ANNUAL REPORT 2006 - DG Hyp

Notes to the Financial Statements
Coverage
(31) Coverage by balance sheet item
Public-sector
Mortgage bonds covered bonds
31 Dec 2006 31 Dec 2006
€ mn € mn
Ordinary cover 18,286 47,429
Loans and advances to customers 18,178 16,528
Loans secured by property mortgages to customers 18,178 293 *)
Communal loans to customers – 16,235
Loans and advances to banks 108 5,128
Loans secured by property mortgages to banks 108 848 *)
Loans to local authorities, to banks – 4,280
Bonds and other fixed-income securities – 25,773
Extended cover 394 1,661
Loans and advances to banks – 600
Balances held with banks – 600
Bonds and other fixed-income securities 394 1,011
Derivatives in cover – 50
Total 18,680 49,090
Market value of hedging derivatives**) – – 4
*) under a municipal guarantee
**) negative market value of a cross currency swap employed to hedge the outstanding Pfandbriefe
(32) Details pursuant to section 28 of the German Pfandbrief Act
Outstanding Pfandbriefe and related cover assets
Nominal amount Present value Risk-adjusted present value*)
a) Total amount of outstanding 31 Dec 2006 31 Dec 2005 31 Dec 2006 31 Dec 2005 31 Dec 2006 31 Dec 2005
€ mn € mn € mn € mn € mn € mn
Mortgage bonds 16,999 18,114 17,538 19,209 17,103 18,691
Cover assets pool 18,680 19,257 19,545 21 122 18,778 20,335
of which: Derivatives 0 0 0 0 0 0
Excess cover 1,681 1,143 2,007 1,913 1,675 1,644
Excess cover (%) 9.9 6.3 11.4 10.0 9.8 8.8
*) When calculating stress scenarios, the static method is used for currencies and the dynamic method for interest rates.
ad a) Maturity structure Mortgage bonds Cover assets pool
31 Dec 2006 31 Dec 2005 31 Dec 2006 31 Dec 2005
€ mn € mn € mn € mn
up to 1 year 2,373 2,877 2,313 2,875
> 1 year to 5 years 10,844 10,985 7,252 8,421
> 5 years to 10 years 3,459 4,191 7,808 7,134
> 10 years 323 61 1,307 827
Total 16,999 18,114 18,680 19,257
Deutsche Genossenschafts-Hypothekenbank AG | Annual Report 2006
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