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

Table 3
Mortgage Covered Bond Characteristics (ALMM Risk) (cont.)
Barclays Bank PLC Global Covered
Bond Programme
Bradford & Bingley PLC Covered
Bond Programme
Lloyds TSB Bank PLC GBP30
billion Global Covered Bond
Programme
Nationwide Building Society
Global Covered Bond Programme
Northern Rock (Asset
Management) PLC Global Covered
Bond Programme
UK Sep. 2011 16.6 7.0 9.6 Mixed 425 0.00 37.55 69.20
UK Nov. 2011 16.6 4.1 12.4 Yes 850 0.00 109.56 254.97
UK W/H W/H W/H W/H W/H W/H W/H W/H W/H
UK Oct. 2011 16.4 7.8 8.6 Yes 425 0.00 49.14 96.14
UK Oct. 2011 18.9 5.8 13.1 Yes 539 0.00 71.02 98.19
BA Covered Bond Issuer US Sep. 2011 26.0 31.4 (5.4) No N/A 28.82 103.71 66.33
WM Covered Bond Program US Sep. 2011 24.8 2.6 22.2 No N/A 15.95 143.70 52.45
*Program documentation currently features a minimum asset percentage of 90%, translating into a maximum possible available credit enhancement of approximately
11.1%. Any excess is not available to covered bond holders following an issuer's insolvency (see "S&P Discusses Some Observations On Canada's Consultation Paper For
A Proposed Legislative Regime For Covered Bonds," published on June 10, 2011). **Covered bond program formerly "Caja de Ahorros y Monte de Piedad de Zaragoza
Aragon y Rioja (IBERCAJA)." §Target CE nominal reflects only asset default risk and not market value risk (see Step 5 of 2009 ALMM criteria). ALMM--Asset liability
mismatch. Bps--Basis points. CB--Covered bond. CE--Credit Enhancement. LCB--Legislation-enabled covered bond. N/A--Not available. SCB--Structured Covered Bond.
WA--Weighted-average. WAM--Weighted-average maturity. W/H--Withheld at issuer's request. Please also refer to table of definitions.
Table 4
Public Covered Bond Characteristics (Credit Risk)
Country of Reporting Resi Com Pub Other SDR WA
Asset
default risk
Issuer/CB program
issuer date (%) (%) (%) (%) (%) rating (%)
DekaBank Deutsche Girozentrale DE Sep. 2011 0 0 94 6 11.92 A+ 2.50
Deutsche Genossenschafts-Hypothekenbank
AG
DE Nov. 2011 0 0 100 0 16.74 A- 2.50
Deutsche Pfandbriefbank AG DE Jun. 2011 0 0 96 4 17.18 A- 2.50
Deutsche Postbank AG (DSL) DE Jun. 2011 0 0 100 0 17.45 A- 2.50
Dexia Kommunalbank Deutschland AG DE Sep. 2011 0 0 100 0 19.98 A- 2.50
DZ BANK AG Deutsche
Zentral-Genossenschaftsbank
DE Jun. 2011 0 0 98 2 W/H AA- 11.64
Eurohypo AG DE Nov. 2011 0 0 94 6 15.82 A- 2.50
Landesbank Hessen-Thueringen Girozentrale DE Oct. 2011 0 0 99 1 21.44 A- 3.79
NRW.BANK DE Sep. 2011 0 0 100 0 27.15 A- 5.42
UniCredit Bank AG DE W/H W/H W/H W/H W/H W/H W/H W/H
Westdeutsche ImmobilienBank DE Sep. 2011 0 0 100 0 27.06 A- 3.18
WL BANK AG Westfaelische Landschaft
Bodenkreditbank
Global Covered Bond Characteristics And Rating Summary Q4 2011
DE Jun. 2011 0 0 99 1 20.40 BBB+ 4.55
Banca Civica S.A. ES Dec. 2011 0 0 100 0 74.21 BB+ 65.87
Banco Bilbao Vizcaya Argentaria S.A. ES Sep. 2011 0 0 100 0 63.64 BB+ 70.33
BNP Paribas Public Sector SCF FR Sep. 2011 0 0 100 0 23.14 N/A 4.37
Credit Mutuel Arkea Public Sector SCF FR Jun. 2011 0 0 100 0 26.94 BBB 6.39
Dexia Municipal Agency FR Sep. 2011 0 0 93 8 20.22 BBB 2.50
Societe Generale SCF FR Jun. 2011 0 0 100 0 24.41 BBB+ 2.50
Depfa ACS Bank IE Jun. 2011 0 0 100 0 15.96 A- 5.23
Dexia LdG Banque S.A. LU Oct. 2011 0 0 94 6 25.29 BB+ 4.05
Standard & Poors | RatingsDirect on the Global Credit Portal | January 24, 2012 12
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