; min. EUR 500m, CB-Rating: min. AA-

(maximum of 70% of liquidity buffer) 7% (12%)

(g)

Assets representing claims on or guaranteed by the multilateral development banks and the interna-

tional organisations referred to in Articles 117(2) and 118, respectively, of Regulation (EU) No.

575/2013.

- (-)

Source: NORD/LB Fixed Income Research



Seite 5 von 38

Level 2A assets (maximum of 40% of liquidity buffer)

Minimum haircut


(a) Assets representing claims on or guaranteed by regional governments, local authorities or PSEs in

an EEA Member State, where exposures to them are assigned a risk weight of 20% 15% (20%)

(b)

Assets representing claims on or guaranteed by the central government or the central bank of a

third country or by a regional government, local authority or PSE in a third country, where expo-

sures to them are assigned a risk weight of 20%

15% (20%)

(c) Qualifying EEA covered bonds (not reaching Level 1B) 15% (20%)

(d) Qualifying covered bonds issued by credit institutions in third countries 15% (20%)

(e) Corporate debt securities which meet all of the following requirements: 15% (20%)

(i) minimum rating of at least AA- or equivalent in event of a short term credit assessment

(ii) issue size of at least EUR 250m or equivalent in domestic currency

(iii) maximum time to maturity of the securities at the time of issuance is 10 years

Level 2B assets (maximum of 15% of liquidity buffer)

Minimum haircut


(a) Exposures in the form of ABS under certain conditions 25-35%

(30-40%)

(b) Corporate debt securities which meet all of the following requirements: 50% (55%)

(i) minimum rating of at least BBB- or equivalent in event of a short term credit assessment

(ii) issue size of at least EUR 250m or equivalent in domestic currency

(iii) maximum time to maturity of the securities at the time of issuance is 10 years

(c) Shares, provided that they meet certain conditions 50% (55%)

(d) Restricted-use committed liquidity facilities provided by the ECB, the central bank of an EEA Mem-

ber State or a third country, under certain conditions -

(e) Qualifying EEA covered bonds (no rating restriction) 30% (35%)

(f) Only for religiously observant credit institutions: certain non-interest bearing assets 50% (55%)

Source: NORD/LB Fixed Income Research



Seite 6 von 38

Classification of Covered Bonds

Classification as Level 1B,

Level 2A or Level 2B is

possible

Covered bonds can be classified as Level 1 assets, depending on the

fulfilment of various criteria under the LCR regulation. Due to specific

restriction we regard them as category 1B. It is allowed to account for a

maximum share of 70% of the total portfolio and assets will be subject to a

haircut of at least 7%. Furthermore, investors need to bear in mind that at

least 30% of the liquidity portfolio must be composed of Level 1 assets

excluding covered bonds. In the case of category 2A, which applies for

example for covereds from third countries, the maximum share is 40% and

the minimum haircut is 15%. Also covered bonds without a (sufficient) rating

can qualify for the LCR portfolio. These can reach Level 2B under certain

conditions and they are subject to a maximum share of 15% and a minimum

haircut of 30%. Covered bonds that do not fulfil the necessary criteria cannot

be used as assets within the LCR portfolio.

LCR classification of covered bonds

EEA

Yes

No

Art. 52(4) UCITS or

Art. 129(4),(5) CRR

Art. 129 (1c),(7) CRR

CQS 1 (min. AA-; 10%

RW)

Issue size:≥ € 500m

OC:min. 2%

Level 1B

National law & special public supervision

Art. 129 (1c),(7) CRR

Assets according to Art. 129

(1b,d(i),f(i),g) CRR

CQS 1 (min. AA-; 10%

RW)


OC:min. 2%

Level 2A

Not eligible

Not eligible

CQS 2 (min. A-; 20%

RW)

Not eligible

Level 2A

Not eligible

Level 2A


OC:min. 2%


OC:min. 7%

Level 2AOC:

min. 7%

Level 2BArt. 129 (7) CRR quarterly


Assets according to Art. 129

(1a,d(i),e) CRR

OC: min. 10%; monthly

disclosure

Exposures qualify max. 35% RW (Art. 125 CRR)

Source: NORD/LB Fixed Income Research Green line = condition met; red line = condition not met



Seite 7 von 38

Various criteria need

to be checked

The chart above shows the process for checking LCR classification. Various

criteria have to be checked that will initially determine whether the covered

bond has been issued by an institution in a Member State or not. A covered

bond of an issuer outside the EEA can at most achieve a Level 2A

classification. However, in the case of EEA covered bonds non-fulfilment of

a criterion does not always lead to direct exclusion from the LCR calculation.

Thus, in case of doubt, Level 1B is no longer attainable, but Level 2A or 2B

can still be achieved. The individual criteria are explained briefly below. For

a detailed description we recommend consulting the respective legal texts or

directives.

Art. 52 (4) UCITS/

Art. 129 (4), (5) CRR

Covered bonds from EEA Member States must qualify for treatment under

Article 52 (4) of the UCITS Directive or under Article 129 (4), (5) of the

Capital Requirements Regulation (CRR) in order to be approved. Article 52

(4) UCITS defines requirements for bonds, according to which investment

funds are allowed to hold a higher proportion of securities in the fund assets

if certain conditions are met:

i) Issuer is based in the European Economic Area

ii) Issuer is subject to special public supervision

iii) Proceeds from the issue of bonds shall be invested in assets which,

during the whole period of validity of the bonds, are capable of

covering claims attaching to the bonds

iv) Assets are primarily used to reimburse the creditors of the bond in

the event that the issuer defaults

However, paragraphs 4 and 5 of Article 129 CRR describe the preferred risk

weights for covered bonds. To qualify for preferential treatment they must be

secured by specific cover assets [Art. 129 (1) CRR] and satisfy various

transparency requirements [Art. 129 (7) CRR]. If a covered bond from the

EEA does not meet the requirements for Art. 52 (4) UCITS or for Art. 129 (4),

(5) CRR, it is not admissible for the LCR.

Art. 129 (7) CRR Art. 129 (7) CRR describes transparency requirements that have to be met

in each case. It requires at least half-yearly information about the cover pool

and outstanding covered bonds:

i) Volume of the cover pool and the outstanding bonds

ii) Geographical distribution, borrower types, loan size, interest rate

and currency risks

iii) Maturity structure of the cover assets and the covered bonds

iv) Percentage of loans overdue by more than ninety days

Investors in covered bonds must be able to verify that these criteria are met.

This applies to both covered bonds from the EEA and from third countries.

For bonds with no (sufficient) rating the information must be provided at least

on a quarterly basis in order to qualify for Level 2B.



Seite 8 von 38

Art. 129 (1c) CRR Art. 129 (1c) CRR is part of the requirements for the admissible cover

assets. Specifically it relates to substitute cover assets in the form of

exposures to credit institutions. These are limited to a maximum share of

15%. Exposures to institutions are generally allowed if they meet CQS 1.

Exposures to institutions within the EU with a maturity not exceeding 100

days may also qualify if only CQS 2 is met. Both covered bonds from the

EEA and third countries must comply with this rule to qualify for LCR

eligibility. For Level 2B assets this requirement has been waived since they

are anyway not applicable due to the stricter requirements on eligible cover

assets.

CQS 1/CQS 2 The next criterion is the covered bond rating, which is classified according to

credit quality steps (CQS). These are based on the assessment of a

recognised ECAI (External Credit Assessment Institution) according to the

following table. A CQS 1 is mandatory for classification as Level 1B and a

CQS 2 is sufficient for Level 2A. Bonds with lower ratings (or none at all) can

still qualify for Level 2B meeting certain requirements. For covered bonds

from third countries on the other hand a CQS 1 is mandatory in any case.

Mapping CQS and risk weights according to Article 129 (4) CRR

Credit Quality Step

Fitch/S&P CB rating

Moody’s CB rating

Preferred SACR risk weight

1

1 AAA to AA- Aaa to Aa3 10%

2 A+ to A- A1 to A3 20%

3 BBB+ to BBB- Baa1 to Baa3 20%

4 BB+ to BB- Ba1 to Ba3 50%

5 B+ to B- B1 to B3 50%

6 CCC+ and worse Caa1 and worse 100%

Source: CEBS, CRR, NORD/LB Fixed Income Research 1 Provided Art. 52 UCITS and Art. 129 CRR are met and a long term credit assessment has been obtained from an ECAI.

Issue Size To attain Level 1B covered bonds from the EEA require a minimum issuance

volume of EUR 500m (or corresponding volume in foreign currency). If the

volume is below this limit, but at least EUR 250m, level 2A can still be

achieved. Level 2B assets are subject to a minimum issue size of EUR

250m as well. However, for bonds from third countries no minimum issuance

volume has been set, which we think will benefit smaller issues (e.g. private

placements). Nevertheless, if these issues have a volume of at least EUR

500m, they benefit from a smaller requirement for minimum

overcollateralisation.

OC To qualify for the LCR calculation a minimum overcollateralisation (asset

coverage requirement) is necessary. For covered bonds from the EEA that

comply with CQS 1 it is at least 2%. If the bond only reaches CQS 2 (and the

issuance volume is at least EUR 250m), the requirement increases to 7%.

Without (sufficient) rating the requirement increases to 10% and the issuer is

obliged to publish a disclosure about meeting the requirement at least

monthly. Covered bonds from third countries only benefit from a low

requirement of 2% if the issuance volume is at least EUR 500m. Otherwise

they must have a minimum overcollateralisation of 7%.



Seite 9 von 38

Art. 125 CRR EEA covered bonds for which the rating lies below CQS 2 (or which do not

have a rating) must have a cover pool consisting of assets which allow for a

risk weight of 35% or lower. Thereby, Art. 125 CRR assigns a risk weight of

35% to exposures which are completely secured by mortgages on

residential property which is or shall be occupied or let by the owner. The

owner can be a tenant under a property leasing transaction given that he

has an option to purchase the object.

Non-EAA bonds and Art. 129

CRR

The requirement for compliance with Art. 52 (4) UCITS and/or Art. 129 (4),

(5) CRR does not apply to covered bonds issued by credit institutions

outside the EEA, but they still have to meet the corresponding criteria. The

issues must therefore be embedded in national legislation that, for example,

defines that the issuer must be a credit institution (or subsidiary) and have a

cover pool to which creditors have a direct preferential claim. Special public

supervision must also take place. Thereby, the regulatory requirements and

supervisory obligations must at least conform to those within the EU. In

addition, the cover assets used must comply with Art. 129 (1) CRR. The

approved mortgage-based collateral includes residential property (max. 80%

LTV); commercial property (max. 60% LTV; in exceptional cases also up to

70%); guaranteed French property loans (max. 80% LTV) and maritime liens

on ships (max. 60% LTV). The following, for example, qualify as public-

sector collateral: exposures to central governments, central banks that are

members of the European System of Central Banks, public sector entities or

regional and local authorities within the EEA as well as loans guaranteed by

these entities. Exposures to central governments of third countries, central

banks of third countries, multilateral development banks and international

organisations in CQS 1 are admissible as well. In addition, provided certain

criteria are met, also exposures to public sector entities or regional and local

authorities of third countries or exposures which are guaranteed by them

qualify. Exposures to institutions with CQS 1 up to 15% of the nominal

amount of the outstanding covered bonds and exposures to EU institutions

with a maturity not exceeding 100 days and meeting CQS 2 also are eligible.



Seite 10 von 38

Regulatory Classification: Issuers (Benchmarks)

Australia Link Law Rating

Fitch/Moody’s/S&P/DBRS OC 129 (7)

LCR-

Level

Australia and New Zealand Banking Group Mortgage Y AAA / Aaa / - / - 32.8% Y 2a

Commonwealth Bank of Australia Mortgage Y AAA / Aaa / - / - 14.3% Y 2a

Macquarie Bank Mortgage Y AAA / Aaa / - / - 156.0% Y 2a

National Australia Bank Mortgage Y AAA / Aaa / - / - 35.7% Y 2a

Westpac Banking Corporation Mortgage Y AAA / Aaa / - / - 20.8% Y 2a

Austria Link Law Rating


LCR-

Level

BAWAG P.S.K. Mortgage Y - / Aaa / - / - 182.0% Y 1

Erste Group Bank Mortgage Y - / Aaa / - / - 33.0% Y 1

Public Sector Y - / Aaa / - / - 111.0% Y 1

HYPO NOE Gruppe Bank Mortgage Y - / Aa1 / - / - 62.7% Y 1

Public Sector Y - / Aa1 / - / - 33.4% Y 1

Kommunalkredit Austria (New) Public Sector Y - / Baa3 / - / - 37.5% N -1

Raiffeisenlandesbank Niederösterreich-Wien Mortgage Y - / Aaa / - / - 28.0% Y 1

Public Sector Y - / - / - / - 20.1% Y -

Raiffeisen-Landesbank Steiermark Mortgage Y - / Aaa / - / - 197.0% Y 1

UniCredit Bank Austria Mortgage Y - / Aaa / - / - 63.8% Y 1


Vorarlberger Landes- und Hypothekenbank Mortgage Y - / Aaa / - / - 129.3% Y 1

Belgium Link Law Rating


LCR-

Level

Belfius Bank Mortgage Y AAA / - / AAA / - 32.4% Y 1

Public Sector Y - / Aaa / AAA / - 41.3% Y 1

ING Belgium Mortgage Y AAA / Aaa / - / - 55.1% Y 1

KBC Bank Mortgage Y AAA / Aaa / - / - 63.1% Y 1

Canada Link Law Rating


LCR-

Level

Bank of Montreal Mortgage (Registered)

Y AAA / Aaa / - / AAA 20.2% Y 2a

Bank of Nova Scotia Mortgage (Registered)

Y AAA / Aaa / - / AAA 26.4% Y 2a

Caisse centrale Desjardings du Québec Mortgage (Registered)

Y AAA / Aaa / - / - 17.7% Y 2a

Canadian Imperial Bank Mortgage (Registered)

Y AAA / Aaa / - / - 85.6% Y 2a

National Bank of Canada Mortgage (Registered)

Y AAA / Aaa / - / AAA 86.6% Y 2a

Royal Bank of Canada Mortgage (Registered)

Y AAA / Aaa / - / AAA 56.4% Y 2a

Toronto-Dominion Bank Mortgage (Registered)

Y - / Aaa / - / AAA 77.4% Y 2a

Denmark Link Law Rating


LCR-

Level

Danske Bank Mortgage Pool C

Y AAA / - / AAA / - 27.5% Y 1

Mortgage Pool D

Y AAA / - / AAA / - 14.8% Y 1

Mortgage Pool I

Y AAA / - / AAA / - 14.8% Y 1

http://www.debtinvestors.anz.com/phoenix.zhtml?c=248688&p=debt-coverpool

https://www.commbank.com.au/about-us/group-funding/covered-bonds.html

http://www.macquarie.com/uk/about/investors/debt-investors/secured-funding

http://capital.nab.com.au/popup-disclaimers/securitisation-deal-summaries.phps

http://www.westpac.com.au/about-westpac/investor-centre/fixed-income-investors/wbc-covered-bonds/

https://www.bawagpsk.com/BAWAGPSK/IR/EN/Funding/covered%20bonds/296992/mortage-covered.html

http://www.erstegroup.com/en/Investors/Mortgage_Covered_Bonds

http://www.erstegroup.com/en/Investors/Public_Sector_Covered_Bonds

http://www.hyponoe.at/de/ihre-hypo-noe/investor-relations/pfandbriefe

http://www.hyponoe.at/de/ihre-hypo-noe/investor-relations/pfandbriefe

https://www.kommunalkredit.at/EN/Investor%20Relations/Bondholder%20Information%20%20Fu569/Covered%20Bonds%20(KACB)/Kommunalkredit+Covered+Bonds+(KACB).aspx

http://www.raiffeisenbank.at/eBusiness/01_template1/360904199136826255-629499770519299546-629499940438943537-NA-30-NA.html

http://www.raiffeisenbank.at/eBusiness/01_template1/360904199136826255-629499770519299546-629499940438943537-NA-30-NA.html

http://www.raiffeisen.at/eBusiness/01_template1/1020467385092-850728692530211816_850728852517743900_850729060286787122-850729060286787122-NA-30-NA.html

http://www.bankaustria.at/en/about-us-investor-relations-information-on-bonds-pfandbriefe-covered-bonds-cover-pool-reporting.jsp

http://www.bankaustria.at/en/about-us-investor-relations-information-on-bonds-pfandbriefe-covered-bonds-cover-pool-reporting.jsp

https://www.hypovbg.at/ihre-landesbank/hypo-landesbank-vorarlberg/investor-relations/

https://www.belfius.com/EN/debt-issuance/Belgian-mortgage-pandbrieven-programme/index.aspx

https://www.belfius.com/EN/debt-issuance/Belgian-public-pandbrieven-programme/index.aspx

https://about.ing.be/About-ING/Investor-Information/Investor-Information/Residential-Mortgage-Pandbrieven-Programme.htm

https://www.kbc.com/en/euro-10000000000-residential-mortgage-covered-bonds-programme-issued-kbc-bank-nv?agree=1

http://www.bmo.com/home/about/banking/investor-relations/covered-bonds/registered-monthly-investor-reports

http://www.bmo.com/home/about/banking/investor-relations/covered-bonds/registered-monthly-investor-reports

http://www.scotiabank.com/ca/en/0,,7073,00.html

http://www.scotiabank.com/ca/en/0,,7073,00.html

https://www.desjardins.com/ca/about-us/investor-relations/fixed-income-investors/legislative-covered-bond-program/index.jsp

https://www.desjardins.com/ca/about-us/investor-relations/fixed-income-investors/legislative-covered-bond-program/index.jsp

https://www.cibc.com/ca/investor-relations/debt-info/legislative-covered-bond-program.html

https://www.cibc.com/ca/investor-relations/debt-info/legislative-covered-bond-program.html

https://www.nbc.ca/en/about-us/investors/investor-relations/capital-debt-information/debt/legislative-covered-bonds-program/monthly-investor-reports.html

https://www.nbc.ca/en/about-us/investors/investor-relations/capital-debt-information/debt/legislative-covered-bonds-program/monthly-investor-reports.html

http://www.rbc.com/investorrelations/covered-bonds-terms.html

http://www.rbc.com/investorrelations/covered-bonds-terms.html

http://www.td.com/investor-relations/ir-homepage/debt-information/legislative-covered-bonds/LCBmonthlyreport.jsp

http://www.td.com/investor-relations/ir-homepage/debt-information/legislative-covered-bonds/LCBmonthlyreport.jsp

http://www.danskebank.com/en-uk/ir/Debt/covered-bonds/Pages/Additional-information.aspx








Seite 11 von 38

Finland Link Law Rating


LCR-

Level

Aktia Bank Mortgage Y - / Aaa / - / - 35.1% Y 1

Danske Bank Mortgage Y - / Aaa / - / - 31.0% Y 1

Nordea Bank Finland Mortgage Y - / Aaa / - / - 25.4% Y 1

OP-Pohjola Group Mortgage Y - / Aaa / AAA / - 13.7% Y 1

France Link Law Rating


LCR-

Level

AXA Bank Europe SCF SCF Y AAA / Aaa / - / - 19.6% Y 1

Banque Fédérative du Crédit Mutuel SFH Y AAA / Aaa / AAA / - 35.3% Y 1

BNP Paribas SFH Y AAA / - / AAA / - 21.1% Y 1

SCF Y AA / - / AAA / - 11.1% Y 1

BPCE SFH Y - / Aaa / AAA / - 21.1% Y 1

Banques Populaires Covered Bond

N - / - / AAA / - 29.8% Y -2

Caisse de Refinancement de l'Habitat Mortgage Y AAA / Aaa / - / - 43.2% Y 1

Caisse Française de Financement Local Public Sector Y AA / Aaa / AA+ / - 12.5% Y 1

CIF Euromortgage No reporting found

Y AA / Aa2 / - / - - N -1

Compagnie de Financement Foncier Public Sector Y AA / Aaa / AAA / - 20.5% Y 1

Crédit Agricole SFH Y AAA / Aaa / AAA / - 48.0% Y 1

SCF Y - / Aaa / AAA / - 62.1% Y 1

Crédit Mutuel Arkéa SFH Y - / - / AAA / - 26.1% Y 1

SCF Y - / Aaa / AAA / - 56.7% Y 1

HSBC France SFH Y - / Aaa / AAA / - 31.7% Y 1

La Banque Postale SFH Y - / - / AAA / - 72.0% Y 1

Société Générale SFH Y AAA / Aaa / - / - 14.0% Y 1

SCF Y - / Aaa / AAA / - 27.0% Y 1

Germany Link Law Rating


LCR-

Level

Aareal Bank Mortgage Y AAA / - / - / - 25.8% Y 1

Apobank Mortgage Y - / - / AAA / - 117.8% Y 1

Bayerische Landesbank Mortgage Y AAA / Aaa / - / - 34.7% Y 1

Public Sector Y AAA / Aaa / - / - 41.4% Y 1

Berlin Hyp Mortgage Y AA+ / Aaa / - / - 9.0% Y 1

Public Sector Y AA+ / Aaa / - / - 16.3% Y 1

Commerzbank Mortgage Y AAA / Aaa / - / - 109.1% Y 1


SME N AA / Aa1 / - / - 91.0% Y -2

Deutsche Bank Mortgage Y - / Aaa / - / - 46.2% Y 1

Deutsche Genossenschafts-Hypothekenbank

Mortgage Y - / - / AAA / - 18.9% Y 1

Public Sector Y - / - / AAA / - 15.4% Y 1

Deutsche Hypothekenbank Mortgage Y - / Aa1 / - / - 11.7% Y 1


Deutsche Kreditbank Mortgage Y - / Aaa / - / - 61.1% Y 1


Deutsche Pfandbriefbank Mortgage Y - / Aa1 / - / - 23.1% Y 1


Deutsche Postbank Mortgage Y AAA / - / - / - 57.7% Y 1

Dexia Kommunalbank Public Sector Y - / - / A / - 8.6% Y 2a

HSH Nordbank Mortgage Y - / Aa3 / - / - 7.8% Y 1


Ship Y - / Baa1 / - / - 15.7% Y -3

http://www.aktia.com/en/velkasijoittajat/aktia-bank-cover-pool

http://www.danskebank.fi/en-fi/About/Press/Publications/Pages/InvestorReports.aspx

https://wcms.nordea.com/nordeacom/investor+relations/nordea+bank+finland+covered+bonds/1482752.html

https://www.pohjola.fi/pohjola/investor-relations/debt-investors/op-mortgage-bank/cover-asset-pool?id=334226&srcpl=8&kielikoodi=en

https://www.axabank.be/nl/over-axa-bank/investor-relations-financial-information/covered-bonds

http://www.creditmutuelcic-sfh.com/en/covered-bonds/documentation/index-sfh.html

https://invest.bnpparibas.com/en/debts/bnp-paribas-home-loan-sfh/french-covered-bond-label-reports-home-loan-sfh

https://invest.bnpparibas.com/en/debts/bnp-paribas-public-sector-scf/french-covered-bond-label-reports-public-sector-scf

http://www.bpce.fr/en/Investors/Funding/BPCE-SFH

http://www.bpce.fr/en/Investors/Funding/Banques-Populaires-Covered-Bonds



http://www.crh-bonds.com/Info/ECBC_Label.html

http://caissefrancaisedefinancementlocal.fr/relations-investisseurs/publications/french-covered-bond-label-reporting-template/

http://www.foncier.fr/reporting-ecbc-gb.html

http://www.credit-agricole.com/en/Investor-and-shareholder/Debt/Wholesale-Bond-Issues/CA-Home-Loan-SFH-Covered-Bonds

http://www.credit-agricole.com/en/Investor-and-shareholder/Debt/Wholesale-Bond-Issues/CA-Public-Sector-SCF-Covered-Bonds

http://www.arkea.com/banque/assurance/credit/mutuel/ecb_5039/en/home-loans-sfh?isAccepte=1&ty=1447340834371

http://www.arkea.com/banque/assurance/credit/mutuel/ecb_5040/en/public-sector-scf

http://www.about.hsbc.fr/fr-fr/investor-relations/hsbc-sfh-france

https://www.labanquepostale.fr/corporate_eng/investors/Debt/LBP_Home-Loan-SFH/LBP_Home-Loan-SFH.html

http://www.societegenerale.com/en/measuring-our-performance/investors/debt-investors

http://www.societegenerale.com/en/measuring-our-performance/investors/debt-investors

http://www.aareal-bank.com/nc/en/money-and-capital-market/pfandbriefe/publications-in-line-with-section-28-german-pfandbrief-act/2015/

https://www.apobank.de/ueber-uns/investor-relations-en/financial-publications/publications-according-to-28-PfandBG.html

http://www.bayernlb.de/internet/en/content/metanav/investor_relations/veroeffentlich_1/reports_gem.__28_pfandbg/reports.jsp

http://www.bayernlb.de/internet/en/content/metanav/investor_relations/veroeffentlich_1/reports_gem.__28_pfandbg/reports.jsp

http://www.berlinhyp.de/en/for-capital-market-investors/%c2%a7-28-pfandbrief-act.html

http://www.berlinhyp.de/en/for-capital-market-investors/%c2%a7-28-pfandbrief-act.html

https://www.commerzbank.de/en/hauptnavigation/aktionaere/informationen_f_r_fremdkapitalgeber/deckungsregister/transparenzangaben.html

https://www.commerzbank.de/en/hauptnavigation/aktionaere/informationen_f_r_fremdkapitalgeber/deckungsregister/transparenzangaben.html

https://www.commerzbank.de/en/hauptnavigation/aktionaere/informationen_f_r_fremdkapitalgeber/emissionsprogramme/sme_structured_covered_bond_programme/sme_programm_germany.html

https://www.db.com/ir/en/mortgage-pfandbriefe.htm#tab_transparency-provisions-according-to-28-pfandbg

https://www.dghyp.de/de/paragraph28/

https://www.dghyp.de/de/paragraph28/

http://www.deutsche-hypo.de/en/capital-market/information-pfandbrief-act

http://www.deutsche-hypo.de/en/capital-market/information-pfandbrief-act

https://www.dkb.de/groups/investor_relations/deckungsstock/index.html

https://www.dkb.de/groups/investor_relations/deckungsstock/index.html

https://www.pfandbriefbank.com/en/debt-instruments/the-pfandbrief/publications-according-to-28-pfandbrief-act.html

https://www.pfandbriefbank.com/en/debt-instruments/the-pfandbrief/publications-according-to-28-pfandbrief-act.html

https://www.postbank.com/postbank/en/ir_ratings_income_collateral_pool.html

http://www.dexia.de/investor-relations/berichte/veroeffentlichungen-gemaess-28-pfandbg.html

http://www.hsh-nordbank.de/en/investorrelations/funding/pfandbriefinfos/angabengem28pdanfbg/pfandbriefinformationen_3.jsp





Seite 12 von 38

Germany Link Law Rating


LCR-

Level

Hypothekenbank Frankfurt Mortgage Y - / Aaa / - / - 20.5% Y 1


ING-DiBa Mortgage Y - / Aaa / - / - 209.5% Y 1

Landesbank Baden-Württemberg Mortgage Y - / Aaa / - / - 65.3% Y 1


Landesbank Hessen-Thüringen Mortgage Y AAA / - / - / - 39.3% Y 1


Münchener Hypothekenbank Mortgage Y - / Aaa / - / - 9.4% Y 1


Norddeutsche Landesbank Mortgage Y - / Aaa / - / - 50.9% Y 1


Aircraft Y - / Aa3 / - / - 26.5% Y 1

Sparkasse KölnBonn Mortgage Y - / Aaa / - / - 28.6% Y 1

UniCredit Bank Mortgage Y AAA / Aaa / - / - 54.9% Y 1

Public Sector Y AAA / Aaa / AAA / - 36.8% Y 1

WL BANK Mortgage Y - / - / AAA / - 10.1% Y 1

Public Sector Y - / - / AAA / - 13.2% Y 1

Ireland Link Law Rating


LCR-

Level

Allied Irish Banks Mortgage Y A+ / Aa1 / AA+ 94.0% Y 1

Bank of Ireland Mortgage Y - / Aa1 / - / AAL 68.0% Y 1

Depfa Bank Public Sector Y - / Aa2 / - / - 8.9% N -1

Italy Link Law Rating


LCR-

Level

Banca Carige Mortgage Y BBB- / Ba1 / - / - 53.2% Y -4

Banca Monte dei Paschi di Siena Mortgage Y BBB / A2 / - / AH 40.4% N -1

Banca Popolare dell´Emilia Romagna Mortgage Y - / A1 / - / - 20.6% Y 2a

Banca Popolare di Milano Mortgage Y - / A2 / - / - 7.5% Y 2a

Banco Popolare Mortgage Y BB+ / A2 / - / A 29.8% Y 2a

Cariparma Mortgage Y - / Aa2 / - / - 62.6% Y 1

Credito Emiliano Mortgage Y A+ / Aa2 / - / - 71.8% Y 2a

Intesa Sanpaolo Mortgage Y - / Aa2 / - / - 10.8% Y 1

Mediobanca Mortgage Y A+ / - / A / - 39.6% N -1

UBI Banca Mortgage Y - / Aa2 / - / AAL 36.4% Y 1

UniCredit Mortgage Y AA / Aa2 / A / - 41.4% Y 1

Mortgage (CPT)

Y AA+ / - / - / - 92.1% Y 1

Luxembourg Link Law Rating


LCR-

Level

Commerzbank Finance & Covered Bond Public Sector Y - / - / - / - 13.1% N -

NORD/LB Luxembourg Covered Bond Bank Public Sector Y AAA / - / AA- / - 25.6% Y 1

Netherlands Link Law Rating


LCR-

Level

ABN AMRO Bank Mortgage Y AAA / Aaa / AAA / - 35.9% Y 1

AEGON Mortgage (CPT)

Y AAA / - / AAA / - 19.4% Y 1

F. van Lanschot Bankiers Mortgage (CPT)

Y AAA / - / AAA / - 25.3% Y 1

ING Bank Mortgage Y AAA / Aaa / AAA / - 33.2% Y 1

NIBC Bank Mortgage (CPT)

Y AAA / - / AAA / - 25.1% Y 1

SNS Bank Mortgage Y AAA / Aaa / - / - 47.9% Y 1

https://www.hypothekenbankfrankfurt.com/de/hauptnavigation/investor_relations/pflichtveroeffentlichungen/transparenzvorschriften/ag_geschaeftsberichte_4.html

https://www.hypothekenbankfrankfurt.com/de/hauptnavigation/investor_relations/pflichtveroeffentlichungen/transparenzvorschriften/ag_geschaeftsberichte_4.html

https://www.ing-diba.de/ueber-uns/unternehmen/investor-relations/investor-relations-en/#!126694

http://www.lbbw.de/en/investor_relations/refinanzierung/refinanzierung.jsp?tabOpen=a_seitenheader_1

http://www.lbbw.de/en/investor_relations/refinanzierung/refinanzierung.jsp?tabOpen=a_seitenheader_1

https://www.helaba.de/en/DieHelaba/InvestorRelations/Funding/Investorenpraesentation

https://www.helaba.de/en/DieHelaba/InvestorRelations/Funding/Investorenpraesentation

https://www.muenchenerhyp.de/en/investors/poolsOfCoverage/index.html

https://www.muenchenerhyp.de/en/investors/poolsOfCoverage/index.html

https://www.nordlb.com/legal-information/legal-notices/28-covered-bond-act/



https://www.sparkasse-koelnbonn.de/13_englisch/investment-banking/asset-liability-management/pfandbriefe/index.php?n=%2F13_englisch%2Finvestment-banking%2Fasset-liability-management%2FPfandbriefe%2F

https://investors.hypovereinsbank.de/cms/german/investorrelations/emissions/pfandbrief.html

https://investors.hypovereinsbank.de/cms/german/investorrelations/emissions/pfandbrief.html

http://www.wlbank.de/54-Investor-Relations/294-Transparency-Requirements/470--%A7-28-German-Pfandbrief-Act.html

http://www.wlbank.de/54-Investor-Relations/294-Transparency-Requirements/470--%A7-28-German-Pfandbrief-Act.html

http://investorrelations.aib.ie/debt-investor/mortgage-bank

https://www.bankofireland.com/about-bank-of-ireland/investor-relations/debt-investors/mortgage-pool-data/?t=1412931203?t=1447343965

http://www.depfa.com/acs-bank/investor-presentation

http://www.gruppocarige.it/gruppo/html/eng/investor_relations/covered_bonds.htm

https://www.mps.it/investors/investor-relations/emissioni/Pagine/MPS-emissioni-internazionali.aspx

http://www.bper.it/wps/bper/banca/bper_istzbper_content/sitoit/homepage/investor-relations/covered-bonds/

http://www.gruppobpm.it/it-ist/investor-relations/prodotti-finanziari/covered-bond-quarterly.html?anno=2015

http://www.gruppobancopopolare.it/en/investor-relations/fixed-income/covered-bond-programme-2/

http://www.gruppocariparma.it/documentazione-primo-programma-di-emissioni

http://www.credem.it/Investor_Relations/covered_bonds_primo/Pagine/CoveredBonds_1progr.aspx

http://www.group.intesasanpaolo.com/scriptIsir0/si09/investor_relations/eng_prospetti.jsp

http://www.mediobanca.it/en/investor-relations/covered-bond.html

http://www.ubibanca.it/pagine/Covered-Bond-Investors-Report-10-bln-Programme-issued-in-2009_2.aspx

https://www.unicreditgroup.eu/en/investors/funding-and-ratings/programs/covered-bonds.html



http://www.eepk.lu/myWeb/content/www/EEPK/home/home,lang=DE.html

http://www.nordlb.lu/online/www/menu_top/invrel/35/ENG/index.html

https://www.abnamro.com/en/investor-relations/debt-investors/covered-bonds/index.html

http://www.aegon.com/en/Home/Investors/Managing-capital/Debt-Programs/Covered-bond/Documents-incorporated-by-reference/

http://www.aegon.com/en/Home/Investors/Managing-capital/Debt-Programs/Covered-bond/Documents-incorporated-by-reference/

https://corporate.vanlanschot.nl/cptcbp

https://corporate.vanlanschot.nl/cptcbp

http://www.ing.com/Investor-relations/Fixed-income-information/ING-Debt-securities/Debt-securities-ING-Bank-N.V..htm

https://www.assetbacked.nl/transactions/covered-bond/nibc-covered-bond-programme/nibc-conditional-pass-through-covered-bond-programme.html

https://www.assetbacked.nl/transactions/covered-bond/nibc-covered-bond-programme/nibc-conditional-pass-through-covered-bond-programme.html

https://www.snsbanknv.nl/en/investor-relations/debt-information/covered-bond-programme/monthly-reports-cb-programme



Seite 13 von 38

New Zealand Link Law Rating


LCR-

Level

ANZ Bank New Zealand Mortgage Y AAA / Aaa / - / - 121.1% Y 2a

ASB Bank Mortgage Y AAA / Aaa / - / - 72.0% Y 2a

Bank of New Zealand Mortgage Y AAA / Aaa / - / - 20.0% Y 2a

Westpac New Zealand Mortgage Y AAA / Aaa / - / - 17.8% Y 2a

Norway Link Law Rating


LCR-

Level

DNB Bank Mortgage (Boligkreditt)

Y - / Aaa / AAA / - 40.0% Y 1

Eika Boligkreditt Mortgage Y - / Aa1 / - / - 10.1% Y 1

SpareBank 1 Mortgage (Boligkreditt)

Y AAA / Aaa / - / - 10.4% Y 1

Sparebanken Vest Mortgage (Boligkreditt)

Y - / Aaa / - / - 8.9% Y 1

SR-Boligkreditt Mortgage Y - / Aaa / - / - 12.9% Y 1

Portugal Link Law Rating


LCR-

Level

Banco Comercial Portugues (Millennium bcp)

Mortgage Y BBB- / Baa1 / - / AL 31.6% Y -

4

Banco Santander Totta Mortgage Y A- / A1 / - / A 17.9% Y 2a

Caixa Geral de Depósitos Mortgage Y BBB / A3 / - / A 51.4% Y 2a

Spain Link Law Rating


LCR-

Level

ABANCA (NCG Banco) No reporting found

Y BBB+ / Baa3 / A /

AH - N -

1

Banco de Sabadell Mortgage Y - / Aa2 / - / AAL 151.6% Y 1

Banco Mare Nostrum Mortgage Y BBB+ / - / - / - 117.1% Y -4

Banco Popular Mortgage Y - / Aa2 / - / AA 184.2% Y 1

Banco Santander Mortgage Y AA / Aa2 / - / - 174.2% Y 1

Public- No reporting found

Y - / Aa2 / - / - - N -1

Bankia Mortgage Y A / A1u / A+ / AA 106.0% Y 2a

Bankinter Mortgage Y - / Aa2 / A+ / - 142.6% Y 2a

BBVA Mortgage Y - / Aa2 / A+ / AAL 156.9% Y 1

CaixaBank Mortgage Y - / Aa2 / A+ / AAL 150.5% Y 1


Caja Rural Castilla-La Mancha Mortgage Y - / Aa2 / - / - 298.4% Y 1

Caja Rural de Navarra Mortgage Y - / Aa2 / - / - 143.2% Y 1

Cajas Rurales Unidas No reporting found

Y BBB / - / A- / AH - N -1

Catalunya Banc No reporting found

Y - / A2 / A+ / - - N -1

Deutsche Bank S.A.E. Mortgage Y - / Aa2 / A+ / - 33.0% Y 2a

Kutxabank Mortgage Y - / Aa2 / A+ / - 254.5% Y 2a

Santander Consumer Finance No reporting found

Y - / Aa2 / - / - - N -1

Unicaja Banco Mortgage Y - / A1 / - / - 101.2% Y 2a

http://www.anz.co.nz/investor-summary-reports/default.asp

https://www.asb.co.nz/Business/-Covered-Bond-Programme

http://bnzif.com/cb-investor-reporting/

http://www.westpac.com.au/about-westpac/investor-centre/fixed-income-investors/wsnzl-secured-funding/

https://www.dnb.no/en/about-us/investor-relations/funding.html

https://www.dnb.no/en/about-us/investor-relations/funding.html

http://eikabk.no/investorrelations/coverpool

https://spabol.sparebank1.no/coverpool/non-us-report-archive

https://spabol.sparebank1.no/coverpool/non-us-report-archive

https://www.spv.no/om-oss/investor-relations/sparebanken-vest-boligkreditt/investor-information/

https://www.spv.no/om-oss/investor-relations/sparebanken-vest-boligkreditt/investor-information/

https://www.sparebank1.no/en/sr-bank/about-us/investor/financial-info/sr-boligkreditt.html#/

http://ind.millenniumbcp.pt/en/Institucional/investidores/Pages/CoveredBondsProgramme.aspx

https://www.santandertotta.pt/pt_PT/Investor-Relations/Emissão-de-Divida/2015.html

https://www.cgd.pt/English/Investor-Relations/Investor-Information/Announcements/Investor-Reports/Pages/Investor-Reports.aspx

https://www.grupbancsabadell.com/en/XTD/INDEX/?url=/en/INFORMACION_ACCIONISTAS_E_INVERSORES/INFORMACION_FINANCIERA/EMISIONES_Y_FOLLETOS/?menuid=39324&language=en

https://www.bmn.es/servlet/Satellite?c=BMN_Generico_FP&cid=1269872169366&enlInt=si&idFamilia=1262692270378&idSubFamilia=1269872167606&idioma=ES&pagename=BMN_/BMN_Generico_FP/BMN_GenericoDosColumnasDetalle&seccion=Particulares&sitename=BMN

http://www.grupobancopopular.com/EN/InvestorRelations/FixedIncomeandRatings/Paginas/PresentacionesRentaFija.aspx

http://www.santander.com/csgs/Satellite/CFWCSancomQP01/en_GB/Corporate/Investor-Relations/Presentations/Fixed-Income-Presentations.html

http://www.bankia.com/en/cargarAplicacionEmision.do?idCategoria=36&csrfToken=3928A508D564D8FAF3C91C084E8782AC

https://webcorporativa.bankinter.com/www2/corporativa/en/inf_financiera_cnmv/informacion_financiera/emisiones_cedulas

http://shareholdersandinvestors.bbva.com/TLBB/tlbb/bbvair/ing/investors/issues/cedulas/index.jsp

http://www.caixabank.com/inversoresinstitucionales/inversoresrentafija_en.html

http://www.caixabank.com/inversoresinstitucionales/inversoresrentafija_en.html

https://www.cajaruralcastillalamancha.es/institucional/inversores

http://www.cajarural.com/rurales/3008/V02/acceso_ingles/information_for_investors.html

https://www.db.com/ir/en/cedulas-hipotecarias.htm#tab_additional-information

http://www.kutxabank.com/cs/Satellite/kutxabank/en/investor_relations/fixed_income/mortgage_portfolio

https://www.unicaja.es/PortalServlet?pag=1111062955156.1412772146897&M1=infocorporativa-inversores&M2=emisiones&M3=colateral-cedulas-hipotecarias



Seite 14 von 38

Sweden Link Law Rating


LCR-

Level

LF Bank Mortgage Y - / Aaa / AAA / - 37.0% Y 1

Nordea Bank / Nordea Hypotec Mortgage Y - / Aaa / AAA / - 61.0% Y 1

SBAB Bank Mortgage Y - / Aaa / - / - 24.9% Y 1

SEB Mortgage Y - / Aaa / - / - 55.0% Y 1

Svenska Handelsbanken Mortgage (Swedish Pool)

Y - / Aaa / - / - 13.3% Y 1

Mortgage (Norwegian Pool)

Y - / Aaa / - / - 8.4% Y 1

Swedbank Mortgage Y - / Aaa / AAA / - 57.9% Y 1

Switzerland Link Law Rating


LCR-

Level

Credit Suisse Mortgage N AAA / Aaa / - / - 30.0% Y -2

UBS Mortgage N AAA / Aaa / - / - 25.2% Y -2

United Kingdom Link Law Rating


LCR-

Level

Bank of Scotland Mortgage Y AAA / Aaa / AAA / - 30.0% Y 1

Barclays Mortgage Y AAA / Aaa / AAA / - 56.0% Y 1

Bradford & Bingley Mortgage Y AA+ / Aa1 / AA+ / - 210.7% N -1

Coventry Building Society Mortgage Y AAA / Aaa / - / - 46.2% Y 1

Lloyds Bank Mortgage Y AAA / Aaa / - / - 34.1% Y 1

Nationwide Building Society Mortgage Y AAA / Aaa / AAA / - 53.0% Y 1

Royal Bank of Scotland Mortgage Y AAA / Aaa / - / - 88.1% Y 1

Santander UK / Abbey National Mortgage Y AAA / Aaa / AAA / - 43.8% Y 1

Yorkshire Building Society Mortgage Y AAA / Aaa / - / - 59.6% Y 1

United States of America Link Law Rating


LCR-

Level

Bank of America No reporting found

N AA / Aa2 / A / - - N -2

JPMorgan Chase & Co. Mortgage N AA+ / - / A+ / - 55.5% Y -2

Source: Issuer, LCR Delegated Act, CRR, Fitch, Moody’s, S&P, DBRS, Bloomberg, NORD/LB Fixed Income Research 1 129 (7) not fulfilled;

2 not based on a covered bond law;

3 Ships no eligible asset class for Level 2b;

4 potential Level 2b but no monthly

disclosure found or no information about risk weight of assets;

http://www.lansforsakringar.se/stockholm/om-oss/in-english/lansforsakringar-hypotek/cover-pool/

https://wcms.nordea.com/sitemod/Modules/FlexPage/FlexPage.aspx?pid=978902&rw=1

https://www.sbab.se/1/in_english/investor_relations/scbc_covered_bond_funding/national_template/national_template.html

http://sebgroup.com/investor-relations/debt-investors/covered-bonds

http://handelsbanken.se/shb/INeT/IStartSv.nsf/FrameSet?OpenView&iddef=&navid=Investor_Relations_En&sa=/Shb/Inet/ICentSv.nsf/Default/qADC2AA969D13E5F7C1257650003A5725






https://www.swedbank.com/investor-relations/debt-investor/funding/covered-bonds/cover-pool/index.htm

https://www.credit-suisse.com/ch/en/about-us/investor-relations/information-for-debt-investors/covered-bonds.html

https://www.ubs.com/global/en/about_ubs/investor_relations/debt/covered_bonds.html

http://www.lloydsbankinggroup.com/Investors/debt-investors/covered-bonds/

https://www.home.barclays/prospectuses-and-documentation/secured-funding-documentation/covered-bonds.html

http://www.bbg.co.uk/corporate/financial-information/debt-investors/covered-bonds

http://www.coventrybuildingsociety.co.uk/your-society/treasury/Covered-Bonds-Agree.aspx

http://www.lloydsbankinggroup.com/Investors/debt-investors/covered-bonds/

http://www.nationwide.co.uk/about/investor-relations/funding-programmes/covered-bond-report#xtab:2015-reports

http://www.investors.rbs.com/fixed-income-investors/covered-bonds.aspx

http://www.santander.co.uk/uk/about-santander-uk/debt-investors/abbey-covered-bonds?p_p_id=W033_Notification_WAR_W033_Notificationportlet&p_p_lifecycle=1&p_p_state=normal&p_p_mode=view&p_p_col_id=column-2&p_p_col_count=4&_W033_Notification_WAR_W033_Notificationportlet_javax.portlet.action=DFCW_LR_033_NotificationAcceptAction&_W033_Notification_WAR_W033_Notificationportlet_base.portlet.view=DFCW_LR_033_NotificationRenderView&_W033_Notification_WAR_W033_Notificationportlet_base.portlet.urlAjaxReady=true

http://www.ybs.co.uk/your-society/treasury/wholesale_funding/covered-bonds/reports.html

https://www.jpmorgan.com/cm/Satellite?c=JPM_Content_P&cid=1159368973276&pagename=JPM_redesign%2FJPM_Content_P%2FGeneric_Content_Page_Template



Seite 15 von 38

Regulatory Classification: Covered Bonds (iBoxx Euro Covered)

Australia Bond ISIN Outstanding

Amount

Rating

Fitch/Moody’s/S&P/DBRS LCR Haircut

AUST & NZ BANK ANZ 3 5/8 07/18/22 XS0731129234 1,000,000,000 AAA / Aaa / - / - Level 2a 15%





COM BK AUSTRALIA CBAAU 3 05/03/22 XS0775914277 1,500,000,000 AAA / Aaa / - / - Level 2a 15%

COM BK AUSTRALIA CBAAU 1 3/8 01/22/19 XS1015892182 1,000,000,000 AAA / Aaa / - / - Level 2a 15%

COM BK AUSTRALIA CBAAU 0 3/4 11/04/21 XS1129875255 1,000,000,000 AAA / Aaa / - / - Level 2a 15%

NATL AUSTRALIABK NAB 1 7/8 01/13/23 XS0864360358 1,000,000,000 AAA / Aaa / - / - Level 2a 15%

NATL AUSTRALIABK NAB 2 1/4 06/06/25 XS0940332504 750,000,000 AAA / Aaa / - / - Level 2a 15%



NATL AUSTRALIABK NAB 0 7/8 11/16/22 XS1321466911 750,000,000 AAA / Aaa / - / - Level 2a 15%

WESTPAC BANKING WSTP 2 1/8 07/09/19 XS0801654558 1,000,000,000 AAA / Aaa / - / - Level 2a 15%




Austria Bond ISIN Outstanding

Amount

Rating


BAWAG PSK BAWAG 1 7/8 09/18/19 XS0830444039 500,000,000 - / Aaa / - / - Level 1 7%

BAWAG PSK BAWAG 0 3/8 10/01/20 XS1298418184 500,000,000 - / Aaa / - / - Level 1 7%

ERSTE GROUP ERSTBK 4 01/20/21 XS0580561545 1,000,000,000 - / Aaa / - / - Level 1 7%

ERSTE GROUP ERSTBK 3 09/06/18 XS0673643093 750,000,000 - / Aaa / - / - Level 1 7%

ERSTE GROUP ERSTBK 3 1/2 02/08/22 XS0743547183 1,000,000,000 - / Aaa / - / - Level 1 7%

ERSTE GROUP ERSTBK 0 3/4 02/05/25 XS1181448561 500,000,000 - / Aaa / - / - Level 1 7%



HYPO NOE GRUPPE HYNOE 3 05/09/22 XS0780267406 500,000,000 - / Aa1 / - / - Level 1 7%

HYPO NOE GRUPPE HYNOE 1 5/8 09/17/19 XS0829215838 500,000,000 - / Aa1 / - / - Level 1 7%



RAIFF LB NIEDER RFLBNI 2 1/8 09/12/22 XS0827597351 500,000,000 - / Aaa / - / - Level 1 7%






Seite 16 von 38

Austria Bond ISIN Outstanding

Amount

Rating


RAIFF LB STEIER RFLBST 2 3/8 06/14/28 XS0942965525 500,000,000 - / Aaa / - / - Level 1 7%

RAIFF LB STEIER RFLBST 0 5/8 01/20/23 AT000B092622 500,000,000 - / Aaa / - / - Level 1 7%

UNICREDIT BK AUS BACA 4 1/8 02/24/21 AT000B048988 1,000,000,000 - / Aaa / - / - Level 1 7%

UNICREDIT BK AUS BACA 2 5/8 04/25/19 AT000B049226 500,000,000 - / Aaa / - / - Level 1 7%









VORARL LAND HYPO VORHYP 1 1/4 04/23/20 XS0920712600 600,000,000 - / Aaa / - / - Level 1 7%

VORARL LAND HYPO VORHYP 0 3/4 02/11/25 XS1188081936 500,000,000 - / Aaa / - / - Level 1 7%

Belgium Bond ISIN Outstanding

Amount

Rating


BELFIUS BANK SA CCBGBB 1 1/4 11/27/17 BE0002419910 1,250,000,000 AAA / - / AAA / - Level 1 7%

BELFIUS BANK SA CCBGBB 2 1/8 01/30/23 BE0002424969 500,000,000 AAA / - / AAA / - Level 1 7%




BELFIUS BANK SA CCBGBB 0 5/8 10/14/21 BE0002477520 1,250,000,000 - / Aaa / AAA / - Level 1 7%

BELFIUS BANK SA CCBGBB 0 3/8 11/27/19 BE0002480557 500,000,000 - / Aaa / AAA / - Level 1 7%

BELFIUS BANK SA CCBGBB 0 3/4 02/10/25 BE0002483585 1,000,000,000 AAA / - / AAA / - Level 1 7%

ING BELGIUM SA INGB 1 1/8 12/10/18 BE0002456318 1,000,000,000 AAA / Aaa / - / - Level 1 7%

ING BELGIUM SA INGB 0 1/2 10/01/21 BE0002491661 1,000,000,000 AAA / Aaa / - / - Level 1 7%

KBC BANK NV KBC 1 1/8 12/11/17 BE6246364499 1,250,000,000 AAA / Aaa / - / - Level 1 7%

KBC BANK NV KBC 2 01/31/23 BE0002425974 750,000,000 AAA / Aaa / - / - Level 1 7%


KBC BANK NV KBC 1 02/25/19 BE0002462373 750,000,000 AAA / Aaa / - / - Level 1 7%

KBC BANK NV KBC 0.45 01/22/22 BE0002482579 1,000,000,000 AAA / Aaa / - / - Level 1 7%


Canada Bond ISIN Outstanding

Amount

Rating


BANK OF MONTREAL BMO 1 05/07/19 XS1064774778 1,000,000,000 AAA / Aaa / - / AAA Level 2a 15%

BANK OF MONTREAL BMO 0 1/4 01/22/20 XS1172094747 1,500,000,000 AAA / Aaa / - / AAA Level 2a 15%




Seite 17 von 38

Canada Bond ISIN Outstanding

Amount

Rating



BANK OF MONTREAL BMO 0.1 01/14/19 XS1344742892 1,500,000,000 AAA / Aaa / - / AAA Level 2a 15%

BANK NOVA SCOTIA BNS 1 04/02/19 XS1051305974 1,000,000,000 AAA / Aaa / - / AAA Level 2a 15%

BANK NOVA SCOTIA BNS 0 3/4 09/17/21 XS1111155328 1,500,000,000 AAA / Aaa / - / AAA Level 2a 15%



BANK NOVA SCOTIA BNS 0.1 01/21/19 XS1346816322 1,500,000,000 AAA / Aaa / - / AAA Level 2a 15%

CAISSE CENT DESJ CCDJ 1 1/8 03/11/19 XS1041750404 1,000,000,000 AAA / Aaa / - / - Level 2a 15%



CAN IMPERIAL BK CM 1 1/4 08/07/18 XS0958742313 1,000,000,000 AAA / Aaa / - / - Level 2a 15%



CAN IMPERIAL BK CM 0.1 12/14/18 XS1332474912 1,350,000,000 AAA / Aaa / - / - Level 2a 15%

NATL BANK CANADA NACN 1 1/4 12/17/18 XS1004892953 1,000,000,000 AAA / Aaa / - / AAA Level 2a 15%



ROYAL BK CANADA RY 1 5/8 08/04/20 XS0956580244 2,000,000,000 AAA / Aaa / - / AAA Level 2a 15%






TORONTO DOM BANK TD 0 5/8 07/29/19 XS1091094448 1,750,000,000 - / Aaa / - / AAA Level 2a 15%





Denmark Bond ISIN Outstanding

Amount

Rating


DANSKE BANK A/S DANBNK 3 3/4 06/23/22 XS0519458755 1,000,000,000 AAA / - / AAA / - Level 1 7%









Seite 18 von 38

Denmark Bond ISIN Outstanding

Amount

Rating



Finland Bond ISIN Outstanding

Amount

Rating


AKTIA BANK PLC AKTIA 1 1/8 06/25/18 XS0946639381 500,000,000 - / Aaa / - / - Level 1 7%

AKTIA BANK PLC AKTIA 1 04/15/19 XS1056447797 500,000,000 - / Aaa / - / - Level 1 7%

AKTIA BANK PLC AKTIA 0 1/4 03/31/22 XS1210338015 500,000,000 - / Aaa / - / - Level 1 7%

DANSKE BANK OYJ SAMBNK 0 1/4 11/26/20 XS1325648761 1,000,000,000 - / Aaa / - / - Level 1 7%

NORDEA BANK FIN NDASS 4 02/10/21 XS0591428445 1,000,000,000 - / Aaa / - / - Level 1 7%

NORDEA BANK FIN NDASS 2 3/8 07/17/17 XS0731649660 2,250,000,000 - / Aaa / - / - Level 1 7%





NORDEA BANK FIN NDASS 1 11/05/24 XS1132790442 1,000,000,000 - / Aaa / - / - Level 1 7%




OP MORTGAGE BANK POHBK 3 1/2 07/11/18 XS0646202407 1,000,000,000 - / Aaa / AAA / - Level 1 7%




OP MORTGAGE BANK POHBK 1 11/28/24 XS1144844583 1,000,000,000 - / Aaa / AAA / - Level 1 7%



DANSKE BANK OYJ SAMBNK 3 7/8 06/21/21 XS0640463062 1,000,000,000 - / Aaa / - / - Level 1 7%

SAMPO BANK PLC SAMBNK 1 5/8 09/27/19 XS0834714254 1,000,000,000 - / Aaa / - / - Level 1 7%

France Bond ISIN Outstanding

Amount

Rating


AXA BANK EUROPE AXASA 3 1/2 11/05/20 FR0010957670 750,000,000 AAA / Aaa / - / - Level 1 7%

AXA BANK EUROPE AXASA 2 1/4 04/19/17 FR0011232404 1,000,000,000 AAA / Aaa / - / - Level 1 7%

AXA BANK EUROPE AXASA 1 7/8 09/20/19 FR0011322668 500,000,000 AAA / Aaa / - / - Level 1 7%

BNP PARIBAS SCF BNPSCF 3 3/4 02/26/20 FR0010859967 1,000,000,000 AA / - / AAA / - Level 1 7%

CSSE REFIN L'HAB CRH 3 1/2 04/25/17 FR0010261495 4,870,000,000 AAA / Aaa / - / - Level 1 7%

CSSE REFIN L'HAB CRH 4 04/25/18 FR0010345181 4,040,000,000 AAA / Aaa / - / - Level 1 7%


CSSE REFIN L'HAB CRH 3.3 09/23/22 FR0010945451 2,200,000,000 AAA / Aaa / - / - Level 1 7%




Seite 19 von 38


Amount

Rating










CSSE REFIN L'HAB CRH 1 3/8 10/25/19 FR0011443985 750,000,000 AAA / Aaa / - / - Level 1 7%



CAISSE FR DE FIN CAFFIL 5 1/4 02/06/17 FR0000488132 1,400,000,000 AA / Aaa / AA+ / - Level 1 7%






CAISSE FR DE FIN CAFFIL 3 10/02/28 FR0011580588 1,000,000,000 AA / Aaa / AA+ / - Level 1 7%



CAISSE FR DE FIN CAFFIL 1 1/4 01/22/35 FR0012467942 650,000,000 AA / Aaa / AA+ / - Level 1 7%

CAISSE FR DE FIN CAFFIL 0.2 04/27/23 FR0012688208 1,150,000,000 AA / Aaa / AA+ / - Level 1 7%

CAISSE FR DE FIN CAFFIL 0.1 07/17/18 FR0012857548 1,150,000,000 AA / Aaa / AA+ / - Level 1 7%




CAISSE FR DE FIN CAFFIL 1 1/2 01/13/31 FR0013088432 500,000,000 AA / Aaa / AA+ / - Level 1 7%






CIF EUROMORTGAGE CIFEUR 3 1/2 06/17/20 FR0010910620 1,000,000,000 AA / Aa2 / - / - - 1 -



CIE FIN FONCIER CFF 4 1/2 05/16/18 FR0000474652 2,945,000,000 AA / Aaa / AAA / - Level 1 7%




Seite 20 von 38


Amount

Rating



CIE FIN FONCIER CFF 4 10/24/25 FR0010913749 2,630,000,000 AA / Aaa / AAA / - Level 1 7%


CIE FIN FONCIER CFF 4 3/8 04/15/21 FR0011035575 1,000,000,000 - / Aaa / AAA / - Level 1 7%





CIE FIN FONCIER CFF 2 05/07/24 FR0011885722 1,000,000,000 AA / Aaa / AAA / - Level 1 7%






CIE FIN FONCIER CFF 1 1/8 06/24/25 FR0012801512 600,000,000 AA / Aaa / AAA / - Level 1 7%






CREDIT AGRICOLE ACASCF 1 7/8 09/20/19 FR0011321892 1,000,000,000 - / Aaa / AAA / - Level 1 7%

CREDIT AGRICOLE ACASCF 1 7/8 06/07/23 FR0011508332 1,000,000,000 - / Aaa / AAA / - Level 1 7%

ARKEA PUBLIC CMARK 3 3/4 10/07/21 FR0011124635 750,000,000 - / Aaa / AAA / - Level 1 7%

SOC GENERALE SCF SOCSCF 5 03/27/19 FR0010742908 2,250,000,000 - / Aaa / AAA / - Level 1 7%

SOC GENERALE SCF SOCSCF 4 1/4 02/03/23 FR0011001684 1,000,000,000 - / Aaa / AAA / - Level 1 7%



BNP PARIBAS HOME BNPPCB 3 3/4 01/11/21 FR0010988873 1,750,000,000 AAA / - / AAA / - Level 1 7%




BNP PARIBAS HOME BNPPCB 1 02/25/19 FR0011757434 1,000,000,000 AAA / - / AAA / - Level 1 7%

BNP PARIBAS HOME BNPPCB 0 7/8 11/14/24 FR0012300754 500,000,000 AAA / - / AAA / - Level 1 7%

BNP PARIBAS HOME BNPPCB 0 3/8 05/07/25 FR0012716371 750,000,000 AAA / - / AAA / - Level 1 7%


BPCE SFH BPCECB 3 3/4 09/13/21 FR0011109321 2,700,000,000 - / Aaa / AAA / - Level 1 7%




Seite 21 von 38


Amount

Rating


BPCE SFH BPCECB 4 03/23/22 FR0011169879 1,850,000,000 - / Aaa / AAA / - Level 1 7%


BPCE SFH BPCECB 2 5/8 03/20/18 FR0011219328 685,000,000 - / Aaa / AAA / - Level 1 7%







BPCE SFH BPCECB 1 02/24/25 FR0012326841 750,000,000 - / Aaa / AAA / - Level 1 7%



CRED AG COV BOND ACACB 4 07/16/25 FR0010920900 2,400,000,000 AAA / Aaa / AAA / - Level 1 7%

CRED AG COV BOND ACACB 3 7/8 01/12/21 FR0010989087 2,000,000,000 AAA / Aaa / AAA / - Level 1 7%

CREDIT AG HOME L ACACB 3 1/2 06/14/18 FR0011060367 1,850,000,000 AAA / Aaa / AAA / - Level 1 7%

CREDIT AG HOME L ACACB 4 01/17/22 FR0011179852 1,500,000,000 AAA / Aaa / AAA / - Level 1 7%






CREDIT AG HOME L ACACB 0 1/8 08/28/20 FR0013105863 1,500,000,000 AAA / Aaae / AAA / - Level 1 7%

CRED AG COV BOND ACACB 3 1/4 03/23/17 FR0010875880 1,675,000,000 AAA / Aaa / AAA / - Level 1 7%

CRED MUTUEL- CIC CMCICB 3 1/8 09/09/20 FR0010939207 1,500,000,000 AAA / Aaa / AAA / - Level 1 7%











CRED MUT ARK HL CMARK 4 1/2 04/13/21 FR0011033125 1,750,000,000 - / - / AAA / - Level 1 7%

CRED MUT ARK HL CMARK 2 3/8 07/11/23 FR0011530492 500,000,000 - / - / AAA / - Level 1 7%

ARKEA HL CMARK 0 5/8 09/30/22 FR0012970713 500,000,000 - / - / AAA / - Level 1 7%



Seite 22 von 38


Amount

Rating


HSBC SFH HSBC 2 10/16/23 FR0011470764 1,250,000,000 - / Aaa / AAA / - Level 1 7%

HSBC SFH HSBC 1 7/8 10/28/20 FR0011600923 1,000,000,000 - / Aaa / AAA / - Level 1 7%

HSBC SFH HSBC 0 3/8 03/11/22 FR0012602522 1,000,000,000 - / Aaa / AAA / - Level 1 7%

LA BANQUE POST H LBPSFH 1 7/8 09/11/20 FR0011565738 1,000,000,000 - / - / AAA / - Level 1 7%

LA BANQUE POST H LBPSFH 2 3/8 01/15/24 FR0011688464 750,000,000 - / - / AAA / - Level 1 7%

LA BANQUE POST H LBPSFH 0.175 04/22/22 FR0012686087 500,000,000 - / - / AAA / - Level 1 7%

LA BANQUE POST H LBPSFH 0 1/2 01/18/23 FR0013090578 500,000,000 - / - / AAA / - Level 1 7%

SOCIETE GENERALE SOCSFH 4 01/18/22 FR0011180017 1,250,000,000 AAA / Aaa / - / - Level 1 7%

SOCIETE GENERALE SOCSFH 2 7/8 03/14/19 FR0011215516 1,500,000,000 AAA / Aaa / - / - Level 1 7%

SOCIETE GENERALE SOCSFH 1 12/19/17 FR0011374198 1,500,000,000 AAA / Aaa / - / - Level 1 7%



SOCIETE GENERALE SOCSFH 2 04/29/24 FR0011859495 750,000,000 AAA / Aaa / - / - Level 1 7%

SOCIETE GENERALE SOCSFH 0 1/8 02/27/20 FR0012562999 500,000,000 AAA / Aaa / - / - Level 1 7%



BANQUE POPUL CB BPCOV 3 7/8 01/31/18 FR0010999482 500,000,000 - / - / AAA / - - 4 -

Germany Bond ISIN Outstanding

Amount

Rating


AAREAL BANK AG AARB 1 3/8 06/19/17 DE000AAR0140 625,000,000 AAA / - / - / - Level 1 7%


AAREAL BANK AG AARB 1 06/28/18 DE000AAR0165 625,000,000 AAA / - / - / - Level 1 7%



BAYERISCHE LNDBK BYLAN 0.35 12/01/22 DE000BLB6JA9 500,000,000 AAA / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 1 3/8 05/30/17 DE000BHY1216 1,000,000,000 AA+ / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 1 1/8 02/05/18 DE000BHY1299 1,125,000,000 AA+ / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 1 1/4 04/23/21 DE000BHY0AJ1 500,000,000 AA+ / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 0 5/8 06/24/19 DE000BHY0AR4 750,000,000 AA+ / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 0 1/8 05/05/22 DE000BHY0GP5 500,000,000 AA+ / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 0.05 07/30/18 DE000BHY0A64 500,000,000 AA+ / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 0 1/8 10/22/20 DE000BHY0BA8 500,000,000 AA+ / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 1 5/8 10/19/20 DE000CZ40JW9 500,000,000 AAA / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 2 11/27/23 DE000CZ40J26 500,000,000 AAA / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 0 3/8 09/30/19 DE000CZ40KE5 1,000,000,000 AAA / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 0 1/4 01/26/22 DE000CZ40KG0 1,000,000,000 AAA / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 0 1/4 07/23/20 DE000CZ40KX5 500,000,000 AAA / Aaa / - / - Level 1 7%



Seite 23 von 38


Amount

Rating


COMMERZBANK AG CMZB 0 7/8 09/08/25 DE000CZ40KZ0 500,000,000 AAA / Aaa / - / - Level 1 7%

DEUTSCHE APO ARZ DAA 0 1/8 02/11/21 XS1319719313 500,000,000 - / - / AAA / - Level 1 7%

DEUTSCHE BANK AG DB 3 3/8 04/06/18 DE000DB5EVA0 1,000,000,000 - / Aaa / - / - Level 1 7%

DEUTSCHE BANK AG DB 2 1/8 03/01/19 DE000DB5DCM7 500,000,000 - / Aaa / - / - Level 1 7%

DEUTSCHE BANK AG DB 1 3/4 06/08/22 DE000DB5DCN5 500,000,000 - / Aaa / - / - Level 1 7%

DEUTSCHE BANK AG DB 1 3/8 09/07/20 DE000DB5DCK1 750,000,000 - / Aaa / - / - Level 1 7%

DEUT GENOS-HYPBK DGHYP 1 3/8 01/29/20 DE000A1REYW6 500,000,000 - / - / AAA / - Level 1 7%

DEUT GENOS-HYPBK DGHYP 0 7/8 07/21/21 DE000A11QBA6 500,000,000 - / - / AAA / - Level 1 7%

DEUT GENOS-HYPBK DGHYP 0 1/4 01/21/21 DE000A12T606 500,000,000 - / - / AAA / - Level 1 7%

DEUT GENOS-HYPBK DGHYP 0 5/8 06/05/24 DE000A13SWZ1 500,000,000 - / - / AAA / - Level 1 7%

DEUT GENOS-HYPBK DGHYP 0.025 09/10/18 DE000A13SW15 500,000,000 - / - / AAA / - Level 1 7%

DEUTSCHE HYP HAN DHY 1 1/4 06/20/17 DE000DHY3566 750,000,000 - / Aa1 / - / - Level 1 7%







DEUTSCHE KREDIT DKRED 1 3/8 02/25/21 DE000DKB0291 500,000,000 - / Aaa / - / - Level 1 7%



DT PFANDBRIEFBAN PBBGR 2 1/8 06/03/19 DE000A1MLUW0 750,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 1 5/8 07/04/17 DE000A1PGTJ2 500,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 1 1/2 03/18/20 DE000A1R0527 750,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 1 3/8 08/28/18 DE000A1X2566 500,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 1 7/8 01/21/22 DE000A1X3LT7 500,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 1 03/25/19 DE000A11QAP6 750,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 0 1/4 09/08/17 DE000A11QA31 500,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 0 1/4 07/30/20 DE000A13SV81 500,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 0 1/2 01/19/23 DE000A13SWC0 750,000,000 - / Aa1 / - / - Level 1 7%

DEUTSCHE POSTBNK DPB 3 5/8 02/15/21 DE000A1C9558 1,000,000,000 AAA / - / - / - Level 1 7%

DEUTSCHE POSTBNK DPB 3 3/8 03/31/20 DE000A0WMBH0 1,000,000,000 AAA / - / - / - Level 1 7%

HSH NORDBANK AG HSHN 1 7/8 04/05/17 DE000HSH3ZG0 500,000,000 - / Aa3 / - / - Level 1 7%

HSH NORDBANK AG HSHN 1 3/8 10/02/18 DE000HSH4MH4 500,000,000 - / Aa3 / - / - Level 1 7%

HSH NORDBANK AG HSHN 0 5/8 07/17/19 DE000HSH4S28 500,000,000 - / Aa3 / - / - Level 1 7%

HSH NORDBANK AG HSHN 0 3/4 10/07/21 DE000HSH4UX4 500,000,000 - / Aa3 / - / - Level 1 7%

HSH NORDBANK AG HSHN 0 3/4 06/22/22 DE000HSH40E5 500,000,000 - / Aa3 / - / - Level 1 7%



Seite 24 von 38


Amount

Rating


HSH NORDBANK AG HSHN 0 1/4 11/19/20 DE000HSH5W21 500,000,000 - / Aa3 / - / - Level 1 7%

EUROHYPO AG HYPFRA 4 1/8 04/07/21 DE000EH1ACA0 500,000,000 - / Aaa / - / - Level 1 7%

EUROHYPO AG HYPFRA 4 3/8 07/02/19 DE000EH1A311 1,485,000,000 - / Aaa / - / - Level 1 7%

EUROHYPO AG HYPFRA 4 3/4 06/04/18 DE000EH094Y1 977,500,000 - / Aaa / - / - Level 1 7%

ING-DIBA AG INGDIB 2 03/13/19 DE000A1KRJD4 500,000,000 - / Aaa / - / - Level 1 7%

LB BADEN-WUERTT LBBW 3 1/8 07/11/17 DE000LB0HFM2 500,000,000 - / Aaa / - / - Level 1 7%

LB BADEN-WUERTT LBBW 1 3/8 06/01/18 DE000LB0M596 850,000,000 - / Aaa / - / - Level 1 7%

LB BADEN-WUERTT LBBW 0.1 01/21/19 DE000LB00MW9 500,000,000 - / Aaa / - / - Level 1 7%

LB BADEN-WUERTT LBBW 0 1/4 07/21/20 DE000LB01ZE7 750,000,000 - / Aaa / - / - Level 1 7%

LB BADEN-WUERTT LBBW 0.05 01/13/20 DE000LB06FB4 750,000,000 - / Aaa / - / - Level 1 7%

LANDBK HESSEN-TH HESLAN 0 7/8 11/06/17 XS0851669050 500,000,000 AAA / - / - / - Level 1 7%

LANDBK HESSEN-TH HESLAN 0 3/4 12/11/17 XS1002933668 1,000,000,000 AAA / - / - / - Level 1 7%



MUNCHEN HYPOBANK MUNHYP 1 3/4 06/03/22 DE000MHB06J1 1,125,000,000 - / Aaa / - / - Level 1 7%

MUNCHEN HYPOBANK MUNHYP 1 3/8 04/16/21 DE000MHB09J5 750,000,000 - / Aaa / - / - Level 1 7%

MUNCHEN HYPOBANK MUNHYP 2 1/2 07/04/28 DE000MHB10J3 1,000,000,000 - / Aaa / - / - Level 1 7%






SPK KOELNBONN SPKKB 1 1/8 04/30/20 DE000SK00644 500,000,000 - / Aaa / - / - Level 1 7%

SPK KOELNBONN SPKKB 1 1/8 10/14/24 DE000SK003B9 500,000,000 - / Aaa / - / - Level 1 7%

SPK KOELNBONN SPKKB 0 3/8 06/03/22 DE000SK003C7 500,000,000 - / Aaa / - / - Level 1 7%

UNICREDIT BANK A HVB 2 5/8 05/31/17 DE000HV2AAX3 1,000,000,000 AAA / Aaa / - / - Level 1 7%

UNICREDIT BANK A HVB 1 7/8 09/12/22 DE000HV2AGL5 500,000,000 AAA / Aaa / - / - Level 1 7%

UNICREDIT BANK A HVB 1 1/4 04/22/20 DE000HV2AH47 500,000,000 AAA / Aaa / - / - Level 1 7%

UNICREDIT BANK A HVB 1 7/8 04/09/24 DE000HV2AK00 500,000,000 AAA / Aaa / - / - Level 1 7%

UNICREDIT BANK A HVB 0 1/8 04/09/21 DE000HV2AMG3 500,000,000 AAA / Aaa / - / - Level 1 7%

UNICREDIT BANK HVB 0 3/4 07/24/23 DE000HV2AL33 500,000,000 AAA / Aaa / - / - Level 1 7%

UNICREDIT BANK HVB 0 1/4 10/01/20 DE000HV2AMY6 500,000,000 AAA / Aaa / - / - Level 1 7%

UNICREDIT BANK HVB 0.05 12/16/19 DE000HV2AMA6 500,000,000 AAA / Aaa / - / - Level 1 7%

WL BANK WLBANK 2 1/2 03/29/22 DE000A1MLZQ1 500,000,000 - / - / AAA / - Level 1 7%

WL BANK WLBANK 1 1/8 05/29/20 DE000A1R1CU6 500,000,000 - / - / AAA / - Level 1 7%

WL BANK WLBANK 1 1/8 09/18/24 DE000A12UGG2 750,000,000 - / - / AAA / - Level 1 7%

WL BANK WLBANK 0 7/8 01/18/30 DE000A13SR38 500,000,000 - / - / AAA / - Level 1 7%



Seite 25 von 38


Amount

Rating


WL BANK WLBANK 0 1/2 04/01/27 DE000A14J5J4 500,000,000 - / - / AAA / - Level 1 7%

WL BANK WLBANK 0 1/2 07/29/22 DE000A14KK32 500,000,000 - / - / AAA / - Level 1 7%

WL BANK WLBANK 0 5/8 10/27/23 DE000A161ZL4 500,000,000 - / - / AAA / - Level 1 7%

BAYERISCHE LNDBK BYLAN 2 07/11/22 DE000BLB6H38 500,000,000 AAA / Aaa / - / - Level 1 7%

BAYERISCHE LNDBK BYLAN 1 5/8 04/18/23 DE000BLB6H46 500,000,000 AAA / Aaa / - / - Level 1 7%


BAYERISCHE LNDBK BYLAN 1 07/09/21 DE000BLB6H61 500,000,000 AAA / Aaa / - / - Level 1 7%


BAYERISCHE LNDBK BYLAN 0 3/4 01/20/26 DE000BLB6JB7 500,000,000 AAA / Aaa / - / - Level 1 7%

BAYERISCHE LNDBK BYLAN 3 3/8 09/04/17 DE000BLB6C58 1,000,000,000 AAA / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 4 1/8 03/28/17 DE000A0NKTQ6 890,210,000 AA+ / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 4 1/2 05/03/19 DE000A0N3YJ4 679,600,000 AA+ / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 1 06/25/18 DE000CZ40JR9 500,000,000 AAA / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 1 02/05/19 DE000CZ40KA3 500,000,000 AAA / Aaa / - / - Level 1 7%

DEUTSCHE KREDIT DKRED 1 01/25/18 DE000DKB0176 500,000,000 - / Aaa / - / - Level 1 7%


DEPFA PFANDBRIEF PBBGR 4 1/2 01/15/18 DE0001617561 1,000,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 2 3/8 05/29/28 DE000A1R06C5 700,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 0 1/8 11/27/20 DE000A13SWB2 500,000,000 - / Aa1 / - / - Level 1 7%

DT PFANDBRIEFBAN PBBGR 4 10/22/19 DE000A1A6LM2 1,000,000,000 - / Aa1 / - / - Level 1 7%

DEXIA KOMMUNALBK DEXGRP 1 06/11/19 DE000DXA1NV3 500,000,000 - / - / A / - Level 2a 15%

DEXIA KOMMUNALBK DEXGRP 0 3/8 03/03/22 DE000DXA1NW1 500,000,000 - / - / A / - Level 2a 15%

DEXIA KOMMUNALBK DEXGRP 4 3/4 05/23/18 DE000DXA1LK0 1,055,332,000 - / - / A / - Level 2a 15%

LB BADEN-WUERTT LBBW 0 1/2 08/04/22 DE000LB01ZU3 500,000,000 AAA / Aaa / - / - Level 1 7%

LB BADEN-WUERTT LBBW 0 7/8 09/15/25 DE000LB06CF2 1,000,000,000 AAA / Aaa / - / - Level 1 7%

LB BADEN-WUERTT LBBW 0 1/4 10/26/21 DE000LB06DE3 500,000,000 AAA / Aaa / - / - Level 1 7%

LANDBK HESSEN-TH HESLAN 2 04/26/19 XS0775280166 1,000,000,000 AAA / Aaa / - / - Level 1 7%


LANDBK HESSEN-TH HESLAN 1 7/8 06/26/23 XS0946693834 1,000,000,000 AAA / Aaa / - / - Level 1 7%




LANDBK HESSEN-TH HESLAN 0.1 03/04/20 XS1196862889 1,000,000,000 AAA / Aaa / - / - Level 1 7%




NORDDEUTSCHE L/B NDB 3 1/4 01/18/21 DE000NLB2DX9 1,000,000,000 AAA / Aaa / - / - Level 1 7%



Seite 26 von 38


Amount

Rating


NORDDEUTSCHE L/B NDB 1 1/2 12/05/19 XS0808555162 500,000,000 AAA / Aaa / - / - Level 1 7%

NORDDEUTSCHE L/B NDB 0.025 01/31/19 XS1191428652 1,000,000,000 AAA / Aaa / - / - Level 1 7%

WL BANK WLBANK 0 1/2 02/06/17 DE000A1YC7F6 500,000,000 - / - / AAA / - Level 1 7%

WL BANK WLBANK 0 1/4 11/20/19 DE000A12UGK4 500,000,000 - / - / AAA / - Level 1 7%

HSH NORDBANK AG HSHN 0 1/2 02/12/18 DE000HSH4XT6 500,000,000 - / Baa1 / - / - - 2 -

NORDDEUTSCHE L/B NDB 1 5/8 07/17/17 XS0804749462 500,000,000 - / Aa3 / - / - Level 1 7%

NORDDEUTSCHE L/B NDB 1 1/8 02/19/19 XS1033923142 500,000,000 - / Aa3 / - / - Level 1 7%

Ireland Bond ISIN Outstanding

Amount

Rating


AIB MORTGAGE BNK AIB 3 1/8 09/10/18 XS0969616779 500,000,000 A+ / Aa1 / AA+ / - Level 1 7%




AIB MORTGAGE BNK AIB 4 7/8 06/29/17 XS0308936037 1,675,000,000 A+ / Aa1 / AA+ / - Level 1 7%

BK IRELAND MTGE BKIR 2 3/4 03/22/18 XS0907907140 500,000,000 - / Aa1 / - / AAL Level 1 7%


BK IRELAND MTGE BKIR 1 7/8 05/13/17 XS0993264331 1,000,000,000 - / Aa1 / - / AAL Level 1 7%



BK IRELAND MTGE BKIR 0 3/8 05/07/22 XS1228148158 1,000,000,000 - / Aa1 / - / AAL Level 1 7%


DEPFA ACS BANK DEPFA 4 7/8 05/21/19 DE000A0BCLA9 1,000,000,000 - / Aa2 / - / - - 1 -

Italy Bond ISIN Outstanding

Amount

Rating


MONTE DEI PASCHI MONTE 5 02/09/18 IT0004689912 1,470,000,000 BBB / A2 / - / AH - 1 -

MONTE DEI PASCHI MONTE 2 7/8 04/16/21 IT0005013971 1,000,000,000 BBB / A2 / - / AH - 1 -


MONTE DEI PASCHI MONTE 1 1/4 01/20/22 IT0005140188 750,000,000 BBB / A2 / - / AH - 1 -


BANCA POP MILANO PMIIM 0 7/8 09/14/22 IT0005135725 1,000,000,000 - / A2 / - / - Level 2a 15%

BANCA POP MILANO PMIIM 1 1/2 12/02/25 IT0005153975 750,000,000 - / A2 / - / - Level 2a 15%

BANCO POPOLARE BPIM 0 3/4 03/31/22 IT0005090516 1,000,000,000 BB+ / A2 / - / A Level 2a 15%

BANCO POPOLARE BPIM 3 5/8 03/31/17 IT0004587363 1,400,000,000 BB+ / A2 / - / A Level 2a 15%

BANCA POP EMILIA BPEIM 3 3/8 10/22/18 IT0004965346 1,000,000,000 - / A1 / - / - Level 2a 15%

BANCA POP EMILIA BPEIM 0 7/8 01/22/22 IT0005076929 750,000,000 - / A1 / - / - Level 2a 15%

BANCA POP EMILIA BPEIM 0 1/2 07/22/20 IT0005120198 750,000,000 - / A1 / - / - Level 2a 15%

CASS RISP PARMA CARPP 0 7/8 01/31/22 IT0005057002 1,000,000,000 - / Aa2 / - / - Level 1 7%



Seite 27 von 38

Italy Bond ISIN Outstanding

Amount

Rating


CASS RISP PARMA CARPP 0 7/8 06/16/23 IT0005121592 1,000,000,000 - / Aa2 / - / - Level 1 7%

CREDITO EMILIANO CRDEM 3 1/4 07/09/20 IT0004940679 500,000,000 A+ / Aa2 / - / - Level 2a 15%



INTESA SANPAOLO ISPIM 5 01/27/21 IT0004839046 1,353,028,000 - / Aa2 / - / - Level 1 7%

INTESA SANPAOLO ISPIM 3 1/4 04/28/17 IT0004839251 1,813,150,000 - / Aa2 / - / - Level 1 7%




INTESA SANPAOLO ISPIM 2 1/4 09/24/18 IT0004961295 750,000,000 - / Aa2 / - / - Level 1 7%




MEDIOBANCA SPA BACRED 3 5/8 10/17/23 IT0004966716 750,000,000 A+ / - / A / - - 1 -



UNICREDIT SPA UCGIM 3 3/8 10/31/17 IT0004648603 1,000,000,000 AA / Aa2 / A / - Level 1 7%



UNICREDIT SPA UCGIM 5 10/31/21 IT0004760341 1,000,000,000 AA / Aa2 / A / - Level 1 7%






UNICREDIT SPA UCGIM 0 3/4 04/30/25 IT0005090813 1,000,000,000 AA+ / - / - / - Level 1 7%


UBI BANCA SPCA UBIIM 3 3/8 09/15/17 IT0004619109 1,000,000,000 - / Aa2 / - / AAL Level 1 7%

UBI BANCA SPCA UBIIM 5 1/4 01/28/21 IT0004682305 1,000,000,000 - / Aa2 / - / AAL Level 1 7%

UNIONE DI BANCHE UBIIM 3 1/8 10/14/20 IT0004966195 1,500,000,000 - / Aa2 / - / AAL Level 1 7%



UNIONE DI BANCHE UBIIM 1 01/27/23 IT0005140030 750,000,000 - / Aa2 / - / AAL Level 1 7%

UBI BANCA SPCA UBIIM 4 12/16/19 IT0004558794 1,000,000,000 - / Aa2 / - / AAL Level 1 7%



Seite 28 von 38

Luxembourg Bond ISIN Outstanding

Amount

Rating


NORD/LB CVRD FIN NDB 0 1/4 03/10/20 XS1199018398 500,000,000 AAA / - / AA- / - Level 1 7%

NORDLB LX COV NDB 0 1/8 11/06/18 XS1316421137 500,000,000 AAA / - / AA- / - Level 1 7%

Netherlands Bond ISIN Outstanding

Amount

Rating


ABN AMRO BANK NV ABNANV 3 5/8 06/22/20 XS0519053184 2,000,000,000 AAA / Aaa / AAA / - Level 1 7%










ABN AMRO BANK ABNANV 4 1/4 03/01/17 XS0289334368 1,500,000,000 AAA / Aaa / AAA / - Level 1 7%

AEGON BANK AEGON 0 1/4 12/01/20 XS1327151228 750,000,000 AAA / - / AAA / - Level 1 7%

F VAN LANSCHOT LANSNA 0.275 04/28/22 XS1224002474 500,000,000 AAA / - / AAA / - Level 1 7%

ING BANK NV INTNED 3 3/8 01/11/18 XS0576072622 1,550,000,000 AAA / Aaa / AAA / - Level 1 7%




ING BANK NV INTNED 2 08/28/20 XS0820867223 2,000,000,000 AAA / Aaa / AAA / - Level 1 7%


ING BANK NV INTNED 4 01/17/20 XS0479696204 1,250,000,000 AAA / Aaa / AAA / - Level 1 7%



NIBC BANK NV NIBCAP 1 3/4 10/08/18 XS0977140531 500,000,000 AAA / - / AAA / - Level 1 7%



SNS BANK SNSBNK 3 1/2 09/28/20 XS0544664989 1,000,000,000 AAA / Aaa / - / - Level 1 7%



New Zealand Bond ISIN Outstanding

Amount

Rating


ANZ NZ INTL/LDN ANZNZ 1 3/8 10/05/17 XS0830360524 750,000,000 AAA / Aaa / - / - Level 2a 7%





Seite 29 von 38

New Zealand Bond ISIN Outstanding

Amount

Rating


ASB FINANCE LTD ASBBNK 1 7/8 07/10/17 XS0800714429 500,000,000 AAA / Aaa / - / - Level 2a 7%

ASB FINANCE LTD ASBBNK 1 1/2 11/01/18 XS0985215184 500,000,000 AAA / Aaa / - / - Level 2a 7%

BNZ INTL FUND/LN BZLNZ 3 1/8 11/23/17 XS0562630391 1,000,000,000 AAA / Aaa / - / - Level 2a 7%

WESTPAC SEC NZ WSTP 0 7/8 06/24/19 XS1079993538 750,000,000 AAA / Aaa / - / - Level 2a 7%

WESTPAC SEC NZ WSTP 0 1/2 09/29/20 XS1298529097 500,000,000 AAA / Aaa / - / - Level 2a 7%

Norway Bond ISIN Outstanding

Amount

Rating


DNB NOR BOLIGKRE DNBNO 2 3/8 08/31/17 XS0537686288 1,500,000,000 - / Aaa / AAA / - Level 1 7%

DNB NOR BOLIGKRE DNBNO 3 7/8 06/16/21 XS0637846725 1,500,000,000 - / Aaa / AAA / - Level 1 7%

DNB BOLIGKREDITT DNBNO 2 3/8 04/11/17 XS0728790402 2,000,000,000 - / Aaa / AAA / - Level 1 7%




DNB BOLIGKREDITT DNBNO 1 01/22/18 XS0877571884 1,500,000,000 - / Aaa / AAA / - Level 1 7%





EIKA BOLIGKREDIT EIKBOL 2 06/19/19 XS0794570944 650,000,000 - / Aa1 / - / - Level 1 7%

EIKA BOLIGKREDIT EIKBOL 1 1/4 11/06/17 XS0851683473 1,000,000,000 - / Aa1 / - / - Level 1 7%

EIKA BOLIGKREDIT EIKBOL 2 1/8 01/30/23 XS0881369770 1,000,000,000 - / Aa1 / - / - Level 1 7%

EIKA BOLIGKREDIT EIKBOL 1 1/2 03/12/21 XS1044766191 500,000,000 - / Aa1 / - / - Level 1 7%

EIKA BOLIGKREDIT EIKBOL 0 5/8 10/28/21 XS1312011684 500,000,000 - / Aa1 / - / - Level 1 7%

SPAREBANK1BOKR SPABOL 4 02/03/21 XS0587952085 1,000,000,000 AAA / Aaa / - / - Level 1 7%

SPAREBANK1BOKR SPABOL 3 3/8 09/07/21 XS0674396782 1,000,000,000 AAA / Aaa / - / - Level 1 7%








SPAREBANKEN V BO SVEGNO 2 1/8 04/07/17 XS0742398547 500,000,000 - / Aaa / - / - Level 1 7%







Seite 30 von 38

Norway Bond ISIN Outstanding

Amount

Rating


SR-BOLIGKREDITT SRBANK 0 1/2 09/28/20 XS1297977115 500,000,000 - / Aaa / - / - Level 1 7%

SR-BOLIGKREDITT SRBANK 0 3/4 01/18/23 XS1344895450 500,000,000 - / Aaa / - / - Level 1 7%

Portugal Bond ISIN Outstanding

Amount

Rating


BANCO COM PORTUG BCPPL 4 3/4 06/22/17 PTBCUB1E0005 930,900,000 BBB- / Baa1 / - / AL - 3 -

BANCO SAN TOTTA SANTAN 1 1/2 04/03/17 PTBSQDE0020 1,000,000,000 A- / A1 / - / A Level 2a 15%

BANCO SAN TOTTA SANTAN 1 5/8 06/11/19 PTBSQEOE0029 750,000,000 A- / A1 / - / A Level 2a 15%

BANCO SAN TOTTA SANTAN 0 7/8 10/27/20 PTBSRBOE0021 750,000,000 A- / A1 / - / A Level 2a 15%

CAIXA GERAL DEPO CXGD 3 3/4 01/18/18 PTCGHUOE0015 750,000,000 BBB / A3 / - / A Level 2a 15%

CAIXA GERAL DEPO CXGD 3 01/15/19 PTCGHAOE0019 750,000,000 BBB / A3 / - / A Level 2a 15%

CAIXA GERAL DEPO CXGD 1 01/27/22 PTCGH1OE0014 1,000,000,000 BBB / A3 / - / A Level 2a 15%

CAIXA GERAL DEPO CXGD 4 1/4 01/27/20 PTCG2YOE0001 1,000,000,000 BBB / A3 / - / A Level 2a 15%

Spain Bond ISIN Outstanding

Amount

Rating


BANCO BILBAO VIZ BBVASM 4 02/25/25 ES0413211071 2,000,000,000 - / Aa2 / A+ / AAL Level 1 7%

BANCO BILBAO VIZ BBVASM 3 1/2 10/07/20 ES0413211105 2,050,500,000 - / Aa2 / A+ / AAL Level 1 7%


BANCO BILBAO VIZ BBVASM 3 1/2 12/05/17 ES0413211782 2,000,000,000 - / Aa2 / - / AAL Level 1 7%


BANCO BILBAO VIZ BBVASM 2 1/4 06/12/24 ES0413211816 1,000,000,000 - / Aa2 / - / - Level 1 7%



BANCO SABADELL SABSM 3 3/8 01/23/18 ES0413860323 1,000,000,000 - / Aa2 / - / AAL Level 1 7%


BANCO SABADELL SABSM 0 3/8 06/10/20 ES0413860455 750,000,000 - / Aa2 / - / AAL Level 1 7%


BANESTO SANTAN 5 3/4 03/27/17 ES0413440027 1,085,000,000 AA / Aa2 / - / - Level 1 7%

BANCO MARE NOSTR BMARE 3 1/8 01/21/19 ES0413056047 500,000,000 BBB+ / - / - / - - 3 -

BANCO POP ESPAN POPSM 4 1/8 03/30/17 ES0413790173 1,000,000,000 - / Aa2 / - / AA Level 1 7%

BANCO POP ESPAN POPSM 3 3/4 01/22/19 ES0413790231 600,000,000 - / Aa2 / - / AA Level 1 7%



BANCO POP ESPAN POPSM 1 04/07/25 ES0413790397 1,000,000,000 - / Aa2 / - / AA Level 1 7%



BANCO POP ESPAN POPSM 4 1/8 04/09/18 ES0413790074 1,100,000,000 - / Aa2 / A / AA Level 1 7%

BANCO SANTANDER SANTAN 4 04/07/20 ES0413900087 1,000,000,000 AA / Aa2 / - / - Level 1 7%



Seite 31 von 38


Amount

Rating


BANCO SANTANDER SANTAN 3 7/8 02/06/26 ES0413900129 1,500,000,000 AA / Aa2 / - / - Level 1 7%



BANCO SANTANDER SANTAN 2 11/27/34 ES0413900376 1,250,000,000 AA / Aa2 / - / - Level 1 7%

BANCO SANTANDER SANTAN 0 3/4 09/09/22 ES0413900384 1,000,000,000 - / Aa2 / - / - Level 1 7%



CAJA MADRID BKIASM 4 02/03/25 ES0414950628 2,000,000,000 A- / A1 / A+ / AA Level 2a 15%

CAJA MADRID BKIASM 4 1/8 03/24/36 ES0414950644 2,000,000,000 A- / A1 / A+ / AA Level 2a 15%



BANKIA BKIASM 1 09/25/25 ES0413307093 1,000,000,000 A / A1 / A+ / AA Level 2a 15%

BANKIA BKIASM 1 1/8 08/05/22 ES0413307101 1,250,000,000 A / A1 / A+ / AA Level 2a 15%

BANKIA BKIASM 0 7/8 01/21/21 ES0413307119 1,000,000,000 A / - / A+ / AA Level 2a 15%

CAJA MADRID BKIASM 5 06/28/19 ES0414950693 1,600,000,000 A- / A1 / A+ / AA Level 2a 15%

BANKINTER SA BKTSM 4 1/8 03/22/17 ES0413679178 1,000,000,000 - / Aa2 / A+ / - Level 2a 15%

BANKINTER SA BKTSM 3 1/8 02/05/18 ES0413679277 590,000,000 - / Aa2 / A+ / - Level 2a 15%

BANKINTER SA BKTSM 1 02/05/25 ES0413679327 1,000,000,000 - / Aa2 / A+ / - Level 2a 15%

BANKINTER SA BKTSM 0 7/8 08/03/22 ES0413679343 1,000,000,000 - / Aa2 / A+ / - Level 2a 15%

BANKINTER SA BKTSM 0 5/8 10/09/20 ES0413679350 750,000,000 - / Aa2 / A+ / - Level 2a 15%

CAIXA CATALUNYA CAIXAC 4 7/8 06/29/17 ES0414840308 1,339,700,000 - / A2 / A+ / - - 1 -

CAIXABANK CABKSM 4 3/4 10/31/18 ES0414970196 1,000,000,000 - / Aa2 / A+ / AAL Level 1 7%


LA CAIXA CABKSM 3 5/8 01/18/21 ES0414970246 2,500,000,000 - / Aa2 / A+ / AAL Level 1 7%


CAIXABANK CABKSM 4 02/16/17 ES0440609040 1,000,000,000 - / Aa2 / A+ / AAL Level 1 7%

CAIXABANK CABKSM 3 03/22/18 ES0440609206 1,000,000,000 - / Aa2 / A+ / AAL Level 1 7%





CAIXA GALICIA NOVAGA 4 3/8 01/23/19 ES0414843146 1,000,000,000 BBB+ / Baa3 / A / AH - 1 -

CAJA RURAL DE CA CAJARC 0 7/8 10/01/21 ES0457089003 500,000,000 - / Aa2 / - / - Level 1 7%

CAJA RURAL NAV CRUNAV 2 7/8 06/11/18 ES0415306002 500,000,000 - / Aa2 / - / - Level 1 7%

CAJA RURAL NAV CRUNAV 0 1/2 03/16/22 ES0415306036 500,000,000 - / Aa2 / - / - Level 1 7%

CAJAS RURALES UN CAJARU 3 3/4 11/22/18 ES0422714024 750,000,000 BBB / - / A- / AH - 1 -

CAJAS RURALES UN CAJARU 1 1/4 01/26/22 ES0422714032 750,000,000 BBB / - / A- / AH - 1 -



Seite 32 von 38


Amount

Rating


CAJAS RURALES UN CAJARU 1 10/22/20 ES0422714040 750,000,000 BBB / - / A- / AH - 1 -

DEUTSCHE BK SAE DB 0 5/8 11/25/20 ES0413320054 1,000,000,000 - / Aa2 / A+ / - Level 2a 15%

DEUTSCHE BK SAE DB 1 1/8 01/20/23 ES0413320062 500,000,000 - / Aa2 / A+ / - Level 2a 15%

KUTXABANK KUTXAB 3 02/01/17 ES0443307014 750,000,000 - / Aa2 / A+ / - Level 2a 15%

KUTXABANK KUTXAB 1 3/4 05/27/21 ES0443307048 1,000,000,000 - / Aa2 / A+ / - Level 2a 15%

KUTXABANK KUTXAB 1 1/4 09/22/25 ES0443307063 1,000,000,000 - / Aa2 / A+ / - Level 2a 15%

Sweden Bond ISIN Outstanding

Amount

Rating


LANSFORSAKRINGAR LANSBK 1 1/8 05/07/20 XS0926822189 500,000,000 - / Aaa / AAA / - Level 1 7%



SKANDINAV ENSKIL SEB 2 5/8 10/16/17 XS0548881555 1,000,000,000 - / Aaa / - / - Level 1 7%






STADSHYPOTEK AB SHBASS 1 7/8 03/21/17 XS0760243328 1,500,000,000 - / Aaa / - / - Level 1 7%

STADSHYPOTEK AB SHBASS 1 06/19/18 XS0906516256 1,000,000,000 - / Aaa / - / - Level 1 7%


STADSHYPOTEK AB SHBASS 1 04/01/19 XS1050552006 1,250,000,000 - / Aaa / - / - Level 1 7%



SWEDBANK HYPOTEK SWEDA 0 3/8 09/29/20 XS1296948588 1,250,000,000 - / Aaa / AAA / - Level 1 7%





SWEDISH COVERED SBAB 0 5/8 10/07/21 XS1117542412 1,000,000,000 - / Aaa / - / - Level 1 7%

SWEDISH COVERED SBAB 0 3/4 06/17/22 XS1248348721 500,000,000 - / Aaa / - / - Level 1 7%

SWEDISH COVERED SBAB 0 3/8 10/05/20 XS1300812077 750,000,000 - / Aaa / - / - Level 1 7%

SWEDISH COVERED SBAB 3 1/4 03/30/17 XS0498316255 1,000,000,000 - / Aaa / - / - Level 1 7%

Switzerland Bond ISIN Outstanding

Amount

Rating


CREDIT SUIS GUER CS 2 7/8 10/18/18 XS0692723553 1,250,000,000 AAA / Aaa / - / - - 4 -


CREDIT SUIS GUER CS 1 03/12/19 XS1044479373 1,750,000,000 AAA / Aaa / - / - - 4 -



Seite 33 von 38

Switzerland Bond ISIN Outstanding

Amount

Rating



UBS AG LONDON UBS 1 3/8 04/16/21 XS1057841980 1,000,000,000 AAA / Aaa / - / - - 4 -

UBS AG LONDON UBS 3 7/8 12/02/19 XS0470204172 1,000,000,000 AAA / Aaa / - / - - 4 -

UBS AG LONDON UBS 4 04/08/22 XS0500331557 1,250,000,000 AAA / Aaa / - / - - 4 -

United Kingdom Bond ISIN Outstanding

Amount

Rating


ABBEY NATL TREAS ABBEY 4 1/4 04/12/21 XS0250729109 2,600,000,000 AAA / Aaa / AAA / - Level 1 7%





ABBEY NATL TREAS ABBEY 1 1/4 09/18/24 XS1111559685 500,000,000 AAA / Aaa / AAA / - Level 1 7%


BANK OF SCOTLAND LLOYDS 4 7/8 06/04/19 XS0193640629 1,250,000,000 AAA / Aaa / AAA / - Level 1 7%





BARCLAYS BK PLC BACR 4 01/12/21 XS0576797947 1,000,000,000 AAA / Aaa / AAA / - Level 1 7%

BARCLAYS BK PLC BACR 2 1/4 02/22/17 XS0748955142 2,000,000,000 AAA / Aaa / AAA / - Level 1 7%

BARCLAYS BK PLC BACR 4 10/07/19 XS0456178580 2,000,000,000 AAA / Aaa / AAA / - Level 1 7%

BARCLAYS BK PLC BACR 4 1/4 03/02/22 XS0491009659 1,300,000,000 AAA / Aaa / AAA / - Level 1 7%

BRADFORD&BIN BLD BRADBI 4 7/8 06/28/17 XS0307322437 1,098,650,000 AA+ / Aa1 / AA+ / - - 1 -

COVENTRY BDG SOC COVBS 0 5/8 11/03/21 XS1131109537 500,000,000 AAA / Aaa / - / - Level 1 7%

LLOYDS BANK PLC LLOYDS 1 3/8 04/16/21 XS1057478023 1,000,000,000 AAA / Aaa / - / - Level 1 7%




LLOYDS BANK PLC LLOYDS 4 06/25/18 XS0519671787 750,000,000 AAA / Aaa / - / - Level 1 7%

LLOYDS BANK PLC LLOYDS 4 09/29/20 XS0542950810 2,000,000,000 AAA / Aaa / - / - Level 1 7%


NATIONWIDE BLDG NWIDE 4 5/8 02/08/21 XS0589642049 1,250,000,000 AAA / Aaa / AAA / - Level 1 7%


NATIONWIDE BLDG NWIDE 2 1/4 06/25/29 XS1081100239 750,000,000 AAA / Aaa / AAA / - Level 1 7%


NATIONWIDE BLDG NWIDE 0 5/8 03/25/27 XS1207683522 750,000,000 AAA / Aaa / AAA / - Level 1 7%




Seite 34 von 38

United Kingdom Bond ISIN Outstanding

Amount

Rating




ROYAL BK SCOTLND RBS 3 7/8 10/19/20 XS0551478844 2,000,000,000 AAA / Aaa / - / - Level 1 7%

ROYAL BK SCOTLND RBS 4 1/8 01/15/18 XS0577751141 1,000,000,000 AAA / Aaa / - / - Level 1 7%

YORKSHRE BLD SOC YBS 1 1/4 06/11/21 XS1076256400 500,000,000 AAA / Aaa / - / - Level 1 7%



USA Bond ISIN Outstanding

Amount

Rating


BA COVERED BAC 4 1/4 04/05/17 XS0294901045 2,000,000,000 AA / Aa2 / A / - - 4 -

Source: Issuer, LCR Delegated Act, CRR, Fitch, Moody’s, S&P, DBRS, Bloomberg, NORD/LB Fixed Income Research 1 129 (7) not fulfilled;

2 Ship; no eligible asset class for Level 2b;

3 potential Level 2b but no monthly disclosure found or no information

about risk weight of assets; 4 not based on a covered bond law



Seite 35 von 38

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 +49 511 361-4711 [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)

Julia Bleser [email protected] Dirk Scholden [email protected]

Thorsten Bock [email protected] Uwe Tacke [email protected]

Uwe Kollster [email protected]

Gabriele Schneider [email protected]

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

Christian Schneider

(Head) [email protected] Stefan Krilcic [email protected]

Oliver Bickel [email protected] Martin Koch [email protected]

Tobias Bohr [email protected] Bernd Lehmann [email protected]

Kai-Ulrich Dörries [email protected] Jörn Meißner [email protected]

Marc Ehle [email protected] Lutz Schimanski [email protected]

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

Axel Hinzmann [email protected] Udo A. Schacht [email protected]

Thomas Höfermann [email protected] Marco da Silva [email protected]

Alexander Malitsky [email protected] Lutz Ulbrich [email protected]

Julien Marchand [email protected]

Financial Markets Trading

Jumbos / Covered Bonds +49 511 9818-8040 Frequent Issuers +49 511 9818-9640

Collateral Mgmt / Repos +49 511 9818-9200 Governments +49 511 9818-9660

Financials +49 511 9818-9490 Structured Products +49 511 9818-9670

Customer Exec. & Trading

+49 511 9818-9480

mailto:[email protected]










Seite 36 von 38

Disclaimer

This studie (hereinafter the „Material”) was drawn up by NORDDEUTSCHE LANDESBANK GIROZENTRALE („NORD/LB“). The supervisory authorities in charge of NORD/LB are the European Central Bank („ECB“), Son-nemannstraße 20, D-60314 Frankfurt am Main, and the Federal Financial Supervisory Authority (Bundesanstalt für Finanzdienstleitungsaufsicht - „BaFin“), Graurheindorfer Str. 108, D-53117 Bonn, and Marie-Curie-Str. 24-28, D-60439 Frankfurt am Main. Details about the extent of NORD/LB´s regulation by the respective authorities are available on request. Generally, this Material or the products or services described therein have not been re-viewed or approved by the competent supervisory authority.

This Material is addressed exclusively to recipients in Germany, the United Kingdom, Austria, Belgium, Denmark, Fin-land, Estonia, France, Greece, Ireland, Luxembourg, the Netherlands, Poland, Portugal, Sweden, the Czech Republic, Switzerland and Cyprus (hereinafter the „Relevant Persons” or „Recipients”). The contents of this Material are dis-

closed to the Recipients on a strictly confidential basis and, by accepting this Material, the Recipients agree that they wil l not forward to third parties, copy and/or reproduce this Material without NORD/LB’s prior written consent. This Material is only addressed to the Relevant Persons and any persons other than the Relevant Persons must not rely on the infor-mation in this Material. In particular, neither this Material nor any copy thereof must be forwarded or transmitted to Japan, Canada or the United States of America or its territories or possessions or distributed to any employees or affiliates of Recipients resident in these jurisdictions. This Material was drawn up in compliance with the applicable provisions of the German Securities Trading Act (Wertpa-pierhandelsgesetz) and the Regulation Governing the Material of Financial Instruments (Verordnung über die Analyse von Finanzinstrumenten). In organizational, hierarchical, functional and local terms, the Research Division of NORD/LB is independent of any divisions responsible for the issuance of securities and investment banking activities, for trading (in-cluding proprietary trading) in and sales of securities as well as for lending activities. This Material and the information contained herein have been compiled and are provided exclusively for information pur-poses. This Material is not intended as an investment incentive. It is provided for the Recipient’s personal information, subject to the express understanding, which is acknowledged by the Recipient, that it does not constitute any direct or indirect offer, recommendation, solicitation to purchase, hold or sell or to subscribe for or acquire any securities or other financial instruments nor any measure by which financial instruments might be offered or sold. All actual details, information and statements contained herein were derived from sources considered reliable by NORD/LB. However, since these sources are not verified independently, NORD/LB cannot give any assurance as to or assume responsibility for the accuracy and completeness of the information contained herein. The opinions and progno-ses given herein on the basis of these sources constitute a non-binding evaluation of NORD/LB. Any changes in the underlying premises may have a material impact on the developments described herein. Neither NORD/LB nor its gov-erning bodies or employees can give any assurance as to or assume any responsibility or liability for the accuracy, ade-quacy and completeness of this Material or any loss of return, any indirect, consequential or other damage which may be suffered by persons relying on the information or any statements or opinions set forth in this Material (irrespective of whether such losses are incurred due to any negligence on the part of these persons or otherwise). Past performances are not a reliable indicator of future performances. Exchange rates, price fluctuations of the financial instruments and similar factors may have a negative impact on the value and price of and return on the financial instru-ments referred to herein or any instruments linked thereto. An evaluation made on the basis of the historical performance of any security does not necessarily give an indication of its future performance. This Material neither constitutes any investment, legal, accounting or tax advice nor any representation that an invest-ment or strategy is suitable or appropriate in the light a Recipient’s individual circumstances, and nothing in this Material constitutes a personal recommendation to the Recipient thereof. The securities or other financial instruments referred to herein may not be suitable for the Recipient’s personal investment strategies and objectives, financial situation or individ-ual needs. Also this Material as a whole or any part thereof is not a sales or other prospectus. Correspondingly, the information con-tained herein merely constitutes an overview and does not form the basis for an investor‘s potential decision to buy or sell. A full description of the details relating to the financial instruments or transactions which may relate to the subject matter of this Material is set forth in the relevant (financing) documentation. To the extent that the financial instruments described herein are NORD/LB’s own issues and subject to the requirement to publish a prospectus, the conditions of issue applicable to any individual financial instrument and the relevant prospectus published with respect thereto as well NORD/LB’s relevant registration form, all of which are available for downloading at www.nordlb.de and may be obtained, free of charge, from NORD/LB, Georgsplatz 1, 30159 Hanover, shall be solely binding. Any potential investment decision should at any rate be made exclusively on the basis of such (financing) documentation. This Material cannot replace personal advice. Before making an investment decision, each Recipient should consult an independent investment advis-er for individual investment advice with respect to the appropriateness of an investment in financial instruments or in-vestment strategies as contemplated herein as well as for other and more recent information on certain investment oppor-tunities. Each of the financial instruments referred to herein may involve substantial risks, including capital, interest, index, curren-cy and credit risks, political, fair value, commodity and market risks. The financial instruments could experience a sudden substantial deterioration in value, including a total loss of the capital invested. Each transaction should only be entered into on the basis of the relevant investor’s assessment of its individual financial situation as well as of the suitability and risks of the investment. NORD/LB and its affiliates may, for their own account or for the account of third parties, participate in transactions involv-ing 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 trans-actions to hedge positions. Such actions may affect the price of the financial instruments described in this Material.

http://www.nordlb.de/



Seite 37 von 38

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. Further-more, 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 Infor-mation Relating to Securities Transactions“ which is available at www.nordlb.de. The information set forth in this Material shall supersede all previous versions of any relevant Material and refer exclu-sively to the date as of which this Material has been drawn up. Any future versions of this Material shall supersede this present version. NORD/LB shall not be under any obligation to update and/or review this Material at regular intervals. Therefore, no assurance can be given as to its currentness and continued accuracy. By making use of this Material, 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 Material 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 Material may expose an investor to a significant risk of losing all of the amount invested. 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 Material does not 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 not qualify as research recommendation under Directive 2003/6/EC and Directive 2003/125/EC. Additional information for recipients in Austria

None of the information contained in this Material constitutes a solicitation or offer by NORD/LB or its affiliates to buy or sell any securities, 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 Material may not being offered into Austria and are not available to investors in Austria. Therefore, NORD/LB might not be able to sell or issue these products, nor shall it accept any request to sell or issues these products, to investors located in Austria or to intermediaries acting on behalf of any such investors. Additional information for recipients in Belgium

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. Additional information for recipients in Cyprus

This Material does not 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 invitation or offer to sell or buy or subscribe any investment product. Additional information for recipients in Denmark

This Material 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 Material either (i) has not been prepared in the context of a public offering of securities in Denmark or the admission of securities to trading on a regulated market within the meaning of the Danish Securities Trading Act or any executive orders issued pursuant thereto, or (ii) has been prepared in the context of a public offering of securities in Denmark or the admission of securities to trading on a regulat-ed market in reliance on one or more of the exemptions from the requirement to prepare and publish a prospectus in the Danish Securities Trading Act or any executive orders issued pursuant thereto. Additional information for recipients in Greece

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. Additional information for recipients in Ireland This Material has not been prepared in accordance with Directive 2003/71/EC, as amended, on prospectuses (the “Pro-spectus Directive”) or any measures made under the Prospectus Directive or the laws of any Member State or EEA

treaty adherent state that 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. Additional information for recipients in Luxembourg

Under no circumstances shall this Material constitute an offer to sell, or issue or the solicitation of an offer to buy or sub-scribe for Products 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 Material does not constitute a recommendation within the meaning of the Regulation of the Polish Minister of Fi-nance Regarding Information Constituting Recommendations Concerning Financial Instruments or Issuers thereof dated 19 October 2005.

http://www.nordlb.de/

http://www.dsgv.de/sicherungssystem



Seite 38 von 38

Additional information for recipients in Portugal

This Material is intended only for institutional clients and may not be (i) used by, (ii) copied by any means or (iii) distribut-ed to any other kind of investor, in particular not to retail clients. This Material does not constitute or form part of an offer to buy or sell any of the securities covered by the report nor can be understood as a request to buy or sell securities where that practice may be deemed unlawful. This Material is based on information obtained from sources which we believe to be reliable, but is not guaranteed as to accuracy or completeness. Unless otherwise stated, all views herein contained are solely expression of our research and analysis and subject to change without notice. Additional information for recipients in Sweden

This Material 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 Material 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 per-son 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. Additional information for recipients in Switzerland

This Material has not been approved by the Federal Banking Commission (merged into the Swiss Financial Market Su-pervisory Authority “FINMA” on 1 January 2009). This Material does not constitute an issuing prospectus pursuant to article 652a or article 1156 of the Swiss Code of Obli-gations. This Material 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 Invest-ment Schemes (CISA) and are therefore not subject to the supervision by the Swiss Financial Market Supervisory Author-ity (FINMA). 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 Material should consult with an expert. Additional information for recipients in Finland

The financial products described in this Material may not be offered or sold, directly or indirectly, to any resident of the Republic of Finland 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 Fin-land as defined in the Finnish Securities Market 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 Material is provided on a non-reliance basis and its author does not accept any respon-sibility for its content in terms of correctness, accuracy or otherwise.

Time of going to press

29 February 2016 13:01h (CET)