1 / Covered Bond & SSA View 18. Mai 2021
Transparency requirements §28 PfandBG Q1/2021
Markets Strategy & Floor Research
18 May 2021 Marketing communication (see disclaimer on the last pages) 2 / Transparency requirements §28 PfandBG
Agenda Authors: Dr. Frederik Kunze // Henning Walten, CIIA
Market Overview 3 Cover Pool Data Aareal Bank 8 ALTE LEIPZIGER Bauspar 10 Bausparkasse Mainz 11 Bausparkasse Schwäbisch Hall 12 BayernLB 13 Berlin Hyp 15 Commerzbank 17 DekaBank 20 Deutsche Apotheker- und Ärztebank 22 Deutsche Bank 23 Deutsche Hypothekenbank 25 Deutsche Kreditbank 27 Deutsche Pfandbriefbank 29 DSK Hyp 31 DZ HYP 33 Hamburg Commercial Bank 35 Hamburger Sparkasse 38 ING-DiBa 39 Kreissparkasse Köln 40 Landesbank Baden-Württemberg 42 Landesbank Berlin 44 Landesbank Hessen-Thüringen 46 LIGA Bank 44 Münchener Hypothekenbank 49 M.M.Warburg & CO Hypothekenbank 51 NATIXIS Pfandbriefbank 53 Norddeutsche Landesbank 54 Norddeutsche Landesbank 54 PSD Bank Rhein-Ruhr 58 SaarLB 59 Santander Consumer Bank 61 Sparkasse Hannover 62 Sparkasse KölnBonn 64 Stadtsparkasse Düsseldorf 66 UniCredit Bank 68 Wüstenrot Bausparkasse 70 Contacts at NORD/LB 71 3 / Transparency requirements §28 PfandBG
Market Overview
Market development: mortgage covered bonds
350,000 40%
300,000 35%
30% 250,000 25% 200,000
20% OC in% inEURm 150,000 15% 100,000 10%
50,000 5%
291,845 228,659 296,113 227,335 313,585 237,061 319,670 243,875 286,993 224,983 293,574 225,784 303,632 239,736 308,863 242,840 314,424 233,090 0 0% Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021
Cover pool Covered bonds OC (rhs)
Market development: public sector covered bonds
180,000 40%
160,000 35%
140,000 30% 120,000 25% 100,000 20%
80,000
OC in% inEURm 15% 60,000 10% 40,000
20,000 5%
167,558 126,932 164,273 120,171 156,727 126,522 153,048 127,769 169,615 131,052 166,228 125,843 161,998 125,715 161,326 129,681 155,493 121,748 0 0% Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021
Cover pool Covered bonds OC (rhs)
Source: vdp, NORD/LB Markets Strategy & Floor Research 4 / Transparency requirements §28 PfandBG
Market development: ship covered bonds
4,000 200%
180% 3,500 160% 3,000 140% 2,500 120%
2,000 100% OC in% inEURm 80% 1,500 60% 1,000 40% 500
20%
2,183
2,570
2,212
2,634
2,529
3,231
2,574
3,360
2,449
3,233
2,724
3,529
2,674
3,593
2,019
3,187
1,129 3,234 0 0% Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021
Cover pool Covered bonds OC (rhs)
Market development: aircraft covered bonds
700 12500%
600 12000%
500 11500%
400
11000% OC in% inEURm 300
10500% 200
10000%
100
532 613 528
5 0 0 0 0 0 0 5 5 0 0 0 0 0 0 0 9500% Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021
Cover pool Covered bonds OC (rhs)
Source: vdp, NORD/LB Markets Strategy & Floor Research 5 / Transparency requirements §28 PfandBG
Market overview: mortgage covered bonds Cover pool Pfandbrief volume OC Cover type (in %) DE share (in %) Issuer in EURm in EURm in EURm in % Residential Commercial Others Primary assets Aareal Bank 12,464 10,654 1,810 17.0% 6.9% 87.0% 6.1% 15.7% ALTE LEIPZIGER Bauspar 26 10 16 159.1% 92.3% 0.0% 7.7% 100.0% Bausparkasse Mainz 83 66 17 25.5% 95.2% 0.0% 4.8% 100.0% Bausparkasse Schwäbisch Hall 1,046 506 540 106.8% 92.4% 0.3% 7.3% 100.0% BayernLB 10,575 5,815 4,761 81.9% 14.0% 82.6% 3.4% 60.4% Berlin Hyp 16,589 16,155 435 2.7% 30.3% 62.6% 7.1% 67.8% Commerzbank 34,540 21,498 13,042 60.7% 94.7% 2.4% 2.9% 100.0% DekaBank 1,038 195 843 432.2% 0.0% 97.6% 2.4% 34.5% apoBank 8,705 7,855 850 10.8% 76.4% 17.7% 5.9% 100.0% Deutsche Bank 15,337 10,837 4,500 41.5% 89.4% 7.6% 2.9% 100.0% Deutsche Hypo 8,747 8,289 457 5.5% 20.0% 75.7% 4.2% 49.2% DKB 7,173 5,209 1,964 37.7% 92.2% 2.1% 5.7% 100.0% Deutsche Pfandbriefbank 17,861 15,639 2,222 14.2% 18.5% 78.3% 3.1% 44.5% DSK Hyp 676 148 528 358.1% 41.0% 56.0% 3.0% 80.0% DZ HYP 38,126 32,815 5,311 16.2% 56.4% 41.2% 2.5% 96.5% Hamburg Commercial Bank 4,300 3,880 420 10.8% 17.2% 78.2% 4.5% 94.5% Hamburger Sparkasse 8,128 6,558 1,570 23.9% 64.5% 29.3% 6.2% 100.0% ING-DiBa 7,293 3,685 3,608 97.9% 100.0% 0.0% 0.0% 100.0% Kreissparkasse Köln 5,574 1,548 4,025 260.0% 81.1% 13.5% 5.5% 100.0% LBBW 15,389 12,716 2,673 21.0% 37.4% 55.2% 7.4% 77.3% Landesbank Berlin 5,542 3,710 1,832 49.4% 63.0% 32.3% 4.7% 100.0% Helaba 16,109 10,025 6,085 60.7% 26.7% 71.8% 1.6% 51.0% M.M.Warburg & CO Hypothekenbank 1,228 1,129 99 8.8% 19.6% 75.3% 5.1% 91.9% Münchener Hypothekenbank 30,629 29,576 1,053 3.6% 80.0% 17.7% 2.3% 79.8% Natixis Pfandbriefbank 1,491 1,210 281 23.2% 5.8% 83.0% 11.2% 36.8% NORD/LB 4,883 1,989 2,895 145.6% 69.4% 29.1% 1.4% 98.4% PSD Bank Nürnberg 934 578 356 61.6% 97.5% 0.0% 2.5% 100.0% PSD Bank Rhein-Ruhr 508 349 159 45.6% 97.0% 0.0% 3.0% 100.0% SaarLB 768 502 266 52.9% 1.7% 92.7% 5.7% 77.7% Santander Consumer Bank 1,180 1,000 180 18.0% 95.8% 0.0% 4.2% 100.0% Sparkasse Hannover 1,901 1,358 543 40.0% 78.0% 17.9% 4.1% 100.0% Sparkasse KölnBonn 6,490 2,076 4,414 212.6% 75.0% 21.0% 4.0% 100.0% Stadtsparkasse Düsseldorf 2,127 1,066 1,061 99.5% 68.6% 26.7% 4.7% 100.0% UniCredit Bank 29,536 23,004 6,532 28.4% 68.4% 29.1% 2.5% 100.0% Wüstenrot Bausparkasse 2,675 2,227 448 20.1% 89.3% 1.3% 9.3% 100.0% Source: vdp, NORD/LB Markets Strategy & Floor Research 6 / Transparency requirements §28 PfandBG
Market overview: public sector covered bonds Cover pool Pfandbrief volume OC Cover type (in %) DE share (in %) Issuer Central Regional Local Other in EURm in EURm in EURm in % Others Primary assets government authorities authorities debtors Aareal Bank 1,628 1,508 120 8.0% 18.4% 60.0% 19.5% 1.1% 0.9% 77.4% BayernLB 22,790 19,185 3,605 18.8% 8.4% 38.9% 43.9% 6.9% 1.8% 93.3% Berlin Hyp 274 260 14 5.4% 18.2% 78.7% 0.1% 0.0% 2.9% 81.2% Commerzbank 13,137 12,193 945 7.7% 22.9% 32.4% 39.3% 4.8% 0.6% 61.6% DekaBank 4,093 3,217 876 27.2% 16.0% 13.6% 55.3% 15.1% 0.0% 83.0% Deutsche Bank 149 90 59 65.6% 12.8% 63.8% 0.0% 23.5% 0.0% 100.0% Deutsche Hypo 3,131 2,711 419 15.5% 16.1% 55.7% 1.0% 27.1% 0.0% 58.7% DKB 8,680 6,583 2,097 31.9% 0.2% 10.3% 87.2% 2.3% 0.0% 100.0% Deutsche Pfandbriefbank 12,018 10,066 1,952 19.4% 40.4% 35.5% 9.8% 14.2% 0.0% 27.2% DSK Hyp 182 58 125 217.2% 13.7% 83.0% 3.0% 0.3% 0.0% 100.0% DZ HYP 15,016 12,749 2,267 17.8% 9.7% 22.6% 63.6% 4.1% 0.0% 80.1% Hamburg Commercial Bank 1,108 990 118 12.0% 29.8% 54.1% 11.6% 4.6% 0.0% 68.4% Kreissparkasse Köln 324 223 101 45.1% 15.7% 0.0% 62.6% 21.6% 0.0% 90.4% LBBW 11,976 10,462 1,514 14.5% 14.1% 20.5% 33.6% 31.8% 0.0% 93.5% Landesbank Berlin 642 260 382 147.0% 0.0% 13.2% 0.0% 86.8% 0.0% 100.0% Helaba 32,289 29,447 2,841 9.6% 3.9% 36.6% 45.2% 14.2% 0.1% 92.0% LIGA Bank 153 65 88 134.9% 0.0% 3.3% 93.5% 3.3% 0.0% 100.0% M.M.Warburg & CO Hypothekenbank 14 6 8 125.8% 0.0% 89.3% 10.7% 0.0% 0.0% 100.0% Münchener Hypothekenbank 1,701 1,644 57 3.5% 7.1% 76.1% 8.0% 8.9% 0.0% 90.9% NORD/LB 13,482 9,717 3,765 38.7% 6.1% 21.2% 44.7% 23.3% 4.8% 94.1% SaarLB 3,410 2,314 1,096 47.4% 1.6% 7.4% 87.0% 4.0% 0.0% 67.0% Sparkasse Hannover 921 738 183 24.8% 0.0% 2.7% 89.5% 7.8% 0.0% 100.0% Sparkasse KölnBonn 275 36 239 660.4% 0.0% 4.1% 83.7% 12.2% 0.0% 100.0% Stadtsparkasse Düsseldorf 225 35 190 542.0% 0.0% 0.0% 74.9% 20.7% 4.5% 100.0% UniCredit Bank 5,430 3,212 2,218 69.0% 23.7% 26.5% 49.5% 0.2% 0.0% 92.2% Source: vdp, NORD/LB Markets Strategy & Floor Research 7 / Transparency requirements §28 PfandBG
Market overview: ship covered bonds Cover pool Pfandbrief volume OC Issuer in EURm in EURm in EURm in % Commerzbank 223 184 39 21.2% Hamburg Commercial Bank 2,307 1,968 339 17.2% NORD/LB 40 31 10 31.1% Source: vdp, NORD/LB Markets Strategy & Floor Research 8 / Transparency requirements §28 PfandBG
Aareal Bank Mortgage Cover pool data Cover pool (EURm) 12,464.3 Number of loans 4,353 of which residential 6.9% Number of borrowers 4,312 of which commercial 87.0% Number of properties 5,271 of which substitution assets 5.6% Avg. exposure to borrowers (EUR) 2,714,239 of which derivatives 0.5% Share of 10 largest borrowers 12.0% Covered bonds (EURm) 10,654.0 Share of owner-occupied dwellings 1.0% OC (EURm) 1,810.3 Share of multi-familiy houses 5.6% OC 17.0% EUR share (Cover pool) 85.2% Fixed interest (Cover pool) 54.6% EUR share (Covered bonds) 85.6% Fixed interest (Covered bonds) 76.8% Largest FX position (NPV in EURm) GBP (485.4) WAL (Cover pool) 3.1y Share of largest exposure tranche 93.9% (> EUR 10m) WAL (Covered Bonds) 3.5y Avg. seasoning 4.7y Avg. LTV (Original value) 55.3% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) 33.4% Development of cover pool data Maturity structure 14,000 18 3,000
16 12,000 2,500 14 10,000 12 2,000
8,000 10 1,500
8 in% inEURm 6,000 inEURm
6 1,000 4,000 4 2,000 500 2
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
7.6% 5.6% 24.1% 30.8% 27.7% 9.6%
6.3% 23.2% 15.7%
23.2% 11.1%
15.0% Office buildings Retail buildings Other buildings Industrial buildings Substitution assets Others USA Germany UK France Spain Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 9 / Transparency requirements §28 PfandBG
Aareal Bank Public sector Cover pool data Cover pool (EURm) 1,627.8 Number of loans 185 of which substitution assets 0.9% Number of borrowers 105 of which derivatives 0.0% Share of 10 largest borrowers 77.8% Covered bonds (EURm) 1,507.9 Avg. exposure to borrowers (EUR) 15,360,000 OC (EURm) 119.9 EUR share (Cover pool) 100.0% OC 8.0% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 90.6% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 84.7% Share of largest exposure tranche 60.7% (> EUR 100m) WAL (Cover pool) 8.3y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 5.7y Development of cover pool data Maturity structure 3,000 18 800
16 700 2,500 14 600 2,000 12 500 10 1,500 400
8 in%
inEURm inEURm 300 1,000 6 200 4 500 2 100
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims 1.2% 1.1% 1.2% 0.3% 2.8% 18.6% 17.1%
19.7% 60.5%
77.4%
Regional authorities Local authorities Central government Other public debtors Germany Austria EU institutions Spain Japan Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 10 / Transparency requirements §28 PfandBG
ALTE LEIPZIGER Bauspar Mortgage Cover pool data Cover pool (EURm) 25.9 Number of loans n/a of which residential 92.3% Number of borrowers n/a of which commercial 0.0% Number of properties n/a of which substitution assets 7.7% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 10.0 Share of owner-occupied dwellings n/a OC (EURm) 15.9 Share of multi-familiy houses n/a OC 159.1% EUR share (Cover pool) n/a Fixed interest (Cover pool) 100.0% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 95.8% (< EUR 0.3m) WAL (Covered Bonds) n/a Avg. seasoning 1.4y Avg. LTV (Original value) 56.9% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 30 180 20
160 18 25 140 16 14 20 120 12 100 15 10
80 in% inEURm inEURm 8 10 60 6
40 4 5 20 2
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
7.7%
15.9%
76.3%
100.0%
Single-family houses Apartments Substitution assets Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 11 / Transparency requirements §28 PfandBG
Bausparkasse Mainz Mortgage Cover pool data Cover pool (EURm) 82.8 Number of loans n/a of which residential 95.2% Number of borrowers n/a of which commercial 0.0% Number of properties n/a of which substitution assets 4.8% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 66.0 Share of owner-occupied dwellings n/a OC (EURm) 16.8 Share of multi-familiy houses n/a OC 25.5% EUR share (Cover pool) n/a Fixed interest (Cover pool) 100.0% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 98.0% (< EUR 0.3m) WAL (Covered Bonds) n/a Avg. seasoning 1.4y Avg. LTV (Original value) 55.5% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 90 350 70
80 300 60 70 250 50 60
50 200 40
40 in% inEURm inEURm 150 30
30 100 20 20 50 10 10
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
4.8%
18.4%
76.8%
100.0%
Single-family houses Apartments Substitution assets Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 12 / Transparency requirements §28 PfandBG
Bausparkasse Schwäbisch Hall Mortgage Cover pool data Cover pool (EURm) 1,046.3 Number of loans 7,534 of which residential 92.4% Number of borrowers 11,832 of which commercial 0.3% Number of properties 6,813 of which substitution assets 7.3% Avg. exposure to borrowers (EUR) 82,008 of which derivatives 0.0% Share of 10 largest borrowers 0.7% Covered bonds (EURm) 506.0 Share of owner-occupied dwellings 83.2% OC (EURm) 540.3 Share of multi-familiy houses 2.7% OC 106.8% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 100.0% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) 10.6y Share of largest exposure tranche 90.9% (< EUR 0.3m) WAL (Covered Bonds) 9.5y Avg. seasoning 1.5y Avg. LTV (Original value) 51.4% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 1,200 10,000 600
9,000 1,000 500 8,000
7,000 800 400 6,000
600 5,000 300
in% inEURm inEURm 4,000 400 200 3,000
2,000 200 100 1,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
2.7% 0.3% 0.0% 7.3%
16.6%
73.2%
100.0% Single-family houses Apartments Substitution assets Multi-family houses Other buildings Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 13 / Transparency requirements §28 PfandBG
BayernLB Mortgage Cover pool data Cover pool (EURm) 10,575.4 Number of loans 641 of which residential 14.0% Number of borrowers 463 of which commercial 82.6% Number of properties 1,105 of which substitution assets 3.4% Avg. exposure to borrowers (EUR) 22,065,585 of which derivatives 0.0% Share of 10 largest borrowers 12.8% Covered bonds (EURm) 5,814.7 Share of owner-occupied dwellings 0.1% OC (EURm) 4,760.7 Share of multi-familiy houses 13.7% OC 81.9% EUR share (Cover pool) 91.5% Fixed interest (Cover pool) 70.8% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 51.8% Largest FX position (NPV in EURm) USD (455.2) WAL (Cover pool) 4.0y Share of largest exposure tranche 85.9% (> EUR 10m) WAL (Covered Bonds) 3.0y Avg. seasoning 4.0y Avg. LTV (Original value) 57.9% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 12,000 180 3,500
160 3,000 10,000 140 2,500 8,000 120
100 2,000 6,000
80 in% inEURm inEURm 1,500
4,000 60 1,000 40 2,000 500 20
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
3.4% 2.8% 12.6%
13.7% 4.6% 37.9% 4.7%
7.6% 19.7% 60.4%
10.1%
22.6%
Office buildings Retail buildings Other buildings Multi-family houses Substitution assets Others Germany France Netherlands Italy Poland Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 14 / Transparency requirements §28 PfandBG
BayernLB Public sector Cover pool data Cover pool (EURm) 22,790.1 Number of loans 82,973 of which substitution assets 1.8% Number of borrowers 54,816 of which derivatives 0.0% Share of 10 largest borrowers 23.3% Covered bonds (EURm) 19,184.9 Avg. exposure to borrowers (EUR) 408,304 OC (EURm) 3,605.2 EUR share (Cover pool) 96.0% OC 18.8% EUR share (Covered bonds) 97.6% Fixed interest (Cover pool) 90.7% Largest FX position (NPV in EURm) GBP (405.3) Fixed interest (Covered bonds) 87.6% Share of largest exposure tranche 58.8% (> EUR 100m) WAL (Cover pool) 9.0y Loans in arrears (>90 days) 0.01% WAL (Covered Bonds) 5.0y Development of cover pool data Maturity structure 25,000 35 8,000
30 7,000 20,000 6,000 25 5,000 15,000 20
4,000
in% inEURm 15 inEURm 10,000 3,000 10 2,000 5,000 5 1,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims 0.5% 0.5% 7.0% 1.1% 1.5% 3.2% 8.6%
44.7%
39.7%
93.3%
Local authorities Regional authorities Central government Other public debtors Germany UK France Switzerland USA Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 15 / Transparency requirements §28 PfandBG
Berlin Hyp Mortgage Cover pool data Cover pool (EURm) 16,589.2 Number of loans 1,630 of which residential 30.3% Number of borrowers 1,542 of which commercial 62.6% Number of properties 5,176 of which substitution assets 7.1% Avg. exposure to borrowers (EUR) 9,994,297 of which derivatives 0.0% Share of 10 largest borrowers 19.3% Covered bonds (EURm) 16,154.7 Share of owner-occupied dwellings 0.0% OC (EURm) 434.5 Share of multi-familiy houses 29.6% OC 2.7% EUR share (Cover pool) 99.1% Fixed interest (Cover pool) 75.1% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 82.0% Largest FX position (NPV in EURm) GBP (103.9) WAL (Cover pool) 4.9y Share of largest exposure tranche 83.5% (> EUR 10m) WAL (Covered Bonds) 5.0y Avg. seasoning 3.8y Avg. LTV (Original value) 56.5% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 18,000 7 8,000
16,000 6 7,000 14,000 6,000 5 12,000 5,000 10,000 4 4,000
8,000 in% inEURm inEURm 3 3,000 6,000 2 2,000 4,000 1 2,000 1,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties 1.5% 2.7% 1.7% 7.1% 5.4%
8.9% 8.9% 33.9%
14.7% 17.8%
67.8%
29.6%
Office buildings Multi-family houses Retail buildings Other buildings Substitution assets Others Germany Netherlands France Poland Czech Republic Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 16 / Transparency requirements §28 PfandBG
Berlin Hyp Public sector Cover pool data Cover pool (EURm) 274.0 Number of loans 54 of which substitution assets 2.9% Number of borrowers 61 of which derivatives 0.0% Share of 10 largest borrowers 96.0% Covered bonds (EURm) 260.0 Avg. exposure to borrowers (EUR) 4,360,656 OC (EURm) 14.0 EUR share (Cover pool) 100.0% OC 5.4% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 100.0% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 99.2% (EUR 10-100m) WAL (Cover pool) 11.7y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 5.7y Development of cover pool data Maturity structure 1,400 7 160
1,200 6 140
120 1,000 5 100 800 4
80
in% inEURm inEURm 600 3 60 400 2 40
200 1 20
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
0.1% 18.8% 18.8%
81.1% 81.2%
Regional authorities Central government Local authorities Germany Austria
Source: vdp, NORD/LB Markets Strategy & Floor Research 17 / Transparency requirements §28 PfandBG
Commerzbank Mortgage Cover pool data Cover pool (EURm) 34,539.9 Number of loans 267,683 of which residential 94.7% Number of borrowers 213,330 of which commercial 2.4% Number of properties 239,191 of which substitution assets 2.9% Avg. exposure to borrowers (EUR) 157,210 of which derivatives 0.0% Share of 10 largest borrowers 1.6% Covered bonds (EURm) 21,498.2 Share of owner-occupied dwellings 16.2% OC (EURm) 13,041.7 Share of multi-familiy houses 10.9% OC 60.7% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 98.5% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 81.4% Largest FX position (NPV in EURm) - WAL (Cover pool) 5.7y Share of largest exposure tranche 76.4% (< EUR 0.3m) WAL (Covered Bonds) 4.8y Avg. seasoning 4.8y Avg. LTV (Original value) 52.6% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 40,000 80 18,000
35,000 70 16,000
14,000 30,000 60 12,000 25,000 50 10,000 20,000 40
in% 8,000
inEURm inEURm 15,000 30 6,000 10,000 20 4,000
5,000 10 2,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties 1.5% 0.9% 2.9% 10.9%
57.2% 26.6%
100.0% Single-family houses Apartments Multi-family houses Substitution assets Office buildings Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 18 / Transparency requirements §28 PfandBG
Commerzbank Public sector Cover pool data Cover pool (EURm) 13,137.3 Number of loans 953 of which substitution assets 0.6% Number of borrowers 504 of which derivatives 0.0% Share of 10 largest borrowers 31.4% Covered bonds (EURm) 12,192.6 Avg. exposure to borrowers (EUR) 25,918,577 OC (EURm) 944.7 EUR share (Cover pool) 76.1% OC 7.7% EUR share (Covered bonds) 97.9% Fixed interest (Cover pool) 74.0% Largest FX position (NPV in EURm) GBP (2,221.1) Fixed interest (Covered bonds) 40.1% Share of largest exposure tranche 62.5% (> EUR 100m) WAL (Cover pool) 11.6y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 5.1y Development of cover pool data Maturity structure 14,000 90 5,000
80 4,500 12,000 70 4,000 10,000 3,500 60 3,000 8,000 50 2,500
40 in% inEURm inEURm 6,000 2,000 30 4,000 1,500 20 1,000 2,000 10 500
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
4.8% 9.8%
3.6%
23.1% 4.9%
39.6% 6.5%
61.6% 13.7%
32.5%
Local authorities Regional authorities Central government Other public debtors Germany UK Switzerland Italy Spain Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 19 / Transparency requirements §28 PfandBG
Commerzbank Ship Cover pool data Cover pool (EURm) 223.0 Number of loans 0 of which substitution assets 100.0% Number of borrowers 0 of which derivatives 0.0% Avg. exposure to borrowers (EUR) n/a Covered bonds (EURm) 184.0 Largest FX position (NPV in EURm) - OC (EURm) 39.0 Share of largest exposure tranche n/a OC 21.2% Loans in arrears (>90 days) 0.00% Fixed interest (Cover pool) 100.0% Fixed interest (Covered bonds) 66.4% WAL (Cover pool) 8.7y WAL (Covered Bonds) 2.0y Development of cover pool data Maturity structure 450 60 140
400 120 50 350 100 300 40
250 80 30
200 in% inEURm inEURm 60
150 20 40 100 10 20 50
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of cover pool Regional distribution of primary assets
100.0%
Substitution assets
Source: vdp, NORD/LB Markets Strategy & Floor Research 20 / Transparency requirements §28 PfandBG
DekaBank Mortgage Cover pool data Cover pool (EURm) 1,037.8 Number of loans 26 of which residential 0.0% Number of borrowers 29 of which commercial 97.6% Number of properties 40 of which substitution assets 2.4% Avg. exposure to borrowers (EUR) 34,924,241 of which derivatives 0.0% Share of 10 largest borrowers 54.7% Covered bonds (EURm) 195.0 Share of owner-occupied dwellings 0.0% OC (EURm) 842.8 Share of multi-familiy houses 0.0% OC 432.2% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 77.6% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) 3.7y Share of largest exposure tranche 100.0% (> EUR 10m) WAL (Covered Bonds) 2.6y Avg. seasoning 3.2y Avg. LTV (Original value) 59.3% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 1,200 700 350
600 300 1,000
500 250 800
400 200
600
in% inEURm inEURm 300 150
400 200 100
200 100 50
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
2.4% 6.2%
11.1% 34.5%
65.5%
80.2%
Office buildings Other buildings Retail buildings Substitution assets France Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 21 / Transparency requirements §28 PfandBG
DekaBank Public sector Cover pool data Cover pool (EURm) 4,093.1 Number of loans 245 of which substitution assets 0.0% Number of borrowers 88 of which derivatives 0.0% Share of 10 largest borrowers 37.3% Covered bonds (EURm) 3,216.9 Avg. exposure to borrowers (EUR) 46,512,057 OC (EURm) 876.1 EUR share (Cover pool) 97.2% OC 27.2% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 75.4% Largest FX position (NPV in EURm) USD (122.9) Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 49.5% (> EUR 100m) WAL (Cover pool) 6.5y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 4.7y Development of cover pool data Maturity structure 5,000 60 1,600
4,500 1,400 50 4,000 1,200 3,500 40 1,000 3,000
2,500 30 800
in% inEURm inEURm 2,000 600 20 1,500 400 1,000 10 200 500
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
2.0% 3.2% 13.6% 2.5% 3.4%
5.9%
15.1%
55.3%
16.0%
83.0%
Local authorities Central government Other public debtors Regional authorities Germany UK Netherlands Latvia USA Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 22 / Transparency requirements §28 PfandBG
Deutsche Apotheker- und Ärztebank Mortgage Cover pool data Cover pool (EURm) 8,705.4 Number of loans 81,981 of which residential 76.4% Number of borrowers 46,375 of which commercial 17.7% Number of properties 60,886 of which substitution assets 5.9% Avg. exposure to borrowers (EUR) 176,721 of which derivatives 0.0% Share of 10 largest borrowers 5.2% Covered bonds (EURm) 7,855.1 Share of owner-occupied dwellings 53.0% OC (EURm) 850.3 Share of multi-familiy houses 8.5% OC 10.8% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 92.5% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 69.9% Largest FX position (NPV in EURm) - WAL (Cover pool) 5.2y Share of largest exposure tranche 73.7% (< EUR 0.3m) WAL (Covered Bonds) 6.4y Avg. seasoning 5.4y Avg. LTV (Original value) 55.0% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 10,000 30 3,500
9,000 3,000 25 8,000
7,000 2,500 20 6,000 2,000
5,000 15
in% inEURm inEURm 1,500 4,000 10 3,000 1,000 2,000 5 500 1,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
3.6% 5.9%
8.5%
44.8% 14.1%
23.0%
100.0% Single-family houses Apartments Other buildings Multi-family houses Substitution assets Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 23 / Transparency requirements §28 PfandBG
Deutsche Bank Mortgage Cover pool data Cover pool (EURm) 15,336.5 Number of loans n/a of which residential 89.4% Number of borrowers n/a of which commercial 7.6% Number of properties n/a of which substitution assets 2.9% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 10,837.0 Share of owner-occupied dwellings n/a OC (EURm) 4,499.5 Share of multi-familiy houses n/a OC 41.5% EUR share (Cover pool) n/a Fixed interest (Cover pool) 99.2% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 74.6% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 80.3% (< EUR 0.3m) WAL (Covered Bonds) n/a Avg. seasoning 5.3y Avg. LTV (Original value) 53.7% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 18,000 45 6,000
16,000 40 5,000 14,000 35
12,000 30 4,000
10,000 25 3,000
8,000 20 in%
inEURm inEURm
6,000 15 2,000
4,000 10 1,000 2,000 5
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
2.9% 3.8% 3.8%
17.1%
53.6%
18.7%
100.0% Single-family houses Multi-family houses Apartments Office buildings Substitution assets Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 24 / Transparency requirements §28 PfandBG
Deutsche Bank Public sector Cover pool data Cover pool (EURm) 149.0 Number of loans n/a of which substitution assets 0.0% Number of borrowers n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 90.0 Avg. exposure to borrowers (EUR) n/a OC (EURm) 59.0 EUR share (Cover pool) n/a OC 65.6% EUR share (Covered bonds) n/a Fixed interest (Cover pool) 100.0% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 100.0% (EUR 10-100m) WAL (Cover pool) n/a Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) n/a Development of cover pool data Maturity structure 180 70 60
160 69 50 140 68 67 120 40 66 100 65 30
80 in% inEURm inEURm 64 60 20 63
40 62 10 20 61
0 60 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
12.8%
23.5%
63.8%
100.0%
Regional authorities Other public debtors Central government Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 25 / Transparency requirements §28 PfandBG
Deutsche Hypothekenbank Mortgage Cover pool data Cover pool (EURm) 8,746.5 Number of loans 648 of which residential 20.0% Number of borrowers 561 of which commercial 75.7% Number of properties 1,747 of which substitution assets 4.3% Avg. exposure to borrowers (EUR) 14,928,342 of which derivatives 0.0% Share of 10 largest borrowers 15.9% Covered bonds (EURm) 8,289.1 Share of owner-occupied dwellings 0.0% OC (EURm) 457.4 Share of multi-familiy houses 18.6% OC 5.5% EUR share (Cover pool) 89.0% Fixed interest (Cover pool) 76.8% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 93.5% Largest FX position (NPV in EURm) GBP (770.4) WAL (Cover pool) 3.9y Share of largest exposure tranche 87.9% (> EUR 10m) WAL (Covered Bonds) 4.3y Avg. seasoning 5.4y Avg. LTV (Original value) 58.0% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 10,500 12 2,500
10,000 10 2,000 9,500 8 1,500 9,000
6
in% inEURm inEURm 8,500 1,000 4 8,000 500 2 7,500
7,000 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
6.7% 5.2% 4.5% 5.1%
6.1% 33.2% 9.3%
18.6% 10.9% 49.2%
30.9% 20.2% Retail buildings Office buildings Multi-family houses Unfinished buildings commercial Other buildings Others Germany Netherlands UK France Poland Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 26 / Transparency requirements §28 PfandBG
Deutsche Hypothekenbank Public sector Cover pool data Cover pool (EURm) 3,130.6 Number of loans 127 of which substitution assets 0.0% Number of borrowers 67 of which derivatives 0.0% Share of 10 largest borrowers 59.6% Covered bonds (EURm) 2,711.2 Avg. exposure to borrowers (EUR) 46,725,373 OC (EURm) 419.4 EUR share (Cover pool) 89.1% OC 15.5% EUR share (Covered bonds) 98.1% Fixed interest (Cover pool) 84.8% Largest FX position (NPV in EURm) GBP (130.3) Fixed interest (Covered bonds) 87.5% Share of largest exposure tranche 95.3% (EUR 10-100m) WAL (Cover pool) 6.4y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 7.6y Development of cover pool data Maturity structure 4,000 18 1,200
3,500 16 1,000 14 3,000 12 800 2,500 10 2,000 600
8 in%
inEURm inEURm 1,500 6 400 1,000 4 200 500 2
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
1.0% 11.3% 16.1% 2.7%
6.4%
6.9%
55.7% 58.7% 27.1%
14.0%
Regional authorities Other public debtors Central government Local authorities Germany Austria EU institutions Belgium USA Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 27 / Transparency requirements §28 PfandBG
Deutsche Kreditbank Mortgage Cover pool data Cover pool (EURm) 7,172.8 Number of loans n/a of which residential 92.2% Number of borrowers n/a of which commercial 2.1% Number of properties n/a of which substitution assets 5.7% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 5,208.5 Share of owner-occupied dwellings n/a OC (EURm) 1,964.3 Share of multi-familiy houses n/a OC 37.7% EUR share (Cover pool) n/a Fixed interest (Cover pool) 93.8% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 98.9% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 45.0% (EUR 1-10m) WAL (Covered Bonds) n/a Avg. seasoning 9.1y Avg. LTV (Original value) 51.2% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 8,000 80 2,500
7,000 70 2,000 6,000 60
5,000 50 1,500
4,000 40
in% inEURm inEURm 1,000 3,000 30
2,000 20 500 1,000 10
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
5.7% 1.2% 1.0% 6.9%
17.7%
67.7%
100.0% Multi-family houses Single-family houses Apartments Substitution assets Other buildings Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 28 / Transparency requirements §28 PfandBG
Deutsche Kreditbank Public sector Cover pool data Cover pool (EURm) 8,680.2 Number of loans n/a of which substitution assets 0.0% Number of borrowers n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 6,582.8 Avg. exposure to borrowers (EUR) n/a OC (EURm) 2,097.4 EUR share (Cover pool) n/a OC 31.9% EUR share (Covered bonds) n/a Fixed interest (Cover pool) 95.2% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 96.2% Share of largest exposure tranche 48.3% (EUR 10-100m) WAL (Cover pool) n/a Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) n/a Development of cover pool data Maturity structure 10,000 250 2,500
9,000
8,000 200 2,000
7,000
6,000 150 1,500
5,000
in% inEURm inEURm 4,000 100 1,000
3,000
2,000 50 500
1,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
2.3% 0.2% 10.3%
87.2% 100.0%
Local authorities Regional authorities Other public debtors Central government Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 29 / Transparency requirements §28 PfandBG
Deutsche Pfandbriefbank Mortgage Cover pool data Cover pool (EURm) 17,861.0 Number of loans 1,573 of which residential 18.5% Number of borrowers 1,974 of which commercial 78.3% Number of properties 2,563 of which substitution assets 3.1% Avg. exposure to borrowers (EUR) 8,764,944 of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 15,639.0 Share of owner-occupied dwellings 7.6% OC (EURm) 2,222.0 Share of multi-familiy houses 14.4% OC 14.2% EUR share (Cover pool) 74.2% Fixed interest (Cover pool) 53.0% EUR share (Covered bonds) 80.5% Fixed interest (Covered bonds) 89.5% Largest FX position (NPV in EURm) GBP (968.0) WAL (Cover pool) 3.7y Share of largest exposure tranche 91.2% (> EUR 10m) WAL (Covered Bonds) 5.5y Avg. seasoning 4.0y Avg. LTV (Original value) 54.0% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) 32.0% Development of cover pool data Maturity structure 25,000 20 4,000
18 3,500 20,000 16 3,000 14 2,500 15,000 12
10 2,000
in% inEURm inEURm 10,000 8 1,500 6 1,000 5,000 4 500 2
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
8.8% 3.9% 16.3%
14.4% 43.4% 5.4% 44.5%
10.5%
14.6%
14.9% 11.6% Office buildings Retail buildings 11.6% Other buildings Multi-family houses Unfinished buildings commercial Others Germany USA France UK Poland Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 30 / Transparency requirements §28 PfandBG
Deutsche Pfandbriefbank Public sector Cover pool data Cover pool (EURm) 12,018.0 Number of loans 537 of which substitution assets 0.0% Number of borrowers 223 of which derivatives 0.0% Share of 10 largest borrowers 54.6% Covered bonds (EURm) 10,066.0 Avg. exposure to borrowers (EUR) 53,892,377 OC (EURm) 1,952.0 EUR share (Cover pool) 91.5% OC 19.4% EUR share (Covered bonds) 99.3% Fixed interest (Cover pool) 70.0% Largest FX position (NPV in EURm) USD (568.0) Fixed interest (Covered bonds) 78.0% Share of largest exposure tranche 66.3% (> EUR 100m) WAL (Cover pool) 9.1y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 7.7y Development of cover pool data Maturity structure 16,000 35 6,000
14,000 30 5,000 12,000 25 4,000 10,000 20
8,000 3,000
in% inEURm inEURm 15 6,000 2,000 10 4,000 1,000 2,000 5
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
9.8% 10.4%
2.7% 3.0% 14.2% 32.9%
40.4%
23.9%
35.5% 27.2%
Central government Regional authorities Other public debtors Local authorities Austria Germany France Spain Portugal Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 31 / Transparency requirements §28 PfandBG
DSK Hyp Mortgage Cover pool data Cover pool (EURm) 675.6 Number of loans 70 of which residential 41.0% Number of borrowers 23 of which commercial 56.0% Number of properties 233 of which substitution assets 3.0% Avg. exposure to borrowers (EUR) 28,505,739 of which derivatives 0.0% Share of 10 largest borrowers 90.0% Covered bonds (EURm) 147.5 Share of owner-occupied dwellings 0.0% OC (EURm) 528.1 Share of multi-familiy houses 41.0% OC 358.1% EUR share (Cover pool) 84.1% Fixed interest (Cover pool) 67.4% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 94.9% Largest FX position (NPV in EURm) SEK (108.6) WAL (Cover pool) 1.7y Share of largest exposure tranche 84.7% (> EUR 10m) WAL (Covered Bonds) 3.0y Avg. seasoning 7.6y Avg. LTV (Original value) 53.8% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 1,600 450 250
1,400 400
350 200 1,200 300 1,000 150 250 800
200 in% inEURm inEURm 100 600 150 400 100 50 200 50
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
3.0% 0.0% 3.7% 9.4% 16.4%
11.1% 41.0%
35.5% 80.0%
Multi-family houses Office buildings Retail buildings Other buildings Substitution assets Germany Sweden Finland
Source: vdp, NORD/LB Markets Strategy & Floor Research 32 / Transparency requirements §28 PfandBG
DSK Hyp Public sector Cover pool data Cover pool (EURm) 182.4 Number of loans 4 of which substitution assets 0.0% Number of borrowers 4 of which derivatives 0.0% Share of 10 largest borrowers 36.9% Covered bonds (EURm) 57.5 Avg. exposure to borrowers (EUR) 45,593,000 OC (EURm) 124.9 EUR share (Cover pool) 100.0% OC 217.2% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 72.6% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 80.2% (EUR 10-100m) WAL (Cover pool) 2.6y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 2.8y Development of cover pool data Maturity structure 800 350 120
700 300 100 600 250 80 500 200
400 60
in% inEURm inEURm 150 300 40 100 200 20 100 50
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
3.0% 0.3%
13.7%
83.0% 100.0%
Regional authorities Central government Local authorities Other public debtors Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 33 / Transparency requirements §28 PfandBG
DZ HYP Mortgage Cover pool data Cover pool (EURm) 38,126.0 Number of loans 109,720 of which residential 56.4% Number of borrowers 94,354 of which commercial 41.2% Number of properties n/a of which substitution assets 2.5% Avg. exposure to borrowers (EUR) 394,101 of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 32,815.3 Share of owner-occupied dwellings 21.5% OC (EURm) 5,310.7 Share of multi-familiy houses 34.0% OC 16.2% EUR share (Cover pool) 99.0% Fixed interest (Cover pool) 88.8% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 98.5% Largest FX position (NPV in EURm) GBP (274.6) WAL (Cover pool) 6.9y Share of largest exposure tranche 40.1% (> EUR 10m) WAL (Covered Bonds) 5.5y Avg. seasoning 4.8y Avg. LTV (Original value) 54.2% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 45,000 20 16,000
18 40,000 14,000
35,000 16 12,000 14 30,000 10,000 12 25,000 10 8,000
20,000 in% inEURm inEURm 8 6,000 15,000 6 4,000 10,000 4 2,000 5,000 2
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties 0.7% 0.7% 0.1% 8.6% 1.7% 0.1%
11.0% 34.0%
12.5%
16.8% 17.1%
96.5% Multi-family houses Single-family houses Office buildings Retail buildings Other buildings Others Germany Netherlands France UK Sweden Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 34 / Transparency requirements §28 PfandBG
DZ HYP Public sector Cover pool data Cover pool (EURm) 15,016.0 Number of loans 17,905 of which substitution assets 0.0% Number of borrowers 5,210 of which derivatives 0.0% Share of 10 largest borrowers 16.0% Covered bonds (EURm) 12,748.7 Avg. exposure to borrowers (EUR) 2,882,143 OC (EURm) 2,267.2 EUR share (Cover pool) 95.8% OC 17.8% EUR share (Covered bonds) 96.5% Fixed interest (Cover pool) 96.4% Largest FX position (NPV in EURm) USD (100.4) Fixed interest (Covered bonds) 95.4% Share of largest exposure tranche 39.5% (< EUR 10m) WAL (Cover pool) 8.4y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 7.3y Development of cover pool data Maturity structure 20,000 25 6,000
18,000 5,000 16,000 20
14,000 4,000 12,000 15
10,000 3,000
in% inEURm inEURm 8,000 10 2,000 6,000
4,000 5 1,000 2,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
4.1% 4.9% 2.6% 9.7% 2.9% 3.2%
6.3%
22.6%
63.6%
80.1%
Local authorities Regional authorities Central government Other public debtors Germany Spain Portugal Austria Canada Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 35 / Transparency requirements §28 PfandBG
Hamburg Commercial Bank Mortgage Cover pool data Cover pool (EURm) 4,300.1 Number of loans 490 of which residential 17.2% Number of borrowers 290 of which commercial 78.2% Number of properties 942 of which substitution assets 4.5% Avg. exposure to borrowers (EUR) 14,155,517 of which derivatives 0.0% Share of 10 largest borrowers 26.1% Covered bonds (EURm) 3,880.2 Share of owner-occupied dwellings 0.0% OC (EURm) 419.9 Share of multi-familiy houses 15.2% OC 10.8% EUR share (Cover pool) 99.0% Fixed interest (Cover pool) 48.9% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 76.5% Largest FX position (NPV in EURm) GBP (36.3) WAL (Cover pool) 3.4y Share of largest exposure tranche 77.0% (> EUR 10m) WAL (Covered Bonds) 1.9y Avg. seasoning 4.2y Avg. LTV (Original value) 57.1% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 6,000 40 1,800
35 1,600 5,000 1,400 30 4,000 1,200 25 1,000 3,000 20
in% 800
inEURm inEURm 15 2,000 600 10 400 1,000 5 200
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
6.6% 4.5% 0.9% 0.1% 4.5%
29.7%
15.2%
15.5%
28.6%
94.5% Office buildings Retail buildings Other buildings Multi-family houses Substitution assets Others Germany Netherlands UK Sweden
Source: vdp, NORD/LB Markets Strategy & Floor Research 36 / Transparency requirements §28 PfandBG
Hamburg Commercial Bank Public sector Cover pool data Cover pool (EURm) 1,108.0 Number of loans 81 of which substitution assets 0.0% Number of borrowers 47 of which derivatives 0.0% Share of 10 largest borrowers 85.9% Covered bonds (EURm) 989.7 Avg. exposure to borrowers (EUR) 23,576,596 OC (EURm) 118.3 EUR share (Cover pool) 91.4% OC 12.0% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 93.6% Largest FX position (NPV in EURm) CHF (105.2) Fixed interest (Covered bonds) 90.9% Share of largest exposure tranche 54.2% (> EUR 100m) WAL (Cover pool) 10.8y Loans in arrears (>90 days) 0.02% WAL (Covered Bonds) 5.4y Development of cover pool data Maturity structure 3,500 20 700
18 3,000 600 16
2,500 14 500
12 2,000 400
10
in% inEURm inEURm 1,500 300 8
1,000 6 200 4 500 100 2
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
4.6% 8.6% 11.6%
23.1%
54.1%
29.8%
68.4%
Regional authorities Central government Local authorities Other public debtors Germany Belgium Switzerland
Source: vdp, NORD/LB Markets Strategy & Floor Research 37 / Transparency requirements §28 PfandBG
Hamburg Commercial Bank Ship Cover pool data Cover pool (EURm) 2,307.1 Number of loans 231 of which substitution assets 14.6% Number of borrowers 124 of which derivatives 0.0% Avg. exposure to borrowers (EUR) 15,888,710 Covered bonds (EURm) 1,968.0 Largest FX position (NPV in EURm) USD (2,074.1) OC (EURm) 339.1 Share of largest exposure tranche 84.4% (> EUR 5m) OC 17.2% Loans in arrears (>90 days) 0.00% Fixed interest (Cover pool) 3.2% Fixed interest (Covered bonds) 14.4% WAL (Cover pool) 2.0y WAL (Covered Bonds) 2.1y Development of cover pool data Maturity structure 2,500 1,600 600
1,400 500 2,000 1,200 400 1,000 1,500
800 300
in% inEURm inEURm 1,000 600 200 400 500 100 200
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of cover pool Regional distribution of primary assets
14.6% 21.7%
31.1%
18.1%
7.8%
85.4% 8.4% 13.0%
Ships Substitution assets Marshall Islands Liberia Germany Singapore Panama Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 38 / Transparency requirements §28 PfandBG
Hamburger Sparkasse Mortgage Cover pool data Cover pool (EURm) 8,128.1 Number of loans n/a of which residential 64.5% Number of borrowers n/a of which commercial 29.3% Number of properties n/a of which substitution assets 6.2% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 6,558.3 Share of owner-occupied dwellings n/a OC (EURm) 1,569.8 Share of multi-familiy houses n/a OC 23.9% EUR share (Cover pool) n/a Fixed interest (Cover pool) 82.9% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 99.7% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 33.7% (EUR 1-10m) WAL (Covered Bonds) n/a Avg. seasoning 7.1y Avg. LTV (Original value) 52.1% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 9,000 50 3,500
8,000 45 3,000 7,000 40 35 2,500 6,000 30 5,000 2,000 25
4,000 in% inEURm inEURm 1,500 20 3,000 15 1,000 2,000 10 500 1,000 5
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
11.6%
8.7% 33.1%
11.0%
12.8%
22.7%
100.0% Multi-family houses Single-family houses Office buildings Other buildings Apartments Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 39 / Transparency requirements §28 PfandBG
ING-DiBa Mortgage Cover pool data Cover pool (EURm) 7,292.9 Number of loans 70,318 of which residential 100.0% Number of borrowers 69,516 of which commercial 0.0% Number of properties 70,318 of which substitution assets 3.4% Avg. exposure to borrowers (EUR) 104,909 of which derivatives 0.0% Share of 10 largest borrowers 0.2% Covered bonds (EURm) 3,685.0 Share of owner-occupied dwellings 82.9% OC (EURm) 3,607.9 Share of multi-familiy houses 0.0% OC 97.9% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 100.0% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 97.3% Largest FX position (NPV in EURm) - WAL (Cover pool) 7.2y Share of largest exposure tranche 95.2% (< EUR 0.3m) WAL (Covered Bonds) 8.2y Avg. seasoning 5.1y Avg. LTV (Original value) 47.6% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 8,000 120 3,500
7,000 3,000 100 6,000 2,500 80 5,000 2,000
4,000 60
in% inEURm inEURm 1,500 3,000 40 1,000 2,000 20 1,000 500
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
3.3%
30.2%
66.5%
100.0%
Single-family houses Apartments Substitution assets Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 40 / Transparency requirements §28 PfandBG
Kreissparkasse Köln Mortgage Cover pool data Cover pool (EURm) 5,573.8 Number of loans 43,791 of which residential 81.1% Number of borrowers 34,207 of which commercial 13.5% Number of properties 39,355 of which substitution assets 5.5% Avg. exposure to borrowers (EUR) 154,053 of which derivatives 0.0% Share of 10 largest borrowers 1.9% Covered bonds (EURm) 1,548.3 Share of owner-occupied dwellings n/a OC (EURm) 4,025.5 Share of multi-familiy houses 25.1% OC 260.0% EUR share (Cover pool) n/a Fixed interest (Cover pool) 100.0% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 98.7% Largest FX position (NPV in EURm) - WAL (Cover pool) 5.6y Share of largest exposure tranche 67.4% (< EUR 0.3m) WAL (Covered Bonds) 3.0y Avg. seasoning 5.5y Avg. LTV (Original value) 52.7% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 6,000 300 3,000
5,000 250 2,500
4,000 200 2,000
3,000 150 1,500
in%
inEURm inEURm
2,000 100 1,000
1,000 50 500
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
7.3% 5.5%
6.2%
41.6%
14.3%
25.1% 100.0% Single-family houses Multi-family houses Apartments Office buildings Other buildings Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 41 / Transparency requirements §28 PfandBG
Kreissparkasse Köln Public sector Cover pool data Cover pool (EURm) 324.3 Number of loans 153 of which substitution assets 0.0% Number of borrowers 49 of which derivatives 0.0% Share of 10 largest borrowers 70.2% Covered bonds (EURm) 223.4 Avg. exposure to borrowers (EUR) 6,617,901 OC (EURm) 100.9 EUR share (Cover pool) n/a OC 45.1% EUR share (Covered bonds) n/a Fixed interest (Cover pool) 100.0% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 58.2% (EUR 10-100m) WAL (Cover pool) 5.8y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 4.8y Development of cover pool data Maturity structure 600 100 160
90 140 500 80 120 70 400 100 60
300 50 80
in% inEURm inEURm 40 60 200 30 40 20 100 20 10
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
9.6% 15.7%
21.6%
62.6%
90.4%
Local authorities Other public debtors Central government Germany Luxemburg
Source: vdp, NORD/LB Markets Strategy & Floor Research 42 / Transparency requirements §28 PfandBG
Landesbank Baden-Württemberg Mortgage Cover pool data Cover pool (EURm) 15,388.7 Number of loans 38,552 of which residential 37.4% Number of borrowers 29,280 of which commercial 55.2% Number of properties 35,207 of which substitution assets 7.4% Avg. exposure to borrowers (EUR) 486,893 of which derivatives 0.0% Share of 10 largest borrowers 12.9% Covered bonds (EURm) 12,715.7 Share of owner-occupied dwellings 16.9% OC (EURm) 2,673.0 Share of multi-familiy houses 20.3% OC 21.0% EUR share (Cover pool) 81.7% Fixed interest (Cover pool) 77.4% EUR share (Covered bonds) 88.0% Fixed interest (Covered bonds) 66.4% Largest FX position (NPV in EURm) USD (786.9) WAL (Cover pool) 4.6y Share of largest exposure tranche 57.2% (> EUR 10m) WAL (Covered Bonds) 3.7y Avg. seasoning 5.7y Avg. LTV (Original value) 54.9% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 18,000 45 5,000
16,000 40 4,500
14,000 35 4,000 3,500 12,000 30 3,000 10,000 25 2,500
8,000 20 in% inEURm inEURm 2,000 6,000 15 1,500
4,000 10 1,000
2,000 5 500
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties 1.1% 2.1% 1.0% 19.7% 8.7% 27.1%
9.7%
10.4%
10.6% 20.3%
77.3% 12.0%
Office buildings Multi-family houses Other buildings Single-family houses Retail buildings Others Germany USA UK Netherlands Canada Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 43 / Transparency requirements §28 PfandBG
Landesbank Baden-Württemberg Public sector Cover pool data Cover pool (EURm) 11,975.6 Number of loans 7,300 of which substitution assets 0.0% Number of borrowers 2,871 of which derivatives 0.0% Share of 10 largest borrowers 27.2% Covered bonds (EURm) 10,462.0 Avg. exposure to borrowers (EUR) 4,171,216 OC (EURm) 1,513.6 EUR share (Cover pool) 99.6% OC 14.5% EUR share (Covered bonds) 99.8% Fixed interest (Cover pool) 81.8% Largest FX position (NPV in EURm) USD (30.0) Fixed interest (Covered bonds) 67.5% Share of largest exposure tranche 46.8% (> EUR 100m) WAL (Cover pool) 6.7y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 5.3y Development of cover pool data Maturity structure 14,000 80 4,500
4,000 12,000 70 3,500 60 10,000 3,000 50 8,000 2,500 40
in% 2,000 inEURm inEURm 6,000 30 1,500 4,000 20 1,000 2,000 10 500
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims 0.8% 0.7% 0.9% 2.5% 14.1% 1.7%
33.6%
20.5%
31.8% 93.5%
Local authorities Other public debtors Regional authorities Central government Germany Poland Austria Denmark Sweden Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 44 / Transparency requirements §28 PfandBG
Landesbank Berlin Mortgage Cover pool data Cover pool (EURm) 5,542.3 Number of loans 6,955 of which residential 63.0% Number of borrowers 6,236 of which commercial 32.3% Number of properties 7,258 of which substitution assets 4.7% Avg. exposure to borrowers (EUR) 847,068 of which derivatives 0.0% Share of 10 largest borrowers 24.0% Covered bonds (EURm) 3,710.0 Share of owner-occupied dwellings 2.9% OC (EURm) 1,832.3 Share of multi-familiy houses 53.2% OC 49.4% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 87.0% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 96.0% Largest FX position (NPV in EURm) - WAL (Cover pool) 8.7y Share of largest exposure tranche 60.5% (> EUR 10m) WAL (Covered Bonds) 5.3y Avg. seasoning 4.0y Avg. LTV (Original value) 55.0% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 6,000 70 2,000
1,800 60 5,000 1,600
50 1,400 4,000 1,200 40
3,000 1,000
in% inEURm inEURm 30 800 2,000 20 600 400 1,000 10 200
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
11.3%
5.0%
5.4%
5.7% 53.2%
19.4%
100.0% Multi-family houses Office buildings Retail buildings Other buildings Apartments Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 45 / Transparency requirements §28 PfandBG
Landesbank Berlin Public sector Cover pool data Cover pool (EURm) 642.1 Number of loans 23 of which substitution assets 0.0% Number of borrowers 12 of which derivatives 0.0% Share of 10 largest borrowers 99.7% Covered bonds (EURm) 260.0 Avg. exposure to borrowers (EUR) 53,508,000 OC (EURm) 382.1 EUR share (Cover pool) 100.0% OC 147.0% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 100.0% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 81.3% (> EUR 100m) WAL (Cover pool) 5.9y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 4.2y Development of cover pool data Maturity structure 900 400 450
800 350 400
700 350 300 600 300 250 500 250 200
400 in% 200
inEURm inEURm 150 300 150 100 200 100
100 50 50
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
13.2%
86.8% 100.0%
Other public debtors Regional authorities Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 46 / Transparency requirements §28 PfandBG
Landesbank Hessen-Thüringen Mortgage Cover pool data Cover pool (EURm) 16,109.3 Number of loans 7,686 of which residential 26.7% Number of borrowers 6,443 of which commercial 71.8% Number of properties 8,530 of which substitution assets 1.6% Avg. exposure to borrowers (EUR) 2,461,478 of which derivatives 0.0% Share of 10 largest borrowers 9.5% Covered bonds (EURm) 10,024.7 Share of owner-occupied dwellings 3.9% OC (EURm) 6,084.6 Share of multi-familiy houses 22.3% OC 60.7% EUR share (Cover pool) 71.4% Fixed interest (Cover pool) 61.6% EUR share (Covered bonds) 96.6% Fixed interest (Covered bonds) 84.1% Largest FX position (NPV in EURm) USD (2,824.8) WAL (Cover pool) 3.9y Share of largest exposure tranche 88.7% (> EUR 10m) WAL (Covered Bonds) 2.2y Avg. seasoning 4.3y Avg. LTV (Original value) 59.0% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 20,000 70 5,000
18,000 4,500 60 16,000 4,000
14,000 50 3,500
12,000 3,000 40
10,000 2,500
in% inEURm inEURm 30 8,000 2,000
6,000 20 1,500 4,000 1,000 10 2,000 500
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
3.6% 3.2%1.6% 10.8%
4.9%
22.3% 6.4% 43.1%
7.0% 51.0%
26.3% 20.0%
Office buildings Retail buildings Multi-family houses Single-family houses Substitution assets Others Germany USA UK Poland France Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 47 / Transparency requirements §28 PfandBG
Landesbank Hessen-Thüringen Public sector Cover pool data Cover pool (EURm) 32,288.8 Number of loans 20,473 of which substitution assets 0.1% Number of borrowers 5,085 of which derivatives 0.0% Share of 10 largest borrowers 31.5% Covered bonds (EURm) 29,447.4 Avg. exposure to borrowers (EUR) 6,342,832 OC (EURm) 2,841.4 EUR share (Cover pool) 98.5% OC 9.6% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 94.7% Largest FX position (NPV in EURm) USD (370.9) Fixed interest (Covered bonds) 82.0% Share of largest exposure tranche 62.4% (> EUR 100m) WAL (Cover pool) 7.6y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 5.6y Development of cover pool data Maturity structure 40,000 50 10,000
45 9,000 35,000 40 8,000 30,000 35 7,000 25,000 30 6,000
20,000 25 5,000
in% inEURm inEURm 20 4,000 15,000 15 3,000 10,000 10 2,000 5,000 5 1,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims 0.7% 3.9% 2.5% 1.5% 0.7% 2.6% 14.2%
45.2%
36.6%
92.0%
Local authorities Regional authorities Other public debtors Central government Germany Belgium Austria France UK Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 48 / Transparency requirements §28 PfandBG
LIGA Bank Public sector Cover pool data Cover pool (EURm) 152.7 Number of loans n/a of which substitution assets 0.0% Number of borrowers n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 65.0 Avg. exposure to borrowers (EUR) n/a OC (EURm) 87.7 EUR share (Cover pool) n/a OC 134.9% EUR share (Covered bonds) n/a Fixed interest (Cover pool) 100.0% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 73.2% (< EUR 10m) WAL (Cover pool) n/a Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) n/a Development of cover pool data Maturity structure 180 600 45
160 40 500 140 35
120 400 30
100 25 300
80 in% 20
inEURm inEURm
60 200 15
40 10 100 20 5
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
3.3% 3.3%
93.5% 100.0%
Local authorities Other public debtors Regional authorities Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 49 / Transparency requirements §28 PfandBG
Münchener Hypothekenbank Mortgage Cover pool data Cover pool (EURm) 30,629.5 Number of loans 192,834 of which residential 80.0% Number of borrowers 199,254 of which commercial 17.7% Number of properties 180,263 of which substitution assets 2.3% Avg. exposure to borrowers (EUR) 150,206 of which derivatives 0.0% Share of 10 largest borrowers 3.3% Covered bonds (EURm) 29,576.1 Share of owner-occupied dwellings 50.8% OC (EURm) 1,053.4 Share of multi-familiy houses 16.2% OC 3.6% EUR share (Cover pool) 82.7% Fixed interest (Cover pool) 96.0% EUR share (Covered bonds) 88.5% Fixed interest (Covered bonds) 86.0% Largest FX position (NPV in EURm) CHF (1,189.7) WAL (Cover pool) 8.0y Share of largest exposure tranche 60.8% (< EUR 0.3m) WAL (Covered Bonds) 8.0y Avg. seasoning 5.0y Avg. LTV (Original value) 52.0% Loans in arrears (>90 days) 0.03% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 35,000 6 14,000
30,000 12,000 5
25,000 10,000 4
20,000 8,000
3
in% inEURm inEURm 15,000 6,000
2 10,000 4,000
1 5,000 2,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties 1.5% 3.5% 1.6% 3.0% 5.0% 2.1%
11.5% 12.1%
50.1% 13.7%
16.2% 79.8%
Single-family houses Multi-family houses Apartments Office buildings Retail buildings Others Germany Switzerland USA Netherlands Spain Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 50 / Transparency requirements §28 PfandBG
Münchener Hypothekenbank Public sector Cover pool data Cover pool (EURm) 1,701.1 Number of loans 595 of which substitution assets 0.0% Number of borrowers 443 of which derivatives 0.0% Share of 10 largest borrowers 82.6% Covered bonds (EURm) 1,644.2 Avg. exposure to borrowers (EUR) 3,840,063 OC (EURm) 57.0 EUR share (Cover pool) 100.0% OC 3.5% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 91.0% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 91.0% Share of largest exposure tranche 66.4% (> EUR 100m) WAL (Cover pool) 13.0y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 8.0y Development of cover pool data Maturity structure 3,000 6 1,200
2,500 5 1,000
2,000 4 800
1,500 3 600
in%
inEURm inEURm
1,000 2 400
500 1 200
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
7.1% 9.1% 8.0%
8.9%
76.1%
90.9%
Regional authorities Other public debtors Local authorities Central government Germany Austria
Source: vdp, NORD/LB Markets Strategy & Floor Research 51 / Transparency requirements §28 PfandBG
M.M.Warburg & CO Hypothekenbank Mortgage Cover pool data Cover pool (EURm) 1,227.7 Number of loans 315 of which residential 19.6% Number of borrowers 195 of which commercial 75.3% Number of properties 347 of which substitution assets 5.1% Avg. exposure to borrowers (EUR) 5,972,564 of which derivatives 0.0% Share of 10 largest borrowers 24.5% Covered bonds (EURm) 1,128.7 Share of owner-occupied dwellings 0.1% OC (EURm) 99.0 Share of multi-familiy houses 17.2% OC 8.8% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 95.6% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 98.2% Largest FX position (NPV in EURm) - WAL (Cover pool) 4.3y Share of largest exposure tranche 55.4% (EUR 1-10m) WAL (Covered Bonds) 4.7y Avg. seasoning 5.7y Avg. LTV (Original value) 56.7% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 1,600 20 500
18 450 1,400 16 400 1,200 14 350 1,000 12 300
800 10 250
in% inEURm inEURm 8 200 600 6 150 400 4 100 200 2 50
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
4.9% 2.5% 8.1% 5.1%
17.2%
50.3%
20.0%
91.9% Office buildings Retail buildings Multi-family houses Substitution assets Other buildings Others Germany Austria
Source: vdp, NORD/LB Markets Strategy & Floor Research 52 / Transparency requirements §28 PfandBG
M.M.Warburg & CO Hypothekenbank Public sector Cover pool data Cover pool (EURm) 14.0 Number of loans 1 of which substitution assets 0.0% Number of borrowers 1 of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 6.2 Avg. exposure to borrowers (EUR) 14,000,000 OC (EURm) 7.8 EUR share (Cover pool) 100.0% OC 125.8% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 64.3% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 100.0% (< EUR 10m) WAL (Cover pool) 2.0y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 0.3y Development of cover pool data Maturity structure 18 180 14
16 160 12 14 140 10 12 120
10 100 8
8 80 in% inEURm inEURm 6
6 60 4 4 40 2 2 20
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
10.7%
89.3% 100.0%
Regional authorities Local authorities Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 53 / Transparency requirements §28 PfandBG
NATIXIS Pfandbriefbank Mortgage Cover pool data Cover pool (EURm) 1,490.6 Number of loans 69 of which residential 5.8% Number of borrowers 132 of which commercial 83.0% Number of properties 262 of which substitution assets 11.2% Avg. exposure to borrowers (EUR) 10,023,636 of which derivatives 0.0% Share of 10 largest borrowers 24.4% Covered bonds (EURm) 1,209.5 Share of owner-occupied dwellings 0.0% OC (EURm) 281.1 Share of multi-familiy houses 5.8% OC 23.2% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 41.3% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 99.2% Largest FX position (NPV in EURm) - WAL (Cover pool) 3.5y Share of largest exposure tranche 93.7% (> EUR 10m) WAL (Covered Bonds) 2.8y Avg. seasoning 3.9y Avg. LTV (Original value) 58.2% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 1,800 30 500
1,600 450 25 1,400 400 350 1,200 20 300 1,000 15 250
800 in% inEURm inEURm 200 600 10 150
400 100 5 200 50
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties 0.8% 2.2% 0.0% 1.8% 1.2% 5.8% 5.3%
11.2%
55.3% 36.8% 54.1% 25.6%
Office buildings Retail buildings Substitution assets Multi-family houses Other buildings France Germany Italy Portugal Spain Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 54 / Transparency requirements §28 PfandBG
Norddeutsche Landesbank Mortgage Cover pool data Cover pool (EURm) 4,883.3 Number of loans n/a of which residential 69.4% Number of borrowers n/a of which commercial 29.1% Number of properties n/a of which substitution assets 1.4% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 1,988.5 Share of owner-occupied dwellings n/a OC (EURm) 2,894.8 Share of multi-familiy houses n/a OC 145.6% EUR share (Cover pool) n/a Fixed interest (Cover pool) 76.7% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 87.4% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 40.1% (EUR 1-10m) WAL (Covered Bonds) n/a Avg. seasoning 7.6y Avg. LTV (Original value) 60.0% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 7,000 180 1,600
160 6,000 1,400 140 1,200 5,000 120 1,000 4,000 100 800
80 in% inEURm inEURm 3,000 600 60 2,000 400 40 1,000 20 200
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
8.0% 1.6%
6.4%
9.2%
47.2%
12.1%
17.1%
98.4% Multi-family houses Single-family houses Other buildings Office buildings Retail buildings Others Germany Luxemburg
Source: vdp, NORD/LB Markets Strategy & Floor Research 55 / Transparency requirements §28 PfandBG
Norddeutsche Landesbank Public sector Cover pool data Cover pool (EURm) 13,481.6 Number of loans 4,109 of which substitution assets 4.8% Number of borrowers 1,453 of which derivatives 0.0% Share of 10 largest borrowers 22.1% Covered bonds (EURm) 9,716.7 Avg. exposure to borrowers (EUR) 8,837,509 OC (EURm) 3,764.9 EUR share (Cover pool) 98.8% OC 38.7% EUR share (Covered bonds) 100.0% Fixed interest (Cover pool) 89.0% Largest FX position (NPV in EURm) USD (152.6) Fixed interest (Covered bonds) 96.0% Share of largest exposure tranche 40.5% (EUR 10-100m) WAL (Cover pool) 6.8y Loans in arrears (>90 days) 0.03% WAL (Covered Bonds) 6.8y Development of cover pool data Maturity structure 18,000 45 5,000
16,000 40 4,500
14,000 35 4,000 3,500 12,000 30 3,000 10,000 25 2,500
8,000 20 in% inEURm inEURm 2,000 6,000 15 1,500
4,000 10 1,000
2,000 5 500
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims 2.0% 0.6% 0.6% 6.4% 2.0% 0.8%
22.3%
46.9%
24.4% 94.1%
Local authorities Other public debtors Regional authorities Central government Germany USA France Belgium Denmark Others
Source: vdp, NORD/LB Markets Strategy & Floor Research 56 / Transparency requirements §28 PfandBG
Norddeutsche Landesbank Ship Cover pool data Cover pool (EURm) 40.0 Number of loans n/a of which substitution assets 100.0% Number of borrowers n/a of which derivatives 0.0% Avg. exposure to borrowers (EUR) n/a Covered bonds (EURm) 30.5 Largest FX position (NPV in EURm) - OC (EURm) 9.5 Share of largest exposure tranche n/a OC 31.1% Loans in arrears (>90 days) 0.00% Fixed interest (Cover pool) 67.2% Fixed interest (Covered bonds) 57.5% WAL (Cover pool) n/a WAL (Covered Bonds) n/a Development of cover pool data Maturity structure 140 180 25
160 120 140 20 100 120 15 80 100
80 in% inEURm inEURm 60 10 60 40 40 5 20 20
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of cover pool Regional distribution of primary assets
100.0%
Substitution assets
Source: vdp, NORD/LB Markets Strategy & Floor Research 57 / Transparency requirements §28 PfandBG
PSD Bank Nürnberg Mortgage Cover pool data Cover pool (EURm) 933.6 Number of loans 9,588 of which residential 97.5% Number of borrowers 7,655 of which commercial 0.0% Number of properties 8,844 of which substitution assets 2.5% Avg. exposure to borrowers (EUR) 118,953 of which derivatives 0.0% Share of 10 largest borrowers 0.5% Covered bonds (EURm) 577.6 Share of owner-occupied dwellings 84.9% OC (EURm) 356.0 Share of multi-familiy houses 0.0% OC 61.6% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 100.0% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) 7.7y Share of largest exposure tranche 99.4% (< EUR 0.3m) WAL (Covered Bonds) 12.0y Avg. seasoning 4.0y Avg. LTV (Original value) 51.9% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 1,000 70 400
900 60 350 800 300 700 50 250 600 40
500 200
in% inEURm inEURm 30 400 150 300 20 100 200 10 50 100
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
2.5%
25.7%
71.8%
100.0%
Single-family houses Apartments Substitution assets Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 58 / Transparency requirements §28 PfandBG
PSD Bank Rhein-Ruhr Mortgage Cover pool data Cover pool (EURm) 508.0 Number of loans 5,116 of which residential 97.0% Number of borrowers 4,226 of which commercial 0.0% Number of properties 4,434 of which substitution assets 3.0% Avg. exposure to borrowers (EUR) 116,655 of which derivatives 0.0% Share of 10 largest borrowers 1.3% Covered bonds (EURm) 349.0 Share of owner-occupied dwellings 88.8% OC (EURm) 159.0 Share of multi-familiy houses 5.8% OC 45.6% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 100.0% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) 7.7y Share of largest exposure tranche 92.8% (< EUR 0.3m) WAL (Covered Bonds) 9.6y Avg. seasoning 4.1y Avg. LTV (Original value) 50.8% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 600 70 250
60 500 200 50 400 150 40
300
in% inEURm inEURm 30 100 200 20 50 100 10
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
3.0% 5.8%
15.8%
75.4%
100.0%
Single-family houses Apartments Multi-family houses Substitution assets Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 59 / Transparency requirements §28 PfandBG
SaarLB Mortgage Cover pool data Cover pool (EURm) 768.2 Number of loans n/a of which residential 1.7% Number of borrowers n/a of which commercial 92.7% Number of properties n/a of which substitution assets 5.7% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 502.3 Share of owner-occupied dwellings n/a OC (EURm) 265.9 Share of multi-familiy houses n/a OC 52.9% EUR share (Cover pool) n/a Fixed interest (Cover pool) 78.6% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 57.5% (> EUR 10m) WAL (Covered Bonds) n/a Avg. seasoning 5.6y Avg. LTV (Original value) 51.4% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 900 80 250
800 70
700 200 60 600 50 150 500 40
400 in% inEURm inEURm 100 30 300 20 200 50 100 10
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
5.7% 0.9% 0.8%
22.3%
18.8%
44.6%
29.2% 77.7%
Retail buildings Other buildings Office buildings Substitution assets Apartments Others Germany France
Source: vdp, NORD/LB Markets Strategy & Floor Research 60 / Transparency requirements §28 PfandBG
SaarLB Public sector Cover pool data Cover pool (EURm) 3,410.2 Number of loans n/a of which substitution assets 0.0% Number of borrowers n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 2,314.0 Avg. exposure to borrowers (EUR) n/a OC (EURm) 1,096.2 EUR share (Cover pool) n/a OC 47.4% EUR share (Covered bonds) n/a Fixed interest (Cover pool) 75.9% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 95.8% Share of largest exposure tranche 61.2% (EUR 10-100m) WAL (Cover pool) n/a Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) n/a Development of cover pool data Maturity structure 4,000 70 1,400
3,500 60 1,200
3,000 50 1,000 2,500 40 800
2,000
in% inEURm inEURm 30 600 1,500 20 400 1,000
500 10 200
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
4.0% 1.6% 7.4%
33.0%
67.0%
87.0%
Local authorities Regional authorities Other public debtors Central government Germany France
Source: vdp, NORD/LB Markets Strategy & Floor Research 61 / Transparency requirements §28 PfandBG
Santander Consumer Bank Mortgage Cover pool data Cover pool (EURm) 1,179.6 Number of loans 19,567 of which residential 95.8% Number of borrowers 23,862 of which commercial 0.0% Number of properties 14,152 of which substitution assets 4.2% Avg. exposure to borrowers (EUR) 47,339 of which derivatives 0.0% Share of 10 largest borrowers 0.4% Covered bonds (EURm) 1,000.0 Share of owner-occupied dwellings 85.3% OC (EURm) 179.6 Share of multi-familiy houses 2.5% OC 18.0% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 100.0% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) 4.7y Share of largest exposure tranche 98.0% (< EUR 0.3m) WAL (Covered Bonds) 6.3y Avg. seasoning 7.3y Avg. LTV (Original value) 45.0% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 1,400 140 600
1,200 120 500
1,000 100 400
800 80
300
in% inEURm inEURm 600 60
200 400 40
100 200 20
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
4.2% 2.5%
21.1%
72.2%
100.0%
Single-family houses Apartments Substitution assets Multi-family houses Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 62 / Transparency requirements §28 PfandBG
Sparkasse Hannover Mortgage Cover pool data Cover pool (EURm) 1,901.0 Number of loans n/a of which residential 78.0% Number of borrowers n/a of which commercial 17.9% Number of properties n/a of which substitution assets 4.1% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 1,357.6 Share of owner-occupied dwellings n/a OC (EURm) 543.4 Share of multi-familiy houses n/a OC 40.0% EUR share (Cover pool) n/a Fixed interest (Cover pool) 89.9% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 61.8% (< EUR 0.3m) WAL (Covered Bonds) n/a Avg. seasoning 4.2y Avg. LTV (Original value) 56.4% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 2,000 140 700
1,800 120 600 1,600
1,400 100 500
1,200 80 400
1,000
in% inEURm inEURm 60 300 800
600 40 200 400 20 100 200
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
7.4% 6.7%
7.9%
44.2%
11.1%
22.8%
100.0% Single-family houses Multi-family houses Apartments Office buildings Other buildings Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 63 / Transparency requirements §28 PfandBG
Sparkasse Hannover Public sector Cover pool data Cover pool (EURm) 921.2 Number of loans n/a of which substitution assets 0.0% Number of borrowers n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 738.1 Avg. exposure to borrowers (EUR) n/a OC (EURm) 183.1 EUR share (Cover pool) n/a OC 24.8% EUR share (Covered bonds) n/a Fixed interest (Cover pool) 99.4% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 54.9% (EUR 10-100m) WAL (Cover pool) n/a Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) n/a Development of cover pool data Maturity structure 1,400 80 300
1,200 70 250 60 1,000 200 50 800
40 150
in% inEURm inEURm 600 30 100 400 20 50 200 10
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
2.7% 7.8%
89.5% 100.0%
Local authorities Other public debtors Regional authorities Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 64 / Transparency requirements §28 PfandBG
Sparkasse KölnBonn Mortgage Cover pool data Cover pool (EURm) 6,489.9 Number of loans n/a of which residential 75.0% Number of borrowers n/a of which commercial 21.0% Number of properties n/a of which substitution assets 4.0% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 2,076.3 Share of owner-occupied dwellings n/a OC (EURm) 4,413.6 Share of multi-familiy houses n/a OC 212.6% EUR share (Cover pool) n/a Fixed interest (Cover pool) 91.2% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 49.3% (< EUR 0.3m) WAL (Covered Bonds) n/a Avg. seasoning 5.6y Avg. LTV (Original value) 52.8% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 7,000 250 2,500
6,000 200 2,000 5,000
150 1,500
4,000
in% inEURm inEURm 3,000 100 1,000
2,000 50 500 1,000
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
8.9%
7.2% 32.1%
8.8%
17.0%
26.0%
100.0% Multi-family houses Single-family houses Apartments Office buildings Other buildings Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 65 / Transparency requirements §28 PfandBG
Sparkasse KölnBonn Public sector Cover pool data Cover pool (EURm) 275.3 Number of loans n/a of which substitution assets 0.0% Number of borrowers n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 36.2 Avg. exposure to borrowers (EUR) n/a OC (EURm) 239.1 EUR share (Cover pool) n/a OC 660.4% EUR share (Covered bonds) n/a Fixed interest (Cover pool) 90.3% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 82.7% (EUR 10-100m) WAL (Cover pool) n/a Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) n/a Development of cover pool data Maturity structure 400 1,000 100
900 90 350 800 80 300 700 70 250 600 60
200 500 50
in% inEURm inEURm 400 40 150 300 30 100 200 20 50 100 10
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
4.1% 12.2%
83.7% 100.0%
Local authorities Other public debtors Regional authorities Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 66 / Transparency requirements §28 PfandBG
Stadtsparkasse Düsseldorf Mortgage Cover pool data Cover pool (EURm) 2,127.2 Number of loans n/a of which residential 68.6% Number of borrowers n/a of which commercial 26.7% Number of properties n/a of which substitution assets 4.7% Avg. exposure to borrowers (EUR) n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 1,066.3 Share of owner-occupied dwellings n/a OC (EURm) 1,060.9 Share of multi-familiy houses n/a OC 99.5% EUR share (Cover pool) n/a Fixed interest (Cover pool) 93.2% EUR share (Covered bonds) n/a Fixed interest (Covered bonds) 100.0% Largest FX position (NPV in EURm) - WAL (Cover pool) n/a Share of largest exposure tranche 43.3% (< EUR 0.3m) WAL (Covered Bonds) n/a Avg. seasoning 6.2y Avg. LTV (Original value) 56.1% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 2,500 250 800
700 2,000 200 600
500 1,500 150
400
in% inEURm inEURm 1,000 100 300
200 500 50 100
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
11.5%
6.0%
36.1%
12.4%
13.9%
20.1% 100.0% Multi-family houses Single-family houses Office buildings Apartments Other buildings Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 67 / Transparency requirements §28 PfandBG
Stadtsparkasse Düsseldorf Public sector Cover pool data Cover pool (EURm) 224.7 Number of loans n/a of which substitution assets 0.0% Number of borrowers n/a of which derivatives 0.0% Share of 10 largest borrowers n/a Covered bonds (EURm) 35.0 Avg. exposure to borrowers (EUR) n/a OC (EURm) 189.7 EUR share (Cover pool) n/a OC 542.0% EUR share (Covered bonds) n/a Fixed interest (Cover pool) 100.0% Largest FX position (NPV in EURm) - Fixed interest (Covered bonds) 100.0% Share of largest exposure tranche 72.7% (EUR 10-100m) WAL (Cover pool) n/a Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) n/a Development of cover pool data Maturity structure 400 600 120
350 500 100 300 400 80 250
200 300 60
in%
inEURm inEURm 150 200 40 100 100 20 50
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims
21.6%
78.4%
100.0%
Local authorities Other public debtors Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 68 / Transparency requirements §28 PfandBG
UniCredit Bank Mortgage Cover pool data Cover pool (EURm) 29,536.4 Number of loans 148,484 of which residential 68.4% Number of borrowers 113,168 of which commercial 29.1% Number of properties 137,500 of which substitution assets 2.5% Avg. exposure to borrowers (EUR) 254,389 of which derivatives 0.0% Share of 10 largest borrowers 8.0% Covered bonds (EURm) 23,004.3 Share of owner-occupied dwellings 33.1% OC (EURm) 6,532.1 Share of multi-familiy houses 23.1% OC 28.4% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 81.4% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 96.2% Largest FX position (NPV in EURm) - WAL (Cover pool) 6.8y Share of largest exposure tranche 38.3% (< EUR 0.3m) WAL (Covered Bonds) 7.0y Avg. seasoning 7.0y Avg. LTV (Original value) 41.9% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) n/a Development of cover pool data Maturity structure 35,000 45 12,000
40 30,000 10,000 35 25,000 30 8,000
20,000 25 6,000
20 in% inEURm inEURm 15,000
15 4,000 10,000 10 2,000 5,000 5
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
7.7% 0.0%
9.0% 28.6%
15.4%
16.2% 23.1%
100.0% Single-family houses Multi-family houses Apartments Office buildings Retail buildings Others Germany France
Source: vdp, NORD/LB Markets Strategy & Floor Research 69 / Transparency requirements §28 PfandBG
UniCredit Bank Public sector Cover pool data Cover pool (EURm) 5,430.1 Number of loans 1,670 of which substitution assets 0.0% Number of borrowers 903 of which derivatives 0.0% Share of 10 largest borrowers 38.6% Covered bonds (EURm) 3,212.3 Avg. exposure to borrowers (EUR) 6,013,400 OC (EURm) 2,217.8 EUR share (Cover pool) 93.2% OC 69.0% EUR share (Covered bonds) 86.7% Fixed interest (Cover pool) 66.8% Largest FX position (NPV in EURm) USD (-61.9) Fixed interest (Covered bonds) 99.8% Share of largest exposure tranche 53.1% (> EUR 100m) WAL (Cover pool) 5.5y Loans in arrears (>90 days) 0.00% WAL (Covered Bonds) 4.6y Development of cover pool data Maturity structure 7,000 80 2,000
1,800 6,000 70 1,600 60 5,000 1,400 50 1,200 4,000
40 1,000
in% inEURm inEURm 3,000 800 30 2,000 600 20 400 1,000 10 200
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered Bonds Cover Pool
Composition of primary assets Regional distribution of claims 1.9% 0.7% 0.3% 0.2% 0.0% 4.9% 23.7%
49.5%
26.5%
92.2%
Local authorities Regional authorities Central government Other public debtors Germany France UK Austria Denmark
Source: vdp, NORD/LB Markets Strategy & Floor Research 70 / Transparency requirements §28 PfandBG
Wüstenrot Bausparkasse Mortgage Cover pool data Cover pool (EURm) 2,675.0 Number of loans 34,445 of which residential 89.3% Number of borrowers 30,845 of which commercial 1.3% Number of properties 32,663 of which substitution assets 9.3% Avg. exposure to borrowers (EUR) 78,617 of which derivatives 0.0% Share of 10 largest borrowers 2.4% Covered bonds (EURm) 2,226.6 Share of owner-occupied dwellings 69.2% OC (EURm) 448.4 Share of multi-familiy houses 14.6% OC 20.1% EUR share (Cover pool) 100.0% Fixed interest (Cover pool) 99.2% EUR share (Covered bonds) 100.0% Fixed interest (Covered bonds) 98.2% Largest FX position (NPV in EURm) - WAL (Cover pool) 4.9y Share of largest exposure tranche 85.7% (< EUR 0.3m) WAL (Covered Bonds) 5.2y Avg. seasoning 10.9y Avg. LTV (Original value) 0.0% Loans in arrears (>90 days) 0.00% Avg. LTV (Market value) 45.0% Development of cover pool data Maturity structure 3,000 50 1,200
45 2,500 1,000 40
35 2,000 800 30
1,500 25 600
in% inEURm inEURm 20 1,000 400 15
10 500 200 5
0 0 0 Q1/19 Q2/19 Q3/19 Q4/19 Q1/20 Q2/20 Q3/20 Q4/20 Q1/21 < 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) Covered bonds Cover pool
Composition of cover pool Regional distribution of properties
1.1% 0.3% 9.3%
13.9%
60.8% 14.6%
100.0% Single-family houses Multi-family houses Apartments Substitution assets Other buildings Others Germany
Source: vdp, NORD/LB Markets Strategy & Floor Research 71 / Transparency requirements §28 PfandBG
Anhang 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 72 / Transparency requirements §28 PfandBG
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73 / Transparency requirements §28 PfandBG
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Time of going to press and last update of all market data: Tuesday, 18 May 2021 (11:10h)
Distribution: 18.05.2021 12:13