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

Global Covered Bond Characteristics 

And Rating Summary 

Primary Credit Analyst: 

Sabrina Miehs, Frankfurt (49) 69-33-999-304; sabrina_miehs@standardandpoors.com 

Analytical Manager: 

Karlo Fuchs, Frankfurt (49) 69-33-999-156; karlo_fuchs@standardandpoors.com 

Sean Hannigan, London (44) 20-7176-3783; sean_hannigan@standardandpoors.com 

Nicolas Malaterre, Paris (33) 1-4420-7324; nicolas_malaterre@standardandpoors.com 

Global Analytical Manager Covered Bonds: 

Karen Naylor, London (44) 20-7176-3533; karen_naylor@standardandpoors.com 

Table Of Contents 

Our Five-Step Approach To Rating Covered Bonds 

Global Covered Bonds Core Characteristics And Risk Indicators Data 

Glossary Of Definitions 

Related Criteria And Research 

March 23, 2011 

www.standardandpoors.com/ratingsdirect 1 

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Global Covered Bond Characteristics And 

Rating Summary 

(Editor's Note: This article replaces and updates the last report published on Dec. 29, 2010.) 

This article provides Standard & Poor's Ratings Services' assessment of the characteristics of the listed covered bond 

programs that contribute to its rating opinion. 

We currently rate: 

• 89 covered bonds, the ratings on which are linked to the issuer (that is, covered bonds that have or can have 

asset-liability mismatches); and 

• 62 covered bonds, the ratings on which are not linked to the issuer. These covered bonds encompass 59 Spanish 

Multi-Cédulas transactions, the Cassa Depositi e Prestiti SpA's covered bond program, and the global covered 

bond programs of the Bank of Scotland PLC (£15 billion) and Clydesdale Bank PLC. 

This article focuses only on covered bonds that have or may have an asset-liability mismatch (ALMM), that is, 

because the rating is linked to the issuer credit rating (ICR) on the issuer. We have not included in this article one 

covered bond program that is still on CreditWatch, owing to the implementation of our covered bond criteria on 

Dec. 16, 2009, or covered bonds that we rate independently of the ICR on the issuer. 

Some core characteristics and risk indicators that we regularly assess in our analysis include the prevailing ALMM 

risk, the program's categorization, and the ICR on the issuing bank (see tables 1-5). 

Our ratings on covered bonds issued globally are based predominantly on our criteria article "Revised Methodology 

And Assumptions For Assessing Asset-Liability Mismatch Risk In Covered Bonds," published Dec. 16, 2009 (see 

also "Credit FAQ: Standard & Poor's Explains Update To Criteria For Assessing Asset-Liability Mismatch Risk In 

Covered Bonds," published Dec. 17, 2009). 

Our criteria reflect our belief that covered bonds that exhibit maturity mismatches between the underlying assets 

and the covered bond liabilities should be linked to the ICR on the issuer. Only if a covered bond can be isolated 

from that risk can we rate the covered bonds independently of the issuer. 

When a covered bond program is exposed to ALMM risk, the maximum potential uplift the covered bond rating 

can achieve above the ICR is seven notches, under our criteria. Therefore, this approach would only result in the 

assignment of 'AAA' ratings to covered bonds of highly rated issuers, if we believe the program has sufficient credit 

enhancement (typically from overcollateralization) to cover all relevant risks, in particular, market value risk arising 

from the asset-liability mismatch. 

Our Five-Step Approach To Rating Covered Bonds 

To arrive at a covered bond rating, we consider five main areas in our analysis (see chart). 

Standard & Poor’s | RatingsDirect on the Global Credit Portal | March 23, 2011 2 

855997 | 300971121

Owing to the importance we place on the analysis of the asset and cash flow risk, we put a specific emphasis on our 

five-step ALMM process, in which we evaluate the maximum potential rating uplift for a covered bond program, 

based on a combined assessment of its ALMM risk exposure, its program categorization, and the available credit 

enhancement. 

Table 1 provides our opinion of the key characteristics of covered bond programs for which ALMM risk exists and 

for which we have resolved the CreditWatch negative placement of Dec. 16, 2009 (see "Ratings On 98 Covered 

Bond Programs Placed On CreditWatch After Criteria Revision"). In particular, we provide information on our 

assessment, which includes: 

• Step 1: The classification of the asset-liability mismatch (ALMM measure; see paragraph 23 of the Dec. 16, 2009, 

criteria); 

• Step 2: The program categorization (see paragraph 33); and 

Global Covered Bond Characteristics And Rating Summary 


855997 | 300971121

• Step 3: Our determination of the maximum rating uplift a respective covered bond program can achieve (see 

paragraph 53). 

Table 1 also provides the current ICR on the issuers, which we use as the starting point for the rating uplift on the 

covered bonds. 

The current covered bond ratings are the result of Step 5 of our criteria (see paragraph 68 of the Dec. 16, 2009, 

criteria), subject to an analysis of other risks and a committee decision. In Step 5, we compare the available credit 

enhancement with a target credit enhancement level that we determine in Step 4: The cash flow and market value 

analysis (see paragraph 57). If the available credit enhancement matches or exceeds the target credit enhancement, 

then a covered bond program may achieve the maximum potential rating uplift. If the available credit enhancement 

is lower, we may assign a single notch of uplift to the covered bond rating if the available credit enhancement is 

sufficient, in our opinion, to cover asset-default risk. We may also elevate the covered bond rating by further notches 

depending on the level of ALMM risk that any remaining actual credit enhancement covers. 

We also provide an outlook on the rating on the covered bonds. The outlook provides our opinion of a program's 

potential for a rating change and its direction over the intermediate term. The covered bond outlook takes into 

account our views on the outlook on the issuer, the level of rating uplift achieved, the likelihood of changes in 

ALMM risk, as well as potential rating changes due to the performance of the collateral. 

In this article, we use the terms "issuer" or "issuing bank" to refer to the financial institution behind the covered 

bond program, even though the issuer of the bonds may technically be a special-purpose entity, depending on the 

program structure. Furthermore, we assign ratings to covered bonds, although we may refer to the rating on a 

program. 

At the end of the article we have included a glossary of terms and explanations that we have used in the tables below 

and which represent to a large degree the terminology Standard & Poor's uses in its rating analysis. We recommend 

that readers refer to these definitions in conjunction with the data we have provided. 

Global Covered Bonds Core Characteristics And Risk Indicators Data 

The ratings and core characteristics shown in Table 1 below were current as of the date of publication. The covered 

bond characteristics and risk indicators presented in Tables 2-5 are current as of the respective reporting date (please 

see the glossary for further information). We expect to update this report on a regular basis to illustrate the 

performance and development of these core characteristics and risk indicators over time. Previous data can be seen 

by clicking on the "view expanded table" tab or by downloading the table. 

Table 1 


Issuer/CB Program 

Bank of Montreal Global Covered Bond 

Programme 

Canadian Imperial Bank of Commerce 

Global Public Sector Covered Bond 

Programme 

CB 

type 

Country 

of issuer 

ALMM 

risk 


Program 

category 

Max 

potential 

uplift 

(notches) Current ICR¶ Current CB rating 

SCB CA Low 2 6 A+/Stable/A-1 (Bank of 

Montreal) 

SCB CA Low 2 6 A+/Stable /A-1 (Canadian 

Imperial Bank of 

Commerce) 

AAA/Stable 

AAA/Stable 


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Table 1 

Global Covered Bond Characteristics And Rating Summary (cont.) 

Royal Bank of Canada Global Covered 

Bond Programme Euro 15 Billion 

DekaBank Deutsche Girozentrale LCB / 

OPF 

Deutsche Apotheker- und Aerztebank 

eG 

SCB CA Low 2 6 AA-/Positive/A-1+ (Royal 

Bank of Canada) 

LCB / 

HPF 

Deutsche Bank AG LCB / 

HYPF 

Deutsche 

Genossenschafts-Hypothekenbank AG 

Deutsche 

Genossenschafts-Hypothekenbank AG 

LCB / 

OPF 

LCB / 

HYPF 

Deutsche Pfandbriefbank AG LCB / 

HPF 

Deutsche Pfandbriefbank AG LCB / 

OPF 

Deutsche Postbank AG LCB / 

DSL 

Briefe 


HYPF 


OPF 

Dexia Kommunalbank Deutschland AG LCB / 

OPF 

DZ BANK AG Deutsche 

Zentral-Genossenschaftsbank 

LCB / 

OPF 

Eurohypo AG LCB / 

HYPF 

Eurohypo AG LCB / 

OPF 

Landesbank Hessen-Thueringen 

Girozentrale 

LCB / 

OPF 

NRW.BANK LCB / 

OPF 

UniCredit Bank AG LCB / 

OPF 

Westdeutsche ImmobilienBank LCB / 

HPF 

Westdeutsche ImmobilienBank LCB / 

OPF 

WL BANK AG Westfaelische 

Landschaft Bodenkreditbank 

LCB / 

OPF 


DE Moderate 1 6 A/Stable/A-1 (DekaBank 

Deutsche Girozentrale) 

DE Low 1 7 A+/Stable/A-1 (Deutsche 

Apotheker- und 

Aerztebank eG) 

DE Low 1 7 A+/Stable/A-1 (Deutsche 

Bank AG) 

DE Low 1 7 A/Stable/A-1 (Deutsche 

Genossenschafts- 

Hypothekenbank AG) 



Hypothekenbank AG) 

DE Low 1 7 BBB/Stable/A-2 

(Deutsche Pfandbriefbank 

AG) 

DE Low 1 7 BBB/Stable/A-2 

(Deutsche Pfandbriefbank 

AG) 


Postbank AG) 


Postbank AG) 


Postbank AG) 

DE Low 1 7 A/Negative/A-1 (Dexia 

Credit Local) 

DE Low 1 7 A+/Stable/A-1 (DZ BANK 

AG Deutsche Zentral- 

Genossenschaftsbank) 

DE Low 1 7 A-/Negative/ A-2 

(Eurohypo AG) 

DE Moderate 1 6 A-/Negative/A-2 

(Eurohypo AG) 

DE Low 1 7 A/Stable/A-1 

(Landesbank Hessen- 

Thueringen Girozentrale) 

DE Low 1 7 AA-/Stable/A-1+ 

(NRW.BANK) 

DE Low 1 7 A/Stable/A-1 (UniCredit 

Bank AG) 

DE Low 1 7 BBB+/Negative/A-2 

(Westdeutsche 

ImmobilienBank) 

DE Low 1 7 BBB+/Negative/A-2 

(Westdeutsche 

ImmobilienBank) 

DE Low 1 7 A+/Stable/A-1 (WL BANK 

AG Westfaelische 

Landschaft 

Bodenkreditbank) 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AA+/Stable 

AA+/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable/A-1+ 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Negative 

AAA/Stable 

AAA/Stable 


AAA/Negative 

AAA/Negative 

AAA/Stable 


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Table 1 




LCB / 

HYPF 

Danske Bank A/S Cover Pool D LCB / 

SDO 

Danske Bank A/S Cover Pool I LCB / 

SDO 

Danske Bank A/S Cover Pool C LCB / 

SDO 

Nordea Kredit Realkredit A/S Capital 

Centre 1 

Nordea Kredit Realkredit A/S Capital 

Centre 2 

Nykredit Realkredit A/S Capital Centre 

C 


D 


E 

Nykredit Realkredit A/S General 

Capital Centre 

Realkredit Danmark A/S Capital Centre 

S 

Realkredit Danmark A/S General 

Capital Centre 

LCB / 

RO 

LCB / 

SDO 

LCB / 

RO 

LCB / 

RO 

LCB / 

SDO 

LCB / 

RO 

Totalkredit A/S Capital Centre C LCB / 

RO 

Banco Bilbao Vizcaya Argentaria, S.A. LCB/ 

CT 

Banco Popular Espanol, S.A. LCB / 

CH 

Barclays Bank S.A. LCB / 

CH 

Caja de Ahorros y Monte de Piedad de 

Gipuzkoa y San Sebastian (Kutxa) 

Caja de Ahorros y Monte de Piedad de 

Madrid 

Caja de Ahorros y Pensiones de 

Barcelona 

DE Low 1 7 A+/Stable/A-1 (WL BANK 

AG Westfaelische 

Landschaft 

Bodenkreditbank) 

DK Low 1 7 A/Negative/A-1 (Danske 

Bank A/S) 


Bank A/S) 


Bank A/S) 

DK Low 1 7 AA-/ Stable/ A-1+ 

(Nordea Bank Danmark 

A/S) 

DK Low 1 7 AA-/ Stable/ A-1+ 

(Nordea Bank Danmark 

A/S) 

DK Low 1 7 A+/Stable/A-1 (Nykredit 

Realkredit A/S) 







LCB DK Low 1 7 A/Negative/A-1 (Danske 

Bank A/S) 

LCB DK Low 1 7 A/Negative/A-1 (Danske 

Bank A/S) 

LCB / 

CH 

LCB / 

CH 

LCB / 

CH 

OP Mortgage Bank LCB / 

FCB 

AXA Bank Europe SCF LCB / 

OF 

Banques Populaires Covered Bonds 

Programme 

BNP Paribas Home Loan Covered 

Bonds 




AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

ES Low 1 7 AA/Negative/A-1+ AAA/ Stable 

ES Moderate 1 6 A-/Negative/A-2 (Banco 

Popular Espanol S.A.) 

ES Low 1 7 AA-/Negative/A-1+ 

(Barclays Bank S.A.) 

ES Low 1 7 A/Negative/A-1 (Caja de 

Ahorros y Monte de 

Piedad de Gipuzkoa y San 

Sebastián (Kutxa)) 

ES Low 1 7 A-/Stable/A-2 (Caja de 

Ahorros y Monte de 

Piedad de Madrid) 

ES Low 1 7 A+/Watch Neg/A-1 (Caja 

de Ahorros y Pensiones 

de Barcelona) 

FI Low 2 6 AA-/Stable/A-1+ (Pohjola 

Bank PLC) 

FR Low 1 7 A+/Stable/A-1 (Axa Bank 

Europe S.A.) 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

SCB FR Low 2 6 A+/Stable/A-1 (BPCE) AAA/Stable 

SCB FR Low 2 6 AA/Negative/A-1+ (BNP 

Paribas) 

AAA/Stable 


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Table 1 


BNP Paribas Public Sector SCF LCB / 

OF 

FR Low 1 7 AA/Negative/A-1+ (BNP 

Paribas) 

CM-CIC Covered Bonds Programme SCB FR Moderate 2 5 A+/Stable/A-1 (Banque 

Federative du Credit 

Mutuel) 

Compagnie de Financement Foncier LCB / 

OF 

Credit Agricole Covered Bonds 

Programme 

Credit Foncier et Communal d'Alsace 

et de Lorraine - Societe de Credit 

Foncier 

Credit Mutuel Arkea Covered Bonds 

Programme 

FR Low 1 7 A/Stable/A-1 (Credit 

Foncier de France) 

SCB FR Low 2 6 AA-/Negative/A-1+ 

(Credit Agricole S.A.) 

LCB / 

OF 

Dexia Municipal Agency LCB / 

OF 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

FR N/A 1 7 NR A+/Stable 

SCB FR Low 2 6 A+/Stable/A-1 (Credit 

Mutuel Arkea) 

FR Low 1 7 A/Negative/A-1 (Dexia 

Credit Local) 

AAA/Stable 

AAA/Stable 

GCE Covered Bonds SCB FR High 2 4 A+/Stable/A-1 (BPCE) AAA/Stable 

GE SCF S.C.A LCB / 

OF 

FR Low 1 7 AA+/Stable/A-1+ 

(General Electric Capital 

Corp.) 

HSBC Covered Bonds (France) SCB FR Low 2 6 AA/Stable/A-1+ (HSBC 

France) 

Societe Generale SCF LCB / 

OF 

AIB Mortgage Bank LCB / 

MCS 

Bank of Ireland Mortgage Bank LCB / 

MCS 

Depfa ACS Bank LCB / 

ACS 

EAA Covered Bond Bank Public Ltd. Co. LCB / 

ACS 

UniCredit SpA Obbligazioni Bancarie 

Garantite Programme 

Dexia LdG Banque S.A. LCB / 

LGP 

Erste Europaeische Pfandbrief- und 

Kommunalkreditbank AG 

EUROHYPO Europaeische 

Hypothekenbank S.A. 

Hypo Pfandbrief Bank International 

S.A. 

NORD/LB COVERED FINANCE BANK 

S.A. 

ABN AMRO Bank N.V. Covered Bond 

Programme 

FR Low 1 7 A+/Stable/A-1 (Société 

Générale) 

IE Low 2 6 BB/Watch Neg/B (Allied 

Irish Banks PLC) 

IE Low 2 6 BB+/Watch Neg/B (Bank 

of Ireland) 

IE Low 2 6 BBB/Stable/A-2 (Depfa 

ACS) 

IE High 2 4 AA-/Stable/A-1+ (EAA 

Covered Bond Bank Public 

Ltd. Co.) 

SCB IT Low 2 6 A/Stable/A-1 (UniCredit 

SpA) 

LCB / 

LGP 

LCB / 

LGP 

LCB / 

LGP 

LCB / 

LGP 


AAA/Stable 

AAA/Stable 

AAA/Stable 

A/Watch Neg 

AA+/Negative 

before withdrawal 

on Jan. 4, 2011 

AA/Stable 

AAA/Stable 

AAA/Stable 

LU Low 2 6 NR AAA/Stable 

LU Low 2 6 NR AA+/Stable 

LU Low 2 6 A-/Negative/A-2 

(EUROHYPO Europaeische 

Hypothekenbank S.A.) 

LU Moderate 2 5 AAA/Stable/A-2 (Hypo 

Pfandbrief Bank 

International S.A.) 

LU Low 2 6 A-/Negative/A-2 

(NORD/LB COVERED 

FINANCE BANK S.A.) 

SCB NL Low 2 6 A/Stable/A-1 (ABN 

AMRO Bank N.V.) 

ING Bank N.V. SCB NL Low 2 6 A+/Stable/A-1 (ING Bank 

N.V.) 

AAA/Negative 

AAA/Negative 

AAA/Negative 

AAA/Stable 

AAA/Stable 


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Table 1 


DnB NOR Boligkreditt AS Covered 

Programme 

LCB / 

OMF 

Banco BPI S.A. LCB / 

OH 

Banco BPI S.A. LCB / 

OSSP 

Banco Santander Totta, S.A. LCB / 

OH 

AB Sveriges Sakerstallda Obligationer 

(publ) (The Swedish Covered Bond 

Corp.) 

Landshypotek AB Covered Bond 

Programme 

LCB / 

SO 

Lansforsakringar Hypotek LCB / 

SO 

Nordea Hypotek AB LCB / 

SO 

Swedbank Mortgage AB LCB / 

SO 

Abbey National Treasury Services PLC 

Global Covered Bond Programme 

Bank of Scotland PLC Covered Bond 

Programme 

Bank of Scotland plc Social Housing 

Covered Bond Programme 

Barclays Bank PLC Global Covered 

Bond Programme 

Bradford & Bingley PLC Covered Bond 

Programme 

HSBC Bank PLC Covered Bond 

Programme 

Lloyds TSB Bank PLC GBP30 Billion 


Guaranteed By Lloyds TSB Secured 

Finance LLP 

Nationwide Building Society Global 


Northern Rock (Asset Management) 

PLC Global Covered Bond Programme 

The Governor and Company of the 

Bank of Ireland Global Covered Bond 

Programme 


NO Low 2 6 A+/Stable/A-1 (DnB NOR 

Bank ASA) 

PT Low 2 6 A-/Watch Neg/A-2 

(Banco BPI SA) 

PT Low 2 6 A-/Watch Neg/A-2 

(Banco BPI SA) 

PT Moderate 2 5 A/Watch Neg/A-1 (Banco 

Santander Totta, S.A.) 

SE Low 1 7 A+/Stable/A-1 (Sveriges 

Bostads- finansieringsaktiebolag, 

SBAB (publ)) 

AAA/Stable 

AA/Watch Neg 

A/Watch Neg 

AAA/Watch Neg 

AAA/Stable 

SCB SE Moderate 1 6 A-/Stable/A-2 AAA/Stable 

SE Moderate 1 6 A/Stable/A-1 

(Lansforsakringar Bank) 

SE Low 1 7 AA-/Stable/A-1+ (Nordea 

Bank AB) 

SE Moderate 1 6 A/Stable/A-1 (Swedbank 

Mortgage AB) 

SCB UK Low 2 6 AA/Negative/A-1+ 

(Santander UK PLC§) 

SCB UK Low 2 6 A+/Stable/A-1(Bank of 

Scotland PLC) 

SCB UK Low 2 6 A+/Stable/A-1 (Bank of 

Scotland PLC) 

SCB UK Low 2 6 AA-/Negative/A-1+ 

(Barclays Bank PLC) 


AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

SCB UK Moderate 2 5 (--/--/A-1) AA/Stable 

SCB UK Low 2 6 AA/Stable/A-1+ (HSBC 

Bank PLC) 

SCB UK Low 2 6 A+/Stable/A-1 (Lloyds 

TSB Bank PLC) 

SCB UK Low 2 6 A+/Negative/A-1 

(Nationwide Building 

Society) 

SCB UK Low 2 6 A/Stable/A-1 [Northern 

Rock (Asset 

Management) PLC] 

SCB UK Low 2 6 BB+/Watch Neg/B (Bank 

of Ireland) 

BA Covered Bond Issuer SCB US Moderate 3 4 A+/Negative/A-1 (Bank of 

America N.A.) 

WM Covered Bond Program SCB US Low 3 5 AA-/Stable/A-1+ 

(JPMorgan Chase Bank 

N.A.) 

AAA/Stable 

AAA/Stable 

AAA/Stable 

AAA/Stable 

A+/Watch Neg 

AA/Negative 

AA/Negative 

¶Where the issuer is a special-purpose entity we apply an ICR as described in paragraph 55 of the updated criteria. §Name change from Abbey National PLC. ACS--Asset 

covered securities. ALMM--Asset-liability mismatch. CB--Covered bond. CH--Cédulas Hipotecarias. FCB--Finnish covered bonds. HYPF--Hypothekenpfandbriefe. 

LGP--Lettres de Gage Publiques. ICR--Issuer credit rating. LCB--Legislation-enabled covered bond. MCS--Mortgage covered securities. N.A.--Not available. N/A--Not 

applicable. NR--Not rated. OF--Obligations foncieres. OH--Obrigacoes hipotecarias. OMF--Obligasjoner med fortrinnsrett. OPF--Oeffentlicher Pfandbrief. 

RO--Realkreditobligationer. SCB--Structured covered bond. SDO--Særligt dækkede Obligationer. 


855997 | 300971121

Table 2 

Mortgage Covered Bond Characteristics (Credit Risk) 

Issuer/CB bond program 

Bank of Montreal Global Covered 


Canadian Imperial Bank of 

Commerce Global Public Sector 


Royal Bank of Canada Global 


Deutsche Apotheker- und 

Aerztebank eG 

Country of 

issuer 

Reporting 

date 

CA Nov. 30, 

2010 

Resi 

(%) 

Com 

(%) 

Pub 

(%) 

Other 

(%) 

WAFF 

(%) 

WALS 

(%) 

WAFFx 

WALS (%) 

100 0 0 0 13.25 2.00 0.27 66.40 

CA Feb. 28, 2011 92 0 0 8 24.19 2.00 0.48 60.12 

CA Jan. 31, 2011 100 0 0 0 11.15 10.61 1.18 61.22 

DE June 30, 

2010 

92 2 0 6 24.85 4.55 1.13 74.67 

Deutsche Bank AG DE Oct. 31, 2010 0 98 0 2 73.30 2.45 1.80 76.80 

Deutsche Genossenschafts- 

Hypothekenbank AG 

DE Sept. 30, 

2010 

58 40 0 2 20.55 15.90 3.27 54.98 

Deutsche Pfandbriefbank AG DE Oct. 29, 2010 1 92 0 7 39.59 27.82 11.01 66.52 

Deutsche Postbank AG DE Dec. 31, 

2010 

88 0 0 12 19.69 2.00 0.39 87.65 

Eurohypo AG DE W/H W/H W/H W/H W/H W/H W/H W/H W/H 

Westdeutsche ImmobilienBank DE Sept. 30, 

2010 



DE June 30, 

2010 

33 62 0 5 24.05 17.98 4.32 57.71 

W/H W/H 0 12 20.28 19.78 4.01 61.84 

Danske Bank A/S Pool C DK Feb. 28, 2011 0 100 0 0 21.65 16.97 3.67 51.05 

Danske Bank A/S Pool D DK Dec. 31, 

2010 

Danske Bank A/S Pool I DK June 30, 

2010 

Nordea Kredit Realkredit A/S - 

Capital Centre 1 

Nordea Kredit Realkredit A/S - 

Capital Centre 2 

Nykredit Realkredit A/S Capital 

Center C 


Center D 


Center E 


Center General 

Realkredit Danmark A/S capital 

centre S 

Realkredit Danmark A/S General 

capital centre 

DK March 31, 

2010 

DK March 31, 

2010 

DK June 30, 

2010 

DK June 30, 

2010 

DK June 30, 

2010 

DK June 30, 

2010 

DK March 31, 

2010 

DK March 31, 

2010 

Totalkredit A/S Capital Center C DK June 30, 

2010 

Banco Popular Español, S.A. ES Dec. 31, 

2010 

Barclays Bank, S.A. ES March 31, 

2010 


97 0 0 3 12.74 30.28 3.86 60.60 

96 0 0 4 16.51 17.99 2.97 63.02 

69 22 0 9 16.70 24.60 4.11 63.71 

60 31 0 9 20.60 30.60 6.30 66.93 

77 17 0 6 14.74 85.59 12.62 44.58 

65 29 0 6 17.95 31.88 5.72 60.37 

75 19 0 6 16.00 29.69 4.75 67.07 

37 12 0 52 17.07 25.26 4.31 63.05 

57 35 0 8 14.88 23.63 3.52 66.14 

59 37 0 4 12.46 15.87 1.98 59.99 

97 0 0 3 11.04 19.59 2.16 67.00 

57 43 0 0 25.54 41.58 10.62 54.39 

78 22 0 0 31.61 27.08 8.56 65.08 

WA whole 

loan LTV 

(%) 


855997 | 300971121

Table 2 

Mortgage Covered Bond Characteristics (Credit Risk) (cont.) 

Caja de Ahorros y Monte de 

Piedad de Gipuzkoa y San 

Sebastian (Kutxa) 

Caja de Ahorros y Monte de 

Piedad de Madrid 

Caja de Ahorros y Pensiones de 

Barcelona 

ES June 30, 

2010 

ES Dec. 31, 

2010 

ES Dec. 31, 

2010 

OP Mortgage Bank FI Dec. 31, 

2010 

AXA Bank Europe SCF FR Sept. 30, 

2010 

Banques Populaires Covered 

Bonds Programme 

BNP Paribas Home Loan Covered 

Bonds 

CM-CIC Covered Bonds 

Programme 

Credit Agricole Covered Bonds 

Programme 

Credit Foncier et Communal 

d'Alsace et de Lorraine - Societe 

de Credit Foncier 

Credit Mutuel Arkea Covered 


FR Dec. 31, 

2010 

FR Dec. 31, 

2010 

FR Nov. 30, 

2010 

FR Dec. 31, 

2010 

FR March 31, 

2010 

GCE Covered Bonds Programme FR Nov. 30, 

2010 

GE SCF S.C.A FR Sept. 30, 

2010 

HSBC Covered Bonds (France) 

Programme 

75 25 0 0 24.49 21.46 5.26 58.74 

74 26 0 0 31.47 39.87 12.55 63.03 

85 15 0 0 23.23 26.16 6.08 49.56 

100 0 0 0 11.51 3.51 0.40 45.87 

100 0 0 0 21.70 21.90 4.75 61.80 

100 0 0 0 14.33 31.21 4.47 68.95 

100 0 0 0 14.31 32.22 4.61 71.29 

100 0 0 0 13.83 29.59 4.09 69.60 

100 0 0 0 21.40 18.70 4.00 59.54 

98 0 2 0 47.61 3.42 1.63 44.22 

FR Jan. 31, 2011 100 0 0 0 15.80 38.60 6.10 68.20 

FR Sept. 30, 

2010 

AIB Mortgage Bank IE June 30, 

2010 

UniCredit SpA Obbligazioni 

Bancarie Garantite Programme 

ABN AMRO Bank N.V. Covered 


IT June 30, 

2010 

ING Bank N.V. NL Dec. 31, 

2010 

DnB NOR Boligkreditt AS NO Nov. 30, 

2011 

Banco BPI S.A. PT Dec. 31, 

2010 

100 0 0 0 13.85 29.15 4.04 65.47 

100 0 0 0 22.20 30.60 6.79 70.70 

100 0 0 0 17.28 35.90 6.20 67.47 

100 0 0 0 36.95 38.47 14.21 96.38 

96 0 0 4 19.41 14.92 2.90 63.25 

NL Dec. 1, 2010 93 0 0 7 15.93 23.63 3.76 75.70 

100 0 0 0 10.63 18.77 2.00 69.30 

100 0 0 0 16.30 24.54 4.00 55.28 

97 0 1 2 12.83 11.48 1.47 56.85 

Banco Santander Totta, S.A. PT Oct. 31, 2010 90 0 0 1 14.87 11.77 1.75 56.23 

AB Sveriges Sakerstallda 

Obligationer (publ) (The Swedish 

Covered Bond Corp.) 

SE Dec. 31, 

2010 

59 34 4 3 22.10 14.89 3.29 62.90 

Landshypotek AB SE Feb. 16, 2011 100 0 0 0 14.30 19 3 41 

Lansforsakringar Hypotek SE Aug. 31, 

2010 

Nordea Hypotek AB SE Aug. 23, 

2010 


70 0 0 30 16.06 13.26 2.13 73.91 

63 19 10 9 16.51 10.80 1.78 58.71 


855997 | 300971121

Table 2 

Mortgage Covered Bond Characteristics (Credit Risk) (cont.) 

Swedbank Mortgage AB SE June 30, 

2010 

Abbey National Treasury Services 

PLC Global Covered Bond 

Programme 

Bank of Scotland PLC Covered 


Barclays Bank PLC Global Covered 


Bradford & Bingley PLC Covered 


HSBC Bank PLC Covered Bond 

Programme 

Lloyds TSB Bank PLC GBP30 

billion Global Covered Bond 

programme 

Nationwide Building Society 


Northern Rock (Asset 

Management) PLC Global Covered 


The Governor and Company of the 

Bank of Ireland Global Covered 


UK Dec. 31, 

2010 

UK Sept. 30, 

2010 

UK Dec. 31, 

2010 

UK Dec. 31, 

2010 

UK Aug. 31, 

2010 

82 15 3 0 16.37 13.14 2.15 65.03 

89 0 0 11 26.07 21.39 5.58 70.46 

100 0 0 0 35.64 26.13 9.31 79.95 

100 0 0 0 21.20 19.07 4.04 66.16 

100 0 0 0 43.26 32.90 14.23 86.43 

100 0 0 0 27.14 24.21 6.57 75.53 

UK W/H W/H W/H W/H W/H W/H W/H W/H W/H 

UK Dec. 31, 

2010 

UK June 30, 

2010 

UK June 30, 

2010 

BA Covered Bond Issuer US Sept. 30, 

2010 

WM Covered Bond Program US March 31, 

2010 

98 0 0 2 18.74 15.03 2.82 63.68 

100 0 0 0 55.93 38.55 21.56 97.06 

100 0 0 0 33.04 24.39 8.06 76.61 

100 0 0 0 45.27 47.16 21.35 61.00 

100 0 0 0 13.48 56.45 7.61 64.25 

CB--Covered bond. Com--Commercial assets in cover pool. LCB--Legislation-enabled covered bond. LTV--Loan-to-value. 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. WA--Weighted-average. 

WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. W/H--Withheld at issuer's request. Please also refer to table of definitions. 

Table 3 

Mortgage Covered Bond Characteristics (ALMM Risk) 


Bank of Montreal Global 


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 

CA Nov. 30, 

2010 

CA Feb. 28, 

2011 

CA Jan. 31, 

2011 

DE June 30, 

2010 

Deutsche Bank AG DE Oct. 31, 

2010 

Deutsche 



DE Sept. 30, 

2010 

WAM 

assets 

(years) 

WAM 

liabilities 

(years) 


WAM assets 

minus WAM 

liabilities 

(years) 

WA target 

asset 

spread 

(bps) 

ALMM 

(%) 

Target CE 

nominal 

(%) 

Actual CE 

nominal 

(%) 

3.3 3.9 (0.6) 275 0.00 5.08 54.52 

3.2 3.7 (0.5) 275 0.00 7.18 79.72 

2.0 3.9 (1.8) 425 0.00 6.39 89.01 

5.0 4.8 0.2 574 0.00 15.55 74.48 

3.6 5.6 (2.0) 1000 5.22 16.28 60.72 

4.4 3.7 0.7 659 2.54 9.03 19.42 


855997 | 300971121

Table 3 

Mortgage Covered Bond Characteristics (ALMM Risk) (cont.) 

Deutsche Pfandbriefbank 

AG 

DE Oct. 29, 

2010 

Deutsche Postbank AG DE Dec. 31, 

2010 

4.2 4.6 (0.4) 998 1.61 29.49 31.57 

7.4 6.6 0.8 425 0.00 13.04 16.45 

Eurohypo AG DE W/H W/H W/H W/H W/H W/H W/H W/H 

Westdeutsche 

ImmobilienBank 

WL BANK AG 

Westfaelische Landschaft 

Bodenkreditbank 

DE Sept. 30, 

2010 

DE June 30, 

2010 

Danske Bank A/S Pool C DK Feb. 28, 

2011 

Danske Bank A/S Pool D DK Dec. 31, 

2010 

Danske Bank A/S Pool I DK June 30, 

2010 

Nordea Kredit Realkredit 

A/S - Capital Centre 1 

Nordea Kredit Realkredit 

A/S - Capital Centre 2 

Nykredit Realkredit A/S 

Capital Center C 


Capital Center D 


Capital Center E 


Capital Center General 

Realkredit Danmark A/S 

capital centre S 

Realkredit Danmark A/S 

General capital centre 

Totalkredit A/S Capital 

Center C 

Banco Popular Español, 

S.A. 

DK March 31, 

2010 

DK March 31, 

2010 

DK June 30, 

2010 

DK June 30, 

2010 

DK June 30, 

2010 

DK June 30, 

2010 

DK March 31, 

2010 

DK March 31, 

2010 

DK June 30, 

2010 

ES Dec. 31, 

2010 

Barclays Bank, S.A. ES March 31, 

2010 

Caja de Ahorros y Monte 

de Piedad de Gipuzkoa y 

San Sebastian (Kutxa) 

Caja de Ahorros y Monte 

de Piedad de Madrid 

Caja de Ahorros y 

Pensiones de Barcelona 

ES June 30, 

2010 

ES Dec. 31, 

2010 

ES Dec. 31, 

2010 

OP Mortgage Bank FI Dec. 31, 

2010 

AXA Bank Europe SCF FR Sept. 30, 

2010 

Banques Populaires 

Covered Bonds Programme 

FR Dec. 31, 

2010 


4.4 5.5 (1.1) 856 0.00 20.34 24.06 

5.3 5.5 (0.2) 733 2.94 14.29 15.02 

12.2 6.0 6.2 746 0.00 22.14 30.92 

16.6 7.0 9.6 425 14.44 15.79 21.56 

16.1 7.1 8.9 425 0.00 15.90 16.91 

14.9 14.9 0.0 530 0.00 8.50 9.99 

17.6 17.6 0.0 599 0.00 7.70 9.49 

7.8 8.0 (0.2) 620 0.00 4.74 5.40 

13.1 13.7 (0.6) 684 0.00 5.39 6.42 

15.7 16.5 (0.7) 580 0.00 4.30 6.80 

6.6 10.6 (4.0) 717 0.00 24.32 107.35 

15.4 16.9 (1.6) 566 0.91 8.20 8.67 

12.8 13.5 (0.7) 530 0.17 5.05 5.49 

13.4 13.8 (0.4) 425 0.00 2.48 2.92 

20.3 3.1 17.2 817 17.00 55.38 86.51 

19.8 7.8 12.0 700 0.00 101.52 168.46 

24.5 3.9 20.6 700 0.00 76.79 236.83 

23.7 6.8 16.9 7.49 0.00 70.98 92.20 

24.3 5.2 19.1 700 7.00 59.07 156.00 

6.3 4.4 2.0 425 0.00 15.96 44.33 

7.0 10.0 (3.0) 475 0.00 9.30 20.00 

14.3 4.9 9.4 425 7.50 38.17 46.46 


855997 | 300971121

Table 3 


BNP Paribas Home Loan 

Covered Bonds 

CM-CIC Covered Bonds 

Programme 

Credit Agricole Covered 


Credit Foncier et 

Communal d'Alsace et de 

Lorraine - Societe de 

Credit Foncier 

Credit Mutuel Arkea 

Covered Bonds Programme 

GCE Covered Bonds 

Programme 

FR Dec. 31, 

2010 

FR Nov. 30, 

2010 

FR Dec. 31, 

2010 

FR March 31, 

2010 

FR Jan. 31, 

2011 

FR Nov. 30, 

2010 

GE SCF S.C.A FR Sept. 30, 

2010 

HSBC Covered Bonds 

(France) Programme 

FR Sept. 30, 

2010 

AIB Mortgage Bank IE June 30, 

2010 

UniCredit SpA Obbligazioni 

Bancarie Garantite 

Programme 

ABN AMRO Bank N.V. 


IT June 30, 

2010 

NL Dec. 1, 

2010 

ING Bank N.V. NL Dec. 31, 

2010 

DnB NOR Boligkreditt AS NO Nov. 30, 

2010 

Banco BPI S.A. PT Dec. 31, 

2010 

Banco Santander Totta, 

S.A. 

AB Sveriges Sakerstallda 

Obligationer (publ) (The 

Swedish Covered Bond 

Corp.) 

PT Oct. 31, 

2010 

SE Dec. 31, 

2010 

Landshypotek AB SE Feb. 16, 

2011 

Lansforsakringar Hypotek SE Aug. 31, 

2010 

Nordea Hypotek AB SE Aug. 23, 

2010 

Swedbank Mortgage AB SE June 30, 

2010 

Abbey National Treasury 

Services PLC Global 


Bank of Scotland PLC 


Barclays Bank PLC Global 


UK Dec. 31, 

2010 

UK Sept. 30, 

2010 

UK Dec. 1, 

2010 


15.4 4.6 10.8 425 0.00 25.86 47.31 

15.9 3.6 12.3 425 16.00 37.18 48.87 

11.8 5.9 5.9 492 0.00 20.15 36.47 

7.4 3.5 3.8 423 20.40 4.89 11.64 

11.9 5.8 6.1 425 0.00 22.26 47.53 

14.3 2.3 12.1 425 32.80 31.34 45.82 

7.6 5.6 2.0 425 0.00 17.00 97.28 

14.0 6.2 7.8 494 0.00 18.23 98.70 

12.7 4.5 8.2 884 0.00 26.60 32.58 

22.3 6.5 15.8 425 0.00 16.14 42.79 

23.5 6.8 16.7 425 0.00 38.06 49.80 

23.1 7.9 15.2 425 4.40 53.88 75.39 

13.5 6.4 7.1 425 0.00 16.16 29.90 

10.2 6.0 4.3 700 3.26 33.92 32.27 

10.3 3.7 6.6 700 21.35 29.63 30.59 

13.6 3.2 10.4 425 4.99 19.55 26.98 

30.7 4.0 26.7 425 21.24 24.92 25.44 

17.4 2.9 14.5 425 14.47 18.17 22.26 

20.1 3.0 17.1 450 13.05 23.00 28.56 

11.1 2.6 8.6 425 26.81 23.11 23.72 

19.2 7.3 12.0 425 0.00 25.09 66.83 

18.7 4.2 14.5 425 0.00 48.62 68.38 

16.8 9.0 7.8 425 0.00 33.16 131.71 


855997 | 300971121

Table 3 


Bradford & Bingley PLC 


HSBC Bank PLC Covered 


Lloyds TSB Bank PLC 

GBP30 billion Global 

Covered Bond programme 

Nationwide Building 

Society Global Covered 


Northern Rock (Asset 

Management) PLC Global 


The Governor and 

Company of the Bank of 

Ireland Global Covered 


UK Dec. 31, 

2010 

UK Aug. 31, 

2010 

17.3 3.5 13.8 850 21.74 68.57 88.73 

17.0 4.5 12.5 425 0.00 49.28 84.59 

UK W/H W/H W/H W/H W/H W/H W/H W/H 

UK Dec. 31, 

2010 

UK June 30, 

2010 

UK June 30, 

2010 

BA Covered Bond Issuer US Sept. 30, 

2010 

WM Covered Bond 

Program 

US March 31, 

2010 

16.8 9.2 7.5 425 0.00 26.37 84.93 

19.7 5.2 14.5 539 0.00 56.71 75.76 

17.4 2.9 14.5 588 2.90 44.22 59.57 

26.0 3.8 22.2 N.A. 22.95 104.26 55.53 

26.2 4.2 21.9 N.A. 4.64 132.15 51.54 

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) 

CB Country of Reporting Resi Com Pub Other 

WA 


type issuer date 

(%) (%) (%) (%) SDR (%) rating 

DekaBank Deutsche Girozentrale LCB DE Dec. 31, 2010 0 0 95 5 12.61 A- 



Deutsche Pfandbriefbank AG LCB DE March 31, 

2010 

LCB DE Sept. 30, 2010 0 0 94 6 15.37 A- 

0 0 97 3 16.78 BBB+ 

Deutsche Postbank AG (DSL) LCB DE June 30, 2010 0 0 100 0 16.56 A 

Deutsche Postbank AG* LCB DE Sept. 30, 2010 32 0 68 0 22.22 AA 

Dexia Kommunalbank Deutschland AG LCB DE June 30, 2010 0 0 100 0 21.07 BBB+ 



LCB DE Sept. 30, 2010 0 1 97 2 W/H BBB+ 

Eurohypo AG LCB DE W/H W/H W/H W/H W/H W/H W/H 


Girozentrale 

LCB DE Jan. 31, 2011 0 0 89 11 21.25 A- 

NRW.BANK LCB DE Sept. 30, 2010 0 0 100 0 19.47 A 

UniCredit Bank AG LCB DE W/H W/H W/H W/H W/H W/H W/H 

Westdeutsche ImmobilienBank LCB DE Nov. 23, 2010 0 0 92 8 24.24 A- 

WL BANK AG Westfaelische Landschaft 

Bodenkreditbank 


LCB DE Sept. 30, 2010 0 0 96 4 17.53 A 

Banco Bilbao Vizcaya Argentaria, S.A. LCB ES June 30, 2010 0 0 100 0 54.74 BB+ 

BNP Paribas Public Sector SCF LCB FR Sept. 30, 2010 0 0 100 0 100.00 N/A 

Compagnie de Financement Foncier¶ LCB FR June 30, 2010 31 0 58 11 13.25 BBB+ 

Dexia Municipal Agency LCB FR Jan. 31, 2011 0 0 93 7 19.94 BBB 


855997 | 300971121

Table 4 

Public Covered Bond Characteristics (Credit Risk) (cont.) 

Societe Generale SCF LCB FR Dec. 31, 2010 0 0 100 0 24.82 BBB+ 

Depfa ACS Bank LCB IE March 31, 

2011 

EAA Covered Bond Bank Public Ltd Co. LCB IE March 31, 

2010 

0 0 100 0 14.13 A+ 

0 0 100 0 16.96 A- 

Dexia LdG Banque S.A. LCB LU Jan. 31, 2011 0 0 94 6 19.03 BBB 

Erste Europaeische Pfandbrief- und 


EUROHYPO Europaeische Hypothekenbank 

S.A. 

LCB LU Dec. 31, 2010 0 0 90 10 W/H W/H 

LCB LU March 31, 

2010 

0 0 91 9 10.19 A- 

Hypo Pfandbrief Bank International S.A. LCB LU Feb. 28, 2011 0 0 99 1 21.59 A- 

NORD/LB COVERED FINANCE BANK S.A. LCB LU Aug. 31, 2010 0 0 93 7 16.52 BBB 

Banco BPI S.A. LCB PT Aug. 31, 2010 0 0 96 4 51.74 A 

Bank of Scotland plc Social Housing 


SCB UK Aug. 31, 2010 0 0 100 0 26.14 A- 

*SDR does not reflects assumed asset defaults on mortgage assets. ¶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. W/H-Withheld at issuer's request. Please also 

refer to table of definitions. 

Table 5 

Public Covered Bond Characteristics (ALMM Risk) 


DekaBank Deutsche 

Girozentrale 



CB 

type 

Country 

of 

issuer 

Reporting 

date 

LCB DE Dec. 31, 

2010 

LCB DE Sept. 30, 

2010 

Deutsche Pfandbriefbank AG LCB DE March 31, 

2010 

Deutsche Postbank AG LCB DE Sept. 30, 

2010 

Deutsche Postbank AG (DSL) LCB DE June 30, 

2010 

Dexia Kommunalbank 

Deutschland AG 



LCB DE June 30, 

2010 


2010 

WAM 

assets 

(years) 

WAM 

liabilities 

(years) 

WAM 

assets 

minus 

WAM 

liabilities 

(years) 

WA 

target 

asset 

spread 

(bps) 

ALMM 

(%) 

Target 

CE 

nominal 

(%) 

4.0 3.5 0.5 174 19.01 7.87 8.63 

6.6 6.4 0.2 228 3.35 8.19 8.22 

Actual 

CE 

nominal 

(%) 

8.0 7.6 0.4 213 12.40 6.85 10.74 

6.0 4.8 1.2 215 15.82 18.98 36.79 

4.1 3.5 0.6 177 11.80 21.93 35.88 

8.0 7.5 0.5 203 3.44 8.01 9.09 

6.1 6.8 (0.7) W/H 5.17 W/H 27.31 

Eurohypo AG LCB DE W/H W/H W/H W/H W/H W/H W/H W/H 


Girozentrale 

LCB DE Jan. 31, 

2011 

NRW.BANK LCB DE Sept. 30, 

2010 

5.5 5.0 0.5 249 9.80 11.96 37.27 

5.9 6.3 (0.4) 159 0.00 31.92 135.88 

UniCredit Bank AG LCB DE W/H W/H W/H W/H W/H W/H W/H W/H 

Westdeutsche ImmobilienBank LCB DE Nov. 23, 

2010 




2010 


5.1 4.4 0.8 184 14.52 10.73 18.52 

4.8 6.4 (1.6) 206 4.91 8.34 9.37 


855997 | 300971121

Table 5 

Public Covered Bond Characteristics (ALMM Risk) (cont.) 

Banco Bilbao Vizcaya 

Argentaria, S.A. 

LCB ES June 30, 

2010 

BNP Paribas Public Sector SCF LCB FR Sept. 30, 

2010 

Compagnie de Financement 

Foncier 

LCB FR June 30, 

2010 

Dexia Municipal Agency LCB FR Jan. 31, 

2011 

Societe Generale SCF LCB FR Dec. 31, 

2010 

Depfa ACS Bank LCB IE March 31, 

2011 

EAA Covered Bond Bank Public 

Ltd Co. 

LCB IE March 31, 

2010 

Dexia LdG Banque S.A. LCB LU Jan. 31, 

2011 

Erste Europaeische Pfandbriefund 


EUROHYPO Europaeische 

Hypothekenbank S.A. 

Hypo Pfandbrief Bank 

International S.A. 

NORD/LB COVERED FINANCE 

BANK S.A. 

LCB LU Dec. 31, 

2010 

LCB LU March 31, 

2010 

LCB LU Feb. 28, 

2011 

LCB LU Aug. 31, 

2010 

Banco BPI S.A. LCB PT Aug. 31, 

2010 

Bank of Scotland plc Social 

Housing Covered Bond 

Programme 

SCB UK Aug. 31, 

2010 

6.7 3.3 3.4 N.A. 26.00 198.29 198.29 

4.2 6.3 (2.0) 150 0.00 9.62 10.88 

8.2 5.9 2.3 405 1.90 9.08 13.37 

9.1 6.3 2.8 227 7.79 14.33 20.97 

8.4 7.8 0.6 155 0.00 10.34 13.50 

7.3 8.6 (1.3) 248 6.55 6.44 9.96 

7.4 7.8 (0.4) 230 30.29 9.70 9.73 

6.0 5.1 0.9 285.91 6.02 12.14 36.38 

9.4 9.8 (0.4) W/H 4.00 0.00 10.58 

7.5 5.0 2.5 192 14.25 10.69 15.11 

6.1 9.9 (3.7) 277 17.94 7.56 8.42 

8.1 7.9 0.3 293 0.00 16.71 23.69 

3.7 6.9 (3.2) N.A. 9.85 85.44 28.02 

12.1 7.9 4.2 250 0.00 17.10 58.70 

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. 

Glossary Of Definitions 

ALMM 

The asset-liability mismatch as described in paragraphs 23 to 32 of "Revised Methodology And Assumptions for 

Assessing Asset-Liability Mismatch Risk In Covered Bonds," published Dec. 16, 2009. 

CB type 

This reflects our classification of covered bonds, whereby legislation-enabled covered bonds (LCBs) are covered 

bonds based on a specific covered bond legal framework, such as those in Germany, Finland, Sweden, Norway, 

Denmark, Luxembourg, Spain, Portugal, and France (Obligations foncières). Structured Covered Bonds (SCBs) are 

general law-based covered bonds issued in countries such as France, the U.S., and Canada. In addition, covered 

bonds issued from the U.K., The Netherlands, and Italy use a combination of legislation and general law framework 

and are included in our definition of SCBs. 

Outstanding liabilities 

For SCBs, this amount either reflects the outstanding liabilities as of the respective reporting date or the outstanding 

liabilities including new issuances that appeared after the reporting date. 



855997 | 300971121

In future updates on this article, we expect the numbers to represent the outstanding amount of just the quarterly 

surveillance reports. 

Reporting date 

Note that the tables show data as of various reporting dates ranging from March 2010 until March, 2011, which is 

mainly due to the implementation of the updated criteria of December 2009. 

Covered bond programs don't all report at the same cut-off date, although generally at least on a quarterly basis. 

For future updates of this article, we expect to refer to the same pool cut-off dates. This means that for all pools that 

report as of the end of March, June, September, and December, we expect to show end-of-June data at a minimum. 

For those that report as of the end of January, April, July, and October, we expect to show end-of-July data. 

Also note that sometimes we receive more updated cash flow data, that is, while the asset reports could stem from 

September 2010, we have received updated cash flow data or an updated amount of the liabilities, due to further 

issuance, for example. In these cases, the reporting date referred to in the tables in this article is the cut-off date of 

the assets. However, the characteristics that are dependent on the provided data of the liabilities, such as the ALMM 

percentage, have been updated based on the most recent data received on the liabilities. 

Scenario default rate (SDR) 

The SDR is the modeled gross level of asset defaults that the CDO Evaluator estimates and that covered bonds are 

expected to be able to withstand at the 'AAA' rating level, consistent with our rating criteria (see "Credit Rating 

Model: CDO Evaluator 5.1," published Aug. 16, 2010, and paragraph 70 of "Revised Methodology And 

Assumptions for Assessing Asset-Liability Mismatch Risk In Covered Bonds," published Dec. 16, 2009. 

Target asset spread 

The methodologies and assumptions to calculate the target asset spread is described in paragraph 59 of "Revised 

Methodology And Assumptions for Assessing Asset-Liability Mismatch Risk In Covered Bonds," published Dec. 16, 

2009. 

Target CE and actual CE 

The methodologies and assumptions to calculate the target credit enhancement and actual credit enhancement are 

described in paragraphs 69–72 of our "Revised Methodology And Assumptions for Assessing Asset-Liability 

Mismatch Risk In Covered Bonds," published Dec. 16, 2009. 

Time to recovery 

This represents the weighted-average time needed to recover or restructure the cover pool assets following a default. 

WAFF 

WAFF is the weighted-average foreclosure frequency. The foreclosure frequency is a loan's probability of default 

leading to foreclosure. The estimated foreclosure frequency is a function of borrower and loan characteristics as well 

as the economic stress scenario commensurate with a certain rating level. 

WALS 

WALS is the weighted-average loss severity. The loss severity quantifies the loss realized as a result of foreclosure. 

The expected loss is predicated on assumptions about the potential decline in the market value of collateral that may 

secure the asset, as well as the expenses incurred in foreclosing on and reselling the property, considering an 

economic stress scenario, commensurate typically with a certain rating level. 



855997 | 300971121

WAFF and WALS 

The potential loss associated with an entire pool can be calculated by multiplying the weighted-average foreclosure 

frequency (WAFF) with the weighted-average loss severity (WALS) at the 'AAA' rating level (see paragraph 70 of 

"Revised Methodology And Assumptions for Assessing Asset-Liability Mismatch Risk In Covered Bonds," 

published Dec. 16, 2009.) Note that the product of WAFF and WALS does not equal the asset default risk referred 

to in paragraph 73 of "Revised Methodology And Assumptions for Assessing Asset-Liability Mismatch Risk In 

Covered Bonds." 

WAM assets and WAM liabilities 

The weighted-average maturity of the assets/liabilities of legislation-enabled covered bonds takes into account all 

scheduled amortizations of the assets/liabilities, whereby the WAM of the assets/liabilities of structured covered 

bonds--as presented--only takes into account the weighted average of final maturities. For future updates of this 

article, we expect both figures to consider scheduled amortization of the assets. The WAM of the liabilities is based 

on the final legal maturity, which takes into account the documented extension period. 

WA rating 

The purpose of displaying the weighted-average obligor rating is mainly to show a relative ranking of the 

public-sector cover pools in respect of their credit quality. 

The weighted-average rating, as shown in Table 4, is a modeled output of the CDO Evaluator, the credit rating 

model that we use for the credit analysis of public-sector assets. It does not reflect the weighted-average product of 

the rating on the individual obligors and the respective exposures to them. The weighted-average rating in Table 4 is 

computed rather as the credit rating that would have a probability of default and maturity that best approximates 

the portfolio's weighted-average maturity and expected portfolio default rate. The latter is the weighted-average 

default rate of the portfolio, based on the asset default rates specified in Standard & Poor's default table, which, in 

turn, are based on historical default rates we have compiled. The weighted-average rating reflects the actual 

remaining life of the assets, rather than some fixed hypothetical remaining life. The use of the latter would 

increasingly distort the default probabilities of the portfolio as the actual average remaining life shortens over time. 

Note that in our credit analysis, we separate borrowers into rated and unrated borrowers. We will stress nonrated 

assets more severely because we do not regularly monitor their credit quality. For further information on the credit 

analysis please refer to "Rating Pfandbriefe--The Analytical Perspective," published Jan. 27, 2003. 

Whole-loan LTV 

Loan-to-value (LTV) ratio is defined as the ratio of aggregate mortgage debt (that is, not only the loans in the cover 

pool) divided by the value of the property. This ratio takes into account any analytical adjustments, such as (HPBI) 

indexation or valuation haircuts. The LTV ratios for French programs are loan-to-price (purchase price) ratios, not 

loan-to-value ones. Weighted average means they are weighted by the percentage of loans in the total pool balance. 

Related Criteria And Research 

• Counterparty And Supporting Obligations Methodology And Assumptions, Dec. 6, 2010 

• Credit Rating Model: CDO Evaluator 5.1, Aug. 16, 2010 

• Credit FAQ: Standard & Poor's Explains Update To Criteria For Assessing Asset-Liability Mismatch Risk In 

Covered Bonds, Dec. 17, 2009 


• Revised Methodology And Assumptions For Assessing Asset-Liability Mismatch Risk In Covered Bonds, Dec. 16, 


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2009 

• Methodology And Assumptions: Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 

2009 

• Methodology & Assumptions: Applying The Derivative Counterparty Framework To Covered Bonds, Feb. 26, 

2008 

• A Listing Of S&P's New Actions Aimed At Strengthening The Ratings Process, Feb. 7, 2008 

• Principles-Based Rating Methodology For Global Structured Finance Securities, May 29, 2007 

• Revised Framework For Applying Counterparty And Supporting Party Criteria, May 8, 2007 

• Cash Flow Criteria For European RMBS Transactions, Nov. 20, 2003 

• Rating Pfandbriefe--The Analytical Perspective, Jan. 27, 2003 

Related articles are available on RatingsDirect. Criteria, presales, servicer evaluations, and ratings information can 

also be found on Standard & Poor's Web site at www.standardandpoors.com. Alternatively, call one of the 

following Standard & Poor's numbers: Client Support Europe (44) 20-7176-7176; London Press Office (44) 

20-7176-3605; Paris (33) 1-4420-6708; Frankfurt (49) 69-33-999-225; Stockholm (46) 8-440-5914; or Moscow (7) 

495-783-4011. 

Additional Contact: 

Covered Bonds Surveillance; CoveredBondSurveillance@standardandpoors.com 



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