1 / Covered Bond & SSA View 16. März 2021 Transparency requirements §28 PfandBG Q4/2020 Markets Strategy & Floor Research 16 March 2021 Marketing communication (see disclaimer on the last pages) 2 / Transparency requirements §28 PfandBG 16 March 2021 Agenda Authors: Dr. Frederik Kunze // Henning Walten, CIIA Market overview 4 Mortgage covered bonds 9 Aareal Bank 10 Bausparkasse Mainz 11 Bausparkasse Schwäbisch Hall 12 Bayerische Landesbank 13 Berlin Hyp 14 Commerzbank 15 DekaBank 16 Deutsche Apotheker- und Ärztebank 17 Deutsche Bank 18 Deutsche Hypothekenbank 19 Deutsche Kreditbank 20 Deutsche Pfandbriefbank 21 DSK Hyp 22 DZ HYP 23 Hamburg Commercial Bank 24 Hamburger Sparkasse 25 ING-DiBa 26 Kreissparkasse Köln 27 Landesbank Baden-Württemberg 28 Landesbank Berlin 29 Landesbank Hessen-Thüringen 30 M.M.Warburg & CO Hypothekenbank 31 Münchener Hypothekenbank 32 Natixis Pfandbriefbank 33 Norddeutsche Landesbank 34 PSD Bank Nürnberg 35 PSD Bank Rhein-Ruhr 36 SaarLB 37 Santander Consumer Bank 38 Sparkasse Hannover 39 Sparkasse KölnBonn 40 Stadtsparkasse Düsseldorf 41 UniCredit Bank 42 Wüstenrot Bausparkasse 43 3 / Transparency requirements §28 PfandBG 16 March 2021 Public sector covered bonds 44 Aareal Bank 45 Bayerische Landesbank 46 Berlin Hyp 47 Commerzbank 48 DekaBank 49 Deutsche Bank 50 Deutsche Hypothekenbank 51 Deutsche Kreditbank 52 Deutsche Pfandbriefbank 53 DSK Hyp 54 DZ HYP 55 Hamburg Commercial Bank 56 Kreissparkasse Köln 57 Landesbank Baden-Württemberg 58 Landesbank Berlin 59 Landesbank Hessen-Thüringen 60 LIGA Bank 61 M.M. Warburg & CO Hypothekenbank 62 Münchener Hypothekenbank 63 Norddeutsche Landesbank 64 SaarLB 65 Sparkasse Hannover 66 Sparkasse KölnBonn 67 Stadtsparkasse Düsseldorf 68 UniCredit Bank 69 Ship covered bonds 70 Commerzbank 71 DVB Bank 72 Hamburg Commercial Bank 73 Norddeutsche Landesbank 74 Contacts at NORD/LB 75 4 / Transparency requirements §28 PfandBG 16 March 2021 Market overview 5 / Transparency requirements §28 PfandBG 16 March 2021 Market development mortgage covered bonds Market development public sector covered bonds 350 40% 180 40% 160 300 35% 35% 140 30% 30% 250 120 25% 25% 200 100 20% 20% 80 inEURbn inEURbn 150 15% 15% 60 100 10% 10% 40 50 5% 20 5% 0 0% 0 0% Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Covered bonds Cover pool OC (rhs) Covered bonds Cover pool OC (rhs) Market development ship covered bonds Market development aircraft covered bonds 4.0 200% 1.4 14000% 180% 3.5 1.2 12000% 160% 3.0 140% 1.0 10000% 2.5 120% 0.8 8000% 2.0 100% inEURbn inEURbn 0.6 6000% 80% 1.5 60% 0.4 4000% 1.0 40% 0.5 0.2 2000% 20% 0.0 0% 0.0 0% Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Covered bonds Cover pool OC (rhs) Covered bonds Cover pool OC (rhs) Source: Issuers, vdp, NORD/LB Markets Strategy & Floor Research 6 / Transparency requirements §28 PfandBG 16 March 2021 Market overview mortgage covered bonds Amount outstanding Cover pool OC Cover type (in %) Germany share (in %) Issuer in EURm in EURm in EURm in % Residential Commercial Others* Primary assets Substitution assets Aareal Bank 10,590.6 12,390.8 1,800.2 17.0 6.8 85.9 7.3 15.9 59.9 Bausparkasse Mainz 46.0 64.8 18.8 40.9 93.8 0.0 6.2 100.0 0.0 Bausparkasse Schwäbisch Hall 506.0 746.0 240.0 47.4 92.7 0.5 6.8 100.0 100.0 Bayerische Landesbank 3,846.7 9,814.0 5,967.4 155.1 14.2 81.6 4.2 61.5 92.7 Berlin Hyp 14,838.7 15,196.2 357.5 2.4 29.9 65.3 4.8 67.8 93.3 Commerzbank 19,724.4 33,522.5 13,798.1 70.0 94.7 2.4 3.0 100.0 49.4 DekaBank 195.0 1,015.9 820.9 421.0 0.0 96.6 3.4 35.6 100.0 Deutsche Apotheker- und Ärztebank 6,710.1 8,604.4 1,894.3 28.2 75.9 18.2 5.9 100.0 90.2 Deutsche Bank 11,972.0 15,980.6 4,008.6 33.5 85.6 7.2 7.2 100.0 98.3 Deutsche Hypothekenbank 8,707.2 9,041.4 334.2 3.8 19.1 73.6 7.3 49.5 47.6 Deutsche Kreditbank 4,283.5 7,196.0 2,912.5 68.0 93.5 2.2 4.3 100.0 100.0 Deutsche Pfandbriefbank 15,124.0 17,545.0 2,421.0 16.0 18.5 78.3 3.2 44.0 77.0 DSK Hyp 152.5 752.4 599.9 393.4 37.0 60.4 2.7 81.1 100.0 DZ HYP 33,013.2 37,750.1 4,736.9 14.3 56.3 41.3 2.4 96.7 100.0 Hamburg Commercial Bank 3,883.2 4,362.8 479.6 12.4 16.1 80.3 3.6 94.7 100.0 Hamburger Sparkasse 5,618.3 8,011.2 2,392.9 42.6 66.4 29.8 3.7 100.0 100.0 ING 3,695.0 6,915.9 3,220.9 87.2 100.0 0.0 3.6 100.0 100.0 Kreissparkasse Köln 1,548.3 5,211.5 3,663.2 236.6 81.0 13.0 6.0 100.0 42.7 Landesbank Baden-Württemberg 10,552.6 14,694.3 4,141.7 39.2 38.0 56.0 6.0 78.8 62.4 Landesbank Berlin 3,475.0 5,609.4 2,134.4 61.4 63.1 32.2 4.6 100.0 94.2 Landesbank Hessen-Thüringen 10,634.3 16,254.7 5,620.4 52.9 25.1 71.2 3.7 52.3 83.5 M.M.Warburg & CO Hypothekenbank 1,107.9 1,268.9 161.0 14.5 19.2 75.5 5.2 91.6 100.0 Münchener Hypothekenbank 28,846.3 30,110.1 1,263.8 4.4 80.7 17.3 2.0 80.0 73.6 Natixis Pfandbriefbank 1,257.5 1,477.7 220.2 17.5 5.8 83.0 11.2 36.3 100.0 Norddeutsche Landesbank 1,988.5 5,133.4 3,144.9 158.2 69.6 28.5 1.9 98.5 74.2 PSD Bank Nürnberg 557.6 839.2 281.6 50.5 97.3 0.0 2.7 100.0 0.0 PSD Bank Rhein-Ruhr 309.0 490.1 181.1 58.6 97.3 0.0 2.7 100.0 100.0 SaarLB 463.3 786.9 323.6 69.8 1.3 93.1 5.5 78.2 100.0 Santander Consumer Bank 1,000.0 1,167.5 167.5 16.7 95.7 0.0 4.3 100.0 100.0 Sparkasse Hannover 1,257.6 1,761.9 504.3 40.1 78.0 18.1 3.9 100.0 100.0 Sparkasse KölnBonn 2,091.1 6,445.6 4,354.5 208.2 74.6 20.1 5.3 100.0 48.6 Stadtsparkasse Düsseldorf 867.0 2,077.6 1,210.6 139.6 68.5 27.4 4.0 100.0 100.0 UniCredit Bank 22,011.2 29,556.6 7,545.4 34.3 68.5 29.3 2.2 100.0 100.0 Wüstenrot Bausparkasse 2,216.6 2,628.8 412.2 18.6 89.4 1.1 9.5 100.0 0.0 Source: Issuers, vdp, NORD/LB Markets Strategy & Floor Research * Including substitute assets as well as derivatives; excess cover assets might optionally be included. 7 / Transparency requirements §28 PfandBG 16 March 2021 Market overview public sector covered bonds Amount Cover pool OC Cover type (in %) Germany share (in %) outstanding Issuer Central Regional Local Other Substitute Primary Substitution in EURm in EURm in EURm in % government authorities authorities debtors cover* assets assets Aareal Bank 1,533.0 1,788.9 255.9 16.7 14.5 63.9 18.1 2.6 0.8 79.0 0.0 Bayerische Landesbank 17,541.1 22,620.5 5,079.4 29.0 7.9 39.6 43.8 7.0 1.8 94.0 100.0 Berlin Hyp 260.0 275.3 15.3 5.9 21.4 78.5 0.1 0.0 0.0 78.6 - Commerzbank 11,281.2 12,124.1 842.9 7.5 25.3 34.9 34.0 5.2 0.6 58.3 100.0 DekaBank 3,463.8 4,291.0 827.2 23.9 16.3 15.4 49.4 18.8 0.0 82.6 - Deutsche Bank 90.0 149.0 59.0 65.6 23.5 76.5 0.0 0.0 0.0 76.5 - Deutsche Hypothekenbank 2,815.0 2,921.9 106.9 3.8 16.5 60.6 1.1 21.8 0.0 59.8 - Deutsche Kreditbank 4,424.8 8,535.3 4,110.5 92.9 0.2 9.1 90.7 0.0 0.0 100.0 - Deutsche Pfandbriefbank 10,136.0 12,211.0 2,075.0 20.5 40.0 35.8 9.8 14.3 0.0 27.3 - DSK Hyp 57.5 229.8 172.3 299.6 15.2 81.9 2.6 0.3 0.0 100.0 - DZ HYP 12,920.8 15,324.3 2,403.5 18.6 9.9 21.7 63.8 4.6 0.4 80.4 100.0 Hamburg Commercial Bank 1,165.4 1,268.7 103.3 8.9 28.1 51.4 16.6 4.0 0.0 70.3 - Kreissparkasse Köln 233.4 305.9 72.4 31.0 0.0 9.2 67.8 23.0 0.0 100.0 - Landesbank Baden-Württemberg 8,922.1 11,651.3 2,729.3 30.6 12.0 21.1 34.6 32.4 0.0 94.5 - Landesbank Berlin 268.0 703.8 435.8 162.6 0.0 19.9 0.0 80.1 0.0 100.0 - Landesbank Hessen-Thüringen 27,620.3 34,670.7 7,050.4 25.5 3.3 41.3 42.2 13.1 0.1 92.8 100.0 LIGA Bank 25.0 152.5 127.5 510.1 0.0 3.3 96.7 0.0 0.0 100.0 - M.M.Warburg & CO Hypothekenbank 6.2 14.0 7.8 125.8 0.0 89.3 10.7 0.0 0.0 100.0 - Münchener Hypothekenbank 1,945.1 1,958.1 13.0 0.7 6.1 78.9 7.3 7.7 0.0 92.1 - Norddeutsche Landesbank 10,781.8 14,407.3 3,625.5 33.6 6.0 24.4 46.3 19.5 5.0 94.4 89.5 SaarLB 2,233.0 3,319.0 1,086.0 48.6 1.7 7.8 86.4 4.1 0.0 65.4 - Sparkasse Hannover 738.1 924.5 186.4 25.3 0.0 2.7 89.5 7.8 0.0 100.0 - Sparkasse KölnBonn 36.2 319.0 282.8 781.3 0.0 3.6 73.2 23.3 0.0 100.0 - Stadtsparkasse Düsseldorf 45.0 220.8 175.8 390.7 0.0 0.0 67.6 21.1 0.0 100.0 - UniCredit Bank 3,205.2 5,106.0 1,900.8 59.3 25.4 28.2 46.2 0.3 0.0 91.7 - Source: Issuers, vdp, NORD/LB Markets Strategy & Floor Research * Some issuers have distributed substitute assets to the respective debtor types.