LCR Classification of Covered Bonds - NORD/LB › ... › 20170106_CBS_LCR_eng.pdf · 1/6/2017 · Classification of Covered Bonds Classification as Level 1B, Level 2A or Level 2B

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Fixed Income Research

Covered Bond Special 6 January 2017

LCR Classification of Covered Bonds

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NORD/LB Fixed Income Research

Page 2 of 39

Content page

Liquidity Coverage Ratio 3

Classification Overview 4

Classification of Covered Bonds 6

Regulatory Classification: Issuers (Benchmarks) 10

Regulatory Classification: Covered Bonds (iBoxx Euro Covered) 15

Contacts 35



Page 3 of 39

Liquidity Coverage Ratio

Analyst:

Matthias Melms, CIIA, CCrA

In practice, there are hurdles

to LCR

The liquidity coverage ratio (LCR) 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 transparency criteria is

proving to be a particularly critical point in practice, as this entails the inves-

tor having to carry out a time-consuming check on a semi-annual basis.

EBA suggests amendments

of CRR

In November 2016 the European Banking Authority (EBA) presented some

suggestion for a deeper harmonization of the different covered bond regula-

tions in the European Union, that, from our perspective, could have influence

on the qualification of covered bonds under the LCR regulation. Among oth-

ers, EBA suggest an amendment of article 129 CRR, that could lead to a

minimum overcollateralization of 5% which could be introduced after the end

of an impact study.

Review of all pool reports In this article, 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. 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. The second overview shows the eligibility

of all bonds included in the iBoxx Euro Covered (31/05/2016) 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.

Changes since the last report Since the last edition in June 2016 five new issuers were now included in our

report. All benchmarks from Raiffeisenlandesbank Oberösterreich, the Span-

ish Ibercaja Banco, Belgium BNP Paribas Fortis, Polish PKO Bank Hipotec-

zny and SP-Mortgage Bank from Finland qualify from our perspective for the

LCR. Also the ratings have improved for some covered bonds with the con-

sequence that more bonds qualify now under the LCR regulation respective-

ly are eligible for a higher LCR level than in our last report published in June

2016.



Page 4 of 39

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



Page 5 of 39

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



Page 6 of 39

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



Page 7 of 39

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.



Page 8 of 39

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%.



Page 9 of 39

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.



Page 10 of 39

Regulatory Classification: Issuers (Benchmarks) Analysts: Matthias Melms / Kai Ebeling

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/-/- 62.4% Y 2a

Commonwealth Bank of Australia Mortgage Y AAA/Aaa/-/- 8.0% Y 2a

Macquarie Bank Mortgage Y AAA/Aaa/-/- 95.5% Y 2a

National Australia Bank Mortgage Y AAA/Aaa/-/- 60.8% Y 2a

Westpac Banking Corporation Mortgage Y AAA/Aaa/-/- 16.7% Y 2a

Austria Link Law Rating


LCR-

Level

BAWAG P.S.K. Mortgage Y -/Aaa/-/- 19.9% Y 1

Erste Group Bank Mortgage Y -/Aaa/-/- 33.5% Y 1

Public Sector Y -/Aaa/-/- 32.0% Y 1

HYPO NOE Gruppe Bank Mortgage Y -/Aa1/-/- 68.1% Y 1

Public Sector Y -/Aa1/-/- 50.8% Y 1

Hypo Tirol Bank Mortgage -/Aa2/-/- 135.2% Y 1

KA Finanz Public Sector Y -/-/AA-/- 53.2% Y 1

Raiffeisenlandesbank Niederösterreich-Wien Mortgage Y -/Aaa/-/- 52.4% Y 1

Raiffeisen-Landesbank Oberösterreich Mortgage Y -/Aaa/-/- 69.9% Y 1

Raiffeisen-Landesbank Steiermark Mortgage Y -/Aaa/-/- 83.0% Y 1

UniCredit Bank Austria Mortgage Y -/Aaa/-/- 10.2% Y 1


Vorarlberger Landes- und Hypothekenbank Mortgage Y -/Aa1/-/- 151.1% Y 1

Belgium Link Law Rating


LCR-

Level

Belfius Bank Mortgage Y AAA/-/AAA/- 19.4% Y 1

Public Sector Y -/Aaa/AAA/- 42.1% Y 1

BNP Paribas Fortis Mortgage Y -/Aaa/AAA/- 50.6% Y 1

ING Belgium Mortgage Y AAA/Aaa/-/- 54.6% Y 1

KBC Bank Mortgage Y AAA/Aaa/-/- 42.7% Y 1

Canada Link Law Rating


LCR-

Level

Bank of Montreal Mortgage (Registered)

Y AAA/Aaa/-/AAA 29.3% Y 2a

Bank of Nova Scotia Mortgage (Registered)


Caisse centrale Desjardings du Québec Mortgage (Registered)

Y AAA/Aaa/-/- 40.6% Y 2a

Canadian Imperial Bank Mortgage (Registered)

Y AAA/Aaa/-/- 82.2% Y 2a

National Bank of Canada Mortgage (Registered)


Royal Bank of Canada Mortgage (Registered)


Toronto-Dominion Bank Mortgage (Registered)

Y -/Aaa/-/AAA 18.3% Y 2a

Denmark Link Law Rating


LCR-

Level

BRFkredit Mortgage Y -/-/AAA/- 6.5% Y 1

Danske Bank Mortgage Pool C

Y AAA/-/AAA/-

23.2% Y 1

Mortgage Pool I

Y AAA/-/AAA/-

13.1% 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

https://www.erstegroup.com/en/investors/debt/downloads

https://www.erstegroup.com/en/investors/debt/downloads

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

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

https://www.hypotirol.com/oesterreich/investor-relations/informationen-zum-deckungsstock/

https://www.kafinanz.at/investor-relations/funding/covered-bonds/

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

http://www.rlbooe.at/eBusiness/01_template1/15752112992436962-480375555797804693_1022344163431133463_1022344474816262768-1194233148626747627-NA-42-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://www.bnpparibasfortis.com/investors/coveredbonds/covered-bonds

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

https://brf.com/covered-bond-data

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






Page 11 of 39

Finland Link Law Rating


LCR-

Level

Aktia Bank Mortgage Y -/Aaa/-/- 40.4% Y 1

Danske Bank Mortgage Y -/Aaa/-/- 21.0% Y 1

Nordea Mortgage Bank Mortgage Y -/Aaa/-/- 49.7% Y 1

OP-Pohjola Group Mortgage Y -/Aaa/AAA/- 10.5% Y 1

SP Mortgage Bank Mortgage Y -/-/AAA/- 29.6% Y 15

France Link Law Rating


LCR-

Level

AXA Bank Europe SCF SCF Y AAA/Aaa/-/- 12.4% Y 1

Banque Fédérative du Crédit Mutuel SFH Y AAA/Aaa/AAA/- 42.0% Y 1

BNP Paribas SFH Y AAA/-/AAA/- 34.7% Y 1

SCF Y AA+/-/AAA/- 148.2% Y 1

BPCE SFH Y -/Aaa/AAA/- 35.5% Y 1

Banques Populaires Covered Bond

N -/-/AAA/- 49.4% Y -1

Caisse de Refinancement de l'Habitat Mortgage Y AAA/Aaa/-/- 44.9% Y 1

Caisse Française de Financement Local Public Sector Y AA/Aaa/AA+/- 15.3% Y 1

CIF Euromortgage Kein Reporting gefunden

Y AA/Aa2/-/- - N -2

Compagnie de Financement Foncier Public Sector Y -/Aaa/AAA/- 26.7% Y 1

Crédit Agricole SFH Y AAA/Aaa/AAA/- 45.2% Y 1

SCF Y -/Aaa/AAA/- 71.7% Y 1

Crédit Mutuel Arkéa SFH Y -/-/AAA/- 30.0% Y 1


HSBC France SFH Y -/Aaa/AAA/- 36.8% Y 1

La Banque Postale SFH Y -/-/AAA/- 89.0% Y 1

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


Germany Link Law Rating


LCR-

Level

Aareal Bank Mortgage Y AAA/-/-/- 29.0% Y 1

Apobank Mortgage Y -/-/AAA/- 44.9% Y 1

Bayerische Landesbank Mortgage Y -/Aaa/-/- 70.6% Y 1

Public Sector Y AAA/Aaa/-/- 45.4% Y 1

Berlin Hyp Mortgage Y -/Aaa/-/- 9.2% Y 1


Commerzbank Mortgage Y -/Aaa/-/- 26.4% Y 1


Deutsche Bank Mortgage Y -/Aaa/-/- 28.4% Y 1

Deutsche Genossenschafts-Hypothekenbank

Mortgage Y -/-/AAA/- 24.1% Y 1

Deutsche Hypothekenbank Mortgage Y -/Aa1/-/- 4.7% Y 1

Deutsche Kreditbank Mortgage Y -/Aaa/-/- 68.9% Y 1


Deutsche Pfandbriefbank Mortgage Y -/Aa1/-/- 17.8% Y 1


Deutsche Postbank Mortgage Y AAA/-/-/- 49.1% Y 1

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

Hamburger Sparkasse Mortgage Y -/Aaa/-/- 36.9% Y 1

HSH Nordbank Mortgage Y -/Aa3/-/- 7.2% Y 1


Ship Y -/Baa1/-/- 47.8% 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

http://www.saastopankki.fi/velkasijoittajat

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.com/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/de/investorenportal/disclaimer/?tx_ghdisclaimer_pi1%5Bredirect%5D=1413

https://www.apobank.de/ihre-apobank/investor-relations-de/finanzpublikationen/veroeffentlichungen-gem-paragraph-28-pfbg.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/pfandbriefe/%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.db.com/ir/en/mortgage-pfandbriefe.htm

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

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

https://www.haspa.de/unternehmen-haspa/ueber-uns/investoreninformationen/pfandbriefe-19326/

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





Page 12 of 39

Germany Link Law Rating


LCR-

Level

ING-DiBa Mortgage Y -/Aaa/-/- 343.6% Y 1

Landesbank Baden-Württemberg Mortgage Y -/Aaa/-/- 51.1% Y 1


Landesbank Hessen-Thüringen Mortgage Y AAA/-/-/- 30.9% Y 1


Münchener Hypothekenbank Mortgage Y -/Aaa/-/- 12.7% Y 1


Norddeutsche Landesbank Public Sector Y -/Aaa/-/- 35.9% Y 1

Aircraft Y -/A1/-/- 41.3% Y 2a

Sparkasse KölnBonn Mortgage Y -/Aaa/-/- 29.0% Y 1

UniCredit Bank Mortgage Y AAA/Aaa/-/- 64.4% Y 1

WL BANK Mortgage Y -/-/AAA/- 8.6% Y 1

Public Sector Y -/-/AAA/- 31.1% Y 1

Ireland Link Law Rating


LCR-

Level

Allied Irish Banks Mortgage Y AA+/Aaa/AA+/- 81.8% Y 1

Bank of Ireland Mortgage Y -/Aa1/-/AAH 46.2% Y 1

Italy Link Law Rating


LCR-

Level

Banca Carige Mortgage

Y BBB+/Ba1/-/BBBH

/*- 27.3% Y -

4

Banca Monte dei Paschi di Siena Mortgage (CPT)

Y BBB /*/A2 /*/-/AH /*- 41.4% Y 2a

Banca Popolare dell´Emilia Romagna Mortgage Y -/Aa2/-/- 33.5% Y 1

Banca Popolare di Milano Mortgage Y -/A1/-/- 21.7% Y 2a

Banco Popolare di Sondrio Mortgage Y AA+/-/-/- 63.6% Y 1

Banco Popolare Mortgage Y -/A1/-/A 38.7% Y 2a

Cariparma Mortgage Y -/Aa2/-/- 82.0% Y 1

Credito Emiliano Mortgage Y AA/Aa2/-/- 68.1% Y 1

Intesa Sanpaolo Mortgage Y -/Aa2/-/- 38.0% Y 1

Mediobanca Mortgage Y AA/-/-/- 32.6% Y 1

UBI Banca Mortgage Y -/Aa2/-/AAL 19.9% Y 1

UniCredit Mortgage Y AA+/Aa2/A/- 32.1% Y 1

Mortgage (CPT)

Y AA+/-/-/- 38.8% Y 1

Luxembourg Link Law Rating


LCR-

Level

NORD/LB Luxembourg Covered Bond Bank Public Sector Y AAA/-/AA-/- 25.2% 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/- 40.3% Y 1

F. van Lanschot Bankiers Mortgage (CPT)

Y AAA/-/AAA/- 21.9% Y 1

ING Bank Mortgage Y AAA/Aaa/AAA/- 33.7% Y 1

NIBC Bank Mortgage (CPT)

Y AAA/-/AAA/- 20.9% Y 1

SNS Bank Mortgage Y AAA/Aaa/-/- 44.6% Y 1

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/helaba/die-helaba/investor-relations/funding/downloads-fuer-investoren/-/314364

https://www.helaba.de/helaba/die-helaba/investor-relations/funding/downloads-fuer-investoren/-/314364

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.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

http://www.wlbank.de/Investor-Relations-1/%C2%A7-28-Pfandbriefgesetz/

http://www.wlbank.de/Investor-Relations-1/%C2%A7-28-Pfandbriefgesetz/

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

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.popso.it/cm/pages/ServeBLOB.php/L/IT/IDPagina/1672

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.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



Page 13 of 39

New Zealand Link Law Rating


LCR-

Level

ANZ Bank New Zealand Mortgage Y AAA/Aaa/-/- 115.4% Y 2a

ASB Bank Mortgage Y AAA/Aaa/-/- 53.1% Y 2a

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

Westpac New Zealand Mortgage Y AAA/Aaa/-/- 79.0% Y 2a

Norway Link Law Rating


LCR-

Level

DNB Bank Mortgage (Boligkreditt)

Y -/Aaa/AAA/- 42.0% Y 1

Eika Boligkreditt Mortgage Y -/Aa1/-/- 9.2% Y 1

SpareBank 1 Mortgage (Boligkreditt)

Y AAA/Aaa/-/- 8.6% Y 1

Sparebanken Sør Mortgage (Boligkreditt)

Y -/Aaa/-/- 14.5% Y 1

Sparebanken Vest Mortgage (Boligkreditt)

Y -/Aaa/-/- 6.6% Y 1

SR-Boligkreditt Mortgage Y -/Aaa/-/- 25.9% Y 1

Poland Link Law Rating


LCR-

Level

PKO Bank Hipoteczny Mortgage Y -/Aa3/-/- 262.0% Y 1

Portugal Link Law Rating


LCR-

Level

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

Caixa Geral de Depósitos Mortgage Y BBB+u/A3 /*/-/AH 47.2% Y 2a

Singapore Link Law Rating


LCR-

Level

United Overseas Bank Mortgage Y -/Aaa/AAA/- 452.9% Y 2a

Spain Link Law Rating


LCR-

Level

ABANCA (NCG Banco) Kein Reporting gefunden

Y A-/A3u/A/AH - N -2

Banco de Sabadell Mortgage Y -/Aa2/-/AA 152.1% Y 1

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

Banco Popular Mortgage

Y -/Aa2/-/AAH 160.9% Y 1

Banco Santander Mortgage

Y AAu/Aa2/-/- 154.7% Y 1

Bankia Mortgage

Y A/Aa2u/A+/AAH 120.5% Y 2a

Bankinter Mortgage

Y -/Aa2/A+/- 168.3% Y 2a

BBVA Mortgage

Y -/Aa2/-/- 171.3% Y 1

CaixaBank Mortgage

Y -/Aa2/A+/AAH 150.5% Y 1

Cajamar Caja Rural Kein Reporting gefunden

Y BBB+/-/A-/AH - N -2

Caja Rural Castilla-La Mancha Mortgage

Y -/Aa2/-/- 107.7% Y 1

Caja Rural de Navarra Mortgage

Y -/Aa2/-/- 143.2% Y 1

Deutsche Bank S.A.E. Mortgage

Y -/Aa2/A+/- 55.9% Y 2a

Ibercaja Mortgage Y -/A2/A+/- 269.4% Y 2a

Kutxabank Mortgage

Y -/Aa2/A+/- 278.5% 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

https://eikabk.no/Investor-relations/Cover-pool

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

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

https://www.sor.no/felles/om-sparebanken-sor/sor-boligkreditt/Finansiell-rapportering/

https://www.sor.no/felles/om-sparebanken-sor/sor-boligkreditt/Finansiell-rapportering/

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://www.pkobh.pl/bank-hipoteczny-en/investor-relations/current-reports/cover-pool-reports/

https://www.santandertotta.pt/pt_PT/Investor-Relations/Emissão-de-Divida/2016.html

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

http://www.uobgroup.com/investor/stock/covered_bond_programme.html

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

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

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

https://www.db.com/ir/de/cedulas-hipotecarias.htm

http://www.ibercaja.com/en/contents/shareholders-and-investors/corporate-rating-and-issues/collateral/

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



Page 14 of 39

Sweden Link Law Rating


LCR-

Level

LF Bank Mortgage Y -/Aaa/AAA/- 39.9% Y 1

SBAB Bank Mortgage Y -/Aaa/-/- 39.9% Y 1

SEB Mortgage Y -/Aaa/-/- 59.1% Y 1

Svenska Handelsbanken Mortgage (Swedish Pool)

Y -/Aaa/-/- 12.0% Y 1

Mortgage (Finnish Pool)

Y -/Aaa/-/- 10.0% Y 1

Swedbank Mortgage Y -/Aaa/AAA/- 63.1% Y 1

Switzerland Link Law Rating


LCR-

Level

Credit Suisse Mortgage N AAA/Aaa/-/- 25.4% Y -1

UBS Mortgage N AAA/Aaa/-/- 25.4% Y -1

Turkey Link Law Rating


LCR-

Level

VakifBank Mortgage Y -/Baa1/-/- 79.8% Y -

United Kingdom Link Law Rating


LCR-

Level

Bank of Scotland Mortgage Y AAA/Aaa/AAA/- 28.0% Y 1

Barclays Mortgage Y AAA/Aaa/AAA/- 80.4% Y 1

Coventry Building Society Mortgage Y AAA/Aaa/-/- 36.0% Y 1

Leeds Building Society Mortgage Y AAA/Aaa/-/- 50.5% Y 1

Lloyds Bank Mortgage Y AAA/Aaa/-/- 29.2% Y 1

Nationwide Building Society Mortgage Y AAA/Aaa/AAA/- 54.6% Y 1

Royal Bank of Scotland Mortgage Y AAA/Aaa/-/- 110.4% Y 1

Santander UK / Abbey National Mortgage Y AAA/Aaa/AAA/- 23.0% Y 1

Yorkshire Building Society Mortgage Y AAA/Aaa/-/- 72.7% Y 1

Source: Issuer, LCR Delegated Act, CRR, Fitch, Moody’s, S&P, DBRS, Bloomberg, NORD/LB Fixed Income Research 1 not based on a covered bond law;

2 129 (7) not fulfilled;

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; 5 Issuer placed the inaugural benchmark in November 2016, an investor

report will be established from January 2017, at the moment the transparency requirements are fulfilled by an investor presentation published on mentioned website.

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

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

https://www.vakifbank.com.tr/investor-report-related-to-the-global-covered---bond-programme-aprill.aspx?pageID=1300

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

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

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

http://www.leedsbuildingsociety.co.uk/treasury/wholesale/covered-bonds/

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

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

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



Page 15 of 39

Regulatory Classification: Covered Bonds (iBoxx Euro Covered) Analysts: Matthias Melms / Kai Ebeling

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%





AUST & NZ BANK ANZ 0.45 11/22/23 XS1523136247 750,000,000 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 3/8 02/10/21 XS1357027496 750,000,000 AAA / Aaa / - / - Level 2a 15%

COM BK AUSTRALIA CBAAU 1 5/8 02/10/31 XS1357027652 500,000,000 AAA / Aaa / - / - Level 2a 15%


MACQUARIE BK LTD MQGAU 0 3/8 03/03/21 XS1371532547 500,000,000 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%



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%



Page 16 of 39

Austria Bond ISIN Outstanding

Amount

Rating




HYPO TIROL BANK LANTIR 0 1/2 02/11/21 AT0000A1JY21 500,000,000 - / Aa2 / - / - Level 1 7%

KA FINANZ KAFIN 1 5/8 09/25/18 XS0973424152 500,000,000 - / - / AA- / - Level 1 7%

KA FINANZ KAFIN 1 5/8 02/19/21 XS1033673440 500,000,000 - / - / AA- / - Level 1 7%

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




RAIFF LB OBEROST RFLBOB 0 3/8 09/28/26 XS1495631993 500,000,000 - / Aaa / - / - Level 1 7%

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 - / Aa1 / - / - Level 1 7%

VORARL LAND HYPO VORHYP 0 3/4 02/11/25 XS1188081936 500,000,000 - / Aa1 / - / - Level 1 7%

Belgium Bond ISIN Outstanding

Amount

Rating


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%


BELFIUS BANK SA CCBGBB 0 1/8 09/14/26 BE0002260298 500,000,000 - / Aaa / AAA / - Level 1 7%

BNP PARIBAS FORT FBAVP 0 10/24/23 BE0002265347 500,000,000 - / 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%



Page 17 of 39

Belgium Bond ISIN Outstanding

Amount

Rating


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%



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


BANK OF MONTREAL BMO 0.1 10/20/23 XS1506604161 1,750,000,000 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 1/2 07/23/20 XS1264790939 1,250,000,000 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%

BANK NOVA SCOTIA BNS 0 3/8 03/10/23 XS1377941106 750,000,000 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%

CAN IMPERIAL BK CM 0 07/25/22 XS1456455572 1,250,000,000 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%



NATL BANK CANADA NACN 0 09/29/23 XS1496770626 750,000,000 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%





Page 18 of 39

Canada Bond ISIN Outstanding

Amount

Rating






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


BRFKREDIT A/S BRF 0 1/4 04/01/21 XS1385173734 500,000,000 - / - / AAA / - Level 1 7%



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









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 MORTGAGE NDASS 1 1/4 01/14/19 XS1014673849 1,500,000,000 - / Aaa / - / - Level 1 7%

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




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




Page 19 of 39

Finland Bond ISIN Outstanding

Amount

Rating





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



OP MORTGAGE BANK OPBANK 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%



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 4 04/25/18 FR0010345181 4,040,000,000 AAA / Aaa / - / - Level 1 7%

CSSE REFIN L'HAB CRH 3 1/2 06/22/20 FR0010910240 2,100,000,000 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%










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

CSSE REFIN L'HAB CRH 3 3/4 02/19/20 FR0010857672 2,000,000,000 AAA / Aaa / - / - Level 1 7%

CAISSE FR DE FIN CAFFIL 3 1/2 09/24/20 FR0010945964 1,205,848,000 AA / Aaa / AA+ / - Level 1 7%







Page 20 of 39


Amount

Rating


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 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 / - / - -2

-


-


-

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



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













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





Page 21 of 39


Amount

Rating





CIE FIN FONCIER CFF 0.225 09/14/26 FR0013201449 1,000,000,000 - / 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%

CREDIT AGRICOLE ACASCF 0 1/4 10/31/26 FR0013215688 500,000,000 - / Aaa / AAA / - Level 1 7%

ARKEA PUBLIC SEC 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%




BPCE SFH BPCECB 3 3/4 09/13/21 FR0011109321 2,100,000,000 - / Aaa / AAA / - Level 1 7%

BPCE SFH BPCECB 3 1/2 02/20/19 FR0011169861 950,000,000 - / Aaa / AAA / - Level 1 7%

BPCE SFH BPCECB 4 03/23/22 FR0011169879 1,450,000,000 - / Aaa / AAA / - Level 1 7%








BPCE SFH BPCECB 1 02/24/25 FR0012326841 800,000,000 - / Aaa / AAA / - Level 1 7%




CRED AG COV BOND ACACB 4 07/16/25 FR0010920900 1,966,900,000 AAA / Aaa / AAA / - Level 1 7%



Page 22 of 39


Amount

Rating


CRED AG COV BOND ACACB 3 7/8 01/12/21 FR0010989087 1,405,300,000 AAA / Aaa / AAA / - Level 1 7%

CREDIT AG HOME L ACACB 3 1/2 06/14/18 FR0011060367 1,121,200,000 AAA / Aaa / AAA / - Level 1 7%

CREDIT AG HOME L ACACB 4 01/17/22 FR0011179852 1,289,100,000 AAA / Aaa / AAA / - Level 1 7%








CREDIT AG HOME L ACACB 0 1/4 02/23/24 FR0013219573 1,500,000,000 AAA / Aaae / 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%

ARKEA 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%

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%





Page 23 of 39


Amount

Rating


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 / - -1

-

Germany Bond ISIN Outstanding

Amount

Rating


AAREAL BANK AG AARB 0 7/8 01/15/18 DE000AAR0157 625,000,000 AAA / - / - / - Level 1 7%

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

AAREAL BANK AG AARB 1 1/8 01/21/19 DE000AAR0173 500,000,000 AAA / - / - / - Level 1 7%

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

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

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

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

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

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

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

BERLIN HYP AG BHH 0 1/4 02/22/23 DE000BHY0BC4 500,000,000 - / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 0 03/15/19 DE000BHY0BD2 500,000,000 - / Aaa / - / - Level 1 7%

BERLIN HYP AG BHH 0 3/8 05/03/24 DE000BHY0BE0 500,000,000 - / Aaa / - / - Level 1 7%

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

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

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

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

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

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

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

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

COMMERZBANK AG CMZB 0 1/2 06/09/26 DE000CZ40LG8 1,000,000,000 - / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 0.05 07/11/24 DE000CZ40LM6 1,000,000,000 - / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 0 1/8 12/15/26 DE000CZ40LQ7 750,000,000 - / Aaa / - / - Level 1 7%

COMMERZBANK AG CMZB 0 1/8 02/23/23 DE000CZ40LS3 500,000,000 - / Aaae / - / - Level 1 7%

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

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

DEUTSCHE APO ARZ DAA 0.15 03/07/23 XS1376323652 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%



Page 24 of 39


Amount

Rating


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%

DEUTSCHE BANK AG DB 0 1/4 03/08/24 DE000DL19SH3 750,000,000 - / Aaa / - / - Level 1 7%

DEUTSCHE BANK AG DB 0 1/2 06/09/26 DE000DL19S01 500,000,000 - / Aaa / - / - Level 1 7%

DEUTSCHE BANK AG DB 0 1/4 08/31/28 DE000DL19S68 500,000,000 - / 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%

DEUT GENOS-HYPBK DGHYP 0 1/8 09/30/22 DE000A14KKJ5 500,000,000 - / - / AAA / - Level 1 7%

DEUT GENOS-HYPBK DGHYP 0 3/8 03/31/26 DE000A14KKM9 500,000,000 - / - / AAA / - Level 1 7%

DEUT GENOS-HYPBK DGHYP 0.05 12/06/24 DE000A2AAW12 500,000,000 - / - / AAA / - Level 1 7%

DEUTSCHE HYP HAN DHY 1 1/4 10/02/19 DE000DHY3681 500,000,000 - / 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 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 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%

DT PFANDBRIEFBAN PBBGR 0.2 03/01/22 DE000A13SWE6 500,000,000 - / 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%

HAMBURGER SPARKA HASPA 0.1 03/02/22 DE000A2AAPV8 500,000,000 - / Aaa / - / - 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%



Page 25 of 39


Amount

Rating


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%

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

HSH NORDBANK AG HSHN 0 3/8 04/27/23 DE000HSH5Y29 850,000,000 - / Aa3 / - / - Level 1 7%

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

ING-DIBA AG INGDIB 0 1/4 11/16/26 DE000A1KRJQ6 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%

LB BADEN-WUERTT LBBW 0 1/8 02/21/22 DE000LB06G44 500,000,000 - / Aaa / - / - Level 1 7%

LB BADEN-WUERTT LBBW 0.05 11/11/21 DE000LB09PR3 750,000,000 - / Aaa / - / - Level 1 7%

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



LANDBK HESSEN-TH HESLAN 0 11/23/20 XS1369280315 1,250,000,000 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 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%

UNICREDIT BANK HVB 0 1/8 03/01/22 DE000HV2AMD0 1,000,000,000 AAA / Aaa / - / - Level 1 7%

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



Page 26 of 39


Amount

Rating


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 750,000,000 - / - / AAA / - Level 1 7%

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%

WL BANK WLBANK 0 3/4 02/02/26 DE000A161ZQ3 875,000,000 - / - / AAA / - Level 1 7%

WL BANK WLBANK 0.2 03/24/23 DE000A161ZU5 500,000,000 - / - / AAA / - Level 1 7%

WL BANK WLBANK 0.1 08/31/26 DE000A2AAX45 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%

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

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

COMMERZBANK AG CMZB 1 02/05/19 DE000CZ40KA3 500,000,000 - / 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 1 1/4 04/20/35 DE000A13SWG1 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 0.05 09/08/21 DE000DXA1NX9 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%

HSH NORDBANK AG HSHN 0 1/8 02/24/21 DE000HSH5YK0 500,000,000 - / Aa2 / - / - Level 1 7%

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%




Page 27 of 39


Amount

Rating



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 / - / - Level 1 7%

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

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

NORDDEUTSCHE L/B NDB 0 1/4 10/28/26 DE000NLB85X6 750,000,000 - / 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 / - / - -3

-

NORDDEUTSCHE L/B NDB 1 1/8 02/19/19 XS1033923142 500,000,000 - / A1 / - / - Level 2a 15%

Ireland Bond ISIN Outstanding

Amount

Rating


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




AIB MORTGAGE BNK AIB 0 7/8 02/04/23 XS1357663050 1,000,000,000 AA+ / Aaa / AA+ / - Level 1 7%

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






Italy Bond ISIN Outstanding

Amount

Rating


BANCA CARIGE BANCAR 3 7/8 10/24/18 IT0004967698 750,000,000 BBB+ / Ba1 / - / BBBH /*- -4

-

BANCA CARIGE BANCAR 1 1/4 01/28/21 IT0005139859 500,000,000 BBB+ / Ba1 / - / BBBH /*- -4

-

MONTE DEI PASCHI MONTE 5 02/09/18 IT0004689912 1,470,000,000 BBB /* / A2 /* / - / AH /*- Level 2a 15%

MONTE DEI PASCHI MONTE 2 7/8 04/16/21 IT0005013971 1,000,000,000 BBB /* / A2 /* / - / AH /*- Level 2a 15%


MONTE DEI PASCHI MONTE 1 1/4 01/20/22 IT0005140188 750,000,000 BBB /* / A2 /* / - / AH /*- Level 2a 15%


BANCA POP MILANO PMIIM 0 7/8 09/14/22 IT0005135725 1,000,000,000 - / A1 / - / - Level 2a 15%

BANCA POP MILANO PMIIM 1 1/2 12/02/25 IT0005153975 750,000,000 - / A1 / - / - Level 2a 15%

BANCA POP MILANO PMIIM 0 5/8 06/08/23 IT0005199465 750,000,000 - / A1 / - / - Level 2a 15%

BANCA POP SONDRI BPSOIM 0 3/4 04/04/23 IT0005175242 500,000,000 AA+ / - / - / - Level 1 7%



Page 28 of 39


Amount

Rating


BANCO POPOLARE BPIM 0 3/4 03/31/22 IT0005090516 1,000,000,000 - / A1 / - / A Level 2a 15%

BANCA POP EMILIA BPEIM 3 3/8 10/22/18 IT0004965346 1,000,000,000 - / Aa2 / - / - Level 1 7%

BANCA POP EMILIA BPEIM 0 7/8 01/22/22 IT0005076929 750,000,000 - / Aa2 / - / - Level 1 7%

BANCA POP EMILIA BPEIM 0 1/2 07/22/20 IT0005120198 750,000,000 - / Aa2 / - / - Level 1 7%

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

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

CASS RISP PARMA CARPP 0 1/4 09/30/24 IT0005216624 750,000,000 - / Aa2 / - / - Level 1 7%

CASS RISP PARMA CARPP 1 09/30/31 IT0005216616 750,000,000 - / Aa2 / - / - Level 1 7%

CREDITO EMILIANO CRDEM 3 1/4 07/09/20 IT0004940679 500,000,000 AA / Aa2 / - / - Level 1 7%



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

INTESA SANPAOLO ISPIM 3 3/4 09/25/19 IT0004852189 1,000,000,000 - / 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 AA / - / - / - Level 1 7%



UNICREDIT SPA UCGIM 5 1/4 04/30/23 IT0004689433 1,250,000,000 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%

UNICREDIT SPA UCGIM 0 3/8 10/31/26 IT0005212987 1,000,000,000 AA+ / - / - / - Level 1 7%


UNIONE DI BANCHE UBIIM 5 1/4 01/28/21 IT0004682305 1,000,000,000 - / Aa2 / - / AAL Level 1 7%





Page 29 of 39


Amount

Rating



UNIONE DI BANCHE UBIIM 1 01/27/23 IT0005140030 1,250,000,000 - / Aa2 / - / AAL Level 1 7%


UNIONE DI BANCHE UBIIM 4 12/16/19 IT0004558794 1,000,000,000 - / Aa2 / - / AAL Level 1 7%

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%

NORDLB LX COV NDB 0 3/8 06/15/23 XS1432510631 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 NV ABNANV 1 04/13/31 XS1394791492 2,250,000,000 AAA / Aaa / AAA / - Level 1 7%

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

AEGON BANK AEGON 0 1/4 05/25/23 XS1418849482 500,000,000 AAA / - / AAA / - Level 1 7%

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

F VAN LANSCHOT LANSNA 0 3/8 03/31/23 XS1387192435 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%





Page 30 of 39

Netherlands Bond ISIN Outstanding

Amount

Rating



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

SNS BANK SNSBNK 0 3/4 10/24/31 XS1508404651 500,000,000 AAA / Aaa / - / - Level 1 7%

New Zealand Bond ISIN Outstanding

Amount

Rating


ANZ NZ INTL/LDN ANZNZ 1 1/2 10/02/18 XS0973586059 500,000,000 AAA / Aaa / - / - Level 2a 15%

ANZ NZ INTL/LDN ANZNZ 0 5/8 01/27/22 XS1171526772 750,000,000 AAA / Aaa / - / - Level 2a 15%

ANZ NZ INTL/LDN ANZNZ 0 1/8 09/22/23 XS1492834806 1,000,000,000 AAA / Aaa / - / - Level 2a 15%

ASB FINANCE LTD ASBBNK 1 1/2 11/01/18 XS0985215184 500,000,000 AAA / Aaa / - / - Level 2a 15%



BNZ INTL FUND/LN BZLNZ 0 1/8 06/17/21 XS1434582703 750,000,000 AAA / Aaa / - / - Level 2a 15%

WESTPAC SEC NZ WSTP 0 7/8 06/24/19 XS1079993538 750,000,000 AAA / Aaa / - / - Level 2a 15%



Norway Bond ISIN Outstanding

Amount

Rating


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

DNB BOLIGKREDITT DNBNO 2 3/4 03/21/22 XS0759310930 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 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%



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%





Page 31 of 39

Norway Bond ISIN Outstanding

Amount

Rating








SPAREBANKEN PLUSSB 0 1/4 03/22/21 XS1383921803 500,000,000 - / Aaa / - / - Level 1 7%

SPAREBANKEN V BO SVEGNO 1 1/2 09/11/18 XS0969571065 500,000,000 - / Aaa / - / - Level 1 7%





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



Poland Bond ISIN Outstanding

Amount

Rating


PKO BANK PKOBHB 0 1/8 06/24/22 XS1508351357 500,000,000 - / Aa3 / - / - Level 1 7%

Portugal Bond ISIN Outstanding

Amount

Rating


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+u / A3 /* / - / AH Level 2a 15%

CAIXA GERAL DEPO CXGD 3 01/15/19 PTCGHAOE0019 750,000,000 BBB+u / A3 /* / - / AH Level 2a 15%

CAIXA GERAL DEPO CXGD 1 01/27/22 PTCGH1OE0014 1,000,000,000 BBB+u / A3 /* / - / AH Level 2a 15%

CAIXA GERAL DEPO CXGD 4 1/4 01/27/20 PTCG2YOE0001 1,000,000,000 BBB+u / A3 /* / - / AH Level 2a 15%

Singapore Bond ISIN Outstanding

Amount

Rating


UNITED OVERSEAS UOBSP 0 1/4 03/09/21 XS1376390339 500,000,000 - / Aaa / AAA / - Level 2a 15%

Spain Bond ISIN Outstanding

Amount

Rating


BANCO BILBAO VIZ BBVASM 4 02/25/25 ES0413211071 2,000,000,000 - / Aa2 / A+ / AA Level 1 7%

BANCO BILBAO VIZ BBVASM 3 1/2 10/07/20 ES0413211105 2,050,500,000 - / Aa2 / A+ / AA Level 1 7%


BANCO BILBAO VIZ BBVASM 3 1/2 12/05/17 ES0413211782 2,000,000,000 - / Aa2 / - / AA Level 1 7%


BANCO BILBAO VIZ BBVASM 2 1/4 06/12/24 ES0413211816 1,000,000,000 - / Aa2 / - / - Level 1 7%



Page 32 of 39


Amount

Rating






BANCO SABADELL SABSM 3 3/8 01/23/18 ES0413860323 1,000,000,000 - / Aa2 / - / AA Level 1 7%


BANCO SABADELL SABSM 0 3/8 06/10/20 ES0413860455 750,000,000 - / Aa2 / - / AA Level 1 7%




BANCO MARE NOSTR BMARE 3 1/8 01/21/19 ES0413056047 500,000,000 BBB+ / - / - / - -4

-

BANCO POP ESPAN POPSM 3 3/4 01/22/19 ES0413790231 600,000,000 - / Aa2 / - / AAH Level 1 7%

BANCO POP ESPAN POPSM 2 1/8 10/08/19 ES0413790355 1,000,000,000 - / Aa2 / - / AAH Level 1 7%

BANCO POP ESPAN POPSM 1 04/07/25 ES0413790397 1,000,000,000 - / Aa2 / - / AAH Level 1 7%

BANCO POP ESPAN POPSM 0 3/4 09/29/20 ES0413790413 1,250,000,000 - / Aa2 / - / AAH Level 1 7%

BANCO POP ESPAN POPSM 0 7/8 09/28/21 ES0413790421 750,000,000 - / Aa2 / - / AAH Level 1 7%

BANCO POP ESPAN POPSM 1 03/03/22 ES0413790439 1,500,000,000 - / Aa2 / - / AAH Level 1 7%

BANCO POP ESPAN POPSM 4 1/8 04/09/18 ES0413790074 1,100,000,000 - / Aa2 / A / AAH Level 1 7%

BANCO SANTANDER SANTAN 4 04/07/20 ES0413900087 1,000,000,000 AAu / Aa2 / - / - Level 1 7%

BANCO SANTANDER SANTAN 3 7/8 02/06/26 ES0413900129 1,500,000,000 AAu / Aa2 / - / - Level 1 7%



BANCO SANTANDER SANTAN 2 11/27/34 ES0413900376 1,250,000,000 AAu / Aa2 / - / - Level 1 7%




CAJA MADRID BKIASM 4 02/03/25 ES0414950628 2,000,000,000 A / Aa2u / A+ / AAH Level 2a 15%

CAJA MADRID BKIASM 4 1/8 03/24/36 ES0414950644 2,000,000,000 A / Aa2u / A+ / AAH Level 2a 15%



BANKIA BKIASM 1 09/25/25 ES0413307093 1,285,500,000 A / Aa2u / A+ / AAH Level 2a 15%

BANKIA BKIASM 1 1/8 08/05/22 ES0413307101 1,250,000,000 A / Aa2u / A+ / AAH Level 2a 15%

BANKIA BKIASM 0 7/8 01/21/21 ES0413307119 1,000,000,000 A / - / A+ / AAH Level 2a 15%

BANKIA BKIASM 1 03/14/23 ES0413307127 1,000,000,000 A / - / A+ / AAH Level 2a 15%

CAJA MADRID BKIASM 5 06/28/19 ES0414950693 1,600,000,000 A / Aa2u / A+ / AAH 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%



Page 33 of 39


Amount

Rating


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%

CAIXABANK CABKSM 4 3/4 10/31/18 ES0414970196 1,000,000,000 - / Aa2 / A+ / AAH Level 1 7%


LA CAIXA CABKSM 3 5/8 01/18/21 ES0414970246 2,500,000,000 - / Aa2 / A+ / AAH Level 1 7%


CAIXABANK CABKSM 3 03/22/18 ES0440609206 1,000,000,000 - / Aa2 / A+ / AAH Level 1 7%




CAIXABANK CABKSM 1 02/08/23 ES0440609313 1,500,000,000 - / Aa2 / A+ / AAH Level 1 7%


CAIXA GALICIA NOVAGA 4 3/8 01/23/19 ES0414843146 1,000,000,000 A- / A3u / A / AH -2

-

CAJA RURAL DE CA CAJARC 0 7/8 10/01/21 ES0457089003 500,000,000 - / Aa2 / - / - Level 1 7%

CAJA RURAL DE CA CAJARC 0 7/8 05/27/24 ES0457089011 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%

CAJAMAR CAJAMA 3 3/4 11/22/18 ES0422714024 750,000,000 BBB+ / - / A- / AH -2

-

CAJAMAR CAJAMA 1 1/4 01/26/22 ES0422714032 750,000,000 BBB+ / - / A- / AH -2

-

CAJAMAR CAJAMA 1 10/22/20 ES0422714040 750,000,000 BBB+ / - / A- / AH -2

-

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%

IBERCAJA CAZAR 0 1/4 10/18/23 ES0444251047 500,000,000 - / A2 / 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 4 1/8 04/07/21 XS0614401197 1,250,000,000 - / Aaa / - / - Level 1 7%





SKANDINAV ENSKIL SEB 0.15 02/11/21 XS1362319284 1,500,000,000 - / Aaa / - / - Level 1 7%



Page 34 of 39

Sweden Bond ISIN Outstanding

Amount

Rating


STADSHYPOTEK AB SHBASS 1 06/19/18 XS0906516256 1,000,000,000 - / Aaa / - / - Level 1 7%

STADSHYPOTEK AB SHBASS 1 5/8 10/30/20 XS0987101242 1,000,000,000 - / Aaa / - / - Level 1 7%

STADSHYPOTEK AB SHBASS 1 04/01/19 XS1050552006 1,250,000,000 - / Aaa / - / - Level 1 7%




STADSHYPOTEK AB SHBASS 0.05 06/20/22 XS1435031270 1,000,000,000 - / Aaa / - / - Level 1 7%

STADSHYPOTEK AB SHBASS 0 1/8 10/05/26 XS1499574991 500,000,000 - / Aaa / - / - Level 1 7%

SWEDBANK HYPOTEK SWEDA 1 1/8 05/07/20 XS0925525510 1,050,000,000 - / Aaa / AAA / - Level 1 7%




SWEDBANK HYPOTEK SWEDA 0.15 02/10/21 XS1361548693 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 0 1/4 01/20/21 XS1355483162 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 / - / - -1

-


-

CREDIT SUIS GUER CS 1 03/12/19 XS1044479373 1,750,000,000 AAA / Aaa / - / - -1

-


-

UBS AG LONDON UBS 1 3/8 04/16/21 XS1057841980 1,000,000,000 AAA / Aaa / - / - -1

-

UBS AG LONDON UBS 3 7/8 12/02/19 XS0470204172 1,000,000,000 AAA / Aaa / - / - -1

-

UBS AG LONDON UBS 4 04/08/22 XS0500331557 1,250,000,000 AAA / Aaa / - / - -1

-

Turkey Bond ISIN Outstanding

Amount

Rating


VAKIFBANK VAKBN 2 3/8 05/04/21 XS1403416222 500,000,000 - / Baa1 / - / - -4

-

United Kingdom Bond ISIN Outstanding

Amount

Rating


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%



Page 35 of 39

United Kingdom Bond ISIN Outstanding

Amount

Rating


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%

COVENTRY BDG SOC COVBS 0 5/8 11/03/21 XS1131109537 500,000,000 AAA / Aaa / - / - Level 1 7%

LEEDS BLDG SOC LEED 0 1/8 04/21/20 XS1398337086 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%





SANTANDER UK PLC SANUK 4 1/4 04/12/21 XS0250729109 2,600,000,000 AAA / Aaa / AAA / - Level 1 7%




SANTANDER UK PLC SANUK 1 1/4 09/18/24 XS1111559685 500,000,000 AAA / Aaa / AAA / - Level 1 7%



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%



Source: Issuer, LCR Delegated Act, CRR, Fitch, Moody’s, S&P, DBRS, Bloomberg, NORD/LB Fixed Income Research 1 not based on a covered bond law;

2 129 (7) not fulfilled;

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



Page 36 of 39

Appendix Contacts

Fixed Income Research

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

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

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

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

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

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

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

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

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

Thomas Scholz Corporates / Retail Products +49 511 361-4710 [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)

Thorsten Bock [email protected] Gabriele Schneider [email protected]

Uwe Kollster [email protected] Dirk Scholden [email protected]

Rainer Nabel [email protected] Uwe Tacke [email protected]

Daniel Novotny-Farkas [email protected]

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

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

Thorsten Aberle [email protected] Stefan Krilcic [email protected]

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

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

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

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

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

Sales Asia (+65 64 203136)

Jefferson Ko [email protected] Muhammad Peter Shepherd

[email protected]

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

René Rindert (Head) [email protected] Toni Martikainen [email protected]

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

Patricia Lamas [email protected]

Corporate Sales

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

Real Estate / Structured Finance

+49 511 9818-8150 FX/MM

+49 511 9818-4006

Syndicate / DCM (+49 511 9818-6600)

Thomas Cohrs (Head) [email protected] Julien Marchand [email protected]

Axel Hinzmann [email protected] Wlada Pesotska [email protected]

Thomas Höfermann [email protected] Andreas Raimchen [email protected]

Tobias Jesswein [email protected] Udo A. Schacht [email protected]

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

Financial Markets Trading

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

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

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

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

Länder & Regions +49 511 9818-9550

mailto:[email protected]








Page 37 of 39

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Time of going to press: 6 January 2017

Distribution: 06.01.2017 13:12