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

Table 5
Public Covered Bond Characteristics (ALMM Risk) (cont.)
Erste Europaeische Pfandbriefund
Kommunalkreditbank AG
EUROHYPO Europaeische
Hypothekenbank S.A.
Hypo Pfandbrief Bank
International S.A.
NORD/LB COVERED FINANCE
BANK S.A.
LU Jun. 2011 8.4 9.3 (0.9) No W/H 0.00 0.00 8.54
LU Nov. 2011 8.4 5.1 3.3 No 380 8.80 11.87 19.53
LU Jul. 2011 6.5 11.0 (4.5) No 254 16.02 0.35 6.26
LU Sep. 2011 7.6 7.3 0.3 No 301 0.15 19.22 22.68
Banco BPI S.A. PT Jul. 2011 4.1 6.4 (2.3) Mixed 1,050 0.00 98.82 66.90
Bank of Scotland PLC Social
Housing Covered Bond
Programme
UK Jul. 2011 11.7 9.1 2.6 Yes 250 0.00 14.50 64.30
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 see "Glossary Of
Definitions."
Table 6
Mixed Covered Bond Characteristics (Credit Risk)
WA whole
Asset
Country of Reporting Resi Com Pub Other WAFF loan LTV SDR WA default
Issuer/CB program issuer date (%) (%) (%) (%) (%) (%) (%) rating risk (%)
Deutsche Postbank AG DE Nov. 2011 18 0 82 0 15.50 49.60 21.35 N/A 2.50
Nykredit Realkredit A/S -
Capital Center General
Compagnie de
Financement Foncier*
Lansforsakringar
Hypotek
DK Jun. 2011 21 18 0 61 21.36 75.01 45.50 N/A 13.34
FR Jun. 2011 33 0 53 14 20.93 68.02 13.91 BBB 2.50
SE Nov. 2011 79 0 0 21 18.98 77.23 34.40 N/A 2.50
*Public-sector assets include securitizations. CB--Covered bond. Com--Commercial assets in cover pool. LCB--Legislation-enabled covered bond. N/A--Not available.
Other--Includes substitute assets and other assets. Pub--Public sector assets in cover pool. Resi--Residential assets in cover pool. SCB--Structured covered bond.
SDR--Scenario default rate. WA--Weighted-average. Please also see "Glossary Of Definitions."
Table 7
Mixed Covered Bond Characteristics (ALMM Risk)
Issuer/CB
program
Deutsche
Postbank AG
Nykredit
Realkredit A/S -
Capital Center
General
Compagnie de
Financement
Foncier*
Lansforsakringar
Hypotek
Country
of
issuer
Reporting
date
WAM
assets
(years)
Global Covered Bond Characteristics And Rating Summary Q4 2011
WAM
liabilities
(years) Soft-bullet
WA target
asset
spread -
mortgage
assets
(bps)
WA target
asset spread
- public/other
assets (bps)
ALMM
(%)
Target
CE
nominal
(%)
Actual
CE
nominal
(%)
DE Nov. 2011 4.84 3.89 No 425 303 30.15 18.19 46.97
DK Jun. 2011 8.25 9.64 No 692 373 0.00 28.20 154.24
FR Jun. 2011 8.39 6.25 No 527 496 4.34 10.37 10.58
SE Nov. 2011 11.78 2.78 No 425 280 29.53 18.34 23.31
*Public-sector assets include securitizations. 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. Please also see "Glossary Of Definitions."
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