1 / Covered Bond & SSA View 16. März 2021
Transparency requirements §28 PfandBG Q4/2020
Markets Strategy & Floor Research
16 March 2021 Marketing communication (see disclaimer on the last pages) 2 / Transparency requirements §28 PfandBG 16 March 2021
Agenda Authors: Dr. Frederik Kunze // Henning Walten, CIIA
Market overview 4 Mortgage covered bonds 9 Aareal Bank 10 Bausparkasse Mainz 11 Bausparkasse Schwäbisch Hall 12 Bayerische Landesbank 13 Berlin Hyp 14 Commerzbank 15 DekaBank 16 Deutsche Apotheker- und Ärztebank 17 Deutsche Bank 18 Deutsche Hypothekenbank 19 Deutsche Kreditbank 20 Deutsche Pfandbriefbank 21 DSK Hyp 22 DZ HYP 23 Hamburg Commercial Bank 24 Hamburger Sparkasse 25 ING-DiBa 26 Kreissparkasse Köln 27 Landesbank Baden-Württemberg 28 Landesbank Berlin 29 Landesbank Hessen-Thüringen 30 M.M.Warburg & CO Hypothekenbank 31 Münchener Hypothekenbank 32 Natixis Pfandbriefbank 33 Norddeutsche Landesbank 34 PSD Bank Nürnberg 35 PSD Bank Rhein-Ruhr 36 SaarLB 37 Santander Consumer Bank 38 Sparkasse Hannover 39 Sparkasse KölnBonn 40 Stadtsparkasse Düsseldorf 41 UniCredit Bank 42 Wüstenrot Bausparkasse 43 3 / Transparency requirements §28 PfandBG 16 March 2021
Public sector covered bonds 44 Aareal Bank 45 Bayerische Landesbank 46 Berlin Hyp 47 Commerzbank 48 DekaBank 49 Deutsche Bank 50 Deutsche Hypothekenbank 51 Deutsche Kreditbank 52 Deutsche Pfandbriefbank 53 DSK Hyp 54 DZ HYP 55 Hamburg Commercial Bank 56 Kreissparkasse Köln 57 Landesbank Baden-Württemberg 58 Landesbank Berlin 59 Landesbank Hessen-Thüringen 60 LIGA Bank 61 M.M. Warburg & CO Hypothekenbank 62 Münchener Hypothekenbank 63 Norddeutsche Landesbank 64 SaarLB 65 Sparkasse Hannover 66 Sparkasse KölnBonn 67 Stadtsparkasse Düsseldorf 68 UniCredit Bank 69 Ship covered bonds 70 Commerzbank 71 DVB Bank 72 Hamburg Commercial Bank 73 Norddeutsche Landesbank 74
Contacts at NORD/LB 75 4 / Transparency requirements §28 PfandBG 16 March 2021
Market overview
5 / Transparency requirements §28 PfandBG 16 March 2021
Market development mortgage covered bonds Market development public sector covered bonds
350 40% 180 40%
160 300 35% 35% 140 30% 30% 250 120 25% 25% 200 100 20% 20%
80 inEURbn inEURbn 150 15% 15% 60 100 10% 10% 40 50 5% 20 5%
0 0% 0 0% Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020
Covered bonds Cover pool OC (rhs) Covered bonds Cover pool OC (rhs)
Market development ship covered bonds Market development aircraft covered bonds
4.0 200% 1.4 14000%
180% 3.5 1.2 12000% 160% 3.0 140% 1.0 10000% 2.5 120% 0.8 8000%
2.0 100% inEURbn inEURbn 0.6 6000% 80% 1.5 60% 0.4 4000% 1.0 40% 0.5 0.2 2000% 20%
0.0 0% 0.0 0% Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020
Covered bonds Cover pool OC (rhs) Covered bonds Cover pool OC (rhs)
Source: Issuers, vdp, NORD/LB Markets Strategy & Floor Research 6 / Transparency requirements §28 PfandBG 16 March 2021
Market overview mortgage covered bonds Amount outstanding Cover pool OC Cover type (in %) Germany share (in %) Issuer in EURm in EURm in EURm in % Residential Commercial Others* Primary assets Substitution assets Aareal Bank 10,590.6 12,390.8 1,800.2 17.0 6.8 85.9 7.3 15.9 59.9 Bausparkasse Mainz 46.0 64.8 18.8 40.9 93.8 0.0 6.2 100.0 0.0 Bausparkasse Schwäbisch Hall 506.0 746.0 240.0 47.4 92.7 0.5 6.8 100.0 100.0 Bayerische Landesbank 3,846.7 9,814.0 5,967.4 155.1 14.2 81.6 4.2 61.5 92.7 Berlin Hyp 14,838.7 15,196.2 357.5 2.4 29.9 65.3 4.8 67.8 93.3 Commerzbank 19,724.4 33,522.5 13,798.1 70.0 94.7 2.4 3.0 100.0 49.4 DekaBank 195.0 1,015.9 820.9 421.0 0.0 96.6 3.4 35.6 100.0 Deutsche Apotheker- und Ärztebank 6,710.1 8,604.4 1,894.3 28.2 75.9 18.2 5.9 100.0 90.2 Deutsche Bank 11,972.0 15,980.6 4,008.6 33.5 85.6 7.2 7.2 100.0 98.3 Deutsche Hypothekenbank 8,707.2 9,041.4 334.2 3.8 19.1 73.6 7.3 49.5 47.6 Deutsche Kreditbank 4,283.5 7,196.0 2,912.5 68.0 93.5 2.2 4.3 100.0 100.0 Deutsche Pfandbriefbank 15,124.0 17,545.0 2,421.0 16.0 18.5 78.3 3.2 44.0 77.0 DSK Hyp 152.5 752.4 599.9 393.4 37.0 60.4 2.7 81.1 100.0 DZ HYP 33,013.2 37,750.1 4,736.9 14.3 56.3 41.3 2.4 96.7 100.0 Hamburg Commercial Bank 3,883.2 4,362.8 479.6 12.4 16.1 80.3 3.6 94.7 100.0 Hamburger Sparkasse 5,618.3 8,011.2 2,392.9 42.6 66.4 29.8 3.7 100.0 100.0 ING 3,695.0 6,915.9 3,220.9 87.2 100.0 0.0 3.6 100.0 100.0 Kreissparkasse Köln 1,548.3 5,211.5 3,663.2 236.6 81.0 13.0 6.0 100.0 42.7 Landesbank Baden-Württemberg 10,552.6 14,694.3 4,141.7 39.2 38.0 56.0 6.0 78.8 62.4 Landesbank Berlin 3,475.0 5,609.4 2,134.4 61.4 63.1 32.2 4.6 100.0 94.2 Landesbank Hessen-Thüringen 10,634.3 16,254.7 5,620.4 52.9 25.1 71.2 3.7 52.3 83.5 M.M.Warburg & CO Hypothekenbank 1,107.9 1,268.9 161.0 14.5 19.2 75.5 5.2 91.6 100.0 Münchener Hypothekenbank 28,846.3 30,110.1 1,263.8 4.4 80.7 17.3 2.0 80.0 73.6 Natixis Pfandbriefbank 1,257.5 1,477.7 220.2 17.5 5.8 83.0 11.2 36.3 100.0 Norddeutsche Landesbank 1,988.5 5,133.4 3,144.9 158.2 69.6 28.5 1.9 98.5 74.2 PSD Bank Nürnberg 557.6 839.2 281.6 50.5 97.3 0.0 2.7 100.0 0.0 PSD Bank Rhein-Ruhr 309.0 490.1 181.1 58.6 97.3 0.0 2.7 100.0 100.0 SaarLB 463.3 786.9 323.6 69.8 1.3 93.1 5.5 78.2 100.0 Santander Consumer Bank 1,000.0 1,167.5 167.5 16.7 95.7 0.0 4.3 100.0 100.0 Sparkasse Hannover 1,257.6 1,761.9 504.3 40.1 78.0 18.1 3.9 100.0 100.0 Sparkasse KölnBonn 2,091.1 6,445.6 4,354.5 208.2 74.6 20.1 5.3 100.0 48.6 Stadtsparkasse Düsseldorf 867.0 2,077.6 1,210.6 139.6 68.5 27.4 4.0 100.0 100.0 UniCredit Bank 22,011.2 29,556.6 7,545.4 34.3 68.5 29.3 2.2 100.0 100.0 Wüstenrot Bausparkasse 2,216.6 2,628.8 412.2 18.6 89.4 1.1 9.5 100.0 0.0 Source: Issuers, vdp, NORD/LB Markets Strategy & Floor Research * Including substitute assets as well as derivatives; excess cover assets might optionally be included. 7 / Transparency requirements §28 PfandBG 16 March 2021
Market overview public sector covered bonds Amount Cover pool OC Cover type (in %) Germany share (in %) outstanding Issuer Central Regional Local Other Substitute Primary Substitution in EURm in EURm in EURm in % government authorities authorities debtors cover* assets assets Aareal Bank 1,533.0 1,788.9 255.9 16.7 14.5 63.9 18.1 2.6 0.8 79.0 0.0 Bayerische Landesbank 17,541.1 22,620.5 5,079.4 29.0 7.9 39.6 43.8 7.0 1.8 94.0 100.0 Berlin Hyp 260.0 275.3 15.3 5.9 21.4 78.5 0.1 0.0 0.0 78.6 - Commerzbank 11,281.2 12,124.1 842.9 7.5 25.3 34.9 34.0 5.2 0.6 58.3 100.0 DekaBank 3,463.8 4,291.0 827.2 23.9 16.3 15.4 49.4 18.8 0.0 82.6 - Deutsche Bank 90.0 149.0 59.0 65.6 23.5 76.5 0.0 0.0 0.0 76.5 - Deutsche Hypothekenbank 2,815.0 2,921.9 106.9 3.8 16.5 60.6 1.1 21.8 0.0 59.8 - Deutsche Kreditbank 4,424.8 8,535.3 4,110.5 92.9 0.2 9.1 90.7 0.0 0.0 100.0 - Deutsche Pfandbriefbank 10,136.0 12,211.0 2,075.0 20.5 40.0 35.8 9.8 14.3 0.0 27.3 - DSK Hyp 57.5 229.8 172.3 299.6 15.2 81.9 2.6 0.3 0.0 100.0 - DZ HYP 12,920.8 15,324.3 2,403.5 18.6 9.9 21.7 63.8 4.6 0.4 80.4 100.0 Hamburg Commercial Bank 1,165.4 1,268.7 103.3 8.9 28.1 51.4 16.6 4.0 0.0 70.3 - Kreissparkasse Köln 233.4 305.9 72.4 31.0 0.0 9.2 67.8 23.0 0.0 100.0 - Landesbank Baden-Württemberg 8,922.1 11,651.3 2,729.3 30.6 12.0 21.1 34.6 32.4 0.0 94.5 - Landesbank Berlin 268.0 703.8 435.8 162.6 0.0 19.9 0.0 80.1 0.0 100.0 - Landesbank Hessen-Thüringen 27,620.3 34,670.7 7,050.4 25.5 3.3 41.3 42.2 13.1 0.1 92.8 100.0 LIGA Bank 25.0 152.5 127.5 510.1 0.0 3.3 96.7 0.0 0.0 100.0 - M.M.Warburg & CO Hypothekenbank 6.2 14.0 7.8 125.8 0.0 89.3 10.7 0.0 0.0 100.0 - Münchener Hypothekenbank 1,945.1 1,958.1 13.0 0.7 6.1 78.9 7.3 7.7 0.0 92.1 - Norddeutsche Landesbank 10,781.8 14,407.3 3,625.5 33.6 6.0 24.4 46.3 19.5 5.0 94.4 89.5 SaarLB 2,233.0 3,319.0 1,086.0 48.6 1.7 7.8 86.4 4.1 0.0 65.4 - Sparkasse Hannover 738.1 924.5 186.4 25.3 0.0 2.7 89.5 7.8 0.0 100.0 - Sparkasse KölnBonn 36.2 319.0 282.8 781.3 0.0 3.6 73.2 23.3 0.0 100.0 - Stadtsparkasse Düsseldorf 45.0 220.8 175.8 390.7 0.0 0.0 67.6 21.1 0.0 100.0 - UniCredit Bank 3,205.2 5,106.0 1,900.8 59.3 25.4 28.2 46.2 0.3 0.0 91.7 - Source: Issuers, vdp, NORD/LB Markets Strategy & Floor Research * Some issuers have distributed substitute assets to the respective debtor types. 8 / Transparency requirements §28 PfandBG 16 March 2021
Market overview ship covered bonds Amount Cover pool OC Issuer outstanding in EURm in EURm in EURm in % Commerzbank 210.5 313.0 102.5 48.7 DVB Bank 0.0 22.5 22.5 n/a Hamburg Commercial Bank 1,968.0 2,258.4 290.4 14.8 Norddeutsche Landesbank 33.1 40.0 6.9 20.8 Source: Issuers, vdp, NORD/LB Markets Strategy & Floor Research 9 / Transparency requirements §28 PfandBG 16 March 2021
Mortgage covered bonds 10 / Transparency requirements §28 PfandBG 16 March 2021
Aareal Bank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 10,590.6 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 12,390.8 Fixed interest (Cover pool) 52.1% of which residential 6.8% Fixed interest (Covered bonds) 67.7% of which commercial 85.9% WAL (Cover pool) 3.1y of which substitution assets 5.6% WAL (Covered bonds) 3.8y of which derivatives 1.6% Avg. seasoning 4.7y Current OC (EURm) 1,800.2 LTV (Original value) 55.5% Current OC 17.0% LTV (Market value) 33.9% Number of loans 4,589 Largest FX-position (NPV in EURm) USD (571.4) Number of borrowers 4,523 Share of largest exposure tranche 93.7% (> EUR 10m) Share of 10 largest borrowers 12.0% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 2,539,620 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 5,456 Risk weight (Benchmarks) 10%
Past development Maturity structure
14.0 18 3.5
16 12.0 3.0 14 10.0 2.5 12
8.0 10 2.0
8 % in in EURbn in 6.0 EURbn in 1.5
6 4.0 1.0 4
2.0 0.5 2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
8.8%
5.6% 24.8% 27.1% 30.0%
9.1% Office buildings USA Retail buildings Germany Other buildings UK Industrial buildings France Substitution assets Spain Others 6.4% Others 15.9% 22.6%
10.8% 23.9% 15.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 11 / Transparency requirements §28 PfandBG 16 March 2021
Bausparkasse Mainz Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 46.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 64.8 Fixed interest (Cover pool) 100.0% of which residential 93.8% Fixed interest (Covered bonds) 100.0% of which commercial 0.0% WAL (Cover pool) n/a of which substitution assets 6.2% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 1.3y Current OC (EURm) 18.8 LTV (Original value) 55.3% Current OC 40.9% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) n/a Number of borrowers n/a Share of largest exposure tranche 98.4% (< EUR 0.3m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) - Number of properties n/a Risk weight (Benchmarks) -
Past development Maturity structure
0.07 350 0.060
0.06 300 0.050
0.05 250 0.040
0.04 200
0.030
in % in in EURbn in in EURbnin 0.03 150
0.020 0.02 100
0.010 0.01 50
0.00 0 0.000 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
6.2%
16.7% Single-family houses
Apartments Germany
Substitution assets
Plots commercial
Unfinished buildings commercial Others
77.1%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 12 / Transparency requirements §28 PfandBG 16 March 2021
Bausparkasse Schwäbisch Hall Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 506.0 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 746.0 Fixed interest (Cover pool) 100.0% of which residential 92.7% Fixed interest (Covered bonds) 100.0% of which commercial 0.5% WAL (Cover pool) 10.3y of which substitution assets 6.8% WAL (Covered bonds) 9.7y of which derivatives 0.0% Avg. seasoning 1.4y Current OC (EURm) 240.0 LTV (Original value) 51.4% Current OC 47.4% LTV (Market value) n/a Number of loans 5,590 Largest FX-position (NPV in EURm) n/a Number of borrowers 8,697 Share of largest exposure tranche 91.3% (< EUR 0.3m) Share of 10 largest borrowers 0.9% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 79,910 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 4,949 Risk weight (Benchmarks) 10%
Past development Maturity structure
0.80 10,000 0.60
9,000 0.70 0.50 8,000 0.60 7,000 0.40 0.50 6,000
0.40 5,000 0.30
in % in in EURbn in in EURbnin 4,000 0.30 0.20 3,000 0.20 2,000 0.10 0.10 1,000
0.00 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.6% 0.5% 6.8%
17.2% Single-family houses Germany Apartments Substitution assets Multi-family houses Other buildings Others
73.0%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 13 / Transparency requirements §28 PfandBG 16 March 2021
Bayerische Landesbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 3,846.7 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 9,814.0 Fixed interest (Cover pool) 71.6% of which residential 14.2% Fixed interest (Covered bonds) 77.8% of which commercial 81.6% WAL (Cover pool) 5.0y of which substitution assets 4.2% WAL (Covered bonds) 3.0y of which derivatives 0.0% Avg. seasoning 4.0y Current OC (EURm) 5,967.4 LTV (Original value) 57.7% Current OC 155.1% LTV (Market value) n/a Number of loans 607 Largest FX-position (NPV in EURm) GBP (390.2) Number of borrowers 442 Share of largest exposure tranche 85.0% (> EUR 10m) Share of 10 largest borrowers 13.8% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 21,278,373 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 1,082 Risk weight (Benchmarks) 10%
Past development Maturity structure
12.0 180 3.0
160 10.0 2.5 140
8.0 120 2.0
100 6.0 1.5
80 % in
in EURbnin in EURbnin
4.0 60 1.0
40 2.0 0.5 20
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
4.2% 2.2% 10.8%
13.8% 5.0%
37.3% 5.3% Office buildings Germany Retail buildings France Other buildings Netherlands 7.5% Multi-family houses Italy Substitution assets Poland 18.7% Others Others 61.5%
9.9%
23.8%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 14 / Transparency requirements §28 PfandBG 16 March 2021
Berlin Hyp Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 14,838.7 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 15,196.2 Fixed interest (Cover pool) 73.4% of which residential 29.9% Fixed interest (Covered bonds) 80.4% of which commercial 65.3% WAL (Cover pool) 5.0y of which substitution assets 4.8% WAL (Covered bonds) 4.5y of which derivatives 0.0% Avg. seasoning 3.8y Current OC (EURm) 357.5 LTV (Original value) 56.2% Current OC 2.4% LTV (Market value) n/a Number of loans 1,642 Largest FX-position (NPV in EURm) GBP (104.5) Number of borrowers 1,605 Share of largest exposure tranche 82.3% (> EUR 10m) Share of 10 largest borrowers 21.1% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 9,014,455 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 5,152 Risk weight (Benchmarks) 10%
Past development Maturity structure
16.0 7 7.0
15.5 6 6.0 15.0 5 5.0 14.5
14.0 4 4.0
13.5 % in in EURbnin in EURbnin 3 3.0
13.0 2 2.0 12.5 1 1.0 12.0
11.5 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.3% 1.8%1.6% 4.8% 5.5%
8.2% 9.2%
35.9% Office buildings Germany Multi-family houses Netherlands Retail buildings France 19.6% 14.0% Other buildings Poland Substitution assets Czech Republic Others Others
67.8%
29.2%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 15 / Transparency requirements §28 PfandBG 16 March 2021
Commerzbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 19,724.4 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 33,522.5 Fixed interest (Cover pool) 98.7% of which residential 94.7% Fixed interest (Covered bonds) 89.4% of which commercial 2.4% WAL (Cover pool) 5.3y of which substitution assets 3.0% WAL (Covered bonds) 5.0y of which derivatives 0.0% Avg. seasoning 4.7y Current OC (EURm) 13,798.1 LTV (Original value) 52.6% Current OC 70.0% LTV (Market value) n/a Number of loans 261,324 Largest FX-position (NPV in EURm) n/a Number of borrowers 209,106 Share of largest exposure tranche 76.7% (< EUR 0.3m) Share of 10 largest borrowers 1.4% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 155,568 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 234,352 Risk weight (Benchmarks) 10%
Past development Maturity structure
40.0 80 18.0
35.0 70 16.0
14.0 30.0 60 12.0 25.0 50 10.0 20.0 40
in % in 8.0
in EURbn in in EURbnin 15.0 30 6.0
10.0 20 4.0
5.0 10 2.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
3.0% 1.4%1.0%
10.8%
Single-family houses Germany Apartments Multi-family houses Substitution assets
57.3% Office buildings 26.6% Others
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 16 / Transparency requirements §28 PfandBG 16 March 2021
DekaBank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 195.0 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 1,015.9 Fixed interest (Cover pool) 77.1% of which residential 0.0% Fixed interest (Covered bonds) 100.0% of which commercial 96.6% WAL (Cover pool) 3.7y of which substitution assets 3.4% WAL (Covered bonds) 2.9y of which derivatives 0.0% Avg. seasoning 3.2y Current OC (EURm) 820.9 LTV (Original value) 59.3% Current OC 421.0% LTV (Market value) n/a Number of loans 26 Largest FX-position (NPV in EURm) n/a Number of borrowers 29 Share of largest exposure tranche 100.0% (> EUR 10m) Share of 10 largest borrowers 54.1% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 33,823,448 LCR level / haircut (Benchmarks) - Number of properties 40 Risk weight (Benchmarks) -
Past development Maturity structure
1.2 700 0.30
600 1.0 0.25
500 0.8 0.20
400
0.6 0.15
in % in in EURbn in in EURbnin 300
0.4 0.10 200
0.2 0.05 100
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
3.4% 6.4%
11.4% 35.6% Office buildings France Other buildings Germany Retail buildings Substitution assets Plots commercial Others 64.4%
78.8%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 17 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Apotheker- und Ärztebank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 6,710.1 Rating (Moody’s / Fitch / S&P / DBRS) - / - / AAA / - Cover pool volume (EURm) 8,604.4 Fixed interest (Cover pool) 92.1% of which residential 75.9% Fixed interest (Covered bonds) 90.5% of which commercial 18.2% WAL (Cover pool) 5.3y of which substitution assets 5.9% WAL (Covered bonds) 7.3y of which derivatives 0.0% Avg. seasoning 5.4y Current OC (EURm) 1,894.3 LTV (Original value) 55.1% Current OC 28.2% LTV (Market value) n/a Number of loans 81,534 Largest FX-position (NPV in EURm) n/a Number of borrowers 46,452 Share of largest exposure tranche 73.9% (< EUR 0.3m) Share of 10 largest borrowers 5.3% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 174,252 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 60,652 Risk weight (Benchmarks) 10%
Past development Maturity structure
10.0 30 3.5
9.0 25 3.0 8.0
7.0 2.5 20 6.0 2.0
5.0 15
in % in in EURbnin in EURbnin 1.5 4.0 10 3.0 1.0
2.0 5 0.5 1.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.2% 5.9%
8.1%
Single-family houses Germany Apartments 45.0% 16.0% Other buildings Multi-family houses Substitution assets Others
22.8% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 18 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Bank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 11,972.0 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 15,980.6 Fixed interest (Cover pool) 99.2% of which residential 85.6% Fixed interest (Covered bonds) 77.0% of which commercial 7.2% WAL (Cover pool) n/a of which substitution assets 7.2% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 5.3y Current OC (EURm) 4,008.6 LTV (Original value) 53.7% Current OC 33.5% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) n/a Number of borrowers n/a Share of largest exposure tranche 80.8% (< EUR 0.3m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties n/a Risk weight (Benchmarks) 10%
Past development Maturity structure
18.0 40 7.0
16.0 35 6.0 14.0 30 5.0 12.0 25 10.0 4.0
20 in % in
8.0 EURbnin in EURbnin 3.0 15 6.0 2.0 10 4.0 1.0 2.0 5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
3.7% 3.5% 7.2%
Single-family houses Germany Multi-family houses 16.1% Apartments 51.7% Substitution assets Office buildings Others
17.8%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 19 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Hypothekenbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 8,707.2 Rating (Moody’s / Fitch / S&P / DBRS) Aa1 / - / - / - Cover pool volume (EURm) 9,041.4 Fixed interest (Cover pool) 76.2% of which residential 19.1% Fixed interest (Covered bonds) 89.2% of which commercial 73.6% WAL (Cover pool) 4.0y of which substitution assets 7.3% WAL (Covered bonds) 4.4y of which derivatives 0.0% Avg. seasoning 5.3y Current OC (EURm) 334.2 LTV (Original value) 57.9% Current OC 3.8% LTV (Market value) 38.1% Number of loans 676 Largest FX-position (NPV in EURm) GBP (451.5) Number of borrowers 577 Share of largest exposure tranche 87.4% (> EUR 10m) Share of 10 largest borrowers 15.4% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 14,525,303 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 1,820 Risk weight (Benchmarks) 10%
Past development Maturity structure
12.0 12 3.0
10.0 10 2.5
8.0 8 2.0
6.0 6 1.5
in % in
in EURbnin in EURbnin
4.0 4 1.0
2.0 2 0.5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
6.7% 5.5% 5.0% 6.0%
9.4% 7.3% 32.7%
Retail buildings Germany Office buildings Netherlands Multi-family houses UK 49.5% Substitution assets 11.3% France Other buildings Poland 17.4% Others Others
19.3% 29.8%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 20 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Kreditbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 4,283.5 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 7,196.0 Fixed interest (Cover pool) 95.0% of which residential 93.5% Fixed interest (Covered bonds) 98.7% of which commercial 2.2% WAL (Cover pool) n/a of which substitution assets 4.3% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 9.0y Current OC (EURm) 2,912.5 LTV (Original value) 51.4% Current OC 68.0% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) n/a Number of borrowers n/a Share of largest exposure tranche 44.7% (EUR 1-10m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties n/a Risk weight (Benchmarks) 10%
Past development Maturity structure
9.0 70 2.5
8.0 68
66 7.0 2.0 64 6.0 62 1.5 5.0 60
4.0 % in in EURbnin in EURbnin 58 1.0 3.0 56 2.0 54 0.5
1.0 52
0.0 50 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
1.0% 4.3% 1.2% 7.3%
Multi-family houses Germany Single-family houses 18.4% Apartments Substitution assets Other buildings Others
67.8%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 21 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Pfandbriefbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 15,124.0 Rating (Moody’s / Fitch / S&P / DBRS) Aa1 / - / - / - Cover pool volume (EURm) 17,545.0 Fixed interest (Cover pool) 53.0% of which residential 18.5% Fixed interest (Covered bonds) 89.1% of which commercial 78.3% WAL (Cover pool) 4.0y of which substitution assets 3.2% WAL (Covered bonds) 6.0y of which derivatives 0.0% Avg. seasoning 4.0y Current OC (EURm) 2,421.0 LTV (Original value) 55.0% Current OC 16.0% LTV (Market value) 33.0% Number of loans 1,776 Largest FX-position (NPV in EURm) GBP (995.0) Number of borrowers 842 Share of largest exposure tranche 91.0% (> EUR 10m) Share of 10 largest borrowers 9.3% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 20,173,39 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 7 Risk weight (Benchmarks) 10% 3,307 Past development Maturity structure
25.0 20 4.0
18 3.5 20.0 16 3.0 14 2.5 15.0 12
10 2.0
in % in
in EURbnin in EURbnin 10.0 8 1.5 6 1.0 5.0 4 0.5 2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
8.9% 17.0% 3.8%
Office buildings
Retail buildings 14.4% 5.7% Germany 43.2% France Other buildings 44.0% USA Multi-family houses UK 10.5% Poland Unfinished buildings Others commercial Others 14.5%
11.3%
15.1% 11.6%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 22 / Transparency requirements §28 PfandBG 16 March 2021
DSK Hyp Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 152.5 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 752.4 Fixed interest (Cover pool) 65.4% of which residential 37.0% Fixed interest (Covered bonds) 95.1% of which commercial 60.4% WAL (Cover pool) 1.8y of which substitution assets 2.7% WAL (Covered bonds) 3.2y of which derivatives 0.0% Avg. seasoning 7.5y Current OC (EURm) 599.9 LTV (Original value) 53.8% Current OC 393.4% LTV (Market value) n/a Number of loans 75 Largest FX-position (NPV in EURm) SEK (110.9) Number of borrowers 26 Share of largest exposure tranche 84.8% (> EUR 10m) Share of 10 largest borrowers 81.6% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 28,170,654 LCR level / haircut (Benchmarks) - Number of properties 238 Risk weight (Benchmarks) -
Past development Maturity structure
2.5 450 0.25
400
2.0 350 0.20
300 1.5 0.15 250
200 % in in EURbn in in EURbnin 1.0 0.10 150
100 0.5 0.05
50
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.7% 4.0% 8.4% 15.0%
14.9% 37.0% Office buildings Germany Multi-family houses Sweden Retail buildings Finland Other buildings Substitution assets Others
81.1% 37.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 23 / Transparency requirements §28 PfandBG 16 March 2021
DZ HYP Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 33,013.2 Rating (Moody’s / Fitch / S&P / DBRS) - / - / AAA / - Cover pool volume (EURm) 37,750.1 Fixed interest (Cover pool) 88.8% of which residential 56.3% Fixed interest (Covered bonds) 98.4% of which commercial 41.3% WAL (Cover pool) 7.1y of which substitution assets 2.4% WAL (Covered bonds) 5.4y of which derivatives 0.0% Avg. seasoning 4.7y Current OC (EURm) 4,736.9 LTV (Original value) 54.2% Current OC 14.3% LTV (Market value) n/a Number of loans 110,192 Largest FX-position (NPV in EURm) GBP (253.8) Number of borrowers 154,022 Share of largest exposure tranche 39.2% (> EUR 10m) Share of 10 largest borrowers 5.0% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 239,245 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 109,334 Risk weight (Benchmarks) 10%
Past development Maturity structure
40.0 20 16.0
18 35.0 14.0 16 30.0 12.0 14 25.0 10.0 12
20.0 10 8.0
in % in in EURbn in in EURbnin 8 15.0 6.0 6 10.0 4.0 4 5.0 2.0 2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.7% 0.2% 8.5% 1.6% 0.6% 0.1%
11.0%
33.8%
Multi-family houses Germany Single-family houses Netherlands Office buildings France 12.9% Retail buildings UK Other buildings Sweden Others Others
16.6% 17.3% 96.7%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 24 / Transparency requirements §28 PfandBG 16 March 2021
Hamburg Commercial Bank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 3,883.2 Rating (Moody’s / Fitch / S&P / DBRS) Aa2 / - / - / - Cover pool volume (EURm) 4,362.8 Fixed interest (Cover pool) 49.4% of which residential 16.1% Fixed interest (Covered bonds) 76.6% of which commercial 80.3% WAL (Cover pool) 3.6y of which substitution assets 3.6% WAL (Covered bonds) 2.1y of which derivatives 0.0% Avg. seasoning 4.0y Current OC (EURm) 479.6 LTV (Original value) 57.1% Current OC 12.4% LTV (Market value) n/a Number of loans 520 Largest FX-position (NPV in EURm) GBP (52.7) Number of borrowers 294 Share of largest exposure tranche 77.3% (> EUR 10m) Share of 10 largest borrowers 25.6% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 14,311,905 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 953 Risk weight (Benchmarks) 10%
Past development Maturity structure
6.0 40 1.8
35 1.6 5.0 1.4 30 4.0 1.2 25 1.0 3.0 20
in % in 0.8
in EURbnin in EURbnin 15 2.0 0.6
10 0.4 1.0 5 0.2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
1.1% 5.7% 4.0% 0.1% 5.4%
Office buildings 30.9%
14.8% Retail buildings Germany Netherlands Other buildings UK Multi-family houses Sweden
Unfinished buildings commercial 15.3% Others
27.8% 94.7%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 25 / Transparency requirements §28 PfandBG 16 March 2021
Hamburger Sparkasse Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 5,618.3 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 8,011.2 Fixed interest (Cover pool) 84.8% of which residential 66.4% Fixed interest (Covered bonds) 99.1% of which commercial 29.8% WAL (Cover pool) n/a of which substitution assets 3.7% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 7.0y Current OC (EURm) 2,392.9 LTV (Original value) 52.4% Current OC 42.6% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) n/a Number of borrowers n/a Share of largest exposure tranche 34.5% (EUR 1-10m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties n/a Risk weight (Benchmarks) 10%
Past development Maturity structure
9.0 50 3.5
8.0 45 3.0 40 7.0 35 2.5 6.0 30 5.0 2.0 25
4.0 % in in EURbnin in EURbnin 1.5 20 3.0 15 1.0 2.0 10 0.5 1.0 5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
9.4%
9.0%
33.8% Multi-family houses Germany Single-family houses 11.3% Office buildings Other buildings Apartments Others
12.9%
23.6% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 26 / Transparency requirements §28 PfandBG 16 March 2021
ING-DiBa Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 3,695.0 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 6,915.9 Fixed interest (Cover pool) 100.0% of which residential 100.0% Fixed interest (Covered bonds) 97.3% of which commercial 0.0% WAL (Cover pool) 6.9y of which substitution assets 3.6% WAL (Covered bonds) 8.4y of which derivatives 0.0% Avg. seasoning 5.2y Current OC (EURm) 3,220.9 LTV (Original value) 47.6% Current OC 87.2% LTV (Market value) n/a Number of loans 68,084 Largest FX-position (NPV in EURm) n/a Number of borrowers 67,327 Share of largest exposure tranche 95.5% (< EUR 0.3m) Share of 10 largest borrowers 0.2% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 102,722 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 68,084 Risk weight (Benchmarks) 10%
Past development Maturity structure
8.0 120 3.5
7.0 100 3.0 6.0 2.5 80 5.0 2.0
4.0 60
in % in in EURbnin in EURbnin 1.5 3.0 40 1.0 2.0
20 0.5 1.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
3.5%
Single-family houses 29.4% Germany Apartments
Substitution assets
Plots commercial
Unfinished buildings commercial 67.1% Others
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 27 / Transparency requirements §28 PfandBG 16 March 2021
Kreissparkasse Köln Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 1,548.3 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 5,211.5 Fixed interest (Cover pool) 100.0% of which residential 81.0% Fixed interest (Covered bonds) 98.7% of which commercial 13.0% WAL (Cover pool) 5.3y of which substitution assets 6.0% WAL (Covered bonds) 3.2y of which derivatives 0.0% Avg. seasoning 5.7y Current OC (EURm) 3,663.2 LTV (Original value) 52.5% Current OC 236.6% LTV (Market value) n/a Number of loans 42,295 Largest FX-position (NPV in EURm) n/a Number of borrowers 32,899 Share of largest exposure tranche 68.6% (< EUR 0.3m) Share of 10 largest borrowers 2.1% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 148,865 LCR level / haircut (Benchmarks) - Number of properties 37,683 Risk weight (Benchmarks) -
Past development Maturity structure
6.0 250 2.5
5.0 200 2.0
4.0 150 1.5
3.0
in % in in EURbnin in EURbnin 100 1.0 2.0
50 0.5 1.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
6.9% 6.0%
6.1%
Single-family houses Germany 40.9% Multi-family houses Apartments
14.8% Office buildings Substitution assets Others
25.4% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 28 / Transparency requirements §28 PfandBG 16 March 2021
Landesbank Baden-Württemberg Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 10,552.6 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 14,694.3 Fixed interest (Cover pool) 78.0% of which residential 38.0% Fixed interest (Covered bonds) 82.3% of which commercial 56.0% WAL (Cover pool) 4.6y of which substitution assets 6.0% WAL (Covered bonds) 2.9y of which derivatives 0.0% Avg. seasoning 5.5y Current OC (EURm) 4,141.7 LTV (Original value) 55.0% Current OC 39.2% LTV (Market value) n/a Number of loans 35,362 Largest FX-position (NPV in EURm) USD (540.8) Number of borrowers 27,021 Share of largest exposure tranche 58.4% (> EUR 10m) Share of 10 largest borrowers 14.2% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 511,154 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 31,916 Risk weight (Benchmarks) 10%
Past development Maturity structure
18.0 45 5.0
16.0 40 4.5
14.0 35 4.0 3.5 12.0 30 3.0 10.0 25 2.5
8.0 20 % in in EURbnin in EURbnin 2.0 6.0 15 1.5
4.0 10 1.0
2.0 5 0.5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.9% 2.2% 0.7% 8.1% 18.0%
27.9% 9.4%
Office buildings Germany Multi-family houses UK 10.4% Other buildings USA Single-family houses Netherlands Retail buildings France Others Others
10.6%
21.4% 78.8% 11.7%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 29 / Transparency requirements §28 PfandBG 16 March 2021
Landesbank Berlin Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 3,475.0 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 5,609.4 Fixed interest (Cover pool) 86.0% of which residential 63.1% Fixed interest (Covered bonds) 96.0% of which commercial 32.2% WAL (Cover pool) 8.2y of which substitution assets 4.6% WAL (Covered bonds) 5.2y of which derivatives 0.0% Avg. seasoning 4.0y Current OC (EURm) 2,134.4 LTV (Original value) 55.0% Current OC 61.4% LTV (Market value) n/a Number of loans 6,712 Largest FX-position (NPV in EURm) n/a Number of borrowers 6,027 Share of largest exposure tranche 61.9% (> EUR 10m) Share of 10 largest borrowers 23.7% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 887,579 LCR level / haircut (Benchmarks) - Number of properties 7,020 Risk weight (Benchmarks) -
Past development Maturity structure
6.0 70 2.0
1.8 60 5.0 1.6
50 1.4 4.0 1.2 40
3.0 1.0
in % in in EURbnin in EURbnin 30 0.8 2.0 20 0.6 0.4 1.0 10 0.2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
10.9%
4.6%
5.4% Multi-family houses Germany Office buildings 5.5% Other buildings Retail buildings 54.1% Apartments Others
19.5%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 30 / Transparency requirements §28 PfandBG 16 March 2021
Landesbank Hessen-Thüringen Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 10,634.3 Rating (Moody’s / Fitch / S&P / DBRS) - / AAA / - / - Cover pool volume (EURm) 16,254.7 Fixed interest (Cover pool) 61.7% of which residential 25.1% Fixed interest (Covered bonds) 81.9% of which commercial 71.2% WAL (Cover pool) 3.9y of which substitution assets 3.7% WAL (Covered bonds) 2.3y of which derivatives 0.0% Avg. seasoning 4.3y Current OC (EURm) 5,620.4 LTV (Original value) 59.0% Current OC 52.9% LTV (Market value) n/a Number of loans 7,233 Largest FX-position (NPV in EURm) USD (2,300.3) Number of borrowers 5,985 Share of largest exposure tranche 88.6% (> EUR 10m) Share of 10 largest borrowers 9.3% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 2,614,820 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 8,131 Risk weight (Benchmarks) 10%
Past development Maturity structure
20.0 60 5.0
18.0 4.5 50 16.0 4.0
14.0 3.5 40 12.0 3.0
10.0 30 2.5
in % in in EURbnin in EURbnin 8.0 2.0 20 6.0 1.5
4.0 1.0 10 2.0 0.5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
3.8% 2.9% 10.7% 3.7% 4.9%
6.6% Office buildings Germany 21.1% 43.0% Retail buildings USA Multi-family houses UK 6.7% Substitution assets 52.3% Poland Single-family houses France Others Others
18.8%
25.5%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 31 / Transparency requirements §28 PfandBG 16 March 2021
M.M.Warburg & CO Hypothekenbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 1,107.9 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 1,268.9 Fixed interest (Cover pool) 94.7% of which residential 19.2% Fixed interest (Covered bonds) 97.1% of which commercial 75.5% WAL (Cover pool) 4.4y of which substitution assets 5.2% WAL (Covered bonds) 4.6y of which derivatives 0.0% Avg. seasoning 5.5y Current OC (EURm) 161.0 LTV (Original value) 56.9% Current OC 14.5% LTV (Market value) n/a Number of loans 324 Largest FX-position (NPV in EURm) n/a Number of borrowers 202 Share of largest exposure tranche 54.7% (EUR 1-10m) Share of 10 largest borrowers 23.7% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 5,951,980 LCR level / haircut (Benchmarks) - Number of properties 356 Risk weight (Benchmarks) -
Past development Maturity structure
1.6 20 0.6
18 1.4 0.5 16 1.2 14 0.4 1.0 12
0.8 10 0.3
in % in in EURbnin in EURbnin 8 0.6 0.2 6 0.4 4 0.1 0.2 2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.4% 4.8% 8.4% 5.2%
Office buildings Germany 17.0% Retail buildings Austria Multi-family houses 50.8% Substitution assets Other buildings Others
19.8%
91.6%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 32 / Transparency requirements §28 PfandBG 16 March 2021
Münchener Hypothekenbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 28,846.3 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 30,110.1 Fixed interest (Cover pool) 96.0% of which residential 80.7% Fixed interest (Covered bonds) 86.0% of which commercial 17.3% WAL (Cover pool) 8.0y of which substitution assets 2.0% WAL (Covered bonds) 8.0y of which derivatives 0.0% Avg. seasoning 5.0y Current OC (EURm) 1,263.8 LTV (Original value) 52.0% Current OC 4.4% LTV (Market value) n/a Number of loans 191,335 Largest FX-position (NPV in EURm) CHF (1,267.5) Number of borrowers 167,808 Share of largest exposure tranche 60.9% (< EUR 0.3m) Share of 10 largest borrowers 2.4% Loans in arrears (> 90 days) 0.03% Avg. exposure to borrowers (EUR) 175,854 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 178,837 Risk weight (Benchmarks) 10%
Past development Maturity structure
35.0 6 12.0
30.0 5 10.0
25.0 4 8.0
20.0
3 6.0
in % in in EURbn in in EURbnin 15.0
2 4.0 10.0
1 2.0 5.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.9% 3.2% 1.6% 5.0% 1.3% 1.7%
11.2% 12.4%
Single-family houses Germany Multi-family houses Switzerland Apartments USA 50.3% 13.8% Office buildings Netherlands Retail buildings Spain Others Others
80.0% 16.5%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 33 / Transparency requirements §28 PfandBG 16 March 2021
Natixis Pfandbriefbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 1,257.5 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 1,477.7 Fixed interest (Cover pool) 41.8% of which residential 5.8% Fixed interest (Covered bonds) 97.4% of which commercial 83.0% WAL (Cover pool) 3.6y of which substitution assets 11.2% WAL (Covered bonds) 2.9y of which derivatives 0.0% Avg. seasoning 3.7y Current OC (EURm) 220.2 LTV (Original value) 58.2% Current OC 17.5% LTV (Market value) n/a Number of loans 67 Largest FX-position (NPV in EURm) n/a Number of borrowers 131 Share of largest exposure tranche 94.1% (> EUR 10m) Share of 10 largest borrowers 24.6% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 10,020,229 LCR level / haircut (Benchmarks) - Number of properties 258 Risk weight (Benchmarks) -
Past development Maturity structure
1.8 30 0.45
1.6 0.40 25 1.4 0.35
1.2 20 0.30
1.0 0.25 15
0.8 % in 0.20
in EURbn in in EURbnin
0.6 10 0.15
0.4 0.10 5 0.2 0.05
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.8% 1.9% 1.8% 0.9% 5.8% 5.6%
11.2%
Office buildings France Retail buildings Germany Italy Substitution assets Portugal 54.1% Multi-family houses 36.3% 54.6% Spain Other buildings Others 27.0% Others
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 34 / Transparency requirements §28 PfandBG 16 March 2021
Norddeutsche Landesbank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 1,988.5 Rating (Moody’s / Fitch / S&P / DBRS) Aa1 / - / - / - Cover pool volume (EURm) 5,133.4 Fixed interest (Cover pool) 76.6% of which residential 69.6% Fixed interest (Covered bonds) 87.4% of which commercial 28.5% WAL (Cover pool) n/a of which substitution assets 1.9% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 7.5y Current OC (EURm) 3,144.9 LTV (Original value) 60.0% Current OC 158.2% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) CHF (11.8) Number of borrowers n/a Share of largest exposure tranche 40.8% (EUR 1-10m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties n/a Risk weight (Benchmarks) 10%
Past development Maturity structure
7.0 180 1.8
160 1.6 6.0 140 1.4 5.0 120 1.2
4.0 100 1.0
80 % in 0.8 in EURbnin in EURbnin 3.0
60 0.6 2.0 40 0.4 1.0 20 0.2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
1.5% 8.2%
6.5%
8.7% Multi-family houses Germany Single-family houses Luxemburg 48.4% Other buildings Office buildings Retail buildings 11.9% Others
16.2% 98.5%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 35 / Transparency requirements §28 PfandBG 16 March 2021
PSD Bank Nürnberg Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 557.6 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 839.2 Fixed interest (Cover pool) 100.0% of which residential 97.3% Fixed interest (Covered bonds) 100.0% of which commercial 0.0% WAL (Cover pool) 7.5y of which substitution assets 2.7% WAL (Covered bonds) 12.2y of which derivatives 0.0% Avg. seasoning 4.1y Current OC (EURm) 281.6 LTV (Original value) 51.9% Current OC 50.5% LTV (Market value) n/a Number of loans 8,738 Largest FX-position (NPV in EURm) n/a Number of borrowers 6,998 Share of largest exposure tranche 99.6% (< EUR 0.3m) Share of 10 largest borrowers 0.5% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 116,639 LCR level / haircut (Benchmarks) - Number of properties 8,090 Risk weight (Benchmarks) -
Past development Maturity structure
0.9 60 0.40
0.8 0.35 50 0.7 0.30 0.6 40 0.25 0.5
30 0.20 in % in
0.4 EURbn in in EURbnin 0.15 0.3 20 0.10 0.2 10 0.05 0.1
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.7%
Single-family houses 26.0%
Apartments Germany
Substitution assets
Plots commercial
Unfinished buildings commercial Others 71.2%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 36 / Transparency requirements §28 PfandBG 16 March 2021
PSD Bank Rhein-Ruhr Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 309.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 490.1 Fixed interest (Cover pool) 100.0% of which residential 97.3% Fixed interest (Covered bonds) 100.0% of which commercial 0.0% WAL (Cover pool) 7.4y of which substitution assets 2.7% WAL (Covered bonds) 9.5y of which derivatives 0.0% Avg. seasoning 3.9y Current OC (EURm) 181.1 LTV (Original value) 50.6% Current OC 58.6% LTV (Market value) n/a Number of loans 5,071 Largest FX-position (NPV in EURm) n/a Number of borrowers 4,185 Share of largest exposure tranche 95.3% (< EUR 0.3m) Share of 10 largest borrowers 1.3% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 114,006 LCR level / haircut (Benchmarks) - Number of properties 4,396 Risk weight (Benchmarks) -
Past development Maturity structure
0.60 70 0.25
60 0.50 0.20 50 0.40 0.15 40
0.30
in % in in EURbn in in EURbnin 30 0.10 0.20 20 0.05 0.10 10
0.00 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
5.7% 2.7%
16.2%
Single-family houses Germany Apartments Multi-family houses Substitution assets Plots commercial Others
75.5%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 37 / Transparency requirements §28 PfandBG 16 March 2021
SaarLB Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 463.3 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 786.9 Fixed interest (Cover pool) 79.1% of which residential 1.3% Fixed interest (Covered bonds) 100.0% of which commercial 93.1% WAL (Cover pool) n/a of which substitution assets 5.5% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 5.3y Current OC (EURm) 323.6 LTV (Original value) 51.7% Current OC 69.8% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) n/a Number of borrowers n/a Share of largest exposure tranche 58.2% (> EUR 10m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) - Number of properties n/a Risk weight (Benchmarks) -
Past development Maturity structure
0.9 80 0.25
0.8 70
0.7 0.20 60 0.6 50 0.15 0.5
40 in % in
0.4 EURbn in in EURbnin 0.10 30 0.3 20 0.2 0.05
0.1 10
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.6% 5.5% 0.8%
21.8%
18.6%
Germany Retail buildings 43.9% Other buildings France Office buildings Substitution assets Multi-family houses Others
78.2% 30.6%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 38 / Transparency requirements §28 PfandBG 16 March 2021
Santander Consumer Bank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 1,000.0 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / AAA / - / - Cover pool volume (EURm) 1,167.5 Fixed interest (Cover pool) 100.0% of which residential 95.7% Fixed interest (Covered bonds) 100.0% of which commercial 0.0% WAL (Cover pool) 4.6y of which substitution assets 4.3% WAL (Covered bonds) 6.5y of which derivatives 0.0% Avg. seasoning 7.4y Current OC (EURm) 167.5 LTV (Original value) 45.0% Current OC 16.7% LTV (Market value) n/a Number of loans 19,432 Largest FX-position (NPV in EURm) n/a Number of borrowers 23,578 Share of largest exposure tranche 98.2% (< EUR 0.3m) Share of 10 largest borrowers 0.4% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 47,394 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 13,941 Risk weight (Benchmarks) 10%
Past development Maturity structure
1.4 160 0.6
1.2 140 0.5 120 1.0 0.4 100 0.8
80 0.3
in % in in EURbnin in EURbnin 0.6 60 0.2 0.4 40 0.1 0.2 20
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
4.3% 2.6%
20.6% Single-family houses Germany Apartments Substitution assets Multi-family houses Plots commercial Others
72.5%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 39 / Transparency requirements §28 PfandBG 16 March 2021
Sparkasse Hannover Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 1,257.6 Rating (Moody’s / Fitch / S&P / DBRS) - / AAA / - / - Cover pool volume (EURm) 1,761.9 Fixed interest (Cover pool) 89.2% of which residential 78.0% Fixed interest (Covered bonds) 100.0% of which commercial 18.1% WAL (Cover pool) n/a of which substitution assets 3.9% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 4.3y Current OC (EURm) 504.3 LTV (Original value) 56.3% Current OC 40.1% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) n/a Number of borrowers n/a Share of largest exposure tranche 62.7% (< EUR 0.3m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) - Number of properties n/a Risk weight (Benchmarks) -
Past development Maturity structure
2.0 140 0.7
1.8 120 0.6 1.6
1.4 100 0.5
1.2 80 0.4
1.0
in % in in EURbnin in EURbnin 60 0.3 0.8
0.6 40 0.2 0.4 20 0.1 0.2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
7.3%
6.8%
7.8% Germany Single-family houses 44.9% Multi-family houses Apartments Office buildings 10.8% Other buildings Others
22.3% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 40 / Transparency requirements §28 PfandBG 16 March 2021
Sparkasse KölnBonn Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 2,091.1 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 6,445.6 Fixed interest (Cover pool) 91.5% of which residential 74.6% Fixed interest (Covered bonds) 100.0% of which commercial 20.1% WAL (Cover pool) n/a of which substitution assets 5.3% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 5.6y Current OC (EURm) 4,354.5 LTV (Original value) 52.7% Current OC 208.2% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) n/a Number of borrowers n/a Share of largest exposure tranche 50.1% (< EUR 0.3m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties n/a Risk weight (Benchmarks) 10%
Past development Maturity structure
7.0 250 2.5
6.0 200 2.0 5.0
150 1.5
4.0
in % in in EURbnin in EURbnin 3.0 100 1.0
2.0 50 0.5 1.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
10.2%
7.1%
31.8%
Multi-family houses Germany 8.1% Single-family houses Apartments Office buildings Other buildings Others
17.0%
25.8% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 41 / Transparency requirements §28 PfandBG 16 March 2021
Stadtsparkasse Düsseldorf Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 867.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 2,077.6 Fixed interest (Cover pool) 93.2% of which residential 68.5% Fixed interest (Covered bonds) 100.0% of which commercial 27.4% WAL (Cover pool) n/a of which substitution assets 4.0% WAL (Covered bonds) n/a of which derivatives 0.0% Avg. seasoning 6.2y Current OC (EURm) 1,210.6 LTV (Original value) 56.2% Current OC 139.6% LTV (Market value) n/a Number of loans n/a Largest FX-position (NPV in EURm) n/a Number of borrowers n/a Share of largest exposure tranche 43.3% (< EUR 0.3m) Share of 10 largest borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) - Number of properties n/a Risk weight (Benchmarks) -
Past development Maturity structure
2.5 250 0.9
0.8 2.0 200 0.7
0.6 1.5 150 0.5
in % in 0.4 in EURbnin in EURbnin 1.0 100 0.3
0.2 0.5 50 0.1
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
12.1%
6.2%
36.2% Multi-family houses Germany Single-family houses
12.2% Office buildings Apartments Other buildings Others
13.3%
20.0% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 42 / Transparency requirements §28 PfandBG 16 March 2021
UniCredit Bank Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 22,011.2 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 29,556.6 Fixed interest (Cover pool) 81.0% of which residential 68.5% Fixed interest (Covered bonds) 95.3% of which commercial 29.3% WAL (Cover pool) 6.8y of which substitution assets 2.2% WAL (Covered bonds) 6.9y of which derivatives 0.0% Avg. seasoning 7.0y Current OC (EURm) 7,545.4 LTV (Original value) 42.1% Current OC 34.3% LTV (Market value) n/a Number of loans 150,235 Largest FX-position (NPV in EURm) n/a Number of borrowers 114,202 Share of largest exposure tranche 38.0% (< EUR 0.3m) Share of 10 largest borrowers 8.1% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 253,137 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 138,924 Risk weight (Benchmarks) 10%
Past development Maturity structure
35.0 45 12.0
40 30.0 10.0 35 25.0 30 8.0
20.0 25 6.0
20 % in in EURbn in in EURbnin 15.0
15 4.0 10.0 10 2.0 5.0 5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
7.2% 0.0% 0.0%
9.2% 28.3%
Single-family houses Germany Multi-family houses Italy 15.5% Apartments France Office buildings Retail buildings Others
16.1% 23.7%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 43 / Transparency requirements §28 PfandBG 16 March 2021
Wüstenrot Bausparkasse Mortgage Indicators of the cover pool Covered bonds outstanding (EURm) 2,216.6 Rating (Moody’s / Fitch / S&P / DBRS) - / - / AAA / - Cover pool volume (EURm) 2,628.8 Fixed interest (Cover pool) 99.3% of which residential 89.4% Fixed interest (Covered bonds) 98.2% of which commercial 1.1% WAL (Cover pool) 4.7y of which substitution assets 9.5% WAL (Covered bonds) 5.4y of which derivatives 0.0% Avg. seasoning 11.2y Current OC (EURm) 412.2 LTV (Original value) 44.7% Current OC 18.6% LTV (Market value) n/a Number of loans 34,894 Largest FX-position (NPV in EURm) n/a Number of borrowers 31,275 Share of largest exposure tranche 87.6% (< EUR 0.3m) Share of 10 largest borrowers 2.3% Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 76,058 LCR level / haircut (Benchmarks) Level 1 / 7% Number of properties 33,155 Risk weight (Benchmarks) 10%
Past development Maturity structure
3.0 50 1.2
45 2.5 1.0 40
35 2.0 0.8 30
1.5 25 0.6
in % in in EURbnin in EURbnin 20 1.0 0.4 15
10 0.5 0.2 5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Covered bonds Cover pool OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.9% 0.3%
9.5%
13.8% Single-family houses Germany Apartments Multi-family houses Substitution assets Other buildings Others 14.0% 61.6%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 44 / Transparency requirements §28 PfandBG 16 March 2021
Public sector covered bonds 45 / Transparency requirements §28 PfandBG 16 March 2021
Aareal Bank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 1,533.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 1,788.9 Fixed interest (Cover pool) 90.0% of which substitution assets 0.8% Fixed interest (Covered bonds) 84.9% of which derivatives 0.0% WAL (Cover pool) 8.8y Current OC (EURm) 255.9 WAL (Covered bonds) 5.9y Current OC 16.7% Largest FX-position (NPV in EURm) n/a Number of loans 198 Share of largest exposure tranche 63.5% (> EUR 100m) Number of borrowers 109 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 75.6% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 16,274,312 Risk weight (Benchmarks) -
Past development Maturity structure
3.0 18 1.0
16 0.9 2.5 14 0.8 0.7 2.0 12 0.6 10 1.5 0.5
8 % in in EURbn in in EURbn in 0.4 1.0 6 0.3
4 0.2 0.5 2 0.1
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.6% 2.3% 1.1% 4.7% 14.7%
12.7%
Germany
Regional authorities Austria Local authorities Spain Central government 18.3% EU institutions Other public debtors Japan Others 64.5%
79.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 46 / Transparency requirements §28 PfandBG 16 March 2021
Bayerische Landesbank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 17,541.1 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / AAA / - / - Cover pool volume (EURm) 22,620.5 Fixed interest (Cover pool) 92.0% of which substitution assets 1.8% Fixed interest (Covered bonds) 93.3% of which derivatives 0.0% WAL (Cover pool) 9.0y Current OC (EURm) 5,079.4 WAL (Covered bonds) 6.0y Current OC 29.0% Largest FX-position (NPV in EURm) GBP (630.5) Number of loans 84,471 Share of largest exposure tranche 59.8% (> EUR 100m) Number of borrowers 55,959 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 24.9% LCR level / haircut (Benchmarks) Level 1 / 7% Avg. exposure to borrowers (EUR) 396,933 Risk weight (Benchmarks) 10%
Past development Maturity structure
3.0 18 7.0
16 2.5 6.0 14 5.0 2.0 12
10 4.0 1.5
8 % in in EURbn in in EURbn in 3.0
1.0 6 2.0 4 0.5 1.0 2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.5% 0.9% 7.1% 1.1% 0.4% 3.1%
8.0%
Germany
44.6% Local authorities UK Regional authorities France Central government USA Other public debtors EU institutions Others
40.3%
94.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 47 / Transparency requirements §28 PfandBG 16 March 2021
Berlin Hyp Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 260.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 275.3 Fixed interest (Cover pool) 100.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) 12.5y Current OC (EURm) 15.3 WAL (Covered bonds) 6.0y Current OC 5.9% Largest FX-position (NPV in EURm) n/a Number of loans 57 Share of largest exposure tranche 96.0% (EUR 10-100m) Number of borrowers 67 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 95.6% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 4,108,955 Risk weight (Benchmarks) -
Past development Maturity structure
1.4 7 0.18
0.16 1.2 6 0.14 1.0 5 0.12
0.8 4 0.10
in % in 0.08 in EURbn in
0.6 3 EURbn in
0.06 0.4 2 0.04 0.2 1 0.02
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.1%
21.4% 21.4%
Germany
Regional authorities Austria Central government Local authorities Other public debtors
78.5% 78.6%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 48 / Transparency requirements §28 PfandBG 16 March 2021
Commerzbank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 11,281.2 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 12,124.1 Fixed interest (Cover pool) 71.2% of which substitution assets 0.6% Fixed interest (Covered bonds) 43.7% of which derivatives 0.0% WAL (Cover pool) 9.8y Current OC (EURm) 842.9 WAL (Covered bonds) 5.3y Current OC 7.5% Largest FX-position (NPV in EURm) GBP (3,124.0) Number of loans 756 Share of largest exposure tranche 63.3% (> EUR 100m) Number of borrowers 392 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 33.4% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 30,738,239 Risk weight (Benchmarks) -
Past development Maturity structure
14.0 90 5.0
80 4.5 12.0 70 4.0 10.0 3.5 60 3.0 8.0 50 2.5
40 % in in EURbn in
6.0 EURbn in 2.0 30 4.0 1.5 20 1.0 2.0 10 0.5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
5.2% 10.5%
3.9%
5.3% 25.5% 35.1% Germany
Regional authorities UK Local authorities 7.9% Switzerland Central government Italy Other public debtors Spain 58.3% Others
14.2%
34.2%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 49 / Transparency requirements §28 PfandBG 16 March 2021
DekaBank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 3,463.8 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 4,291.0 Fixed interest (Cover pool) 70.7% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) 6.3y Current OC (EURm) 827.2 WAL (Covered bonds) 4.6y Current OC 23.9% Largest FX-position (NPV in EURm) USD (130.7) Number of loans 249 Share of largest exposure tranche 55.9% (> EUR 100m) Number of borrowers 85 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 36.0% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 50,481,859 Risk weight (Benchmarks) -
Past development Maturity structure
5.0 60 1.6
4.5 1.4 50 4.0 1.2 3.5 40 3.0 1.0
2.5 30 0.8
in % in in EURbn in 2.0 EURbn in 0.6 20 1.5 0.4 1.0 10 0.2 0.5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.3% 3.3% 15.4% 2.4% 3.4%
5.9%
Germany
Local authorities UK 16.3% Other public debtors Netherlands 49.4% Central government Latvia Regional authorities USA Others
18.8% 82.6%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 50 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Bank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 90.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 149.0 Fixed interest (Cover pool) 100.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) n/a Current OC (EURm) 59.0 WAL (Covered bonds) n/a Current OC 65.6% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche 100.0% (EUR 10-100m) Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers n/a LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) n/a Risk weight (Benchmarks) -
Past development Maturity structure
0.35 120 0.06
0.30 100 0.05
0.25 80 0.04
0.20
60 0.03
in % in in EURbn in 0.15 EURbn in
40 0.02 0.10
20 0.01 0.05
0.00 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
23.5% 23.5%
Germany
Regional authorities Finland Central government Other public debtors Local authorities
76.5% 76.5%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 51 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Hypothekenbank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 2,815.0 Rating (Moody’s / Fitch / S&P / DBRS) Aa1 / - / - / - Cover pool volume (EURm) 2,921.9 Fixed interest (Cover pool) 81.9% of which substitution assets 0.0% Fixed interest (Covered bonds) 88.2% of which derivatives 0.0% WAL (Cover pool) 6.4y Current OC (EURm) 106.9 WAL (Covered bonds) 8.3y Current OC 3.8% Largest FX-position (NPV in EURm) GBP (132.9) Number of loans n/a Share of largest exposure tranche 93.8% (EUR 10-100m) Number of borrowers 64 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 62.3% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 45,654,688 Risk weight (Benchmarks) -
Past development Maturity structure
4.5 16 1.2
4.0 14 1.0 3.5 12 3.0 0.8 10 2.5 8 0.6
2.0 % in
in EURbn in in EURbn in 6 1.5 0.4 4 1.0 0.2 0.5 2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
1.1% 11.6% 16.5% 2.8%
3.2%
Germany 6.8% Regional authorities Austria Other public debtors Belgium Central government EU institutions Local authorities 21.8% USA 60.6% 59.8% Others 15.8%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 52 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Kreditbank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 4,424.8 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 8,535.3 Fixed interest (Cover pool) 95.6% of which substitution assets 0.0% Fixed interest (Covered bonds) 98.2% of which derivatives 0.0% WAL (Cover pool) n/a Current OC (EURm) 4,110.5 WAL (Covered bonds) n/a Current OC 92.9% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche 47.9% (EUR 10-100m) Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers n/a LCR level / haircut (Benchmarks) Level 1 / 7% Avg. exposure to borrowers (EUR) n/a Risk weight (Benchmarks) 10%
Past development Maturity structure
10.0 250 2.5
9.0
8.0 200 2.0
7.0
6.0 150 1.5
5.0
in % in in EURbn in 4.0 100 EURbn in 1.0
3.0
2.0 50 0.5
1.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.2% 0.0% 9.1%
Germany
Local authorities Regional authorities Central government Other public debtors
90.7% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 53 / Transparency requirements §28 PfandBG 16 March 2021
Deutsche Pfandbriefbank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 10,136.0 Rating (Moody’s / Fitch / S&P / DBRS) Aa1 / - / - / - Cover pool volume (EURm) 12,211.0 Fixed interest (Cover pool) 70.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 78.2% of which derivatives 0.0% WAL (Cover pool) 9.0y Current OC (EURm) 2,075.0 WAL (Covered bonds) 8.0y Current OC 20.5% Largest FX-position (NPV in EURm) USD (576.0) Number of loans 549 Share of largest exposure tranche 65.7% (> EUR 100m) Number of borrowers 232 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 53.9% LCR level / haircut (Benchmarks) Level 1 / 7% Avg. exposure to borrowers (EUR) 52,620,690 Risk weight (Benchmarks) 10%
Past development Maturity structure
18.0 35 6.0
16.0 30 5.0 14.0 25 12.0 4.0
10.0 20 3.0
8.0 % in in EURbn in
15 EURbn in
6.0 2.0 10 4.0 1.0 5 2.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
9.8% 10.5%
2.6% 3.2% 32.4% 14.3%
40.1% Austria
Central government Germany Regional authorities France Other public debtors Spain Local authorities 23.9% Portugal Others
35.8% 27.3%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 54 / Transparency requirements §28 PfandBG 16 March 2021
DSK Hyp Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 57.5 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 229.8 Fixed interest (Cover pool) 78.2% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) 2.7y Current OC (EURm) 172.3 WAL (Covered bonds) 3.1y Current OC 299.6% Largest FX-position (NPV in EURm) n/a Number of loans 6 Share of largest exposure tranche 79.8% (EUR 10-100m) Number of borrowers 5 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 45.6% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 45,957,800 Risk weight (Benchmarks) -
Past development Maturity structure
1.0 350 0.09
0.9 0.08 300 0.8 0.07 0.7 250 0.06 0.6 200 0.05 0.5
in % in 0.04 in EURbn in 150 EURbn in 0.4 0.03 0.3 100 0.2 0.02 50 0.1 0.01
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.6% 0.3%
15.2%
Germany
Regional authorities Central government Local authorities Other public debtors
81.9%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 55 / Transparency requirements §28 PfandBG 16 March 2021
DZ HYP Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 12,920.8 Rating (Moody’s / Fitch / S&P / DBRS) - / - / AAA / - Cover pool volume (EURm) 15,324.3 Fixed interest (Cover pool) 96.2% of which substitution assets 0.4% Fixed interest (Covered bonds) 95.5% of which derivatives 0.0% WAL (Cover pool) 8.5y Current OC (EURm) 2,403.5 WAL (Covered bonds) 7.5y Current OC 18.6% Largest FX-position (NPV in EURm) USD (139.9) Number of loans 17,999 Share of largest exposure tranche 38.7% (< EUR 10m) Number of borrowers 5,223 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 15.8% LCR level / haircut (Benchmarks) Level 1 / 7% Avg. exposure to borrowers (EUR) 2,933,997 Risk weight (Benchmarks) 10%
Past development Maturity structure
20.0 25 6.0
18.0 5.0 16.0 20
14.0 4.0 12.0 15
10.0 3.0
in % in in EURbn in 8.0 10 EURbn in 2.0 6.0
4.0 5 1.0 2.0
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
4.6% 4.8% 2.4% 9.9% 2.9% 3.1%
6.3%
Germany
Local authorities Spain Regional authorities Portugal 21.7% Central government Austria Other public debtors Canada Others 63.8%
80.4%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 56 / Transparency requirements §28 PfandBG 16 March 2021
Hamburg Commercial Bank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 1,165.4 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 1,268.7 Fixed interest (Cover pool) 94.3% of which substitution assets 0.0% Fixed interest (Covered bonds) 92.3% of which derivatives 0.0% WAL (Cover pool) 10.6y Current OC (EURm) 103.3 WAL (Covered bonds) 5.5y Current OC 8.9% Largest FX-position (NPV in EURm) CHF (109.2) Number of loans 93 Share of largest exposure tranche 51.2% (> EUR 100m) Number of borrowers 55 Loans in arrears (> 90 days) 0.02% Share of 10 largest borrowers 80.1% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 23,067,273 Risk weight (Benchmarks) -
Past development Maturity structure
3.5 20 0.8
18 3.0 0.7 16 0.6 2.5 14
12 0.5 2.0
10 0.4
in % in in EURbn in
1.5 EURbn in 8 0.3 1.0 6 0.2 4 0.5 0.1 2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
4.0% 1.9% 7.7%
16.6%
20.2% Germany
Regional authorities Belgium Central government Switzerland 51.4% Local authorities Poland Other public debtors
28.1% 70.3%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 57 / Transparency requirements §28 PfandBG 16 March 2021
Kreissparkasse Köln Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 233.4 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 305.9 Fixed interest (Cover pool) 100.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) 6.1y Current OC (EURm) 72.4 WAL (Covered bonds) 4.8y Current OC 31.0% Largest FX-position (NPV in EURm) n/a Number of loans 155 Share of largest exposure tranche 51.2% (EUR 10-100m) Number of borrowers 49 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 67.4% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 6,241,878 Risk weight (Benchmarks) -
Past development Maturity structure
0.6 100 0.18
90 0.16 0.5 80 0.14 70 0.4 0.12 60 0.10 0.3 50
in % in 0.08 in EURbn in 40 EURbn in 0.2 0.06 30 0.04 20 0.1 10 0.02
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
9.2%
Germany 23.0% Local authorities Other public debtors Regional authorities Central government
67.8%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 58 / Transparency requirements §28 PfandBG 16 March 2021
Landesbank Baden-Württemberg Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 8,922.1 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 11,651.3 Fixed interest (Cover pool) 83.6% of which substitution assets 0.0% Fixed interest (Covered bonds) 80.4% of which derivatives 0.0% WAL (Cover pool) 6.9y Current OC (EURm) 2,729.3 WAL (Covered bonds) 5.2y Current OC 30.6% Largest FX-position (NPV in EURm) USD (-1.9) Number of loans 7,195 Share of largest exposure tranche 46.8% (> EUR 100m) Number of borrowers 2,829 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 27.9% LCR level / haircut (Benchmarks) Level 1 / 7% Avg. exposure to borrowers (EUR) 4,118,529 Risk weight (Benchmarks) 10%
Past development Maturity structure
14.0 80 4.5
4.0 12.0 70 3.5 60 10.0 3.0 50 8.0 2.5 40
in % in 2.0 in EURbn in 6.0 EURbn in 30 1.5 4.0 20 1.0 2.0 10 0.5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.8% 0.8% 0.6%2.0% 12.0% 1.4%
34.6% Germany Poland 21.1% Local authorities Other public debtors Austria Regional authorities Sweden Central government Denmark Others
32.4% 94.5%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 59 / Transparency requirements §28 PfandBG 16 March 2021
Landesbank Berlin Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 268.0 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 703.8 Fixed interest (Cover pool) 100.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) 5.5y Current OC (EURm) 435.8 WAL (Covered bonds) 4.3y Current OC 162.6% Largest FX-position (NPV in EURm) n/a Number of loans 26 Share of largest exposure tranche 74.9% (> EUR 100m) Number of borrowers 13 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 99.5% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 54,142,231 Risk weight (Benchmarks) -
Past development Maturity structure
0.9 400 0.45
0.8 350 0.40
0.7 300 0.35 0.6 0.30 250 0.5 0.25 200
0.4 % in 0.20
in EURbn in in EURbn in 150 0.3 0.15 100 0.2 0.10
0.1 50 0.05
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
19.9%
Germany
Other public debtors Regional authorities Local authorities Central government
80.1%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 60 / Transparency requirements §28 PfandBG 16 March 2021
Landesbank Hessen-Thüringen Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 27,620.3 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / AAA / - / - Cover pool volume (EURm) 34,670.7 Fixed interest (Cover pool) 95.0% of which substitution assets 0.1% Fixed interest (Covered bonds) 88.9% of which derivatives 0.0% WAL (Cover pool) 7.6y Current OC (EURm) 7,050.4 WAL (Covered bonds) 6.0y Current OC 25.5% Largest FX-position (NPV in EURm) USD (357.7) Number of loans 20,206 Share of largest exposure tranche 64.7% (> EUR 100m) Number of borrowers 5,041 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 35.0% LCR level / haircut (Benchmarks) Level 1 / 7% Avg. exposure to borrowers (EUR) 6,867,844 Risk weight (Benchmarks) 10%
Past development Maturity structure
40.0 50 12.0
45 35.0 10.0 40 30.0 35 8.0 25.0 30
20.0 25 6.0
in % in in EURbn in 20 EURbn in 15.0 4.0 15 10.0 10 2.0 5.0 5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.3% 0.7% 3.3% 1.1% 0.6% 2.5% 13.1%
Germany 42.3% Local authorities Belgium Regional authorities Austria Other public debtors France Central government UK Others
41.3%
92.8%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research
61 / Transparency requirements §28 PfandBG 16 March 2021
LIGA Bank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 25.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 152.5 Fixed interest (Cover pool) 100.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) n/a Current OC (EURm) 127.5 WAL (Covered bonds) n/a Current OC 510.1% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche 66.3% (< EUR 10m) Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers n/a LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) n/a Risk weight (Benchmarks) -
Past development Maturity structure
0.18 600 0.040
0.16 0.035 500 0.14 0.030 0.12 400 0.025 0.10 300 0.020
0.08 % in
in EURbn in in EURbn in 0.015 0.06 200 0.010 0.04 100 0.02 0.005
0.00 0 0.000 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
3.3%
Germany
Local authorities Regional authorities Other public debtors Central government
96.7% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 62 / Transparency requirements §28 PfandBG 16 March 2021
M.M. Warburg & CO Hypothekenbank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 6.2 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 14.0 Fixed interest (Cover pool) 64.3% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) 2.2y Current OC (EURm) 7.8 WAL (Covered bonds) 0.6y Current OC 125.8% Largest FX-position (NPV in EURm) n/a Number of loans 1 Share of largest exposure tranche 100.0% (< EUR 10m) Number of borrowers 1 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers n/a LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 14,000,000 Risk weight (Benchmarks) -
Past development Maturity structure
0.018 180 0.008
0.016 160 0.007
0.014 140 0.006 0.012 120 0.005 0.010 100 0.004
0.008 80 % in
in EURbn in in EURbn in 0.003 0.006 60 0.002 0.004 40
0.002 20 0.001
0.000 0 0.000 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
10.7%
Germany
Regional authorities Local authorities Other public debtors Central government
89.3% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 63 / Transparency requirements §28 PfandBG 16 March 2021
Münchener Hypothekenbank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 1,945.1 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 1,958.1 Fixed interest (Cover pool) 92.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 91.0% of which derivatives 0.0% WAL (Cover pool) 14.0y Current OC (EURm) 13.0 WAL (Covered bonds) 8.0y Current OC 0.7% Largest FX-position (NPV in EURm) n/a Number of loans 627 Share of largest exposure tranche 70.5% (> EUR 100m) Number of borrowers 460 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 87.1% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 4,256,828 Risk weight (Benchmarks) -
Past development Maturity structure
3.0 6 1.4
2.5 5 1.2
1.0 2.0 4
0.8
1.5 3
in % in in EURbn in in EURbn in 0.6
1.0 2 0.4
0.5 1 0.2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
6.1% 7.9%
7.3%
7.7% Germany
Regional authorities Austria Other public debtors Local authorities Central government
78.9%
92.1%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 64 / Transparency requirements §28 PfandBG 16 March 2021
Norddeutsche Landesbank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 10,781.8 Rating (Moody’s / Fitch / S&P / DBRS) Aa1 / - / - / - Cover pool volume (EURm) 14,407.3 Fixed interest (Cover pool) 89.4% of which substitution assets 5.0% Fixed interest (Covered bonds) 96.4% of which derivatives 0.0% WAL (Cover pool) 6.6y Current OC (EURm) 3,625.5 WAL (Covered bonds) 6.3y Current OC 33.6% Largest FX-position (NPV in EURm) USD (153.9) Number of loans 4,140 Share of largest exposure tranche 40.6% (> EUR 100m) Number of borrowers 1,465 Loans in arrears (> 90 days) 0.03% Share of 10 largest borrowers 23.2% LCR level / haircut (Benchmarks) Level 1 / 7% Avg. exposure to borrowers (EUR) 9,459,659 Risk weight (Benchmarks) 10%
Past development Maturity structure
20.0 40 5.0
18.0 35 4.5 16.0 4.0 30 14.0 3.5 25 12.0 3.0
10.0 20 2.5
in % in in EURbn in 8.0 EURbn in 15 2.0 6.0 1.5 10 4.0 1.0 5 2.0 0.5
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.5% 6.2% 2.0%1.8% 0.4% 0.8%
20.3%
Germany
Local authorities USA 48.2% Regional authorities France Other public debtors Denmark Central government Belgium Others
25.3%
94.4%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 65 / Transparency requirements §28 PfandBG 16 March 2021
SaarLB Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 2,233.0 Rating (Moody’s / Fitch / S&P / DBRS) - / AAA / - / - Cover pool volume (EURm) 3,319.0 Fixed interest (Cover pool) 75.8% of which substitution assets 0.0% Fixed interest (Covered bonds) 95.7% of which derivatives 0.0% WAL (Cover pool) n/a Current OC (EURm) 1,086.0 WAL (Covered bonds) n/a Current OC 48.6% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche 62.6% (EUR 10-100m) Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers n/a LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) n/a Risk weight (Benchmarks) -
Past development Maturity structure
4.0 70 1.4
3.5 60 1.2
3.0 50 1.0 2.5 40 0.8
2.0
in % in in EURbn in 30 EURbn in 0.6 1.5 20 0.4 1.0
0.5 10 0.2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
4.1% 1.7%
7.8%
34.6% Germany
Local authorities France Regional authorities Other public debtors Central government
65.4%
86.4%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 66 / Transparency requirements §28 PfandBG 16 March 2021
Sparkasse Hannover Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 738.1 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 924.5 Fixed interest (Cover pool) 97.5% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) n/a Current OC (EURm) 186.4 WAL (Covered bonds) n/a Current OC 25.3% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche 55.1% (EUR 10-100m) Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers n/a LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) n/a Risk weight (Benchmarks) -
Past development Maturity structure
1.4 80 0.30
1.2 70 0.25 60 1.0 0.20 50 0.8
40 0.15
in % in in EURbn in 0.6 EURbn in 30 0.10 0.4 20 0.05 0.2 10
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
2.7% 7.8%
Germany
Local authorities Other public debtors Regional authorities Central government
89.5% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 67 / Transparency requirements §28 PfandBG 16 March 2021
Sparkasse KölnBonn Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 36.2 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 319.0 Fixed interest (Cover pool) 79.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) n/a Current OC (EURm) 282.8 WAL (Covered bonds) n/a Current OC 781.3% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche 84.8% (EUR 10-100m) Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers n/a LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) n/a Risk weight (Benchmarks) -
Past development Maturity structure
0.40 1,000 0.10
900 0.35 0.09 800 0.08 0.30 700 0.07 0.25 600 0.06
0.20 500 0.05
in % in in EURbn in 400 EURbn in 0.04 0.15 300 0.03 0.10 200 0.02 0.05 100 0.01
0.00 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
3.6%
23.3%
Germany
Local authorities Other public debtors Regional authorities Central government
73.2%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 68 / Transparency requirements §28 PfandBG 16 March 2021
Stadtsparkasse Düsseldorf Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 45.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 220.8 Fixed interest (Cover pool) 100.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 100.0% of which derivatives 0.0% WAL (Cover pool) n/a Current OC (EURm) 175.8 WAL (Covered bonds) n/a Current OC 390.7% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche 67.9% (EUR 10-100m) Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers n/a LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) n/a Risk weight (Benchmarks) -
Past development Maturity structure
0.40 450 0.120
0.35 400 0.100 350 0.30
300 0.080 0.25 250 0.20
in % in 0.060
200 in EURbn in 0.15 EURbn in 150 0.040 0.10 100 0.020 0.05 50
0.00 0 0.000 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
23.8%
Germany
Local authorities Other public debtors Regional authorities Central government
76.2%
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 69 / Transparency requirements §28 PfandBG 16 March 2021
UniCredit Bank Public sector Indicators of the cover pool Covered bonds outstanding (EURm) 3,205.2 Rating (Moody’s / Fitch / S&P / DBRS) Aaa / - / - / - Cover pool volume (EURm) 5,106.0 Fixed interest (Cover pool) 64.9% of which substitution assets 0.0% Fixed interest (Covered bonds) 99.8% of which derivatives 0.0% WAL (Cover pool) 5.5y Current OC (EURm) 1,900.8 WAL (Covered bonds) 4.9y Current OC 59.3% Largest FX-position (NPV in EURm) USD (-59.2) Number of loans 1,681 Share of largest exposure tranche 45.0% (> EUR 100m) Number of borrowers 920 Loans in arrears (> 90 days) 0.00% Share of 10 largest borrowers 34.5% LCR level / haircut (Benchmarks) - Avg. exposure to borrowers (EUR) 5,550,000 Risk weight (Benchmarks) -
Past development Maturity structure
7.0 70 1.6
6.0 60 1.4
1.2 5.0 50
1.0 4.0 40
0.8
in % in in EURbn in 3.0 30 EURbn in 0.6 2.0 20 0.4
1.0 10 0.2
0.0 0 0.0 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Distribution by country
0.8% 0.3% 1.9% 0.3% 5.3%
25.4%
Germany
Local authorities France 46.2% Regional authorities UK Central government Austria Other public debtors Denmark
28.2%
91.7%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 70 / Transparency requirements §28 PfandBG 16 March 2021
Ship covered bonds 71 / Transparency requirements §28 PfandBG 16 March 2021
Commerzbank Ship Indicators of the cover pool Covered bonds outstanding (EURm) 210.5 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 313.0 Fixed interest (Cover pool) 100.0% of which substitution assets 100.0% Fixed interest (Covered bonds) 76.0% of which derivatives 0.0% WAL (Cover pool) 6.5y Current OC (EURm) 102.5 WAL (Covered bonds) 2.0y Current OC 48.7% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche n/a Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) - Risk weight (Benchmarks) -
Past development Maturity structure
0.5 60 0.14
0.5 50 0.12 0.4
0.4 0.10 40 0.3 0.08
0.3 30
in % in in EURbn in in EURbn in 0.06 0.2 20 0.2 0.04 0.1 10 0.02 0.1
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Ships by country
Substitution assets Ships n/a Derivatives
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 72 / Transparency requirements §28 PfandBG 16 March 2021
DVB Bank Ship Indicators of the cover pool Covered bonds outstanding (EURm) 0.0 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 22.5 Fixed interest (Cover pool) 0.0% of which substitution assets 0.0% Fixed interest (Covered bonds) 0.0% of which derivatives 0.0% WAL (Cover pool) 2.0y Current OC (EURm) 22.5 WAL (Covered bonds) n/a Current OC 0.0% Largest FX-position (NPV in EURm) USD (20.9) Number of loans 1 Share of largest exposure tranche 100.0% (> EUR 5m) Number of borrowers 1 Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 22,464,000 LCR level / haircut (Benchmarks) - Risk weight (Benchmarks) -
Past development Maturity structure
1.0 180 0.02
0.9 160 0.02
0.8 140 0.02 0.7 0.01 120 0.6 0.01 100 0.5 0.01
80 % in in EURbn in 0.4 EURbn in 0.01 60 0.3 0.01 40 0.2 0.00
0.1 20 0.00
0.0 0 0.00 Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y
Cover pool Covered bonds OC (rhs) Cover pool Covered bonds
Distribution by borrower type Ships by country
Malta
Ships Substitution assets Derivatives
100.0% 100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 73 / Transparency requirements §28 PfandBG 16 March 2021
Hamburg Commercial Bank Ship Indicators of the cover pool Covered bonds outstanding (EURm) 1,968.0 Rating (Moody’s / Fitch / S&P / DBRS) A3 / - / - / - Cover pool volume (EURm) 2,258.4 Fixed interest (Cover pool) 3.2% of which substitution assets 16.7% Fixed interest (Covered bonds) 16.4% of which derivatives 0.0% WAL (Cover pool) 2.1y Current OC (EURm) 290.4 WAL (Covered bonds) 2.3y Current OC 14.8% Largest FX-position (NPV in EURm) USD (1,974.5) Number of loans 228 Share of largest exposure tranche 83.6% (> EUR 5m) Number of borrowers 124 Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) 15,174,194 LCR level / haircut (Benchmarks) - Risk weight (Benchmarks) -
Past development Maturity structure
2.5 1,600 0.8
1,400 0.7 2.0 1,200 0.6
1,000 0.5 1.5
800 0.4
in % in in EURbn in in EURbnin 1.0 600 0.3
0.2 400 0.5 0.1 200
0.0 0.0 0 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Cover pool Covered bonds Cover pool Covered bonds OC (rhs)
Distribution by borrower type Ships by country
16.7% 19.2%
30.8%
Marshall Islands Liberia Ships Germany Substitution assets Derivatives Panama 19.0% Singapore Others
7.7%
83.3% 8.1% 15.1%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 74 / Transparency requirements §28 PfandBG 16 March 2021
Norddeutsche Landesbank Ship Indicators of the cover pool Covered bonds outstanding (EURm) 33.1 Rating (Moody’s / Fitch / S&P / DBRS) - / - / - / - Cover pool volume (EURm) 40.0 Fixed interest (Cover pool) 69.8% of which substitution assets 100.0% Fixed interest (Covered bonds) 57.5% of which derivatives 0.0% WAL (Cover pool) n/a Current OC (EURm) 6.9 WAL (Covered bonds) n/a Current OC 20.8% Largest FX-position (NPV in EURm) n/a Number of loans n/a Share of largest exposure tranche n/a Number of borrowers n/a Loans in arrears (> 90 days) 0.00% Avg. exposure to borrowers (EUR) n/a LCR level / haircut (Benchmarks) - Risk weight (Benchmarks) -
Past development Maturity structure
0.1 180 0.025
160 0.1 0.020 140 0.1 120 0.015
0.1 100 in % in
80 EURbn in in EURbn in 0.1 0.010 60 0.0 40 0.005 0.0 20 0.000 0.0 0 < 0.5Y 0.5-1Y 1-1.5Y 1.5-2Y 2-3Y 3-4Y 4-5Y 5-10Y > 10Y Q4/18 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Cover pool Covered bonds Cover pool Covered bonds OC (rhs)
Distribution by borrower type Ships by country
Substitution assets Ships n/a Derivatives
100.0%
Source: Issuers, vdp, rating agencies, NORD/LB Markets Strategy & Floor Research 75 / Transparency requirements §28 PfandBG 16 March 2021
Appendix Contacts at NORD/LB
Markets Strategy & Floor Research
Melanie Kiene Dr. Norman Rudschuck Banks SSA/Public Issuers +49 511 361-4108 +49 511 361-6627 +49 172 169 2633 +49 152 090 24094 [email protected] [email protected]
Dr. Frederik Kunze Henning Walten Covered Bonds Covered Bonds +49 511 361-5380 +49 511 361-6379 +49 172 354 8977 +49 152 545 67178 [email protected] [email protected]
Sales Trading
Institutional Sales +49 511 9818-9440 Covereds/SSA +49 511 9818-8040 Sales Sparkassen & +49 511 9818-9400 Financials +49 511 9818-9490 Regionalbanken Sales MM/FX +49 511 9818-9460 Governments +49 511 9818-9660
Sales Europe +352 452211-515 Länder/Regionen +49 511 9818-9550
Frequent Issuers +49 511 9818-9640
Origination & Syndicate
Origination FI +49 511 9818-6600 Sales Wholesale Customers
Origination Corporates +49 511 361-2911 Firmenkunden +49 511 361-4003
Asset Finance +49 511 361-8150
Treasury Collat. Management/Repos +49 511 9818-9200 +49 511 9818-9620 Liquidity Management +49 511 9818-9650 76 / Transparency requirements §28 PfandBG 16 March 2021
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Past performance is not a reliable indicator of future performance. 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 instruments referred to herein or any instruments linked thereto. Fees and commissions apply in relation to securities (purchase, sell, custody), which reduce the return on investment. An evaluation made on the basis of the historical performance of any security does not necessarily provide an indication of its future performance.
The present information neither constitutes any investment, legal, accounting or tax advice nor any assurance that an investment or strategy is suitable or appropriate in the light of the Recipient’s individual circumstances, and nothing in this information 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 individual needs.
Moreover, the present report in whole or in part is not a sales or other prospectus. Accordingly, the information contained herein merely constitutes an over- view and does not form the basis for any potential decision to buy or sell on the part of an investor. A full description of the details relating to the financial instruments or transactions which may relate to the subject matter of this report is given 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 download at www.nordlb.de and may be obtained free of charge from NORD/LB, Georgsplatz 1, 30159 Hanover, shall be solely binding. Further- more, any potential investment decision should be made exclusively on the basis of such (financing) documentation. The present information cannot replace personal advice. Before making an investment decision, each Recipient should consult an independent investment adviser for individual investment advice with respect to the appropriateness of an investment in financial instruments or investment strategies subject to this information as well as for other and more recent information on certain investment opportunities.
Each of the financial instruments referred to herein may involve substantial risks, including capital, interest, index, currency and credit risks in addition to politi- cal, fair value, commodity and market risks. The financial instruments could experience a sudden and 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 his or her individual financial situation as well as of the suitability and risks of the investment.
77 / Transparency requirements §28 PfandBG 16 March 2021
NORD/LB and its affiliated companies may participate in transactions involving the financial instruments described in the present information or their underly- ing basis values for their own account or for the account of third parties, may issue other financial instruments with the same or similar features as those of the financial instruments presented in this information and may conduct hedging transactions to hedge positions. These measures may affect the price of the financial instruments described in the present information.
If the financial instruments presented in this information are derivatives, they may, depending on their structure, have an initial negative market value from the customer's perspective at the time the transaction is concluded. NORD/LB further reserves the right to transfer its economic risk from a derivative concluded with it to a third party on the market by means of a mirror-image counter transaction.
More detailed information on any commission payments which may be included in the selling price can be found in the “Customer Information on Securities Business" brochure, which is available to download at www.nordlb.de.
The information contained in the present report replaces all previous versions of corresponding information and refers exclusively to the time of preparation of the information. Future versions of this information will replace this version. NORD/LB is under no obligation to update and/or regularly review the data con- tained in such information. No guarantee can therefore be given that the information is up-to-date and continues to be correct.
By making use of this information, the Recipient shall accept the terms and conditions outlined above. NORD/LB is a member of the protection scheme of Deutsche Sparkassen-Finanzgruppe. Further information for the Recipient is indicated in clause 28 of the General Terms and Conditions of NORD/LB or at www.dsgv.de/sicherungssystem.
Additional information for Recipients in Australia: NORD/LB IS NOT A BANK OR DEPOSIT TAKING INSTITUTION AUTHORISED UNDER THE 1959 BANKING ACT OF AUSTRALIA. IT IS NOT SUPERVISED BY THE AUS- TRALIAN PRUDENTIAL REGULATION AUTHORITY. NORD/LB does not provide personal advice with this information and does not take into account the objectives, financial situation or needs of the Recipient (other than for the purpose of combating money laundering).
Additional information for Recipients in Austria: None of the information contained herein 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 herein may not be on offer in Austria and therefore not available to investors in Austria. Therefore, NORD/LB may not be able to sell or issue these products, nor shall it accept any request to sell or issue 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 Canada: This report has been prepared solely for information purposes in connection with the products it describes and should not, under any circumstances, be con- strued as a public offer or any other offer (direct or indirect) to buy or sell securities in any province or territory of Canada. No financial market authority or similar regulatory body in Canada has made any assessment of these securities or reviewed this information and any statement to the contrary constitutes an offence. Potential selling restrictions may be included in the prospectus or other documentation relating to the relevant product.
Additional information for Recipients in Cyprus: This information constitutes an analysis within the meaning of the section on definitions of the Cyprus Directive D1444-2007-01 (No. 426/07). Furthermore, this information is provided for information and promotional purposes only and does not constitute an individual invitation or offer to sell, buy or subscribe to any investment product.
Additional information for Recipients in the Czech Republic: There is no guarantee that the invested amount will be recouped. Past returns are no guarantee of future results. The value of the investments may rise or fall. The information contained herein is provided on a non-binding basis only and the author does not guarantee the accuracy of the content.
Additional information for Recipients in Denmark This Information 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 Information 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 there- to, 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 regulated market in reli- ance 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 Estonia It is advisable to closely examine all the terms and conditions of the services provided by NORD/LB. If necessary, Recipients of this information should consult an expert. 78 / Transparency requirements §28 PfandBG 16 March 2021
Additional information for Recipients in Finland The financial products described herein 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, such shares may not be offered or sold, directly or indirectly, to the public in the Republic of Finland 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 of recouping the amount invested. Past performance is no guarantee of future results.
Additional information for Recipients in France NORD/LB is partially regulated by the “Autorité des Marchés Financiers” for the conduct of French business. Details concerning the extent of our regulation by the respective authorities are available from us on request. The present information does not constitute an analysis 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, but does represent a marketing communication and does qualify as a recommendation pursuant to Directive 2003/6/EC and Directive 2003/125/EC.
Additional information for Recipients in Greece The information contained herein gives the view of the author at the time of publication and may not be used by its Recipient without first having 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. Investment funds have no guaranteed performance and past returns do not guarantee future performance.
Additional information for Recipients in Indonesia This report contains generic information and has not been tailored to the circumstances of any individual or specific Recipient. This information is part of NORD/LB’s marketing material.
Additional information for Recipients in the Republic of Ireland This information has not been prepared in accordance with Directive (EU) 2017/1129 (as amended) on prospectuses (the “Prospectus 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 such measures and therefore may not contain all the information required for a document prepared in accordance with the Prospectus Directive or the laws.
Additional information for Recipients in Japan: This information is provided to you for information purposes only and does not constitute an offer or solicitation of an offer to enter into securities transactions or commodity futures transactions. Although the actual data and information contained herein has been obtained from sources which we believe to be reliable and trustworthy, we are unable to vouch for the accuracy and completeness of this actual data and information.
Additional information for Recipients in South Korea This information has been provided to you free of charge for information purposes only. The information contained herein is factual and does not reflect any opinion or judgement of NORD/LB. The information contained herein should not be construed as an offer, marketing, solicitation to submit an offer or invest- ment advice with respect to the financial investment products described herein.
Additional information for Recipients in Luxembourg Under no circumstances shall the present information constitute an offer to purchase or issue or the solicitation to submit an offer to buy or subscribe for financial instruments and financial services in Luxembourg.
Additional information for Recipients in New Zealand: NORD/LB is not a bank registered in New Zealand. This information is for general information only. It does not take into account the Recipient's financial situa- tion or objectives and is not a personalised financial advisory service under the 2008 Financial Advisers Act.
Additional information for Recipients in the Netherlands: The value of your investment may fluctuate. Past performance is no guarantee for the future.
Additional information for Recipients in Poland This information does not constitute a recommendation within the meaning of the Regulation of the Polish Minister of Finance Regarding Information Consti- tuting Recommendations Concerning Financial Instruments or Issuers thereof dated 19 October 2005.
Additional information for Recipients in Portugal This information is intended only for institutional clients and may not be (i) used by, (ii) copied by any means or (iii) distributed to any other kind of investor, in particular not to retail clients. The present information does not constitute or form part of an offer to buy or sell any of the securities covered by the report, nor should it be understood as a request to buy or sell securities where that practice may be deemed unlawful. The information contained herein is based on in- formation obtained from sources which we believe to be reliable, but is not guaranteed as to accuracy or completeness. Unless otherwise stated, all views contained herein relate solely to our research and analysis and are subject to change without notice.
Additional information for Recipients in Sweden This information does not constitute (or form part of) a prospectus, offering memorandum, any other offer or solicitation 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. The present information has not been approved by any regulatory authority. Any offer of securities will only be made pursuant to an applicable prospectus exemption under the EC Prospectus Directive (Directive (EU) 2017/1129), and no offer of securities is being directed to any person or investor in any jurisdiction where such action is wholly or partially subject to legal restrictions or where such action would require additional prospectuses, other offer documentation, registrations or other actions. 79 / Transparency requirements §28 PfandBG 16 March 2021
Additional information for Recipients in Switzerland This information has not been approved by the Federal Banking Commission (merged into the Swiss Financial Market Supervisory Authority (FINMA) on 1 Janu- ary 2009). NORD/LB will comply with the Directives of the Swiss Bankers Association on the Independence of Financial Research (as amended). The present information does not constitute an issuing prospectus pursuant to article 652a or article 1156 of the Swiss Code of Obligations. The information is published solely for the purpose of information on the products mentioned herein. The products do not qualify as units of a collective investment scheme pursuant to the Federal Act on Collective Investment Schemes (CISA) and are therefore not subject to supervision by FINMA.
Additional information for Recipients in Singapore: This information is directed only at accredited investors or institutional investors under the Securities and Futures Act in Singapore. This information is intended for general distribution only. It does not constitute investment advice and does not take into account the specific investment objectives, financial situation or particular needs of the Recipient. It is recommended that advice be obtained from a financial adviser regarding the suitability of the investment product in light of the specific investment objectives, financial situation and special needs of the Recipient before agreeing to purchase the investment product.
Additional information for Recipients in the Republic of China (Taiwan) This information is provided for general information only and does not take into account the individual interests or requirements, financial status and invest- ment objectives of any specific investor. Nothing herein should be construed as a recommendation or advice for you to subscribe to a particular investment product. You should not rely solely on the information provided herein when making your investment decisions. When considering any investment, you should endeavour to make your own independent assessment and determination on whether the investment is suitable for your needs and seek your own professional financial and legal advice. NORD/LB has taken all reasonable care in producing this report and trusts that the information is reliable and suitable for your situation at the date of publica- tion or delivery. However, no guarantee of accuracy or completeness is given. To the extent that NORD/LB has exercised the due care of a good administrator, we accept no responsibility for any errors, omissions, or misstatements in the information given. NORD/LB does not guarantee any investment results and does not guarantee that the strategies employed will improve investment performance or achieve your investment objectives.
Information for Recipients in the United Kingdom: NORD/LB is subject to partial regulation by the Financial Conduct Authority (FCA) and the Prudential Regulation Authority (PRA). Details of the scope of regula- tion by the FCA and the PRA are available from NORD/LB on request. The present information is "financial promotion". Recipients in the United Kingdom should contact the London office of NORD/LB, Investment Banking Department, telephone: 0044 / 2079725400, in the event of any queries. An investment in financial instruments referred to herein may expose the investor to a significant risk of losing all the capital invested.
Time of going to press and last update of all market data: Tuesday, 16 March 2021 (15:23h)
Distribution: 16.03.2021 15:31