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Please see important disclosure on the last pages.
2
Agenda Page
Market overview 2
vdp publishes §28 data for Q2 2016 4
Movement in the Bund-Länder spread – Lasting trend or temporary phenomenon? 7
ECB tracker 9
Charts & Graphs 14
Publication overview 20
Contacts 21
Find us on Bloomberg: NRDR <GO>
Issue volume – Covereds Issue volume – SSA
0
5
10
15
20
25
30
08
/15
09
/15
10
/15
11
/15
12
/15
01
/16
02
/16
03
/16
04
/16
05
/16
06
/16
07
/16
EU
Rbn
AUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR
0
5
10
15
20
25
30
35
09
/15
10
/15
11
/15
12
/15
01
/16
02
/16
03
/16
04
/16
05
/16
06
/16
07
/16
08
/16
EU
Rb
n
Other
ES
AT
NL
FR
GE
SNAT
Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research
Fixed Income Research
Covered Bond & SSA View 10 August 2016 31/2016
Distribution: 10.08.2016 14:22
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 2 of 25
Covered Bonds Market overview
Analyst:
Kai Ebeling, CIIA
Primary market calms in the
summer break
The summer break meant that we did not see any issuers attempting to
place a EUR-denominated benchmark covered bond in the last five trading
days. In the USD segment, Landesbank Hessen-Thüringen issued a cov-
ered bond worth USD 600m with a maturity of four years yesterday. The
pricing process initially started at ms +low/mid 50s. However, strong demand
meant that the reoffer spread could be reduced slightly and the bond was
issued at ms +50bp.
Spreads continue to fall on
the secondary market
Spreads have tightened further in all covered bond jurisdictions since the
beginning of the month. The largest movements were determined across all
countries in the 7y-10y and >10y maturity bands. In Spain, spreads on single
and multi-cédulas tightened by two to three basis points at the long end. In
comparison, the spreads on British and Danish covered bonds at the short
end (1y-3y) posted the best performance at around two basis points. The
spreads on German Pfandbriefe narrowed by roughly one to two basis
points along the entire curve. Consequently, despite the summer break, the
market for potential issues remains constructive.
BBVA launches a new
covered bond programme
Spain’s Banco Bilbao Vizcaya Argentaria (BBVA) is the first issuer in Spain
to launch a programme for issuing cédulas de internacionalización (CIs),
which has been given a rating of Aa2 by Moody’s. CIs are covered bonds,
which use export finance loans as collateral in the associated cover pools.
Unlike the situation in Germany or France, for instance, where export fi-
nance loans are used in some public sector cover pools, there has been a
special legal basis for this asset class in Spain since 2012. The reason for
the introduction of this asset class was the fear prevailing at the time that
issuers would not have sufficient cover assets to issue their cédulas hipoth-
ecarias because of the sharp fall in prices on the Spanish property market.
However, this situation has not materialised with the result that it has taken
four years for the first issuer to launch a CI programme. A distinction should
be made here between cédulas de internacionalización and bonos de inter-
nacionalización (BI), which were issued for the first time by Banco Santander
in 2015. The two most significant differences are that CIs are covered by all
export finance loans held in an issuer’s balance sheet with the exception of
cover assets already promised for issued BIs, whereas BIs are only backed
by a specific cover pool, which holds export finance loans. The second dif-
ference is to be found in the minimum overcollateralization ratios, which, at
42.9% for CIs, is above the ratio for BIs.
Trader’s comment At the beginning of the week, covered bonds which were not eligible for
CBPP3 – in particular paper from the Overseas & Others region – failed to
maintain their previous performance. Purchases concentrated primarily on
the long end of the curve where preference was given to maturities offering a
positive yield. We also saw further convergence between the spreads on first
and second class covered bonds.
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 3 of 25
SSA Market overview
Analysts:
Mario Gruppe, CIIA
Norman Rudschuck, CIIA
H1 2016:
Uneven demand for
KfW promotion
The KfW Banking Group distributed total promotional funding of EUR 36.2bn
in H1 2016 (H1 2015: EUR 41.5bn). The domestic promotional business was
very successful during this period at EUR 26.7bn (EUR +1.0bn). Strong de-
mand in particular for financing for energy-efficient housing construction and
energy-efficient company projects contributed to the increase. There was an
especially positive trend in loan approvals in the KfW Entwicklungs-bank
division, which had almost doubled to EUR 3.1bn. Loan loss provisioning in
the credit business mildly dampened the positive earnings situation by EUR
13m. According to KfW, the valuation adjustment requirement which was
mainly in the area of export financing and project financing and in the promo-
tion of developing and emerging countries was offset by positive one-off
effects in the form of amounts received for receivables which had already
been written off. In the environmental protection promotional area, KfW
committed EUR 4.6bn (EUR -0.4bn), and individual, large-volume financings
are expected in the second half.
Olympic railway system
kick off on time
Right on time for the opening of the Olympic Games, the first stretch of the
new "VLT Carioca" light railway system went into service in Rio de Janeiro.
KfW helped finance the eco-friendly, modern, user-friendly and barrier-free
local transport system which has a total length of 13.5 km on behalf of the
Federal Ministry for Economic Cooperation and Development (BMZ) with a
loan of EUR 133m. The light railway will now be able to carry up to 8,400
people every hour, saving 324,000 tonnes of CO2 over a 25-year lifespan in
addition to 12 million car trips per year.
Fall in Spanish yields On Monday, the yield of Spanish ten-year BONOs fell below the 1% mark for
the first time. As we have already discussed on a number of occasions, low
sovereign bond yields lead to a reallocation movement to promotional banks
or regions. Although supply in the secondary market in Spain is by no means
as scarce as it is in Germany, as the Roman poet Ovid said: "Nip it in the
bud!"
Primary market In the trading week under review here (Wednesday to Tuesday), there was
an increase in foreign currency-denominated issues. However, Germany's
capital Berlin was also active in the primary market, raising EUR 250m for
eight years at ms -13bp. Furthermore, Germany's most heavily populated
state (NRW) was able to tap a 2031 bond by EUR 150m at ms -1bp and a
2026 bond by EUR 100m.
Issuer Country Timing ISIN Maturity Volume Spread Rating
- - - - - - - - / - / -
Source: Bloomberg, NORD/LB Fixed Income Research (Rating: Fitch / Moody’s / S&P)
Trader’s comment There were no new issues in benchmark format in the Länder segment. In a
week without special highlights, there was still lively demand for Bundeslän-
der. Spreads have tightened as a result of a scarcity of supply. There was
also better demand for the Canadian regions which continued to tighten.
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 4 of 25
Covered bonds vdp publishes §28 data for Q2 2016
Analyst:
Kai Ebeling, CIIA
Hypothekenbank Frankfurt
programmes transferred to
Commerzbank
The Pfandbrief issuers forming the Verband deutscher Pfandbriefbanken
(vdp), have published their transparency reports on the composition of cover
pools for the second quarter of 2016 in accordance with §28 of the German
Pfandbrief Act (PfandBG). Reports on (almost) all member banks are pro-
vided on the vdp website. After the banking licence of Hypothekenbank
Frankfurt was returned in May this year, the cover pools (minus commercial
cover assets) and the outstanding issues were transferred to Commerzbank,
meaning that the two banks’ programmes have been combined since this
quarter. However, despite being a member, Deutsche Bank is not included in
the reporting and consequently its data has not been taken into account in
the following statements. The bank has a programme for mortgage Pfand-
briefe (Hypfe), which had an outstanding volume of EUR 6,386.9m at the
end of June. The cover pool comprised an amount of EUR 8,470.3m. Dexia
Kommunalbank also left the vdp on 31 December 2015, which is why no
data is provided on the issuer’s public sector-backed programme. We have
adjusted previous quarters accordingly to ensure the current data are com-
parable.
Development – outstanding volume Development – shares
0
50
100
150
200
250
300
350
400
450
Q22014
Q32014
Q42014
Q12015
Q22015
Q32015
Q42015
Q12016
Q22016
in E
UR
bn
Mortgage Public Sector Ship Aircraft
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Q2 2014 Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016
Mortgage Public Sector Ship Aircraft
Source: Issuers, NORD/LB Fixed Income Research Source: Issuers, NORD/LB Fixed Income Research
Renewed fall in outstanding
Pfandbrief volume and cover
pools
At the end of Q2 2016, the banks reported a total outstanding Pfandbrief
volume of EUR 343.6bn. Consequently, the downward trend on the German
Pfandbrief market is continuing, with a further increase in the fall on the pre-
vious quarter compared with the preceding quarterly comparison. According-
ly, the fall on the previous quarter amounted to -3.8% q/q (Q1 2016: EUR
357.1bn). Over the year as a whole as well, the reduction amounts to a sub-
stantial -6.2% y/y (Q2 2015: EUR 366.5bn). Having risen slightly in Q1 2016,
the reported figure for cover pools fell again last quarter, meaning that the
figure at 30 June has fallen by 2.0% to EUR 449.5bn (Q1 2016: EUR
458.9bn). The average overcollateralization across all types of Pfandbrief
improved because of the lower absolute fall in the cover pool to 30.8% (Q1
2016: 28.5%). The share of mortgage Pfandbriefe also increased slightly in
the last quarter to 54.2% (Q1 2016: 53.4%).
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 5 of 25
Development – Hypfe (mortgage) Development – Öpfe (public sector)
251.5
252.8
251.3
251.6
252.2
252.8
249.7
252.1
248.2
185.7
183.8
183.5
185.5
184.3
189.2
189.6
190.8
186.3
0%
5%
10%
15%
20%
25%
30%
35%
40%
0
50
100
150
200
250
300
Q2/14 Q3/14 Q4/14 Q1/15 Q2/15 Q3/15 Q4/15 Q1/16 Q2/16
in E
UR
bn
Cover Pool Hypfe OC (rhs)
278.6
271.1
259.4
254.0
241.0
232.8
220.2
198.9
193.72
18.9
215.9
207.2
204.6
196.2
190.0
183.3
160.7
152.2
0%
5%
10%
15%
20%
25%
30%
0
50
100
150
200
250
300
Q2/14 Q3/14 Q4/14 Q1/15 Q2/15 Q3/15 Q4/15 Q1/16 Q2/16
in E
UR
bn
Cover Pool Öpfe OC (rhs)
Source: Issuers, NORD/LB Fixed Income Research Source: Issuers, NORD/LB Fixed Income Research
Mortgage Pfandbriefe
register falling volumes for
the first time
In the last quarter, the increase in the outstanding volume of mortgage
Pfandbriefe, which has been a feature since Q3 2015, ground to a halt
meaning that the figure fell by 2.4% compared with the previous quarterly
figure (Q1 2016: EUR 190.8bn) and now stands at EUR 186.3bn, which
simultaneously equates to the lowest level since Q2 2015. UniCredit Bank
reported the highest maturities, at EUR 1.6bn, followed by Commerzbank’s
combined programme, at EUR 1.3bn, and Aareal Bank’s, at EUR 0.8bn.
There is still no sign of the downward trend in public sector Pfandbriefe bot-
toming out either, meaning that the outstanding volumes fell by 5.3% com-
pared with the previous quarter to EUR 152.2bn (Q1 2016: 160.7bn). Here,
the falling volumes were in particular driven by maturities at Helaba (EUR
2.8bn), LBBW (1.8bn) and UniCredit Bank (EUR 1.2bn). Thanks to a smaller
(both in relative and absolute terms) decline in cover pools, the overcollat-
eralization ratio of public sector programmes improved to 27.3% on average.
Ship and aircraft Pfandbriefe still enjoy a niche existence, with NORD/LB still
the only issuer in the “Aircraft Pfandbriefe” segment.
Development – Schipfe (ship Pfandbriefe) Development – Flugpfe (aircraft Pfandbriefe)
7.3 7.5
7.1
7.6
7.6
6.9
6.7
5.9
5.6
5.3
5.2
5.0 5.2
4.8
4.2
5.3
4.6
4.2
0%
10%
20%
30%
40%
50%
60%
70%
0
1
2
3
4
5
6
7
8
9
Q2/14 Q3/14 Q4/14 Q1/15 Q2/15 Q3/15 Q4/15 Q1/16 Q2/16
in E
UR
bn
Cover Pool Schipfe OC (rhs)
2.2 2
.3 2.3 2
.4
2.3
2.1
1.9
1.8 1
.9
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
1.0
0%
20%
40%
60%
80%
100%
120%
140%
160%
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Q2/14 Q3/14 Q4/14 Q1/15 Q2/15 Q3/15 Q4/15 Q1/16 Q2/16
in E
UR
bn
Cover Pool Flugpfe OC (rhs)
Source: Issuers, NORD/LB Fixed Income Research Source: Issuers, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 6 of 25
Münchener Hyp is still the
No. 1 among Hypfe issuers
Helaba is the largest Öpfe
issuer once more
Among the top 3 according to outstanding Hypfe volume, Münchener Hy-
pothekenbank (10.2%) remains in first place ahead of UniCredit Bank
(8.2%). In total, the top 10 banks account for a market share of 69.3%,
whereby their share has also increased compared with the previous quarter
(67.0%) because of the merger of Hypfra with Commerzbank. Deutsche
Bank would again be ranked eleventh if it reported via the vdp. In the case of
public sector Pfandbriefe, Landesbank Hessen-Thüringen (11.5%) consti-
tutes the issuer with the highest outstanding volume, followed by Bayerische
Landesbank (11.2%). They are still somewhat more concentrated than is the
case for Hypfe. Accordingly, the ten largest Öpfe issuers together account
for 79.6% of the outstanding volume, whereby their share has also increased
on the previous quarter (78.3%) because of the above-mentioned merger.
Market shares – Hypfe Market shares – Öpfe
10.2%
8.2%
8.2%
7.9%
6.7%
6.3%5.6%
5.6%
5.5%
5.0%
30.7%
Münchener Hyp
UniCredit
pbb
WL Bank
Commerzbank
Berlin Hyp
DG Hyp
LBBW
Aareal Bank
Helaba
Others
11.5%
11.2%
10.8%
9.6%
9.0%7.2%
7.1%
6.0%
4.0%
3.3%
20.4% Helaba
BayernLB
pbb
NORD/LB
Commerzbank
DG Hyp
WL Bank
LBBW
DeutscheHypo
Münchener Hyp
Others
Source: Issuers, NORD/LB Fixed Income Research Source: Issuers, NORD/LB Fixed Income Research
Conclusion Outstanding volume has decreased further in all categories of Pfandbriefe –
with the exception of aircraft Pfandbriefe. As a result, even Hypfe have not
posted further growth, after the volume returned to recording slight increases
in the previous quarters. To what extent the fall in outstanding volume of
Hypfe is an outlier cannot be clearly answered for the moment, but to be
sure, we assume that Hypfe will remain a permanent fixture of German
banks’ funding portfolios. However, the reissue of TLTROs, which the ECB
has started since the second half of the year, could lead to some issuers
having decided or deciding to use these for funding purposes. This means
that a fall in the outstanding volume of mortgage-backed Pfandbriefe may
also be expected in the next quarter. As a result of the merger of Hypfra’s
mortgage-backed and public sector-backed programmes with Com-
merzbank, it is not just the market share of the ten largest issuers that has
increased, but also Commerzbank’s position in the ranking, with the result
that the bank now ranks fourth in the case of both types of Pfandbrief. How-
ever, since Hypfra is now being liquidated and consequently carried out no
new business, Commerzbank cannot be expected to issue a far larger
amount of Pfandbriefe in future. In our opinion, growth is only likely in Hypfe.
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 7 of 25
SSAs Movement in the Bund-Länder spread – Lasting trend or temporary phenomenon?
Analysts:
Mario Gruppe, CIIA
Norman Rudschuck, CIIA
ECB distorting prices
The ECB continues to have a major impact on the yield trend in the bond
markets with its bond purchases. Meanwhile, with the start of its CSPP, mar-
ket distortions have now also spread to the corporate-bond segment. Irre-
spective of this, however, a large part of the ECB's monthly purchases of
EUR 80bn is still going into the public issuers segment. Consequently, the
market for government bonds and SSAs is still subject to massive distortions.
What goes up,
must come down…
In such conditions, however, there are still occasionally interesting trading
ideas, primarily in view of a shift in the relative attraction of individual seg-
ments of the SSA and government-bond universe. In the last few weeks, for
example, the yields of Bunds and Bundesländer bonds have been converg-
ing. Immediately after the Brexit vote in the UK at the end of June, the yield
difference had risen to a temporary high. In the ten-year maturity segment,
the spread – depending on the bond – was at around 45bp. In the middle
maturity segment, the yield difference reached up to 40bp. Since then,
spreads have tightened significantly; at present, they are at around 20bp
both in the medium segment and at the long end.
Bund curve as driver of
spread movement
This trend is primarily a reflection of movements on the Bund curve. Shortly
before the Brexit decision and also immediately after the outcome of the
referendum, many investors sought the safety of Bunds, leading to a marked
fall in yields along the entire curve. Subsequently, the ten-year benchmark
bond fell to as low as -0.19%, the lowest yield level ever. Five-year German
sovereign bonds are currently yielding just below -0.60%. Although Bun-
desländer bonds have also generally followed this movement, the extent of
the fall in yields was slightly weaker. Consequently, the Bund-Länder spread
widened to its highest level so far this year at the end of June.
Yield development of selected Bundesländer
bonds vs. Bunds (10Y) Spread development of selected Bundesländer bonds vs. Bunds (10Y)
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
01.06.2016 14.06.2016 27.06.2016 10.07.2016 23.07.2016 05.08.2016
in %
Bunds 10Y NRW 0.5 04/16/2026
NIESA 0.5 06/08/2026
20
25
30
35
40
45
50
01.06.2016 14.06.2016 27.06.2016 10.07.2016 23.07.2016 05.08.2016
NRW 0.5 04/16/2026 NIESA 0.5 06/08/2026
Source: Bloomberg, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 8 of 25
Brexit uncertainties
evaporate
Since then, however, things have calmed down a little. Subsequently, the
yield of German government bonds increased moderately, while Bundeslän-
der yields moved more sideways. As a result, yield differences have nar-
rowed again significantly. There are two main reasons for this: first, the un-
certainty caused by the Brexit vote has disappeared from the market to some
extent. Although the outcome of the referendum means a more uncertain
scenario for the future, the trend since the end of June has shown that the
UK's withdrawal from the EU will be an orderly process backed by all sides
and that it will be some time before the UK finally leaves the EU. In addition,
it is as yet impossible to estimate what the actual terms of the UK's with-
drawal or what the UK's future relationship with the EU will be. Whereas the
uncertainty and safe-haven effect had more impact on Bund yields ahead of
the referendum, it is also mainly Bunds which are affected by the current
recovery.
ECB bearing in mind
potential scarcity
In addition, in our view, the ECB is one of the causes behind the tightening of
yield differences. Although it has not reacted so far to signs of scarcity of
purchasable material – especially of German government bonds, Bunds are
likely to be the first to benefit from the adjustments in the purchase pro-
gramme under discussion in the market. From our point of view, the increase
in the ISIN limits from 33% at present to 50% or even 70% and the lifting of
the deposit facility interest rate as yield floor are the most likely measures.
Although Bundesländer bonds would benefit equally from both steps, we
expect the Bundesbank then increasingly to turn to Bunds. This suggests that
the process of spread tightening seen in the last few weeks could be more
sustained than initially thought. As things stand at present, we do not expect
any fresh, noticeable widening of yield differences.
Conclusion Even in market conditions distorted by the ECB, it is possible to generate
interesting trading ideas. Recently, there was a marked tightening in the yield
difference between Bunds and Bundesländer bonds. Driven by uncertainty
prior to and immediately after the Brexit vote in the UK, the spread between
these securities had widened significantly. In the last few weeks, however,
there has been a marked countertrend. We do not expect any fresh and
marked widening of spreads at present.
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 9 of 25
Covered Bonds/SSA ECB tracker
Analysts:
Kai Ebeling, CIIA
Norman Rudschuck, CIIA
In this section, we publish weekly updates on the covered bonds, ABS, spe-
cific agencies, supranationals and sovereign bonds which the European
Central Bank (ECB) is purchasing. We provide an overview of the develop-
ment of purchases.
CBPP3 net inflows rise
slightly in the past four
weeks
As at the reference date of 5 August, the ECB reported a portfolio totalling
EUR 187.380bn as part of the CBPP3. In comparison to the previous week,
this value has therefore risen by EUR 0.746bn, with net inflows consisting
exclusively of purchases. Net inflows in the past four weeks therefore rose
again marginally to EUR 3.280bn (previously: EUR 3.064bn) On account of
the summer recess, no EUR-denominated covered bond (benchmark) pri-
mary market transactions are currently taking place, meaning that the cen-
tral banks are mostly reliant on the secondary market for their purchases.
On account of the market illiquidity, which we have mentioned several times
previously, weekly net inflows under the CBPP3 are likely to remain at very
low levels over the coming weeks as well. In the ABSPP, maturities ex-
ceeded the purchase volume slightly. This meant that, at EUR -69m, net
inflows in the previous reporting period were trending slightly downwards.
This also precipitated a fall in the net inflows over the past four weeks to a
current level of EUR 205m (previously: EUR 514m). As at the reference date
of 5 August, the purchase volume attributable to the central banks as part of
the CSPP had risen to EUR 14.978bn, meaning that the portfolio has in-
creased by EUR 1.764bn in comparison to the previous week’s value.
Weekly PSPP purchases
amount to EUR 12.4bn
The figures published on Monday afternoons have fallen significantly: for
the first time since the beginning of July, the overall volume of purchased
bonds (reference date: 5 August) fell below the EUR 15bn mark again, set-
tling at EUR 12.4bn. The summer break is making its presence felt. The
volume has only been below this level twice in the period since April. The
average weekly value since the expansion of the programme to a monthly
volume of EUR 80bn has amounted to a comparatively high EUR 16.5bn. In
the previous period under review, however, various newcomers were in-
cluded on the SSA shopping list: three different promotional banks found
their way into the Eurosystem’s books. In addition to a KfW ISIN, two further
ISINs from NRW.Bank also came from Germany. Four new NEDWBK ISINs
from the Netherlands were also included. Furthermore, a single regional
Berlin bond was purchased. There was no announcement this week as to
which four bonds the BDF would target on Friday or whether the planned
purchase volume would remain constant at between EUR 150-250m.
Upcoming reverse auctions (Banque de France – BDF)
ISIN Bond Central bank & date
Not yet published N/A Banque de France (12.08.)
N/A N/A Banque de France (12.08.)
N/A N/A Banque de France (12.08.)
N/A N/A Banque de France (12.08.)
Total targeted size: EUR 150-250m Source: BDF, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 10 of 25
Completed reverse auctions (DeNederlandscheBank – DNB)
ISIN Bond Min. Mean Max Date
XS0873878283 BNG 1 ½ 04/15/20 106,890 106,890 106,890 08.08.
XS0951381523 NEDWBK 1 ¾ 07/09/20 N/A N/A N/A 08.08.
XS0537711144 BNG 2 ⅝ 09/01/20 112,130 112,130 112,130 08.08.
XS1361603209 NEDWBK 0.05 02/10/21 N/A N/A N/A 08.08.
XS0695263730 BNG 3 10/25/21 N/A N/A N/A 08.08.
XS1166023777 BNG 0 ⅜ 01/14/22 103,300 103,314 103,330 08.08.
XS1280394229 BNG 0 ½ 08/26/22 N/A N/A N/A 08.08.
XS1312042648 NEDWBK 0 ½ 10/27/22 104,080 104,098 104,120 08.08.
XS1346315382 NEDWBK 0 ½ 01/19/23 104,050 104,050 104,050 08.08.
XS0706261368 NEDWBK 3 11/16/23 122,180 122,185 122,210 08.08.
Total Amount Offered EUR 207m
Total Amount Allocated EUR 50m
Source: DNB, NORD/LB Fixed Income Research
ECB purchase list for PSPP – regional issuers
Issuer Jurisdiction ISINs already purchased
BADWUR GE 2
BAYERN GE -
BERGER GE 8
BREMEN GE 2
BRABUR GE -
HESSEN GE 6
HAMBRG GE 1
NIESA GE 2
MECVOR GE -
NRW GE 12
RHIPAL GE 3
SAARLD GE -
SCHHOL GE -
SAXONY GE -
SACHAN GE -
THRGN GE -
LAENDER GE -
IDF FR 2
VDP FR 1
MADRID ES 5
CASTIL ES 1
BASQUE ES 1
WALLOO BE 1
Source: ECB, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 11 of 25
ECB purchase list for PSPP
Issuer Jurisdiction ISINs already purchased
EIB SNAT 49
EFSF SNAT 32
ESM SNAT 14
EU SNAT 20
COE SNAT 7
NIB SNAT 1
EURAT SNAT -
KFW DE 38
RENTEN DE 16
NRWBK DE 22
LBANK DE 6
CADES FR 18
RESFER FR 13
UNEDIC FR 16
AGFRNC FR 14
OSEOFI FR 10
CDCEPS FR 3
CNA FR 2
ACOSS FR -
BNG NL 22
NEDWBK NL 16
NEDFIN NL 2
OBND AT 8
ASFING AT 7
FINNVE FI 4
TVRFIN FI 2
ICO ES 9
ADIFAL ES 3
CDEP IT 3
IP (REFER / ESTPOR) PT -
SEDABI SI 1
DARSDD SI -
FADE ES -
KUNTA FI 1
PARPUB PT -
CASDEL IT -
AFLBNK FR 2
APHP FR -
GDCHU FR -
SPABSS FR -
HSGFIN IE -
FRBRTC BE -
SOCWAL BE -
FONWAL BE -
SWLBEL BE -
Source: ECB, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 12 of 25
CBPP3 Overview
Weekly purchase volume [EURbn] Primary and secondary market share [EURbn]
172
174
176
178
180
182
184
186
188
190
0.0
0.5
1.0
1.5
2.0
2.5
27.0
5.1
6
03.0
6.1
6
10.0
6.1
6
17.0
6.1
6
24.0
6.1
6
01.0
7.1
6
08.0
7.1
6
15.0
7.1
6
22.0
7.1
6
29.0
7.1
6
05.0
8.1
6
EU
Rb
n
EU
Rb
n
Weekly purchases Total volume (rhs)
0
20
40
60
80
100
120
140
160
180
200
0
2
4
6
8
10
12
14
Oct-14
Nov-
14D
ec-
14Ja
n-1
5F
eb-1
5M
ar-
15
Apr-
15
May-
15
Jun-1
5Ju
l-15
Aug-1
5S
ep-1
5O
ct-15
Nov-
15D
ec-
15Ja
n-1
6F
eb-1
6M
ar-
16
Apr-
16
May-
16
Jun-1
6Ju
l-16
EU
Rb
n
EU
Rb
nPrimary market Secondary market Total volume (rhs)
Source: Bloomberg, NORD/LB Fixed Income Research Source: ECB, NORD/LB Fixed Income Research
Total volume of covered bond purchase programmes [EURbn]
0
50
100
150
200
250
Jul-0
9
Nov
-09
Ma
r-10
Jul-1
0
Nov
-10
Ma
r-11
Jul-1
1
Nov
-11
Ma
r-12
Jul-1
2
Nov
-12
Ma
r-13
Jul-1
3
Nov
-13
Ma
r-14
Jul-1
4
Nov
-14
Ma
r-15
Jul-1
5
Nov
-15
Ma
r-16
Jul-1
6
CBPP1 [EUR 16,4bn] CBPP2 [EUR 7,5bn] CBPP3 [EUR 187,4bn]
Source: Bloomberg, NORD/LB Fixed Income Research current volume in [ ]
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 13 of 25
PSPP overview
Weekly purchase volume [EUR bn] Distribution by country at month-end [EUR bn]
600
650
700
750
800
850
900
950
1000
5
7
9
11
13
15
17
19
21
27.0
5.1
6
03.0
6.1
6
10.0
6.1
6
17.0
6.1
6
24.0
6.1
6
01.0
7.1
6
08.0
7.1
6
15.0
7.1
6
22.0
7.1
6
29.0
7.1
6
05.0
8.1
6
Weekly purchases Total volume (rhs)
0
20
40
60
80
100
120
140
160
180
200
EU
Rb
n
Source: Bloomberg, NORD/LB Fixed Income Research Source: ECB, NORD/LB Fixed Income Research
Overall distribution of PSPP buying at month-end (EURbn)
Country Adjusted
distribution key1
Purchases (EUR m)
Expected purchases (EUR m)
2
Difference (EUR m)
Average time to maturity in
years
Market average in years
3
Difference in years
DE 26.3% 225,516 224,963 553 7.60 13.90 -6.3
FR 20.7% 179,160 178,366 794 7.71 11.27 -3.6
IT 18.0% 155,876 154,209 1,667 9.24 7.27 2.0
SNAT 0.0% 109,158 109,571 -413 7.05 11.23 -4.2
ES 12.9% 111,788 110,594 1,194 9.71 7.34 2.4
NE 5.9% 50,199 50,054 145 7.71 12.40 -4.7
BE 3.6% 31,038 30,952 86 9.79 14.52 -4.7
AT 2.9% 24,628 24,564 64 9.11 12.53 -3.4
PT 2.6% 20,096 20,953 -857 10.07 7.33 2.7
FI 1.8% 15,819 15,735 84 7.55 10.52 -3.0
IE 1.7% 14,237 14,332 -95 9.31 11.35 -2.0
SK 1.1% 7,290 8,277 -987 7.92 9.35 -1.4
SI 0.5% 3,952 4,120 -168 8.23 8.40 -0.2
LU 0.3% 1,621 1,968 -347 6.65 13.98 -7.3
LV 0.4% 1,050 1,459 -409 6.56 7.02 -0.5
LT 0.6% 1,844 2,438 -594 6.50 6.63 -0.1
MT 0.1% 598 670 -72 10.89 9.79 1.1
CY 0.2% 269 1,506 -1,237 5.19 6.09 -0.9
EE 0.3% 66 426 -360 1.96 0.00 2.0
GR 0.0% 0 0
0.00 13.2 -
Total / average
100.0% 954,205 - - 8.26 9.44 -1.2
1 Based on the ECB capital key, adjusted to include supras and the disqualification of Greece
.
2 Based on the adjusted distribution key.
3 Weighted average time to maturity of the bonds eligible for purchasing under the PSPP.
Source: ECB, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 14 of 25
Covered Bonds Charts & Graphs
Outstanding volume (Bmk.) Top 10 countries (Bmk.)
20.6%
19.8%
11.3%8.3%
5.3%
4.8%
4.2%
4.1%
3.1%
2.8%
15.6%
EUR 1077.4bn
FR
ES
DE
IT
GB
NL
NO
CA
SE
AT
Others
Country Vol. (€bn) No. of CBs ØVol. (€bn) Vol. weight.
ØMod. Duration
FR 222.1 168 1.3 4.2
ES 213.2 163 1.3 3.2
DE 121.8 184 0.7 3.9
IT 89.2 90 1.0 3.1
GB 57.2 47 1.2 3.6
NL 51.2 40 1.3 4.6
NO 45.7 44 1.0 3.0
CA 44.6 36 1.2 3.6
SE 33.9 33 1.0 3.7
AT 30.5 47 0.6 3.1
Issue volume by year (Bmk.) Maturities next 12 months (Bmk.)
0
50
100
150
200
250
300
350
2011 2012 2013 2014 2015 2016
EU
Rb
n
ATAUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR
0
5
10
15
20
25
30
35
40
08/1
6
09/1
6
10/1
6
11/1
6
12/1
6
01/1
7
02/1
7
03/1
7
04/1
7
05/1
7
06/1
7
07/1
7
EU
Rb
n
AUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR
Avg. mod. duration by country (vol. weighted) Rating distribution (vol. weighted)
0
1
2
3
4
5
6
AT
AU
BE
CA
CH
CZ
DE
DK
ES FI
FR
GB IE IT LU
NL
NO
NZ
PT
SE
SG
TR
63.0%
4.3%16.1%
0.9%
5.2%
4.1%0.4% 3.3%
2.2%
0.6%0.0%
6.1%
AAA/Aaa
AA+/Aa1
AA/Aa2
AA-/Aa3
A+/A1
A/A2
A-/A3
BBB+/Baa1
BBB/Baa2
BBB-/Baa3
BB+/Ba1
BB/Ba2
BB-/Ba3
Source: Bloomberg, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 15 of 25
Covered Bonds Charts & Graphs
Spread development (last 15 issues)
CB
AA
U 0
1/2
07/2
7/2
6
CM
0 0
7/2
5/2
2
CM
ZB
0.0
5 0
7/1
1/2
4
BR
F 0
1/4
07/0
1/2
3
CA
FFIL
0 3
/8 0
6/2
3/2
5
SH
BA
SS
0.0
5 0
6/2
0/2
2
BZ
LN
Z 0
1/8
06/1
7/2
1
WS
TP 0 1
/8 0
6/1
6/2
1
ND
B 0
3/8
06/1
5/2
3
SA
BS
M 0
5/8
06/1
0/2
4
CM
ZB
0 1
/2 0
6/0
9/2
6
PM
IIM
0 5
/8 0
6/0
8/2
3
DB
0 1
/2 0
6/0
9/2
6
SR
BA
NK
0 1
/8 0
9/0
8/2
1
DEX
GR
P
0.0
5 0
9/0
8/2
1
-30
-20
-10
0
10
20
30
40
50
bp
Reoffer Spread Current ASW
Bid-to-Cover (last 15 issues)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
CB
AA
U 0
1/2
07/2
7/2
6
CM
0 0
7/2
5/2
2
CM
ZB
0.0
5 0
7/1
1/2
4
BR
F 0
1/4
07/0
1/2
3
CA
FF
IL 0
3/8
06/2
3/2
5
SH
BA
SS
0.0
5 0
6/2
0/2
2
BZ
LN
Z 0
1/8
06/1
7/2
1
WS
TP
0 1
/8 0
6/1
6/2
1
ND
B 0
3/8
06/1
5/2
3
SA
BS
M 0
5/8
06/1
0/2
4
CM
ZB
0 1
/2 0
6/0
9/2
6
PM
IIM
0 5
/8 0
6/0
8/2
3
DB
0 1
/2 0
6/0
9/2
6
SR
BA
NK
0 1
/8 0
9/0
8/2
1
DE
XG
RP
0.0
5 0
9/0
8/2
1
EU
Rb
n
Amt. Issued Order Book Bid-to-Cover (rhs)
Spread development by country Performance (total return)
-40 -20 0 20 40 60 80
TRSGSEPTNZNONLITIE
GBFRFI
ES - SingleES - Multi
DKDECHCABEAU
bpΔ 3 Months Δ Week Δ Month
0% 5% 10% 15% 20%
Overall
1-3Y
3-5Y
5-7Y
7-10Y
2016 ytd
2015
2014
2013
2012
2011
Source: Bloomberg, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 16 of 25
Covered Bonds Charts & Graphs
Germany & Austria France
-30
-20
-10
0
10
20
30
40
50
60
0 1 2 3 4 5 6 7 8 9 10
AS
W in b
p
years to maturity
AT DE - Öpfe DE - Hypfe DE - Others
-30
-25
-20
-15
-10
-5
0
0 1 2 3 4 5 6 7 8 9 10
AS
W in b
p
years to maturityOF OH Structured
Nordics Other Core
-15
-10
-5
0
5
10
0 1 2 3 4 5 6 7 8 9 10
AS
W in b
p
years to maturityDK FI NO SE
-20
-15
-10
-5
0
5
10
15
20
25
0 1 2 3 4 5 6 7 8 9 10
AS
W in b
p
years to maturityBE CH GB LU NL
Overseas & Others Periphery
0
50
100
150
200
250
300
350
-10
-5
0
5
10
15
20
0 1 2 3 4 5 6 7 8 9 10
AS
W in p
b
AS
W in b
p
years to maturityAU CA NZ SG TR (rhs.)
-10
10
30
50
70
90
110
0 1 2 3 4 5 6 7 8 9 10
AS
W in b
p
years to maturity
ES - Single ES - Multi IE IT PT
Source: Bloomberg, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 17 of 25
SSA Charts & Graphs
Outstanding volume (Bmk.) Top 10 countries (Bmk.)
37,9%
36,7%
11,1%
4,9%
4,3% 1,7%
1,0%
0,7%
0,3%
0,3%
1,0%
5,1%
EUR 1463,9bn GE
SNAT
FR
SP
NE
AS
CA
IT
PO
FI
Others
Country Vol. (€bn) No. of bonds
ØVol. (€bn) Vol. weight.
ØMod. Duration
GE 555,4 475 1,2 4,1
SNAT 537,5 123 4,4 6,8
FR 162,0 103 1,6 5,6
SP 71,3 60 1,2 3,2
NE 63,4 58 1,1 4,4
AS 24,9 24 1,0 6,4
CA 15,1 11 1,4 5,3
IT 10,7 11 1,0 8,1
PO 4,8 8 0,6 4,2
FI 4,3 5 0,9 6,1
Issue volume by year (Bmk.) Maturities next 12 months (Bmk.)
0
50
100
150
200
250
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2016e
EU
Rb
n
Other
ES
AT
NL
FR
GE
SNAT
0
5
10
15
20
2508
/16
09
/16
10
/16
11
/16
12
/16
01
/17
02
/17
03
/17
04
/17
05
/17
06
/17
07
/17
EU
Rb
n
Other
ES
AT
NL
FR
GE
SNAT
Avg. mod. duration by country (vol. weighted) Rating distribution (vol. weighted)
0
1
2
3
4
5
6
7
8
9
GE
SN
AT
FR
SP
NE
AS
CA IT
PO FI
43,6%
12,7%
27,9%
7,9%
0,4%3,5%
0,8%
0,5%
0,2%
0,9%
2,8%
AAA/Aaa
AA+/Aa1
AA/Aa2
AA-/Aa3
A+/A1
A/A2
A-/A3
BBB+/Baa1
BBB/Baa2
BBB-/Baa3
BB+/Ba1
BB/Ba2
BB-/Ba3
B+/B1
B/B2
B-/B3
NR
Source: Bloomberg, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 18 of 25
SSA Charts & Graphs
Spread development (last 15 issues) H
ES
SE
N 0
3/4
08/0
4/3
6
(fix
ed
)
NIE
SA
0 0
8/0
2/2
4 (
fixed)
AG
FR
NC
0 1
/4 0
7/2
1/2
6
(fix
ed
)
ES
M 0
7/8
07/1
8/4
2 (
fixed)
BA
DW
UR
0 0
7/1
9/1
8
(flo
atin
g)
RH
IPA
L 0
07
/16
/18
(fi
xe
d)
BN
G 0
.05 0
7/1
3/2
4 (
fixed)
HE
SS
EN
0 3
/8 0
7/0
6/2
6
(fix
ed
)
IDF
0 1
/2 0
6/1
4/2
5 (
fixed)
NIB
0 1
/8 0
6/1
0/2
4 (fi
xed)
CO
E 0
3/8
06/0
8/2
6 (
fixed)
ER
STA
A 0
06/0
7/1
9
(fix
ed
)
KF
W 0
06/3
0/2
1 (
fixed)
NIE
SA
0 1
/2 0
6/0
8/2
6
(fix
ed
)
BN
G 0
1/4
06/0
7/2
4 (
fixed)
-35
-30
-25
-20
-15
-10
-5
0
5
10
15
20
bp
Reoffer Spread / DM Current ASW / DM
Spread development by country Performance (total return)
-30 -25 -20 -15 -10 -5 0
GE
SNAT
FR
SP
NE
AS
bp1W 1M 3M
-5% 0% 5% 10% 15% 20% 25% 30%
Overall
1-3
3-5
5-7
7-10
10+
YTD
2015
2014
2013
2012
2011
Performance (total return) – 2015 Performance (total return) – 2015
0% 1% 2% 3% 4% 5% 6% 7%
Supras
Agencies
Public Banks
Regions
Bundesländer
Periphery
Non-Periphery
1W
1M
3M
6M
12M
YTD
0% 1% 2% 3% 4% 5% 6% 7%
Overall
AAA
AA
A
BBB
1W
1M
3M
6M
12M
YTD
Source: Bloomberg, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 19 of 25
SSA Charts & Graphs
Germany (by segments) France (by risk weight)
-50
-45
-40
-35
-30
-25
-20
-15
-10
-5
0
0 1 2 3 4 5 6 7 8 9 10
AS
W in
bp
years to maturity
National agencies Bundesländer Regional agencies Bunds
-40
-30
-20
-10
0
10
20
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
AS
W in
bp
years to maturity
RW: 0% RW: 20% OATs
Netherlands & Austria Supranationals
-50
-40
-30
-20
-10
0
10
20
30
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
AS
W in
bp
years to maturity
Dutch agencies DSLs Austria Austrian agencies
-70
-60
-50
-40
-30
-20
-10
0
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
AS
W in
bp
years to maturity
Supranationals Supranationals Bunds OATs
Core Periphery
-40
-30
-20
-10
0
10
0 1 2 3 4 5 6 7 8 9 10
AS
W in
bp
years to maturityGerman nat. agencies Bundesländer
German reg. agencies French RW: 0%
French RW: 20% Dutch agencies
Austrian agencies Supras
-50
0
50
100
150
200
250
300
0 1 2 3 4 5 6 7 8 9 10
AS
W in
bp
years to maturity
Spanish agencies Spanish regions Italian agencies
Portuguese agencies Bonos BTPs
Portugal
Source: Bloomberg, NORD/LB Fixed Income Research
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 20 of 25
Appendix Publication overview
Publication Topics
30/2016 27 July Market overview
ECBC publishes covered bond statistics for 2015
Overview of PSPP holdings
ECB Tracker
29/2016 27 July Market overview
Yield levels on the covered bond market
More power to the ESM – what prompted the Bundesbank’s proposal?
ECB Tracker
28/2016 20 July Market overview
Italian risk with covered bondsMoody‘s
Downward trend in yields puts ECB under growing pressure
ECB Tracker
27/2016 13 July Market overview
RLB Oberösterreich assigned Aaa rating by Moody‘s
Overview of PSPP holdings
ECB Tracker
26/2016 6 July Market overview
Fitch plans to change rating methodology
High issuance volume in first six months
Half-year review 2016 for SSAs
ECB Tracker
25/2016 29 June Market overview
Impact of Brexit decision on covered bonds
Varyingly strong effects expected on Public issuers
ECB Tracker
24/2016 22 June Market overview
UK covered bonds reveal potential
The PSPP and yields on German bonds
ECB Tracker
23/2016 15 June Market overview
Relative value for rates products
ECB Tracker
22/2016 8 June Market overview
Moody’s quarterly report Q4/2015 an overview
Draghi freezes yields – a review of the ECB council meeting
Overview of PSPP holdings
ECB Tracker
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
Page 21 of 25
Appendix Contacts
Fixed Income Research
Michael Schulz Head +49 511 361-5309 [email protected]
Kai Niklas Ebeling Covered Bonds +49 511 361-9713 [email protected]
Mario Gruppe Public Issuers +49 511 361-9787 [email protected]
Michaela Hessmert Banks +49 511 361-6915 [email protected]
Christopher Kief Corporates / Retail Products +49 511 361-4710 [email protected]
Melanie Kiene Banks +49 511 361-4108 [email protected]
Jörg Kuypers Corporates / Retail Products +49 511 361-9552 [email protected]
Matthias Melms Covered Bonds +49 511 361-5427 [email protected]
Sascha Remus Corporates / Retail Products +49 511 361-2722 [email protected]
Norman Rudschuck Public Issuers +49 511 361-6627 [email protected]
Martin Strohmeier Corporates / Retail Products +49 511 361-4712 [email protected]
Kai Witt Corporates / Retail Products +49 511 361-4639 [email protected]
Markets Sales
Carsten Demmler Head +49 511 361-5587 [email protected]
Institutional Sales (+49 511 9818-9440)
Daniel Gutschka (Head) [email protected] Gabriele Schneider [email protected]
Thorsten Bock [email protected] Dirk Scholden [email protected]
Uwe Kollster [email protected] Uwe Tacke [email protected]
Daniel Novotny-Farkas [email protected]
Sales Savings Banks / Regional Banks (+49 511 9818-9400)
Christian Schneider (Head) [email protected] Martin Koch [email protected]
Oliver Bickel [email protected] Bernd Lehmann [email protected]
Tobias Bohr [email protected] Jörn Meißner [email protected]
Kai-Ulrich Dörries [email protected] Lutz Schimanski [email protected]
Jan Dröge [email protected] Ralf Schirrling [email protected]
Sascha Goetz [email protected] Brian Zander [email protected]
Stefan Krilcic [email protected]
Sales Asia (+65 64 203136)
Jefferson Ko [email protected] Muhammad Peter Shepherd
Fixed Income / Structured Products Sales Europe (+352 452211-515)
René Rindert (Head) [email protected] Patricia Lamas [email protected]
Morgan Kermel [email protected] Laurence Payet [email protected]
Corporate Sales
Schiffe / Flugzeuge +49 511 9818-8150 Firmenkunden +49 511 9818-4003
Immobilien / Strukturierte Finanzierung
+49 511 9818-8150 FX/MM +49 511 9818-4006
Syndicate / DCM (+49 511 9818-6600)
Thomas Cohrs (Head) [email protected] Wlada Pesotska [email protected]
Axel Hinzmann [email protected] Andreas Raimchen [email protected]
Thomas Höfermann [email protected] Udo A. Schacht [email protected]
Alexander Malitsky [email protected] Marco da Silva [email protected]
Julien Marchand [email protected]
Financial Markets Trading
Corporates +49 511 9818-9690 Collat. Mgmt / Repos +49 511 9818-9200
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NORD/LB Fixed Income Research
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NORD/LB Fixed Income Research
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Additional information for recipients in Portugal
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The financial products described in this Analysis may not be offered or sold, directly or indirectly, to any resident of the Republic of Fin-
land or in the Republic of Finland, except pursuant to applicable Finnish laws and regulations. Specifically, in the case of shares, those
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ket Act (746/2012, as amended). The value of investments may go up or down. There is no guarantee to get back the invested amount.
Past performance is no guarantee of future results.
Additional information for recipients in Czech Republic
There is no guarantee to get back the invested amount. Past performance is no guarantee of future results. The value of investments
could go up and down
The information contained in this Analysis is provided on a non-reliance basis and its author does not accept any responsibility for its
content in terms of correctness, accuracy or otherwise.
Covered Bond & SSA View 10 August 2016
NORD/LB Fixed Income Research
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Time of going to press
10 August 2016 08:34h (CET)
Disclosure of NORD/LB’s potential conflicts of interest according to § 34b Abs. 1 WpHG and
§ 5 FinAnV
None.
Additional disclosures
Sources and price indications
Depending on the issuer, we use information from financial data suppliers, our own estimates, company data and the public media for the
preparation of our financial analyses. Unless otherwise stated in the report, prices indicated relate to the closing price on the previous
day. Fees and commissions apply to securities (buy, sell, hold) and these may reduce the yield on investments.
Analytical methods and updates
In the preparation of financial analyses, we take company-specific methods used for fundamental securities’ analysis, quantita-
tive/statistical methods and models, as well as technical analytical methods as the basis for valuations and for the regular updates. It
should be noted that the results of analyses provide a snapshot overview and that past developments do not constitute a reliable indica-
tor for future profits. The basis of the valuations is subject to unforeseen change at any time, potentially leading to different conclusions.
The present report is prepared on a weekly basis. Recipients are not automatically entitled to receive report update publications.
Recommendation system and history of last 12 months
Positive: Positive expectations for the issuer, a security type or a specific security of an issuer.
Neutral: Neutral expectations for the issuer, a security type or a specific security of an issuer.
Negative: Negative expectations for the issuer, a security type or a specific security of an issuer.
Relative value (RV): Relative value recommendation in comparison to a market segment, an issuer or a maturity.
Issuer / security Date Recommendation Bond type Cause