Global Covered Bond Characteristics And ... - Standard & Poor's

Table 3
Mortgage Covered Bond Characteristics (ALMM Risk)
Issuer/CB program
Canadian Imperial Bank of
Commerce Global Public Sector
Covered Bond Programme*
Royal Bank of Canada Global
Covered Bond Programme*
Deutsche Apotheker- und
Aerztebank eG
Country
of
issuer
Reporting
date
WAM
assets
(years)
WAM
liabilities
(years)
WAM
assets
minus
WAM
liabilities
(years) Soft-bullet
WA
target
asset
spread
(bps)
ALMM
(%)
Target
CE
nominal
(%)
Actual
CE
nominal
(%)
CA Sep. 2011 2.9 3.2 (0.3) No 279 0.00 7.64 19.57
CA Oct. 2011 2.5 3.8 (1.3) Yes 425 0.00 7.40 106.62
DE Jun. 2011 4.9 4.0 0.9 No 609 0.00 18.19 65.99
Deutsche Bank AG DE Sep. 2011 9.9 5.3 4.7 No 918 0.00 26.17 55.62
Deutsche
Genossenschafts-Hypothekenbank
AG
DE Sep. 2011 4.2 3.6 0.6 No 682 0.00 6.37 14.27
Deutsche Pfandbriefbank AG DE Sep. 2011 4.4 4.3 0.1 No 999 0.73 25.62 43.25
Deutsche Postbank AG DE Jun. 2011 8.2 6.3 1.9 No 425 3.20 10.76 19.73
Eurohypo AG DE Nov. 2011 3.6 4.0 (0.4) No 857 0.00 18.78 25.67
Westdeutsche ImmobilienBank DE Sep. 2011 3.7 4.9 (1.1) No 723 2.26 18.11 23.91
WL BANK AG Westfaelische
Landschaft Bodenkreditbank
DE Sep. 2011 5.6 5.9 (0.4) No 760 0.00 13.74 14.68
BRFkredit A/S - Capital Center B DK Sep. 2011 13.0 13.7 (0.7) No 714 0.00 9.14 9.18
BRFkredit A/S - Capital Center E DK Sep. 2011 14.3 15.8 (1.5) No 595 0.00 10.76 12.54
Danske Bank A/S - Pool C DK Nov. 2011 12.0 6.3 5.8 Mixed 714 0.00 26.32 32.50
Danske Bank A/S - Pool D DK Sep. 2011 16.9 6.4 10.6 Mixed 425 21.69 21.61 23.25
Danske Bank A/S - Pool I DK Jun. 2011 25.5 7.1 18.4 Mixed 425 0.00 18.89 24.22
Nordea Kredit Realkredit A/S -
Capital Center 1
Nordea Kredit Realkredit A/S -
Capital Center 2
Nykredit Realkredit A/S - Capital
Center C
Nykredit Realkredit A/S - Capital
Center D
Nykredit Realkredit A/S - Capital
Center E
Nykredit Realkredit A/S - Capital
Center H
Realkredit Danmark A/S - Capital
Center S
Realkredit Danmark A/S - Capital
Center T
Realkredit Danmark A/S - General
Capital Center
Global Covered Bond Characteristics And Rating Summary Q4 2011
DK Sep. 2011 12.4 13.6 (1.2) No 529 0.00 6.42 10.23
DK Jun. 2011 14.4 16.8 (2.4) No 611 0.00 9.81 18.39
DK Jun. 2011 7.3 7.3 0.0 No 598 0.00 4.69 4.84
DK Jun. 2011 13.2 13.6 (0.4) No 616 0.00 5.04 5.94
DK Jun. 2011 15.1 15.9 (0.7) No 534 0.00 4.04 6.72
DK Sep. 2011 15.3 16.8 (1.5) No 611 0.00 5.36 11.04
DK Dec. 2011 15.5 16.7 (1.2) No 614 0.00 6.81 7.21
DK Dec. 2011 14.8 16.0 (1.2) No 652 0.00 3.60 6.66
DK Sep. 2011 12.5 13.3 (0.8) No 541 0.00 4.99 6.70
Totalkredit A/S - Capital Center C DK Jun. 2011 12.8 13.1 (0.3) No 425 0.00 1.45 2.88
Banca Civica S.A. ES Dec. 2011 19.3 5.2 14.1 No 815 1.00 81.49 134.82
Banco Popular Espanol S.A. ES Sep. 2011 15.4 3.7 11.8 No 879 26.00 79.35 88.79
Barclays Bank S.A. ES Nov. 2011 18.9 6.9 11.9 No 793 0.00 75.88 278.00
Standard & Poors | RatingsDirect on the Global Credit Portal | January 24, 2012 10
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