JPM Covered Bond Handbook 2010

Europe Credit Research
21 September 2010
The J.P. Morgan Covered Bond

Handbook 2010
A ray of light
• We write our 2010 Handbook against a backdrop of increased interest in European ABS & CB Research
the covered bond asset class; whether that be from new issuers looking Gareth Davies, CFA
AC
to change their funding mix, new investors seeking to broaden their (44-20) 7325-7283
portfolios, or from lawmakers and regulators looking to provide their gareth.davies@jpmorgan.com
originators with another route to market. J.P. Morgan Securities Ltd.
AC
Flavio Marco Rusconi
• We split the Handbook into two discreet sections, first providing an (44-20) 7777-4461
overview of some of the key elements of the covered bond market as a flaviomarco.rusconi@jpmorgan.com
whole, followed by the second section which looks jurisdiction-by- J.P. Morgan Securities Ltd.
jurisdiction at the individual issuers that have accessed the international
Advait Joshi
capital markets. (91-22) 6157 3253
advait.s.joshi@jpmorgan.com
• We tailor this publication towards investors who may be newer to the
J.P. Morgan India Private Limited
asset class, setting out first to define the product, and then in recognition
of the increasing volume of enquiries we receive about CB from
traditional credit investors, to contextualise covered bonds in relation to
securitisation.
See page 250 for analyst certification and important disclosures.

J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may
have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their
investment decision.
Gareth Davies, CFA Europe Credit Research
(44-20) 7325-7283 21 September 2010
gareth.davies@jpmorgan.com
Foreword
Covered bonds take centre stage
We write our 2010 Handbook against a backdrop of increased interest in the covered
bond asset class; whether that be from new issuers looking to change their funding
mix, new investors seeking to broaden their portfolios, or from lawmakers and
regulators looking to provide their originators with another route to market.
We split the Handbook into two discrete sections, first providing an overview of
some of the key elements of the covered bond market as a whole, followed by the
second section which looks jurisdiction-by-jurisdiction at the individual issuers that
have accessed the international capital markets.
• We tailor this publication towards investors who may be newer to the asset class,
setting out first to define the product, and then in recognition of the increasing
volume of enquiries we receive about CB from traditional credit investors, to
contextualise covered bonds in relation to securitisation.
Both regulatory and market • We note that the future for the product looks bright, based on both regulatory
forces look set to support the initiatives which look to encourage the development of covered bond markets on
growing importance of covered a global basis, and market forces such as the continued dislocation in many of the
bonds as a funding source main securitisation markets.
• We set out a view that the product will morph over time along a number of
metrics. First, it will become more relevant as a bank funding tool across more
jurisdictions. Secondly, we expect the definition of covered bonds to be stretched
We expect the product to change to accommodate the respective needs of this expanded issuance universe. Finally,
with the times
with increased depth and breadth of supply, we expect the investor base to change
alongside the product, moving more firmly into the credit universe, with
derivative consequences on investor reporting and disclosure.
• We suggest that the optimal model for analysis of the product is based on a joint-
We think bank plus collateral venture between the Secured Asset analyst (whether that be the securitisation
analysis is key to investment
analyst or a designated covered bond analyst), and the Financials analyst–
success…
viewing the covered bond product in a framework of ‘senior (unsecured) bank
debt with a higher recovery’ (although we recognise that disclosure has some way
to go before true collateral credit analysis can be undertaken).
With this publication, we set out to assist investors in determining their approach to
what we believe will be an increasingly important asset class. We hope this
Handbook proves useful in this task, and would naturally welcome any feedback on
its form or content.
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Table of Contents
Foreword ...................................................................................2
Covered Bonds: a “bluffer’s guide”........................................6
Product overview......................................................................7
Market overview .....................................................................14
Regulatory backdrop..............................................................22
Rating Agencies .....................................................................27
Austrian Covered Bonds .......................................................36
Canadian Covered Bonds......................................................42
Danish Covered Bonds ..........................................................50
Dutch Covered Bonds............................................................60
Finnish Covered Bonds .........................................................70
French Covered Bonds ..........................................................76
German Covered Bonds ........................................................94
Greek Covered Bonds..........................................................126
Hungarian Covered Bonds ..................................................130
Irish Covered Bonds ............................................................136
Italian Covered Bonds..........................................................144
Korean Covered Bonds........................................................154
Luxembourgish Covered Bonds .........................................160
New Zealand Covered Bonds ..............................................168
Norwegian Covered Bonds..................................................172
Portuguese Covered Bonds ................................................178
Spanish Covered Bonds ......................................................186
Swedish Covered Bonds .....................................................218
Swiss Covered Bonds..........................................................228
UK Covered Bonds...............................................................232
US Covered Bonds ...............................................................244
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Covered Bond Handbook 2010
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Covered Bonds: a “bluffer’s guide”

We set out below a cheat-sheet for readers new to the asset class, providing a
synopsis of the main characteristics of the product and an overview of the major
markets.
Table 1: Covered bond cheat-sheet
What is a covered bond? Covered bonds are secured, senior, bullet instruments of an issuer (typically a
bank), that provide investors with recourse to both the issuing institution and the
underlying, revolving collateral pool.
How do CBs differ from RMBS? The main differences between RMBS and covered bonds can be summarised as:
a) amortisation: RMBS generally have a pass-through structure based on the
repayment of collateral, while CBs generally have a hard or soft bullet profile; b)
credit enhancement: covered bonds have much simpler structures than ABS and
rely on over-collateralisation as a form of credit enhancement. This can vary
according to the usage of the programme by the issuer but a minimum OC has to
be maintained; this is monitored through asset and interest coverage tests typically
monitored by third parties, which ensure that the asset pool and its proceeds are
enough to match the issuer's CB liabilities. In RMBS, credit enhancement is given
by subordination and structural features and, except for certain structures, it
generally increases as the deal de-levers; c) unlike securitisation, where investors
benefit from recourse to the collateral pool only, CB investors benefit from dual
recourse to both the issuer and the cover pool.
What types of CB structures exist? There are three broad CB structures: a) CB can be issued off the balance sheet of
the originator, with the collateral pool remaining with the originator, albeit ring-
fenced for covered bond investors (for example in Austria and Germany); b) a
financial institution establishes a limited function subsidiary, which in turn issues
covered bonds (for example France’s OF, Finland); c) in countries without specific
CB legislation, CB are typically unsecured obligations of the issuer, with funds
raised from the issuance of CB lent to a guarantor (typically a limited liability SPV),
which uses the loan to acquire collateral from the originator. This entity then acts as
guarantor to the unsecured bonds, agreeing to repay bondholders on insolvency of
the issuer (for example UK, Canada, Netherlands, Italy).
What type of collateral is accepted? CB legislation (or transactions docs when no CB legislation exists) typically define
the list of collateral eligible to be included in the cover pool. The main types of
assets used as primary collateral are public sector exposures, residential and
commercial mortgages and shipping loans. In some cases, a max LTV is specified.
The EC’s CRD also allows senior MBS (both residential and commercial) issued by
securitisation entities, where at least 90% of the underlying mortgages comply with
the above rules for unsecured mortgage exposures. The MBS must be rated Credit
Quality Step 1, and can only form 10% of the collateral pool (from January 2011,
20% currently). Substitute assets up to a given threshold (typically 10-15%) can
also be included in cover pools.
What type of risk are investors exposed to? Investors are generally exposed to issuer's risk until its default, after which they are
exposed to the credit risk of the cover pool. If there are CBs outstanding after the
cover pool has been extinguished, CB investors will have a residual claim to the
bankruptcy estate of the issuer which will rank pari passu with that of senior
unsecured bondholders
Do cover bonds accelerate upon the issuer’s default? No, CBs do not necessarily accelerate on insolvency of the issuing institution. Only
the failure of the programme to make payments as and when due results in the
acceleration of the obligations.
Which jurisdictions are the largest issuers? The largest issuer, by outstanding amount, is Germany, followed by Spain,
Denmark, France and the UK. As CBs gain popularity with regulators, issuers and
investors, more jurisdictions are starting to push for dedicated covered bond
legislation (for example Canada and the US).
Source: J.P. Morgan Covered Bond Research
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Product overview
We set out below to define the core characteristics of the covered bond product,
recognising that by making some generic statements, we ignore some of the multiple
nuances that issuance from hundreds of issuers and tens of jurisdictions necessarily
implies. For more detail on individual jurisdictions, please see the respective country
section towards the back of this publication.
What exactly is a covered bond?

In a sentence…
Secured debt with dual recourse Covered bonds are secured, senior, bullet instruments of an issuer (typically a bank),
to both the issuer and the that provide investors with recourse to both the issuing institution and the underlying,
collateral pool… revolving collateral pool.
Structural Form
Covered bonds are typically thought of as bonds issued from the balance sheet of an
originating bank, with the revolving collateral pool remaining with the originator,
albeit ringfenced for covered bond investors in case of institutional insolvency. This
model is deployed in a number of significant issuing jurisdictions (for example,
Austria, Germany, Spain and Sweden); however, there are also two other forms of
covered bond structures common in a number of jurisdictions.
Three broad structural forms The most simplistic alternate structure can be accurately described by its name:
used in covered bond issuance ‘Specialist Banking Principle’, whereby a ‘full service’ financial institution
establishes a limited function subsidiary, which in turn issues the covered bonds,
backed by assets transferred from the originator. This form is typical in Ireland,
Finland (at least currently) and France (for Obligations Fonciere).
The third variation on issuance form tends to have been adopted by the Anglo-Saxon
jurisdictions (UK, Canada, New Zealand etc) along with Italy and the Netherlands.
This structure was typically adopted by countries that did not benefit from specific
covered bond legislation, but rather adopted securitisation techniques to create a
covered bond investment (Figure 1).
Figure 1: Example UK covered bond structure
Bank ABC Loans & related ABC CB LLP Swaps

Seller security LLP Provider(s)
Consideration
Repayment of Interco loan

Interco loan
Bank ABC
Trustee
Issuer
CB Proceeds
CB Investors
Source: J.P. Morgan Covered Bond Research
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Under this approach, covered bonds are actually unsecured obligations of the issuer.
Funds raised from the issuance of covered bonds are then on-lent to a guarantor
entity (typically a limited liability SPV), which uses the loan to acquire collateral
from the originator. This entity then acts as guarantor to the unsecured bonds,
agreeing to repay bondholders on insolvency of the issuer.
Market participants often refer to 'legislative' and 'structured' covered bond markets,
distinguishing between the first two forms described above and the latter (although
these terms can be something of a misnomer since many 'structured' markets now
also have legislation).
Recourse & seniority

Covered bond investors benefit from dual recourse, whereby they have recourse to
both the collateral pool backing the specific programme as well as to the estate of the
originator on its default. Securitisation investors on the other hand have recourse
only to the collateral pool.
Covered bonds remain the obligation of the issuing institution prior to its default
similar to any unsecured obligation and irrespective of the collateral performance in
the cover pool (non-payment of a covered bond constitutes a default of the
Only after issuer default does
institution). Only after an institution’s default does the primary source of programme
the primary source of investor
cashflows become the cover payments switch to the cover pool itself. Subsequently, should the pool prove
pool insufficient to repay all outstanding obligations under the programme, covered bond
investors will have further recourse to the bankruptcy estate of the issuer. These
residual claims would rank pari passu with those of other senior (unsecured)
bondholders.
Collateral
Covered bond legislation typically defines the list of collateral eligible to be included
in a cover pool. The main types of assets used as primary collateral (substitute assets
are also eligible in cover pools up to a pre-defined threshold, typically 10-15%) are
Most common form of collateral
public sector exposures, residential and commercial mortgages and shipping loans.
used remains mortgages, As the product expands its geographic reach beyond its traditional home in Europe,
followed by public sector assets the list of eligible (primary) assets looks set to expand. Legislative proposals
currently winding their way through the US Congress look set to expand the
definition of eligible assets to include student loans, credit cards, auto loans and
leases and SME loans. Kookmin Bank of Korea has also issued a covered bond
backed by both mortgage and credit card collateral.
In the EU, the primary source of guidance is provided in the Capital Requirement
Directive1 (CRD), which sets out the following:
• Exposures to public sector entities (central governments, central banks, PSEs,

regional governments and local authorities in the EU)
• Exposures to public sector entities (central governments, central banks and
MDBs qualifying as Credit Quality Step 1, PSE, regional governments and local
authorities not in the EU falling into Credit Quality Step 2 cannot exceed 20%)
• Exposures to institutions in Credit Quality Step 1, not to exceed 15%
1
http://register.consilium.europa.eu/pdf/en/10/st11/st11527.en10.pdf
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• Residential (80% LTV limit) and commercial mortgage loans (60% LTV limit, or
70% if an issuer provides a minimum of 10% over-collateralisation)
• Senior MBS (both residential and commercial) issued by securitisation entities,
where at least 90% of the underlying mortgages comply with the above rules for
unsecured mortgage exposures. The MBS must be rated Credit Quality Step 1,
and can only form 10% of the collateral pool from January 2011. For the 10%
limit to be waived, the MBS must be self-originated and the originator must
retain the first loss piece
• Loans secured by ships (60% LTV limit)
Derivatives are also permitted in certain jurisdictions to hedge specific risks
including interest and foreign exchange exposures.
Credit risk of the cover pool
remains with the issuer until Cover pools backing covered bonds are dynamic in nature, with investors essentially
default, upon which it transfers assuming the credit risk of the cover pool only upon issuer default.
to the investor
Insolvency
Covered bonds do not necessarily accelerate on insolvency of the issuing institution.
Only on the failure of the programme to make payments as and when due results in
the acceleration of the obligations.
Covered bonds vs. RMBS

Mortgage backed covered bonds and RMBS have more than a passing similarity to
each other (especially when considering the market-reopening UK master trust
RMBS bonds issued in Q3 2009-Q1 2010 which contained an originator put at
maturity). However, there are also some notable structural differences between the
two products. We set out to highlight the most prominent below.
Definitions
The ECBC2 sets out a definition of a covered bond as follows:
‘Covered bonds are debt instruments secured by a cover pool of mortgage loans
(property as collateral) or public-sector debt to which investors have a preferential
claim in the event of default.’
More fully, the BIS sets out a definition of securitisation in its ‘International
Convergence of Capital Markets and Capital Standards’3 document:
‘A traditional securitisation is a structure where the cash flow from an underlying

Covered bonds do not meet the
international definition of
pool of exposures is used to service at least two different stratified risk positions or
securitisation tranches reflecting different degrees of credit risk. Payments to the investors depend
upon the performance of the specified underlying exposures, as opposed to being
derived from an obligation of the entity originating those exposures.’
As we can see from the above BIS definition, covered bonds fail to meet this test on
a number of fronts. First, as we have already noted, cashflows from the underlying
pool are not necessarily used to service the covered bonds, but rather the general
2
http://ecbc.hypo.org/Objects/9/Files/ECBC%20Fact%20Book%202010.pdf
3
http://www.bis.org/publ/bcbs128.pdf?noframes=1
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resources of the issuing institution are utilised. Second, with the exception of Danish
junior covered bonds, there are no stratified risk positions or tranches reflecting
different credit risk profiles in covered bonds. Finally, payments to investors do not
depend on the performance of the underlying exposures while the issuing entity
remains solvent. The credit risk of the cover pool is not transferred until issuer
insolvency.
Amortisation
Repayment profiles differ
European securitisation bonds typically amortise over time through the repayment of
between the two secured the underlying exposures (a notable exception to this are UK credit card and
products mortgage master trusts which offer investors soft-bullet bonds). Distributed covered
bonds typically utilise a hard or soft-bullet redemption profile (there are some pass-
through covered bonds, but these have typically been retained by originators for use
as central bank repo collateral).
It should be noted here that a soft-bullet covered bond does not offer the issuer the
option of extending the maturity of the outstanding notes. Rather, the soft-bullet
extension can only be utilised following a failure to pay event (i.e. issuer insolvency),
allowing the administrator an extended period (typically 12 months) to achieve
sufficient liquidity to repay the due payment.
Credit enhancement & Investor protections

Over-collateralisation and Covered bonds are less structurally engineered than even the simplest type of pass-
programme tests are the main through securitisation vehicles (even setting aside the complexities of ABS master
types of credit enhancement for
CB investors
trusts). To this end, covered bonds do away with much of the credit enhancements
offered to securitisation investors (subordinated tranches, reserve funds, excess
spread etc). Rather, covered bond investor’s main form of credit enhancement stems
from programme over-collateralisation, (which is naturally dynamic based on issuer
actions including collateral additions and the programme issuance/redemptions
profile). Unlike in securitisations, where credit enhancement tends to increase over
time as the structure delevers (barring collateral credit issues and the specific case of
master trusts), over-collateralisation in covered bond programmes can increase or
decrease as the programme is utilised by the issuer.
Further investor protection is provided to CB investors by tests adopted in local

legislation or programme terms. For example, structured covered bond programmes
(i.e. Canada, Netherlands, UK etc) typically require that the assets of the guarantor
entity are subject to an Asset Coverage Test (ACT) on a regular basis. The test is
designed to ensure a minimum level of over-collateralisation in the cover pool to
protect investors from market and liquidity risks. The guarantor must therefore
ensure that on each calculation date, the ‘Adjusted Aggregate Loan Amount’ (i.e. the
aggregate loan amount haircut by predefined criteria) is at least equal to the
outstanding amount of the programme’s CB. The ACT is conducted by the Cash
Manager, with annual third party asset monitor reviews. Failure to remedy a
breached ACT by the next calculation date usually results in an Issuer Event of
Default.
Similarly, programmes from these jurisdictions also typically include an

Amortisation Test (AT) which is designed to ensure that the cover pool exceeds the
outstanding notional of CB at all times. The adoption of an AT serves to minimise
time subordination within the structure for outstanding noteholders. Following
service of a Notice to Pay on the guarantor, it must ensure that on each calculation
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date following an Issuer Event of Default, the Amortisation Test Aggregate Loan
Amount will at least equal the aggregate outstanding amount of the CB.
Other tests offering protection to bondholders include ‘Pre-maturity Tests’ (which

are designed to ensure the borrower can provide sufficient liquidity in case of
downgrade (i.e. pre-defined period prior to scheduled bond redemption, if a
borrower's short-term rating is below a prescribed threshold, the borrower must fund
a cash collateral account to ensure redemption)); and ‘Interest Coverage Tests’ to
ensure interest from the cover pool after hedges always exceeds interest payments
due on the covered bonds over a given period.
The product of today…

Stock
Figure 2 below sets out the outstanding volume of covered bonds by the largest five
jurisdictions.
Figure 2: Covered Bond outstanding, €mm Figure 3: Covered Bond issuance, €mm
2,500,000 Germany Spain Denmark France UK Other 700,000 Mortgage Public sector Ship Mix ed assets
600,000
2,000,000
500,000
1,500,000 400,000
1,000,000 300,000
200,000
500,000
100,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
Source: ECBC Source: ECBC
According to the ECBC, at the end of 2009 outstanding covered bonds totalled
€2.4trn. The top five jurisdictions (Germany, Spain, Denmark, France and the UK)
account for the 80% of the total. The smaller jurisdictions, however, are experiencing
some of the highest growth rates, with outstanding volumes in Italy, Greece, Austria,
Canada and the Netherlands, amongst others, growing at double digit rates.
Mortgage covered bonds remain the largest bond type, accounting for two thirds of
the outstanding volumes, while only one fifth of outstanding bonds are of floating
rate nature.
The majority of covered bonds (88%) are denominated in the issuer’s domestic
currency, according to the ECBC. The euro remains the dominant currency (70% of
outstanding bonds) and it is gaining ground in jurisdictions such as the UK and
Norway.
Flow
Total 2009 issuance of covered bonds amounted to €529bn (ECBC), down from
€651bn in 2008. In the first eight months of this year, covered bonds issued amount
to €218bn, compared to €182bn at the same point in time last year, according to
Dealogic data.
Denmark proved to be the most prolific issuer in 2009, accounting for roughly a
quarter of total issuance, although most its issuance was DKK-denominated and sold
domestically. The largest €-denominated issuance came from Germany, at €110bn.
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The share of mortgage covered bonds has increased over time, from 51% in 2003 to
81% in 2009, at the expense of public sector collateral (from 46% of issued volumes
in 2003 to 16% in 2009). Jumbo issuance rose both in absolute terms (up 20% to
€257bn) and as a share of total issuance, accounting for 49% of bonds issued in
2009, up from a third in 2008.
The product of tomorrow…

While we do not expect significant changes in the form of the product distributed to
investors in the existing covered bond markets of Europe, we do however expect to
see covered bonds becoming an increasingly important bank funding tool across
more jurisdictions. As the product spreads, the scope for expanding the definition of
what should be considered a covered bond also naturally increases.
Bank funding
Covered bonds form one element of a bank’s potential funding sources alongside
deposits, unsecured bonds (both senior and subordinate), equity and securitisations.
After the stresses afflicting the banking sector over the immediate past subside, we
see both regulatory and market developments supporting the role of covered bonds.
Regulatory moves (further discussed in a later section) naturally change the emphasis
placed on each of the available funding alternatives. A recent publication from our
Financials colleagues (see ‘The Ins and Outs of Bail-Ins: Regime Change for Bank
Senior Debt?, 6th September 2010) explains that the recent regulatory discussions on
bank bail-ins marks a significant shift in terms of the perceived risk profile of senior
unsecured bonds, which is likely to result in changes in the funding patterns of
issuers. Explicitly, they note:
“Increase in covered bond issuance

Covered bond issuance appears Given the higher risk premiums for senior unsecured debt, we expect issuers to resort
as the most viable alternative,
to sources of funding that mitigate these higher premiums which investors may
with bondholders unlikely to be
impaired due to the demand. To this extent, we expect that issuers may increasingly resort to secured
collateralised nature of the lending, such as covered bond issuance, which would in effect mitigate the potential
instruments, which will mitigate downside of bail-in regimes. By resorting to covered bond issuance, the loss given
any attempts at loss sharing distress would likely be limited given the priority pledge on a collateral pool, with
the losses only accruing in the event that there is a shortfall in the value of the
collateral assets. In addition, we note that covered bond investors would then have a
pledge on the remaining assets of the issuer pari-passu with senior unsecured
bondholders for any shortfall in the value of the collateral pool.
As such, covered bonds would seem an increasingly optimal solution and should
benefit on a relative basis versus senior debt in terms of lower risk. First, given that
covered bonds are still linked to the risk profile of the issuer, they will benefit from
stronger sector regulation, which should reduce the possibility of distress for the
issuer. However, the loss given distress will be lower for covered bonds due to the
collateral element than for senior, implying that it is the asset class that gets the best
of both worlds. This more favourable positioning of the covered bonds should imply
lower funding costs relative to senior and should stimulate a greater reliance on this
as a funding tool.”
Furthermore, we note that market forces are also promoting the role of covered bonds
as a funding source. With much of the European securitisation markets remaining
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closed to issuers, covered bonds have increasingly been used to divert potential
secured bond supply. As long as these markets remains shut to originators, we expect
to see covered bonds take an increasingly prominent role in the funding of the
region's banks.
Going global
As we have already noted, the ‘roll out’ of covered bonds across ever-more
jurisdictions is one of the most obvious developments since our last Handbook
(2008). Canada, Korea and New Zealand have all accepted covered bonds as a
feasible funding alternative in this period, often mimicking the majority of features
seen in the product traditionally distributed in Europe. While this internationalisation
has resulted to date in more potential for investor diversification, rather than product
redefinition, we believe the nascent moves to establish a U.S. covered bond market
could have the opposite effect.
United States
America’s adoption of covered While legislative moves in the US to establish a legal framework for covered bonds
bonds is likely to redefine the continue to grind their way through Congress, the initiative throws up one
product particularly interesting question in our view. Depending on the underlying premise
for the establishment of a US covered bond regime, we believe the impact of its
adoption on the global covered bond market could be very different.
If the purpose of the regime is to create an additional funding source for US financial
institutions in the international capital markets (essentially selling US covered bonds
to the existing covered bond investor base) we believe the main impact will be on
additional supply, rather than product redefinition. In short, we believe that the
existing, predominantly European investor base will require any new US covered
bond product to resemble the features of the existing European bonds.
However, if the reasoning behind the current regulatory moves is to create an

additional funding tool that is to be predominantly sold domestically, then legislators
will naturally design the regime to suit local investor needs. Under this approach, we
can easily envisage a world where the US adopts the label of covered bonds, but
radically redefines what the current definition of what a covered bond should look
like – for example, alternative collateral types (credit cards, student loans, auto
receivables), and note features (floating rate, amortising bonds etc).
Shining the light

With both the expected expansion of issuance from existing covered bond
jurisdictions and the adoption of covered bonds as a funding tool in additional
countries, we expect the investor base to noticeably change over the medium term.
We would expect the incremental investor to come with an increasingly 'credit
Disclosure requirements will mindset' thereby necessitating the provision of additional cover pool disclosure by
only increase for covered bond issuers. This investor-led pull, along with nascent moves by regulators (in particular,
issuers
Bank of England and Banco de España) to push covered bond disclosure forward,
may well come as something of a surprise to some traditional CB issuers, but will
ultimately result in a broader and deeper covered bond investor base in our view.
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Market overview
Primary market overview
Issuance patterns
Covered bond issuance has been relatively strong this year, with €204bn issued so far
in 2010, despite the sovereign crisis and the end of the ECB purchase programme
(between July 2009 and June 2010, the ECB bought €89bn of covered bonds, of
which €17bn was on the primary market).
According to Dealogic figures, the largest contributors are Germany (€51bn) and
France (€31bn). Despite being one of the countries at the centre of investor concerns
during the sovereign crisis and the significant changes taking place within its banking
system, Spain has so far issued €23bn; in fact, after a two-month lull in May and
June, Spanish banks returned to the market in July, issuing in excess of €8bn during
the traditionally quiet summer months. This is despite the significant risk premiums
demanded by investors to buy their bonds.
Pricing in the primary market broadly reflects the theoretical subdivision of

jurisdictions between ‘inner core’, ‘outer core’ and peripheral (discussed later).
German and French bonds continue to be the most expensive bonds, as investors
view their frameworks as the most solid and well established. One investment
approach in this case is often to buy the widest available paper in the respective
jurisdiction (effectively considering sovereign credit risk ahead of institutional credit
risk). Canadian bonds also tend to price in line with the core jurisdictions thanks to
the wrap on the underlying mortgages from the Government of Canada. ‘Outer core’
paper, including Italian, UK and Scandinavian issuers, lacks the “must buy” appeal
of the inner core jurisdictions, therefore pricing wider, while new (Korea) and less
favored jurisdictions (at least temporarily, such as Spain) price at the widest levels.
Positively for the market, jurisdictions that have recently started issuing covered
bonds have continued to show commitment to the asset class. Canadian banks in
particular have been tapping the market frequently, issuing $-denominated wrapped
(underlying mortgage-backed) paper, which investors perceive as ‘cheap’ Canada
risk. This has also been driving up $-denominated issuance, at €14bn already–almost
6 times 2009 full year volumes.
2010 has also seen some progress in broadening the universe of covered bond
jurisdictions. Bank of New Zealand launched the first Kiwi covered bond, as did
Korea Housing Finance Corporation (first pure play resi covered bond), while
announcing its intention to issue $2bn of covered bonds annually starting from 2011.
Furthermore, the number of covered bond issuers seems bound to expand further in
the near-term, as several jurisdictions, both new (such as Australia) and “old” (such
as Canada and the US, amongst others) are considering the value of adopting
dedicated covered bond legislation.
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Secondary market overview

Spread developments
Covered bonds spread, like those of most other asset classes, were pushed wider by
the sovereign crisis that affected Europe during 2010. This opened up new buying
opportunities for investors that were unable to put as much capital to work as they
would have liked during the previous widening in Q4 08-Q1 09.
The widening of covered bond spreads during the sovereign crisis has not been
uniform, as issuers from jurisdictions that were perceived to have a weaker sovereign
quality widened more than those from more solid jurisdictions (Figure 4 and
Figure 5). This is because banks and the banking system of a country in general often
have strong links with the country’s sovereign quality, both because this is seen as
the ultimate provider of support to banks in difficult times but also because banks are
large holders of sovereign debt. Therefore, it is not surprising that investors lost
relatively more appetite for bonds from less stable sovereigns. These dynamics are
also driven by the top-down approach adopted by the majority of traditional covered
bond investors, whereby the analysis begins with a view on the strength of the
covered bond framework and of the sovereign creditworthiness, before trickling
down to the issuer and, less frequently, to the cover pool.
Figure 4: UK Covered Bond and Sovereign CDS spreads Figure 5: Spanish, Covered Bond and Sovereign CDS spreads
350 UK CB 3 - 5 Years UK 5y rs Sov CDS 300 Spain CB 3 - 5 Yr Spain 5y rs Sov CDS
300 250
250
200
200
150
150
100
100
50 50
0 0
Oct-08
Oct-09
Oct-08
Oct-09
Jan-08
Apr-08
Jul-08
Jan-09
Apr-09
Jul-09
Jan-10
Apr-10
Jul-10
Jan-08
Apr-08
Jul-08
Jan-09
Apr-09
Jul-09
Jan-10
Apr-10
Jul-10
Source: Bloomberg, J.P. Morgan Covered Bond Research Source: Bloomberg, J.P. Morgan Covered Bond Research
Covered bonds vs. the rest

Covered bonds generally trade tighter than the senior unsecured debt of the issuing
bank and also the RMBS issued by the same originators. This is largely due to two
main factors intrinsic to the nature of covered bonds, and often difficult to consider
separately:
• Liquidity: covered bonds, even after the end of market making requirements,
should generally be considered a more liquid asset class than RMBS (although
we would argue that UK and Dutch RMBS are of a similar liquidity to their
covered bond equivalents, in other countries such as Spain, we see covereds
clearly having a liquidity edge over RMBS). While it is true that covered bond
markets, both primary and secondary, remained at least partially open throughout
the darkest times of the past three years, liquidity can disappear quicker than
investors can react, as seen in Q4 2008-Q1 2009 and to a lesser extent during the
recent sovereign turmoil, pushing spreads to levels that are many times multiples
of historical levels. Liquidity in the covered bond universe is in large part driven
by the strength of the legal framework adopted in each jurisdiction and by other
macro factors such as its sovereign creditworthiness and the health of its banking
system.
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• Risk: another factor contributing to the greater liquidity and tighter pricing of
covered bonds is the perceived safety of the instrument and the systematic role
played by the product in bank funding in a number of jurisdictions, thanks to the
full recourse to both the cover pool and the lender. But is such perception
justified? One could argue that there is a strong correlation between collateral
quality and strength of the lending bank; in fact, weak mortgage assets are one of
the causes that have led to a number of banks requiring the support of
governments or central banks. The case is even stronger for monoline banking
institutions, where the low quality of the collateral effectively weakens both the
value of recourse to the cover pool and to the lender itself.
Investor overview
The current investor base
Traditionally invested in by rates As of today, the majority of investors continue to be based in Europe, with a
investors… significant proportion of accounts in the traditional markets of France and Germany.
The product is predominantly bought by bank (both private sector and central banks)
and real money investors (particularly insurance and pension funds).
Overwhelmingly these assets are sold into the Rates desks of these institutions, rather
than Credit.
The future investor base

With the potential for increased issuance stemming from both regulatory initiatives
…we expect to see increased
engagement with credit
and the continued closure of significant parts of the European securitisation markets
investors over time (see earlier section), combined with an expanded issuance footprint as more
jurisdictions adopt covered bonds, we envisage both an expanded, and more diverse
investor base. We believe this new breed of investor will have been more
traditionally exposed to Credit investments (either transferring some focus from the
now smaller securitisation or senior unsecured markets, or assuming coverage of this
product from scratch).
We expect this shift in make-up of the investor base to lead to a shift in analysis
model deployed, and therefore to also necessitate a shift in the disclosure provided by
covered bond programmes.
How do you analyse it?

Analysis paralysis? We spend a lot of our time discussing with clients (and colleagues alike) on the
'correct' classification of the covered bond product with an institution, and more
importantly, once decided ‘where’ to put it, then ‘how’ to analyse it. Recognising
that there is often no definitive answer, we set out below the common threads of
discussion, and with it, our own thoughts on the questions posed.
Rates or credit?
As noted above, the existing investor base overwhelmingly considers covered bonds
as a rates product. Taking a quality spectrum, most investors see Covered Bonds
sitting in the following position: Sovereigns-Agencies-Covered Bonds (i.e. it can be
considered the ‘weakest’ rates product).
We see covered bonds as the We however consider this somewhat inappropriate, preferring to think of Covered
strongest credit product Bonds as one of the strongest Credit products (i.e. Covered Bonds-Securitisation-
Senior unsecured, etc.). While this ultimately looks like semantics, we believe the
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appropriate classification is fundamentally important, having a bearing on the correct

analysis approach required to be undertaken for investment.
Irrespective of your starting point in an analysis of the risks of covered bonds, we

identify credit risk: at the sovereign level (in terms of potential bail out of the issuing
institution), at the issuing level (in terms of probability of default of the issuer) and at
the collateral pool level (in terms of recovery). With the expansion of the issuance
footprint to include other traditional securitisation markets (Canada, New Zealand,
US and potentially Australia) we expect to see an inexorable move to a more ‘credit
mindset’ in the analysis of covered bonds.
Top down or bottom up?

Top down
Traditionally, the model of analysis undertaken by the investor base has relied upon a
predominantly top-down approach to covered bond programme analysis. This
approach starts at the level of the sovereign, both in terms of legislative framework
and the respective willingness and ability of the sovereign to support an issuer in the
event of difficulty (essentially 'Does country XYZ have a willingness and ability to
support Bank ABC? If yes, I can have comfort in ABC’s covered bond programme’).
Top down often overlooks the This approach essentially deals with the probability of default (PD) element of the
value of the collateral pool expected loss calculation, which offers only a cursory evaluation of the other element
to be considered, loss given default (LGD). In our view, this is a clear limitation of
the approach.
Bottom up
An alternative approach is similar to that utilised by securitisation analysts, where
you start at the collateral pool and work your way upwards. This approach also has
its limitations, not least that the credit risk of the cover pool is not assumed by the
investor until issuer insolvency, but more practically, disclosure around cover pools
is often woefully inadequate to run any meaningful collateral analysis. This approach
essentially deals only with the LGD element of the loss calculation.
Bottom up overlooks the In our view, this is a clear limitation of this approach. While we expect disclosure to
potential for regulatory improve over time as more investors insist on additional transparency, we suggest
intervention
investors use a hybrid approach to covered bond analysis.
Hybrid approach
We therefore suggest an approach which combines the best elements of both these
approaches. This does not necessarily result in what can be considered an entirely
‘clear-cut’ methodology to the identification of programme risk, but it does allow
investors to utilise a mosaic approach, essentially equating covered bonds to ‘senior
unsecured risk with higher recoveries due to the collateral pool’.
We think of covered bonds as In our suggested approach, we start with a top down overview of the jurisdiction (in
having the same PD as senior terms of legislative overview and an assessment on the willingness and ability of the
bank debt, but with lower LGDs
state to support an issuing bank) and then an analysis of the bank itself (outsourced to
the Financials credit analyst). In addition to this however, we then encourage
investors to take a ‘securitisation’ approach to looking at the collateral pool–building
up a picture of the quality of the collateral at the investor's disposal should the
institution become insolvent (we recognise that this may be easier said than done in
practice based on the current level of disclosure in investor reports, but initiatives by
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central banks and other regulators to nudge the market towards additional disclosure,
plus the potential influx of ‘more demanding' Credit investors should move the
market in the correct direction).
Jurisdiction tiering
While there is no definitive list of characteristics used to classify the perceived
importance of the various covered bond issuance jurisdictions (see later section, for
example, for S&P’s explicit classification), investors have traditionally tended to
approach the market from this perspective. We set out our view below:
‘Inner core’ jurisdictions

Three jurisdictions jump to the fore when considering the longest-standing and most
established covered bond markets: Denmark, France and Germany. Most covered
bonds issued out of these jurisdictions offer a greater degree of liquidity and are
supported by a strong domestic investor base.
These bonds tend to price the tightest in the new issue market. Individual issuer
credit risk is perceived to be of less importance in these markets owing to the
systemic importance of the produce to the respective jurisdiction.
‘Outer core’ jurisdictions

This second classification includes other Western European jurisdictions although, in
our view, Canada warrants elevation to the ‘Outer Core’ group of countries following
its significant adoption of the asset class as an important funding tool across its
banking system.
Within this segment we include Spain, UK and the Netherlands. These countries
offer investors spread pick-up to the ‘inner core’ jurisdictions.
Peripheral jurisdictions
Jurisdictions recently joining or about to join the covered bond community, including
Korea, New Zealand and the US.
Overview of Frameworks
Below we produce a table summarising and comparing the different frameworks of
the main issuance jurisdictions. Overviews for the other issuing countries are set out
at the start of each segment at the back of this publication.
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Key Markets Summary

Table 2: Covered bond overview
Attribute Germany Spain Denmark France UK
Legislative Three different frameworks for Special law-based covered Danish Mortgage Credit Loans & Act. No 99-532 of 25 June 1999; Decree Previously a contract-law based covered
Framework covered bond issuance: Mortgage bonds. Mortgage Market Law Mortgage Credit Bonds etc Act. No 99-655 of 29 July 1999; Decree No 99- bond regime. The Regulated Covered
Banking Law of 1899 41/2007, Law 2/1981, Royal Executive Order No. 718 of 21 June 710 of 3 Aug 1999; regulation No 99-10 of Bonds (RCB) Regulations 2008 (as
(Hypothekenbankgesetz); Law on Decree 716/2009, Law 2007 on the Issue of Bonds, the the banking and finance regulation subsequently amended), now provides the
Secured Bank Bonds (Gesetz 22/2003 Balance Principle and Risk committee on SCF; Art. 16 of Act No 69- legislative framework for UK covered bond
betrffend fundierte Management; Bill No. 577 of 6 June 1263 of 31 December 1969 programmes. UK CB can therefore be either
Bankschuldverschreibungen (FBS) 2007 amending the Financial contract-law or legislative covered bonds.
1905) and Mortgage Bond Act Business Act 454 of 10 June 2003.
(Pfandbriefgesetz as amended 2005)
Structure of Issuer Bonds are issued directly off the Issuers are either specialist or Both specialised mortgage credit Bonds are issued by a specialised credit UKCB are issued by credit institutions,
balance sheet of the lender. Assets universal credit institutions; institutions (who have restrictions on institution (Societe de Credit Foncier or where the CB are direct, unsecured,
are segregated on bankruptcy of the the collateral is kept on the the scope of their banking activities) SCF) with authorisation from the Credit unsubordinated and unconditional
issuer balance sheet of the issuer and also licensed credit institutions Institution and Investment Companies obligations of the Issuer. Under the typical
and not transferred to a (essentially commercial banks). Committee (CECEI). SCF are limited by structure, the Issuer lends the sums
separate legal entity. law in their range of business activities received from bond issuance to a guarantor
Bondholder claims are (usually a Limited Liability Partnership, or
guaranteed by the entire LLP), with the LLP using the funds to
mortgage book of the lender purchase collateral from the originator.
that is registered in the cover Under this structure, the LLP agrees to
register guarantee the Issuer’s obligations to
covered bond investors, collateralising the
guarantee with the purchased loans and
securities acquired from the Issuer. This
structure is similar to that used in the
Netherlands.
Supervision Financial Market Authority and Bank of Spain, Ministry of Danish FSA French Banking Commission Financial Services Authority
Ministry of Finance, along with both a Economy and Commerce,
primary and secondary (back-up) CNMV (Spanish Securities
trustee. For FBS, the collateral pool is Commission)
monitored by a government
commissioner
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Cover assets Broadly, two types of collateral are Residential mortgages (max Separate ‘capital centres’ or cover Mortgages: max LTV 60%, 80% for loans Owing to the (initial) non-statutory nature of
allowed: mortgages (60% max LTV) 80% LTV), commercial pools maintained for different types used to finance the purchase or the UK covered bond framework, originators
and public sector assets. Only EEA, mortgages (max 60% LTV); if of issues or assets. Public assets, construction of a property and 100% for typically define their own eligibility criteria
CH and domestic collateral allowed, there are additional ship loans (max LTV 70%), bank loans with a personal or FGAS guarantee; (see individual programme snapshots).
but the preferential claim on guarantees, LTVs can be debt (SDO’s only), mortgages (max guaranteed loans must not exceed 35% of Most programmes are backed by UK
pfandbrief holders must be raised to 95% and 80% LTV 80% for residential, 70% for SCF assets Public entities: debt issued residential mortgages, with Bank of
recognised. If not, a cap of 10% is respectively. No loans or part agricultural and 60% for commercial or guaranteed by a public entity. Senior Scotland’s Social Housing CB programme
deployed. For public sector assets, of loans are allowed if LTVs properties). For public sector assets, units and debt securities senior units being the exception. Substitution assets
the geographic scope is the same, are above limits. Public there is a cap of 20% of the pool for and debt issued by securitisation vehicles consisting of highly liquid, non-mortgage
but assets must have a risk-weight sector exposures to EEA 20% risk-weighted exposures. or similar entities where the entity is assets are also eligible for inclusion, up to
lower than 20%. countries back public sector Substitute collateral can constitute a governed by the law of a EEA country, certain, pre-defined programme limits.
FBS may also include bonds with covered bonds in the form of maximum of 15% of the pool. USA, Japan, Switzerland, Canada, Derivatives can be used.
“Mundelgelder” (“safe bond”) status loans or credits to central Derivatives are also allowed into the Australia and New Zealand; limited at
Cash, credit institution debt, assets governments, local authorities pool. 20% of OF's principal value. Promissory
available for use at the ECB, public or public companies linked to notes: must not exceed 10% of an SCF’s
sector debt from acceptable such institutions assets. Substitute collateral: must not
jurisdictions (see above) are available exceed 15%of privileged liabilities of the
for use as substitution assets, up to a SCF
cap of 15%.
Valuation Individual market values for Properties are valued by the Individual market value. Prescribed standards. Commercial Individual market values
pfandbrief and FBS lender or by a valuation properties must be valued each year if
company. If the value of the value >€450k and loan balance >€360k or
property falls by over 20%, every 3yrs if loan balance <€360k
the lender has the right to ask
the extension of the loan to
other assets to cover the
required the 80% LTV limit; if
the borrower does not take
any action within two months,
the lender can assume that it
has decided to repay the loan
in full
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ALM matching Eligible assets must be 102% of Liabilities have to be no more NPV of cover pool has to be above Nominal and present value of assets has Shelves must also comply with programme
liabilities at all times on a nominal than 80% of assets for liabilities’ value at all times; cashflows to be greater than nominal and present requirements, including: Pre-maturity tests
basis. Derivatives can be used to mortgages (70% for public from pool and derivatives should be value of o/s bonds. Coverage ratio must are designed to ensure the borrower can
help meet cashflow requirements. sector covered bonds) at enough to cover payments on exceed 100%. When calculating coverage provide sufficient liquidity in case of
FBS set their own over- minimum, with minimum OC liabilities. Issuers have to adhere to ratio the weights are: 100% for exposure downgrade (i.e. pre-defined period prior to
collateralisation requirements in their set by law (see below). one of the general and the specific to public companies, mortgage loans, scheduled bond redemption, if a borrower's
articles of association. Derivatives are allowed to balance principle (imposes limits on units and debt if guarantor has credit short-term rating is below a prescribed
manage risk interest rate and currency risk, while rating falling in Quality Step 1 (50% if threshold, the borrower must fund a cash
also imposing matched funding Quality Step 2, 0% otherwise), 95% for collateral account to ensure redemption).
requirements). substitute collateral Amortisation tests are designed to ensure
the issuer has the capacity to meet its
obligations following a borrower EOD.
Asset Coverage tests are designed to
ensure that pool collateral is sufficient to
meet future interest and principal cashflows
on the outstanding covered bonds
Over- Required 2% Minimum OC of 25% for No minimum requirement for Required by law: assets >100% of o/s Requirements prescribed by the issuers.
collateralisation mortgages and 43% for public commercial banks but specialist amount of privileged debt Nominal value of assets has to be greater
sector exposures is legally mortgage banks have to maintain 8% than principal amount of o/s bonds, plus the
required. If minimum OC of RWA. costs associated with running the
breached, there is a grace programme.
period of 10 days for
mortgage collateral and 3
months for public sector
collateral
Bankruptcy Issuer is required to have a register All assets are recorded on the Segregated assets in cover register. In case of default, no new additions to the Similar to the Netherlands, in case of
remoteness to record the cover assets cover register, no acceleration No automatic acceleration in case of pool are allowed and no new debt is insolvency of the originator, the issuer
in case of insolvency of the bankruptcy. Derivatives issued exercises the financial guarantee over the
issuer counterparties rank pari passu with pledged assets; if the issuer is insolvent,
bondholders. assets are transferred to an SPE
Compliance with EU UCITS and CRD compliant UCITS and CRD compliant UCITS and CRD compliant. UCITS and CRD compliant Dependant on programme, but generally
legislation UCITS and CRD compliant for RCBs
Source: ECBC
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Regulatory backdrop
Regulations do not just affect
Aside from the legislative or regulatory frameworks defining the shape and form of
originators… the covered bond issuance markets in the various jurisdictions, there are also a
number of regulatory initiatives which affect covered bond investors. We set out
below an overview of the main investor-focused regulations.
Basel II
Basel II does not specifically deal with the treatment of covered bond holdings,
rather treating the secured bonds as equivalent to their unsecured cousins. The
Capital Requirements Directive (CRD) which implements Basel II in Europe does
however set out beneficial capital charges for covered bond portfolios held by bank
investors. Bonds will benefit under the CRD if they comply with the following
criteria:
• Compliant with Article 22(4) of UCITS (see later section)

• Asset pools backing the covered bonds are constituted only of assets of
specifically defined types and credit quality
• Exposures to public sector entities (central governments, central banks, PSEs,
regional governments and local authorities in the EU)
• Exposures to public sector entities (central governments, central banks and
MDBs qualifying as Credit Quality Step 1, PSE, regional governments and local
authorities not in the EU falling into Credit Quality Step 2 cannot exceed 20%)
• Exposures to institutions in Credit Quality Step 1, not to exceed 15%
• Residential (80% LTV limit) and commercial mortgage loans (60% LTV limit,
or 70% if an issuer provides a minimum of 10% over-collateralisation)
• Senior MBS (both residential and commercial) issued by securitisation entities,
where at least 90% of the underlying mortgages comply with the above rules for
unsecured mortgage exposures. The MBS must be rated Credit Quality Step 1,
and can only form 10% of the collateral pool from January 2011
• Loans secured by ships (60% LTV limit)
• Issuers of covered bonds backed by mortgage loans must meet certain minimum
requirements regarding mortgage property valuation and monitoring
For banks under the Standardised Approach holding positions meeting the above
criteria, the riskweights are set out below. For bonds failing to meet the above
criteria, the riskweights are as for the institution itself.
Table 3: Standardised approach risk weights

Institutional Rtg AAA-AA A-BBB BB Below B
Institutional RW 20% 50% 100% 150%
CB RW 10% 20% 50% 100%
Source: BIS
For banks under the Internal Ratings Based (IRB) Approach, they must use the same
formula as for institution and corporate riskweights. The inputs are a PD based on the
issuing bank’s rating (subject to a floor of 3bp), a reduced LGD of 12.5% (or even
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11.25%), with a fixed maturity (5 years) for Foundation banks, and the maturity of
the position itself for Advanced banks.
BIS Liquidity proposals

The Basel Committee published a consultation paper late last year in order to define
minimum short and long term liquidity requirements for banks. The Committee set a
liquidity coverage ratio, requiring banks to hold unencumbered high quality liquid
assets in excess of 30 days cash outflows under a severe stress scenario, and a net
stable funding requirement, under which the ratio of available amount of stable
funding to required amount of stable funding is greater than one.
Under the initial definition of high quality liquid assets of the Basel Committee,
covered bonds fell in the wider definition and were assigned a haircut of 20% for
bonds rated AA and above and 40% for those rated A- (A minus) and above. The net
stable funding definition assigned a required stable funding factor of 20% for
covered bonds rated AA and above and a higher haircut for bonds rated A- (A minus)
and above.
Such proposals received significant pushback from market participants and have led
the Committee to partially modify its definition of liquid assets. Under the new
framework, covered bonds fall within the Level 2 bucket, which can make up as
much as 40% of total liquid assets, and will be subject to a haircut of 15% if rated
AA- (double-A minus) and above. Level 2 assets will also include other government
and public debt securities with 20% risk weight and high quality corporate debt rated
at least AA- (double A minus). Requirements for covered bonds to qualify as Level 2
assets are:
• Eligible for central bank intraday or overnight liquidity
• Not issued by the bank for which the ratio is being calculated
• Minimum rating of double-A minus
• The bonds must trade in a large, deep and active markets and have not
experienced a bid-ask spread of over 50bp in the last 10 years
• Maximum decline in price or increase in haircut over a 30 days period in the

last ten years must not have exceeded 10% in a stressed environment
No changes have been made to the stable funding requirements. Although the
Committee announced that revised criteria will be published later this year and
postponed the introduction of a stable funding ratio until 2018, until which there will
be an observation period that will leave enough time to address any issues with the
new framework.
UCITS
The minimum requirements for UCITS compliant covered bonds are set out in
Article 22(4) of the UCITS Directive (Article 22(4) will become Article 52(4) in July
2011). To be eligible:
• Covered bonds must be issued by a credit institution
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• The programme has to be governed by a specific legal framework

• The scope of eligible cover pool assets must be defined by law
• The cover pool must provide sufficient collateral to cover bondholder claims over
the term of the covered bond
• Bondholders must have a priority claim on the cover pool in the event of default
Should the programme comply with the requirements set out in 22(4) then:
• Investment funds (UCITS) can invest up to 25% (instead of 5%) of their assets in
the covered bonds of a single issuer
• Insurance companies can invest up to 40% (instead of 5%) of their assets in
covered bonds of a single issuer
The role of Central Banks

ECB treatment
Covered bonds are considered eligible collateral to be used in repo financing
operations with the ECB. Both marketable securities and select non-marketable ones
(such as credit claims and non-marketable retail mortgage backed debt instruments)
are accepted as collateral; marketable securities will have to satisfy the following
criteria (amongst others):
• It must be a debt instrument with a fixed, unconditional principal amount

(this requirement does not apply to ABS bonds, which have to satisfy a
specific list of requirements)
• With a non-negative coupon (i.e. zero, fixed or floating)
• The debt instrument must be denominated in Euro and admitted to trading

on a regulated exchange or a limited number of unregulated exchange (all
EU)
• Issuers can be central banks, public sector entities, private entities or

international institutions, but must be located in the EEA or in a non-EEA
G10 country.
Once deemed eligible, the security is allocated to one of five liquidity categories (see
Table 4) and assigned a haircut according to its maturity and type of coupon.
Table 4: Liquidity categories for marketable assets

Category I Category II Category III Category IV Category V
Central Local and regional Traditional covered bank Credit ABS
Government debt government debt bonds (including multi- institution debt
cedulas) (unsecured)
Debt issued by Jumbo covered Corporate and other debt
central banks bonds
Agency debt
instruments
Supranational debt
instruments
Source: ECB
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The haircuts to which different types of collateral are subject have been revised by
the ECB in August 2010 and the new framework will become effective from 1st
January 2011. The main changes affecting covered bonds are the increased haircuts
for longer dated (>3yrs) non-jumbo covered bonds and the extension of the
additional theoretical valuation 5% haircut to include all types of covered bonds.
Table 5: Old and new (changes in bold) valuation haircuts by category and maturity
Category I Category II Category III Category IV Category V
Maturity Fixed Zero coupon Fixed Zero coupon Fixed Zero coupon Fixed Zero coupon Fixed/Zero
coupon coupon coupon coupon coupon
0-1y 0.5 0.5 1 1 1.5 1.5 6.5 6.5 12 / 16.0
1-3y 1.5 1.5 2.5 2.5 3 3 8 / 8.5 8
3-5y 2.5 3 3.5 4 4.5 / 5.0 5 9.5 / 11.0 10
5-7y 3 3.5 4.5 5 5.5 / 6.5 6 10.5 / 12.5 11
7-10y 4 4.5 5.5 6.5 6.5 / 8.5 8 11.5 / 14.0 13
>10y 5.5 8.5 7.5 12 9 / 11.0 15 14 / 17.0 20
Source: ECB
BoE treatment
The Bank of England has a similar facility available, the Discount Window Facility,
under which eligible banks and building societies are required to pay cash ratio
deposits (CRDs) to participate and can borrow gilts against a wide range of collateral
in return for a fee that varies according to collateral type and borrowing size. The
term of funding is generally 30 days but can be extended to 364 days for an
additional 25bp fee.
Table 6: Eligible collateral levels and fees for drawing of gilts

Level A Level B Level C Level D
% of £ eligible High-quality Third-party Third-party Own-name
liabilities securities eligible in securities trading in securities not securitisations &
short-term repo liquid mkts trading in liquid mkts CBs
OMOs and OSLF
0-10% 50 75 125 200
10-20% 75 125 200 300
20-30% 100 175 275 400
>30% At the discretion of the Bank
Source: Bank of England
Eligible collateral is defined as non-synthetic, non-wrapped securities denominated

in a variety of currencies (GBP, EUR, USD, AUD, CAD, SEK, CHF and JPY), rated
by at least two agencies. The list of securities include, amongst others, G-10
sovereigns rated double-A minus (or Moody's Aa3) or higher or guaranteed by a
AAA-rated G-10 sovereign, UK & EEA CBs backed by either residential or
commercial mortgages, or public sector debt, rated A3/A- or above with initial AAA
ratings including own name covered bonds, most senior tranches of UK/US/EEA
RMBS or ABS backed by credit cards, student loans, consumer loans, auto loans and
certain equipment leases, rated A3/A- or above with initial AAA ratings, including
own-name bonds (CMBS also accepted, but collateral has to be diversified and no
construction loans are permitted).
Margin ratios are applied to eligible collateral, with additional haircuts for securities
with no observable market price, own name ABS or covered bonds, downgraded
ABS or covered bonds and non-sterling denominated securities.
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Table 7: Margin ratios for extended collateral

OMO eligible Govt. Bank & BS RMBS/CBs ABS of CCs & ABS of corp. CMBS/CBs of Corp. bonds &
& Sov. paper agencies & US guaranteed backed by resi consumer loans/ bonds real estate CP issued by
GSEs debt mtges debt non-financials
Min rating Aa3/AA- Aaa/AAA Aaa/AAA not own name Corp: A3/A-
Floating 1.06 1.09 1.09 1.2 1.25 1.33 1.43 1.54
Fixed, <3y 1.06 1.09 1.09 1.2 1.25 1.33 1.43 1.54
Fixed, 3-5y 1.07 1.1 1.1 1.23 1.28 1.37 1.47 1.59
Fixed, 5-10y 1.09 1.15 NA 1.28 1.33 1.43 1.54 1.67
Fixed, 10-30y 1.12 1.23 NA 1.37 1.43 1.54 1.67 1.82
Fixed, >30y 1.13 Available from the Bank on request
Source: Bank of England
26
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Rating Agencies
All agencies now use the
We set out below an overview of the ratings approaches adopted by the three
unsecured rating of the issuer as agencies with respect to covered bonds. All three agencies now link the rating of
a rating‘s floor for its covered covered bonds to the rating of the issuing bank, providing further scope for uplift
bonds from the issuer rating based on both collateral and cover pool cashflow
characteristics.
Fitch Ratings
The following is a synopsis of the methodology used by Fitch Ratings to rate covered
bonds. For a complete overview of the Agency’s approach, please see Fitch Rating’s
‘Covered Bond Rating Criteria', published 16th August 2010.
Fitch Ratings uses a three stage process in arriving at the ratings it gives to covered
bonds. First, it combines the Issuer Default Rating (IDR) with the programme’s
Discontinuity Factor (D-Factor) to calculate a maximum rating on a probability of
default (PD) basis. Second, it tests the programme’s overcollateralisation, and finally
calculates a recovery uplift.
The D-Factor is designed to capture the level of expected difficulty in transitioning

from the issuer to the cover pool, after issuer default. The D-Factor is itself derived
from four separate attributes, each given a contributory weighting: Asset Segregation
(45%), Liquidity Gaps (35%), Alternative Management (15%) and Oversight (5%).
Effectively, the IDR sets the floor rating for the covered bond, with the D-Factor
setting the cap rating. The higher the D-Factor %, the lower the level of rating uplift
that can be achieved from the IDR.
• Asset Segregation looks at the effective segregation of the cover pool from other
creditors, the remoteness of over-collateralisation from creditor claims and also
considers clawback, co-mingling and set-off risk.
• Liquidity Gaps analysis is two-fold, making a macro assessment of market
liquidity and timing for potential portfolio sales, while also considering liquidity
gaps at the programme level with the effectiveness of asset-liability mechanisms
(i.e. pass-through structures, extendable bond maturities, liquidity guidelines,
marching of assets/substitute assets).
• Alternative Management looks to the process governing the appointment of a
substitute manager, along with the time taken to affect such a process.
Furthermore, the Agency considers the availability of suitable replacements in a
given market, along with the potential for conflicts of interest.
• Oversight considers the importance of covered bonds to a particular market, and
the regulatory involvement in monitoring and supervising covered bonds.
27
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Table 8: Maximum achievable rating based on PD

D-factor
IDR 100% 70% 60% 50% 40% 30% 20% 14% 10% 5% 0%
AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA+ AA+ AA+ AAA AAA AAA AAA AAA AAA AAA AAA AAA
AA AA AA+ AA+ AA+ AA+ AAA AAA AAA AAA AAA AAA
AA- AA- AA AA AA+ AA+ AA+ AAA AAA AAA AAA AAA
A+ A+ AA- AA- AA- AA AA AA+ AA+ AAA AAA AAA
A A A+ AA- AA- AA AA AA+ AA+ AAA AAA AAA
A- A- A A+ A+ AA- AA- AA AA+ AA+ AAA AAA
BBB+ BBB+ A- A A+ A+ AA- AA AA+ AA+ AAA AAA
BBB BBB BBB+ BBB+ A- A A+ AA- AA AA AA+ AAA
BBB- BBB- BBB BBB BBB BBB BBB+ A A+ AA- AA AAA
BB+ BB+ BBB- BBB- BBB- BBB BBB BBB+ A- A AA- AAA
BB BB BB+ BB+ BBB- BBB- BBB BBB BBB+ A- AA- AAA
BB- BB- BB BB BB+ BB+ BBB- BBB BBB BBB+ A AAA
B+ B+ BB- BB BB BB+ BB+ BBB- BBB BBB A- AAA
B B B+ BB- BB- BB BB+ BBB- BBB- BBB BBB+ AAA
B- B- B B+ BB- BB- BB BB+ BBB- BBB- BBB+ AAA
CCC/+ CCC/+ B- B B+ BB- BB- BB BB+ BBB- BBB AAA
Source: Fitch Ratings
Stage 2 involves assessing the highest level of stress that the over-collateralisation in
the cover pool can withstand while still maintaining timely interest and principal
payments in a wind-down scenario. The pool is assessed under economic downturn
conditions, and compares the stressed cashflows from the cover pool to the payments
required to be made on the covered bonds themselves. Over-collateralisation is key
to the rating since it is the only form of credit-enhancement available to covered
bond investors. Fitch gives credit for over-collateralisation in the following order:
contractual commitments, if legally binding and enforceable; non-contractual public
statements and covenants; and issuer’s internal guidelines. For issuers without any of
the above:
• For institutions rated at least F2, the lowest level of over-collateralisation during
the last twelve months
• For institutions rated F3 or below, the minimum level of over-collateralisation
required by legislation
To achieve this analysis, the Agency runs scenario analysis from the highest
achievable rating under Stage 1, down to the IDR. If over-collateralisation is
insufficient to avoid a payment default on the covered bonds in the first scenario at
the cap rating, the test is re-run again at each rating down to the IDR. The first rating
where over-collateralisation is sufficient to support the payments required under the
programme, is the rating under Stage 2.
Stage 3 is to recognise the positive impact of higher recoveries from the underlying
collateral in the cover pool. Recoveries are calculated by comparing the NPV of
cashflows from the cover pool against the NPV of privileged liabilities (the covered
bonds themselves along with privileged swaps).
28
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Table 9: Maximum uplift from Step 1 due to recovery considerations

Recovery range (in %) Investment grade Non-IG
Outstanding 91-100 +2 +3
Superior 71-90 +1 +2
Good 51-70 +1 +1
Average 31-50 - -
Below average 11-30 -1 -1
Poor 0-10 -1/-2 -2/-3
Moody’s
The following is a synopsis of the methodology used by Moody’s to rate covered
bonds. For a complete overview of the Agency’s approach, please see ‘Moody’s
Rating Approach to Covered Bonds’, published 4th March 2010.
Moody’s employs a joint default methodology, capturing both the credit strength of
the issuing bank along with that of the cover pool. The rating of the issuing bank is
the starting point of the Agency’s analysis, with the final rating of the covered bond
programme determined by the quality of the collateral pool, the strength of the legal
framework under which the programme is issued, and any other pertinent contractual
commitments. Similar to its approach to other asset classes, the Agency uses an
Expected Loss approach, combining the issuer PD based on the senior unsecured
rating and the expected LGD to CB investors in the event of such a default.
Moody’s uses a four stage process for determining its covered bond ratings, looking
first at the rating of the issuer, followed by consideration around the credit quality of
the cover pool, modeling refinancing risks and finally computing market risks.
Similar to the approach of the other agencies, analysis starts at the rating of the
issuer. Step 2 results in the analysis of the pool on either a loan-by-loan or stratified
basis. A collateral score is given to act as a guide to the strength of the cover pool,
considering the amount of collateral that can be refinanced at different rating levels
and the amount of collateral written off on issuer default. The higher the collateral
score, the higher the risk-free credit enhancement required by the programme (i.e. a
lower collateral score implies higher collateral quality). Collateral scores can be
reduced based on the (lower) correlation between the cover pool and the issuer itself.
Step 3 involves the modeling of refinancing risks, owing to the fact that natural
amortisation of the pool is likely to be insufficient to meet the repayment profile of
the programme. Moody’s looks to the securitisation market to calculate the discount
that should be applied to the cover pool when calculating a stress refinancing margin.
Finally, under Step 4, the agency looks to calculate market risks post-default of the
issuer.
Moody’s also utilises a metric called the Timely Payment Indicator (or TPI), which is
used in conjunction with the issuer’s rating to calculate the final covered bond
programme rating. The TPI is designed to capture an assessment of the timeliness of
payment of interest and principal following issuer default. TPI drivers are split over
five categories, as follows:
• Legislation/contract considerations
• Hedging considerations
29
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• Asset type considerations

• Nature of liabilities considerations
• Other considerations
Table 10: Maximum achievable rating based onTPI
TPI
Sponsor rating Very improbable Improbable Probable Probable-High High Very High
A1 Aaa Aaa Aaa Aaa Aaa Aaa
A2 Aa1 Aa1 Aaa Aaa Aaa Aaa
A3 Aa2 Aa2 Aaa Aaa Aaa Aaa
Baa1 Aa3 Aa3 Aa1 Aa1 Aaa Aaa
Baa2 A1 A1 Aa2 Aa2 Aa1 Aaa
Baa3 A3 A2 A1 Aa3 Aa2 Aa1
Ba1 Baa3 Baa2 Baa1 A3 A2 A1
B1 Ba3 Ba2 Ba1 Baa3 Baa2 Baa1
Source: Moody’s
Standard & Poor’s

The following is a synopsis of the methodology used by Standard & Poor’s to rate
covered bonds. For a complete overview of the Agency’s approach, please see
‘Revised Methodology And Assumptions For Assessing Asset-Liability Mismatch
Risk In Covered Bonds’, published 16th December 2009.
S&P revised its covered bond rating methodology in 2009. The most significant
development under the new approach has been the establishment of a direct link
between the rating of the issuer and that of its covered bonds in situations where the
programme has an asset-liability mismatch (ALMM). This brings S&P in line with
the approach adopted by the other two agencies.
Figure 6: Revised ratings approach

Asset Risk Cashflow Legal Risk Operational & Counterparty
Risk Administrative Risk
Risk
Zero
Low
1 ALMM Classification
Moderate
High
Category 1
2 Programme Categorisation Category 2
Category 3
Max. # notches
Category 1 2 3
Maximum Potential Zero Unrestricted
3 Low 7 6 5
CB rating
Moderate 6 5 4
High 5 4 3
Cashflow & Market Value

4 Determine target credit enhancement to
Analysis achieve maximum potential ratings uplift
CB Rating Compare target credit enhancement with

5
available credit enhancement
Source: Standard and Poor’s
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The revised framework introduces a five stage process to calculate a programme’s

ultimate rating. First the Agency looks to calculate a programme’s maximum ALMM
along with its timing, then under Stage 2 segregates programmes based on their
issuance jurisdiction. The ALMM classification is determined as the maximum
cumulative net ALMM as a percentage as a percentage of outstanding liabilities. To
calculate the ALMM, S&P stresses the periodic cashflows from the collateral pool
and compares these to the stressed outflows of the programme. The net difference
Table 11: Scaling factors (‘net stressed periodic cashflow’) is then scaled based on its timing. The ALMM
Timing of Scaling percentage is then calculated as the maximum cumulative scaled ALMM amount,
mismatch factor
0-1yr 100%
divided by the outstanding balance of programme liabilities. Based on the calculated
1-2y 95% percentage, the programme will sit in one of four available classification buckets.
2-3y 90%
3-4y 85% Table 12: ALMM classifications and potential maximum uplift
4-5y 80%
5-6y 75% ALMM Classification ALMM Percentage Max. Potential Uplift
6-7y 70% Zero N/A Unrestricted
7-8y 65% Low <15% 5-7 notches
8-9y 60% Moderate 15-30% 4-6 notches
9-10y 55% High >30% 3-5 notches
>10y 50%
Source: Standard & Poor’s
Rated covered bonds will therefore benefit from a minimum three notch uplift over
the issuer’s own rating, and a maximum seven notch upgrade. For programmes
without ALMM risk such as pass-through bonds, a covered bond’s rating is
unconstrained by the issuer’s rating.
Step 2 allocates programmes into one of three categories based primarily on their
jurisdiction of issuance.
Table 13: Programme categorisation

Category 1 Category 2 Category 3
Range of funding options Can raise funds from both Can raise funds either Access to funding is
asset sales and borrowing. through asset sales or restricted so sale of
No restrictions on when or borrowing. No assets is forced
how funds can be raised restrictions on when or
how funds can be raised
Strength of funding Long, well-established Limited history for the Newly established CB
sources history for the CB market. CB market. Not as market. Systematic
Systematic importance is systematic as Category importance is low.
high. Broad range of banks 1. Broad range of banks Uncertain investor
able to lend, and adequate able to lend, and demand among a broad
investor demand among a adequate investor range of investors for
broad range of investors for demand among a broad the assets backing the
the assets backing the range of investors for programme
programme the assets backing the
programme
Jurisdictions Denmark; France (OFs); Canada; Finland; France Greece; US
Germany; Spain, Sweden (structured CB); Ireland;
Italy; Luxembourg;
Netherlands; Norway;
Portugal; UK
Maximum potential 5 to 7 4 to 6 3 to 5
ratings uplift
Range of funding options Can raise funds from both Can raise funds either Access to funding is
asset sales and borrowing. through asset sales or restricted so sale of
No restrictions on when or borrowing. No assets is forced
how funds can be raised restrictions on when or
how funds can be raised
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Step 3 sees the combination of ALMM Classification (Stage 1) and Programme

Categorisation (Stage 2), giving the maximum potential covered bond rating.
Table 14: Maximum potential ratings uplift from the issuer’s ICR
ALMM Classification Category 1 Category 2 Category 3
Zero Unrestricted Unrestricted Unrestricted
Low 7 6 5
Moderate 6 5 4
High 5 4 3
Table 15: Maximum potential rating

Issuer Rtg Category 1 Category 2 Category 3
AAA AAA AAA AAA
AA+ AAA AAA AAA
AA AAA AAA AAA
AA- AAA AAA AAA
A+ AAA AAA AA+
A AAA AA+ AA
A- AA+ AA AA-
BBB+ AA AA- A+
BBB AA- A+ A
BBB- A+ A A-
BB+ A A- BBB+
BBB- A- BBB+ BBB
BB+ BBB+ BBB BBB-
Step 4 involves the modeling of revised collateral pool market values based on
stressed asset spreads. These are used to calculate the expected proceeds to the
programme if it borrowed or sold assets, allowing the Agency to calculate the
required level of over-collateralisation required to support the maximum rating uplift.
Asset market values are calculated using spread shocks, whereby the NPV of
projected asset cashflows is based on stressed discount margins (taken from
securitisation market pricing).
If the programme’s over-collateralisation reaches or exceeds the target level required

under Step 4, the programme will be awarded the maximum potential rating. Should
the actual level of over-collateralisation fall below this, however, the Agency will
assign a commensurately lower rating.
S&P also assigns outlooks for CB ratings (Stable; Positive; Negative and
Developing).
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The following issuer profiles were published throughout

Summer 2010. Data displayed was current as of date of
publication shown below in Table 16.
Table 16: Covered Bond Issuer Profile publication schedule

Part Publication Title Publication date
I Scandinavia 8th July 2010
II France, Luxembourg & Netherlands 16th July 2010
III UK & Ireland 23rd July 2010
IV Austria, Germany & Switzerland 6th August 2010
V Greece, Italy & Portugal 20th August 2010
VI Spain 20th September 2010
VII Rest of the World 20th September 2010
Source: J.P.Morgan Covered Bond Research
Issuer Profiles
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Austrian covered bonds
35
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Austrian Covered Bonds

Market size
We provide an overview of market issuance trends and outstanding volumes of
Austrian covered bonds in Figure 7 and Figure 8 respectively.
Figure 7: CB Issuance, €bn Figure 8: CB outstanding, €bn

12,000 Public sector Mortgage Ships 30,000 Public sector Mortgage Ships
10,000 25,000
8,000 20,000
6,000 15,000
4,000 10,000
2,000 5,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
Source: ECBC. Latest data available displayed Source: ECBC. Latest data available displayed
Legislative snapshot
We set out below in Table 17 a snapshot of key covered bond attributes in Austria.

Attribute Commentary
Legislative Framework Three different frameworks for covered bond issuance: Mortgage Banking Law of
1899 (Hypothekenbankgesetz); Law on Secured Bank Bonds (Gesetz betrffend
fundierte Bankschuldverschreibungen (FBS) 1905) and Mortgage Bond Act
(Pfandbriefgesetz as amended 2005)
Structure of Issuer Bonds are issued directly off the balance sheet of the lender. Assets are segregated
on bankruptcy of the issuer
Supervision Financial Market Authority and Ministry of Finance, along with both a primary and
secondary (back-up) trustee. For FBS, the collateral pool is monitored by a
government commissioner
Cover assets Broadly, two types of collateral are allowed: mortgages (60% max LTV) and public
sector assets. Only EEA, CH and domestic collateral allowed, but the preferential
claim on pfandbrief holders must be recognised. If not, a cap of 10% is deployed. For
public sector assets, the geographic scope is the same, but assets must have a risk-
weight lower than 20%.
FBS may also include bonds with “Mundelgelder” (“safe bond”) status
Cash, credit institution debt, assets available for use at the ECB, public sector debt
from acceptable jurisdictions (see above) are available for use as substitution assets,
up to a cap of 15%.
Valuation Individual market values for pfandbrief and FBS
ALM matching Eligible assets must be 102% of liabilities at all times on a nominal basis. Derivatives
can be used to help meet cashflow requirements. FBS set their own
overcollateralisation requirements in their articles of association.
Over-collateralisation Required 2%
Bankruptcy remoteness Issuer are required to have a register to record the cover assets
Compliance with EU UCITS and CRD compliant
legislation
Source: ECBC, national legislation
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Austrian macro background
Figure 9: Austrian real GDP growth, y-on-y, % Figure 10: Austrian unemployment level, %
6 Real GDP grow th 6
4 5
2 4
0 3
-2 2
Unemploy ment
-4 1
-6 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg Source: Bloomberg
Figure 11: Austrian CPI and base rate, % Figure 12: Austrian consumer confidence, balance of survey
5 Inflation Base rate
20 Cons. Confidence
4
10
3
2 0
1 -10
0 -20
-1
-30
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 13: Austrian outstanding mortgage stock (€mm) and annual Figure 14: Austrian average mortgage rate, %
change, % (RHS) 7 Av g mortgage rate
80,000 Outstanding mortgage stock Annual change in mtge stock (RHS) 30% 6
70,000 25% 5
60,000 4
20%
50,000 3
40,000 15%
2
30,000 10% 1
20,000
5% 0
10,000
Jan-03
Jul-03
Jan-04
Jul-04
Jan-05
Jul-05
Jan-06
Jul-06
Jan-07
Jul-07
Jan-08
Jul-08
Jan-09
Jul-09
Jan-10
0 0%
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-09
Jun-03
Jun-04
Jun-05
Jun-06
Jun-07
Jun-08
Jun-09
Source: ECB
Source: ECB
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Erste Bank Group Cover pool overview

We set out below some of the key cover pool
The Erste Bank Group operates across eight markets in
characteristics:
Central and Eastern Europe, with over 17 million
customers, of which 95% are EU residents. The group’s Table 21: Covered bond characteristics
strategy is to focus on providing retail and SME banking
Public-sector Mortgage
services to customers in new economies that are largely As at 31 Mar 2010 As at 31 Mar 2010
ignored by other banking groups by making targeted S/M/F S/M/F
acquisitions of local banks. In fact, between 1997 and Covered Bond rating -/Aaa/- -/Aaa/-
2008, Erste acquired more than 10 banks in order to enter Issuer rating A/Aa3/A A/Aa3/A
or increase its market share in its core markets. Cover pool size (€) 3,050,000,000 4,019,000,000
Number of loans 5,961 16,417
The Group issues both mortgage and public-sector
WA original LTV (in %) 48.2
backed covered bonds. Remaining tenor (yrs) 14.0 17.7
WA seasoning (yrs) 4.4
Financial performance Fixed rate assets (in %) 14
We set out below some of the key financial performance Geographical split (in %)
metrics: Austria – Vienna 19 38
Austria – Lower Austria 23 20
Table 18: Erste Bank, select income statement items, €mm Austria – Tyrol 8
Austria – Other 58 24
FY 2009 Germany 10
Net interest income 5,208 Other Europe 4
Provisions for loan losses 2,057
NII less provisions 3,152 Property type (in %)
Private retail housing 34
Commissions & fee income 2,320 Subsidised tenant 27
Other operating income 185 associations
Non-interest expense 4,856 Commercial housing 23
Operating profit (loss) 1,288 Mixed office/housing/retail 8
Retail/wholesale 7
PBT 1,261 Agriculture and other 1
Taxes 285 Source: Investor report
Net profit (loss) 903
Source: Bloomberg Table 22: Collateral pool LTMV breakdown
Table 19: Erste Bank, select balance sheet items, €mm Current LTMV ranges Mortgage
As at 31 Mar 2010
FY 2009 0-<=40% 35
Commercial Loans 70,296 >40%-<=50% 17
Consumer Loans 51,702 >50%-<=60% 48
Other Loans 7,136 Source: Investor report
Loans to public 124,179

Total Assets 201,710
Deposits 112,042
Short-term borrowings 27,683
Other short-term borrowing 9,488
Long-term borrowing 34,372
Equity 16,123
Source: Bloomberg
Table 20: Erste Bank, select financial metrics

FY 2009
NIM 2.8
ROA 0.4
ROE 8.7
ROC 1.2
C:I 56.3
Core capital 10.8
Source: Bloomberg
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Kommunalkredit Austria AG Cover pool overview

The bank was established in 1958 to provide low-
characteristics:
interest, long-term funding to Austrian local authorities.
This remains its core line of business as it focuses on Table 26: Covered bond characteristics
municipal and infrastructure project finance, including
As at 30 April
project consulting, budget management and asset 2010
management consulting, together with other financing S/M/F
services. Covered Bond rating -/Aa1/-
Issuer rating -/Baa1/A
The bank was nationalised in 2009, with the Austrian Geographical split (in %)
Government now owning 99.78% of the bank, and the Austria 68
remaining 0.22% owned by the Association of Austrian Switzerland 11
Germany 8
Municipalities. Public-sector backed covered bonds make Italy 5
up 29% of its current funding. Others 8
Asset type (in %)

Financial performance Loans 79
We set out below some of the key financial performance Bonds 21
metrics:
Rating split (in %)
Aaa 25
Table 23: Kommunalkredit AG, select income statement items, Aa 63
€mm A 12
FY 2009 Source: Investor report
Net interest income 5.9
Provisions for loan losses 0.7
NII less provisions 5.2
Commissions & fee income 3.4

Other operating income 1.1
Non-interest expense 4.8
PBT 3.2
Taxes 0.3
Net profit (loss) 2.9
Source: Kommunalkredit AG Annual Report 2009
Table 24: Kommunalkredit AG, select balance sheet items, €mm

FY 2009
Consumer Loans 2,661
Total Assets 18,283

Deposits 1,029
Equity 421
Table 25: Kommunalkredit AG, select financial metrics

FY 2009
Risk-weighted assets (€mm) 3,046
Core capital 14.3
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UniCredit Bank Austria Table 29: UniCredit Bank Austria, select financial metrics
FY 2009
Bank Austria is part of the UniCredit Group and one of
NIM 4.0
the leading banks in the Central and Eastern Europe ROA 0.5
region. ROE .1
ROC 1.4
C:I 50.9
Bank Austria is one of the leading banks in the country in Core capital 8.7
offering services to the corporate world, with Source: Bloomberg
88%/68%/45% of large/medium/small Austrian
corporates and businesses amongst its customers. Cover pool overview
Being part of the UniCredit Group, the bank also has characteristics:
access to the growing Central and Eastern European
markets, where the Group has over 4,000 branches in 19 Table 30: Covered bond characteristics
countries. Unicredit Bank Austria issues public-sector As at 30 Apr
backed covered bonds. 2010
S/M/F
Financial performance Covered Bond rating -/Aaa/-
Issuer rating A/A1/-
We set out below some of the key financial performance
metrics: Cover pool size (€) 2,797,000,000
Number of loans 3,163
Table 27: UniCredit Bank Austria, select income statement items,
Remaining tenor (yrs) 13
€mm WA seasoning (yrs) 6
FY 2009 Fixed rate assets (in %) 33
Net interest income 7,058 Bullet Loans (in %) 44
NII less provisions 4,791 Debtor distribution (in %)
Municipalities 41
Commissions & fee income 2,245 Guaranteed by Federal States 35
Other operating income 378 Guaranteed by Municipalities 14
Non-interest expense 4,206 Federal States 7
Operating profit (loss) 1,384 Guaranteed by the State 1
Other 2
PBT 1,335 Source: Investor report
Taxes 182
Net profit (loss) 1,102
Source: Bloomberg
Table 28: UniCredit Bank Austria, select balance sheet items,

€mm
FY 2009
Real Estate Loans 22,971
Deposits 97,316
Other short-term borrowings 14,746
Equity 13,850
Source: Bloomberg
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Canadian covered bonds
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Canadian Covered Bonds

Market size
Canadian covered bonds in Figure 15and Figure 16 respectively.
Figure 15: Mortgage CB Issuance, €mm Figure 16: Mortgage CB outstanding, €mm
5,000 8,000
7,000
4,000
6,000
3,000 5,000
4,000
2,000 3,000
2,000
1,000
1,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 31 a snapshot of key covered bond attributes in Canada.

Legislative Framework There is no covered bond framework in Canada and as a result covered bonds are
based on contractual agreements within general law. The government has however
expressed the intention of introducing a special covered bond law.
Structure of Issuer The construct is similar to that used in the Netherlands and in the UK, whereby a
securitisation technique is used to recreate a traditional covered bond structure using
common and contract law. The assets are purchased by a bankruptcy-remote vehicle,
the Guarantor, via an intercompany loan granted by the issuer; the Guarantor then
provides a guarantee on the issuer's covered
Supervision Office of the Superintendent of Financial Institutions (OSFI)
Cover assets Existing covered bond programmes are secured on residential mortgages and home
equity lines of credit (TD Bank programme only). RBC covered bonds are backed by
uninsured mortgage with a maximum LTV of 80% (in Canada, mortgage insurance is
required for loans with an LTV>80%)
Valuation Individual asset market value, estimated during underwriting process. When
conducting the Asset Coverage Test (ACT) a different multiplier is used depending on
whether each loan is performing or not
ALM matching Derivatives are allowed to hedge interest and exchange rate risk. The issuer is
required to stress the cover pool when carrying out an ACT in order to ensure the
cover pool is enough to cover all covered bonds claims. If this is breached, the issuer
has to remedy the breach by the next calculation date. There is also a reserve fund
that needs to be funded by the Guarantor upon downgrade of the issuer below a
specified threshold.
Over-collateralisation It depends on the contractual agreement, but the current issuers have agreed on a
maximum Asset Percentage of 97%, corresponding to an OC of 3.09%
Bankruptcy remoteness The assets are sold via a legal true sale to the Guarantor and therefore segregated
from the issuer. Legal title to the assets remains with the issuer until the breach of a
trigger
Compliance with EU Non UCITS and Non CRD compliant
legislation
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Canada macro background
Figure 17: Canada real GDP growth, y-on-y, % Figure 18: Canada unemployment level and mortgage arrears (RHS),
8 Real GDP grow th %
6 10 Unemploy ment Mortgage arrears (RHS) 0.50
4 8 0.40
2
6 0.30
0
4 0.20
-2
-4 2 0.10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
0 0.00
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Source: Bloomberg
Source: Bloomberg, Canadian Banker Association
Figure 19: Canada CPI and base rate, % Figure 20: Canada consumer confidence index, #
6 120 Cons. Confidence
5 100
4
3 80
2 60
1
0 40
-1 20
-2
0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Source: Bloomberg
Source: Bloomberg
Figure 21: Canada house price growth, % Figure 22: Canada housing permits issued and housing starts index
15 House price grow th (RHS), #
8,000 Housing permits Housing starts index (RHS) 350
10 7,000 300
6,000 250
5 5,000
200
4,000
0 150
3,000
2,000 100
-5 1,000 50
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
0 0
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Source: Bloomberg
Source: Bloomberg
43
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Bank of Montreal Cover pool overview

BMO Financial Group serves more than 10 million
characteristics:
personal, commercial, corporate and institutional
customers in North America and internationally. Table 35: Covered bond characteristics
As at 31 Jul
It is the fourth largest bank in Canada by deposits and its 2010
core lines of business are personal and commercial S/M/F
banking, wealth management (Private Client Group) and Covered Bond rating AAA/Aaa/AAA
investment banking (BMO Capital Markets). The bank Issuer rating A+/Aa2/AA-
operates as Harris Bank in the USA. Cover pool size (CAD) 4,439,766,316
Outstanding liabilities (in CAD) 3,577,070,000
Financial performance Asset percentage (in %) 95.0
We set out below some of the key financial performance Number of loans 24,704
metrics: Average loan (in CAD) 179,719
WA seasoning (mths) 17.8
Table 32: BMO, select income statement items, CADmm WA LTV (in %) 66.5
Highest regional exposure (in %) Ontario – 43.2
FY 2009 Fixed rate mortgages (in %) 59.2
Net interest income 5,570 Owner occupied properties (in %) 94.7
NII less provisions 3,967 Bureau Score breakdown (in %)
<500 or Unavailable 0.5
Commissions & fee income 4,607 500-599 1.7
Other operating income 465 600-699 17.4
Non-interest expense 7,311 700-799 65.7
Operating profit (loss) 2,150 >=800 14.7
PBT 2,080 Current LTV breakdown (in %)

Taxes 217 <=50 16.1
Net profit (loss) 1,787 50.01-55 5.3
Source: Bloomberg
55.01-60 7.6
60.01-65 9.4
65.01-70 9.3
Table 33: BMO, select balance sheet items, CADmm 70.01-75 11.3
FY 2009 75.01-80 33.5
>80 7.6
Commercial loans 68,169
Consumer loans 93,922 Source: Investor report
Loans 160,189
Deposits 236,156
Long-term borrowings 5,386
Equity 20,197
Source: Bloomberg
Table 34: BMO, select financial metrics

FY 2009
NIM 1.8
ROA 0.4
ROE 9.9
ROC 2.3
C:I 66.1
Core capital 12.2
Source: Bloomberg
44
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CIBC Table 38: CIBC, select financial metrics

FY 2009
Canadian Imperial Bank of Commerce (CIBC) operates
NIM 1.9
in two core areas of business: retail banking (CIBC ROA 0.3
Retail Markets) and wholesale banking (CIBC World ROE 9.1
Markets). ROC 1.8
C:I 66.8
Core capital 12.1
The retail bank offers a wide range of products to retail, Source: Bloomberg
institutional and wealth management clients in Canada
and investment management services in Hong Kong, Cover pool overview
Singapore and the Caribbean. We set out below some of the key cover pool
characteristics:
Through its wholesale banking operations, CIBC
provides investment banking services to government, Table 39: Covered bond characteristics
institutional, corporate and retail clients in Canada and As at 31 Jul
other key international markets 2010
S/M/F
Covered Bond rating AAA/Aaa/AAA
Financial performance
Issuer rating A+/Aa2/AA-
metrics: Cover pool size (CAD) 10,462,095,012
Asset percentage (in %) 92.5
Table 36: CIBC, select income statement items, CADmm
FY 2009 Number of loans 58,550
Net interest income 5,394 Average loan (in CAD) 154,158
Provisions for loan losses 1,649 WA seasoning (mths) 26.1
NII less provisions 3,745 WA remaining term (mths) 33.9
WA current LTV (in %) 55.0
Commissions & fee income 3,950 Highest regional exposure (in %) Ontario – 40.5
Other operating income 377 Fixed rate mortgages (in %) 0
Non-interest expense 6,660 Owner occupied properties (in %) 91.0
Operating profit (loss) 1,619
Bureau Score breakdown (in %)
PBT 1,619 Unavailable 5.3
Taxes 424 <500 0.0
Net profit (loss) 1,174 500-599 1.2
600-699 20.0
Source: Bloomberg
700-799 63.5
>=800 10.0
Table 37: CIBC, select balance sheet items, CADmm
LTV breakdown (in %)
FY 2009 <=40 21.8
Commercial loans 37,343 40.01-45 7.4
Consumer loans 131,829 45.01-50 8.2
Loans 167,212 50.01-55 9.0
Total Assets 335,944 55.01-60 10.8
Deposits 223,117 60.01-65 13.2
Short-term borrowings 43,369 65.01-70 8.6
Other short-term borrowings 22,090 70.01-75 7.9
Long-term borrowings 5,757 75.01-80 7.1
Equity 14,449 >80 6.1
Source: Bloomberg Source: Investor report
45
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Royal Bank of Canada Cover pool overview

RBC is Canada’s largest bank by both assets and market
characteristics:
capitalisation, and is one of North Ameica’s leading
financial services companies. Table 43: Covered bond characteristics
As at 31 Jul
The bank, through its subsidiaries, offers a broad range 2010
of financial products and services, including personal and S/M/F
commercial banking, wealth management, insurance, Covered Bond rating AAA/Aaa/AAA
corporate and investment banking and transaction Issuer rating AA-/Aaa/AA
processing services. Cover pool size (CAD) 16,716,500,518
It operates mostly in Canada and the USA, but is also Asset percentage (in %) 93.0
present in 51 other countries. Number of loans 136,617
Average loan (in CAD) 122,360
Financial performance WA seasoning (mths) 32.3
WA authorised LTV (in %) 68.2
We set out below some of the key financial performance WA drawn LTV (in %) 61.7
metrics: Highest regional exposure (in %) Ontario – 40.4
Fixed rate mortgages (in %) 66.3
Table 40: RBC, select income statement items, CADmm Owner occupied properties (in %) 91.9
FY 2009 Bureau Score breakdown (in %)

Net interest income 11,506 Unavailable 0.6
Provisions for loan losses 3,413 <500 1.0
NII less provisions 8,093 500-599 2.6
600-699 14.8
Commissions & fee income 9,307 700-799 55.2
Other operating income 1,005 >=800 25.7
Non-interest expense 14,558
Operating profit (loss) 6,526 Authorised LTV breakdown (in %)
<=40 6.2
PBT 5,526 40.01-45 2.2
Taxes 1,568 45.01-50 3.0
Net profit (loss) 3,858 50.01-55 3.5
Source: Bloomberg 55.01-60 5.4
60.01-65 10.0
65.01-70 11.5
Table 41: RBC, select balance sheet items, CADmm 70.01-75 25.1
FY 2009 75.01-80 33.2
Real estate loans 122,130
Commercial loans 78,927 Drawn LTV breakdown (in %)
Consumer loans 205,224 <=40 11.5
Loans 280,963 40.01-45 4.2
Total Assets 654,989 45.01-50 5.1
Deposits 398,304 50.01-55 6.4
Equity 38,977 70.01-75 16.6
75.01-80 19.7
Source: Bloomberg
Source: Investor report
Table 42: RBC, select financial metrics

FY 2009
NIM 2.3
ROA 0.5
ROE 12.0
ROC 3.5
C:I 58.6
Core capital 13.0
Source: Bloomberg
46
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Scotiabank Table 46: Scotiabank, select financial metrics

FY 2009
Scotiabank is one of Canada’s largest banks, offering a
NIM 1.9
wide range of products across 50 countries around the ROA 0.7
world. The Group has three core business lines: Canadian ROE 16.9
Banking, International Banking and Scotia Capital ROC 4.6
C:I 54.8
(wholesale banking arm of the Group). Core capital 10.7
Source: Bloomberg
The Canadian banking operations provide banking and
investing services to just under 7.5mm customers; the Cover pool overview
core lines of business are retail and small business We set out below some of the key cover pool
lending, wealth management and commercial banking characteristics:
services to medium and large businesses.
Table 47: Covered bond characteristics
The international operations offer retail and commercial As at 31 Jul
banking services across the Caribbean, Central and Latin 2010
America and Asia. S/M/F
Covered Bond rating -/Aaa/AAA
Issuer rating AA-/Aa1/AA-
We set out below some of the key financial performance Cover pool size (CAD) 3,087,631,264
metrics: Outstanding liabilities (in CAD) 2,597,250,000
Asset percentage (in %) 95%
Table 44: Scotiabank, select income statement items, CADmm Number of loans 21,735
Average loan (in CAD) 142,058
FY 2009
WA remaining term (mths) 29
Net interest income 8,328
Highest regional exposure (in %) Ontario – 56.8
NII less provisions 6,584
Fixed rate mortgages (in %) 100
Owner occupied properties (in %) 100
Commissions & fee income 4,323
Other operating income 788
Bureau Score breakdown (in %)
<500 1
500-599 2
600-699 15
PBT 4,794
700-799 58
Taxes 1,133
>=800 25
Source: Bloomberg LTV breakdown (in %)
<=36 79.0
Table 45: Scotiabank, select balance sheet items, CADmm 36-41.99 0.2
42-47.99 10.8
FY 2009 48-53.99 3.1
Commercial loans 106,520 54-59.99 6.4
Consumer loans 162,652 60-65.99 0.3
Loans 266,302 66-71.99 0.0
Total Assets 496,516 >=72 0.3
Deposits 350,419 Source: Investor report
Equity 25,326
Source: Bloomberg
47
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Toronto Dominion Bank Cover pool overview

TD Bank Financial Group offers a full range of financial
characteristics:
products and services ranging from personal and
commercial banking and wealth management to Table 51: Covered bond characteristics
insurance and wholesale banking. The Group is
As at 31 Jul
structured along four key business lines: Canadian 2010
Residential & Business Banking including TD Canada S/M/F
Trust and TD Insurance; Wealth Management including Covered Bond rating -/Aaa/-
TD Waterhouse and TD Ameritrade; Whole Banking and Issuer rating -/Aaa/-
US Personal & Commercial Banking. Cover pool size (CAD) 9,867,936,709
The bank operates mostly in its core markets of Canada Asset percentage (in %) 95.0
and the USA and ranks amongst the top online financial Number of loans 79,241
services firms, with over 6 million online customers. Average loan (in CAD) 124,531
WA authorised LTV (in %) 68.0
Financial performance WA drawn LTV (in %) 54.7
We set out below some of the key financial performance Highest regional exposure (in %) Ontario – 54.7
metrics: Fixed rate mortgages (in %) 13.2
Owner occupied properties (in %) 100.0
Table 48: TD Bank, select income statement items, CADmm Bureau Score breakdown (in %)
FY 2009 Unavailable 0.1
Net interest income 11,326 <500 0.0
Provisions for loan losses 2,480 500-599 0.4
NII less provisions 8,846 600-699 8.1
700-799 64.3
Commissions & fee income 5,683 >=800 27.1
Non-interest expense 11,825 Authorised LTV breakdown (in %)
Operating profit (loss) 3,555 <=40 14.5
40.01-45 3.4
PBT 3,472 45.01-50 8.1
Taxes 241 50.01-55 3.2
Net profit (loss) 3,120 55.01-60 4.5
60.01-65 8.6
Source: Bloomberg 65.01-70 5.8
70.01-75 30.3
Table 49: TD Bank, select balance sheet items, CADmm 75.01-80 21.7
FY 2009 Drawn LTV breakdown (in %)
Commercial loans 87,322 <=40 51.0
Consumer loans 168,174 40.01-45 5.2
Loans 253,128 45.01-50 5.6
Total Assets 557,219 50.01-55 5.0
Deposits 391,034 55.01-60 4.9
Equity 40,829 75.01-80 6.7
Source: Bloomberg >80 1.5
Table 50: TD Bank, select financial metrics
FY 2009
NIM 2.5
ROA 0.5
ROE 9.1
ROC 3.7
C:I 66.2
Core capital 11.3
Source: Bloomberg
48
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Danish covered bonds
49
(44-20) 7325-7283 21 September 2010
Danish Covered Bonds

Market size
Danish covered bonds in Figure 23 and Figure 24 respectively.
Figure 23: CB issuance, €bn Figure 24: CB outstanding, €bn

160,000 Ships 350,000 Ships
Public sector Public sector
140,000 300,000
Mortgage Mortgage
120,000 250,000
100,000
200,000
80,000
150,000
60,000
40,000 100,000
20,000 50,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 52 a snapshot of key covered bond attributes in Denmark.

Legislative Framework Danish Mortgage Credit Loans & Mortgage Credit Bonds etc Act. Executive Order No.
718 of 21 June 2007 on the Issue of Bonds, the Balance Principle and Risk
Management; Bill No. 577 of 6 June 2007 amending the Financial Business Act 454
of 10 June 2003.
Structure of Issuer Both specialised mortgage credit institutions (who have restrictions on the scope of
their banking activities) and also licensed credit institutions (essentially commercial
banks).
Type of bonds Two current types, primarily differentiated by the type of issuer, and the type of
substitution assets allowed in the cover pool. Specialist mortgage credit institutions
are the only type of issuer of SDROs (Saerligt Daekkede RealkreditObligationer),
while licensed credit institutions, specialist mortgage credit institutions and shipping
finance institutions (Danmarks Skibskredit) can issue SDOs (Saeligt Deakkede
Obligationer). Legacy issues are ROs (RealkreditObligationer), and do not meet the
covered bond definitions under the CRD (grandfathered risk-weights for pre-2008
issuance).
Supervision Danish FSA
Cover assets Separate ‘capital centres’ or cover pools maintained for different types of issues or
assets. Public assets, ship loans (max LTV 70%), bank debt (SDO’s only), mortgages
(max LTV 80% for residential, 70% for agricultural and 60% for commercial
properties). For public sector assets, there is a cap of 20% of the pool for 20% risk-
weighted exposures. Substitute collateral can constitute a maximum of 15% of the
pool. Derivatives are also allowed into the pool.
Valuation Individual market value.
ALM matching NPV of cover pool has to be above liabilities’ value at all times; cashflows from pool
and derivatives should be enough to cover payments on liabilities. Issuers have to
adhere to one of the general and the specific balance principle (imposes limits on
interest rate and currency risk, while also imposing matched funding requirements).
Over-collateralisation No minimum requirement for commercial banks but specialist mortgage banks have
to maintain 8% of RWA.
Bankruptcy remoteness Segregated assets in cover register. No automatic acceleration in case of bankruptcy.
Derivatives counterparties rank pari passu with bondholders.
Compliance with EU UCITS and CRD compliant.
legislation
50
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Junior covered bonds

Figure 25: Junior Covered Bonds
The Danish covered bond legislation allows, under Section 33e of the Danish
explained
Mortgage-Credit Loans and Mortgage-Credit Bonds Act, the issuance of the Junior
Schematic
Schematic Covered Bonds (JCBs). These are issued to fund assets eligible as supplementary
Capital Centre XYZ
Assets Liabilities security for covered bonds (with the addition of government securities as eligible
Eligible Assets Covered Bonds
extra assets) in case the value of the assets backing the SDO falls below the value of
Mortgage loans Primary claim (alongside
Loans to public
that of derivative the issued bonds (this could happen if, for example, house prices fall or bond values
financial instruments) in
authorities the event of insolvency rise).
Claims with banks
JCBs are backed by the same collateral as covered bonds but only have a secondary
Eligible Assets Junior Covered Bonds
preferential claim towards the assets in the capital centre, behind covered bond
Government securities Secondary claim against holders and derivative counterparties. In addition, if the cover pool is insufficient to
all remaining assets in
the capital centre in the
event of insolvency
satisfy all the claims in the capital centre, JCBs have a residual claim towards the
Over-collateralisation Equity
assets of the issuer and in this case they would rank pari passu with unsecured
Mandatory 8% of RWA claims, including covered bonds. To date, there has been only one issue of junior
for specialist mortgage
banks covered bonds (issued by Nykredit, rated Aa3 by Moody’s and with a risk weight of
Voluntary basis for
commercial banks
20%).
Source: J.P. Morgan Covered Bonds Research As for “traditional” covered bonds, issuers are fully liable for the outstanding JCBs
and can defer payments to these bonds only if payments would breach the tests
imposed by the balance principle, if such tests have already been breached or in case
of an issuer insolvency.
51
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Danish macro background
Figure 26: Danish real GDP growth, y-on-y % Figure 27: Danish unemployment level, %
Unemploy ment
4 6
2 5
0 4
-2 3
-4 2
-6 1
-8 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 28: Danish CPI and base rate, % Figure 29: Danish consumer confidence, index
5 15
Cons. Confidence
Inflation Base rate
4 10
5
3
0
2
-5
1
-10
0 -15
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 30: Danish nominal house price growth, y-on-y % Figure 31: Danish housing starts, number
30% 20000
OECD HP nominal grow th Housing starts
20%
15000
10%
10000
0%
5000
-10%
-20% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: OECD Source: Statistics Denmark
52
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BRF Kredit AS Table 55: BRF Kredit, select financial metrics

FY 2009
BRF Kredit (BRF) is a specialist mortgage lender,
NIM 0.7
accounting for around 10% of the Danish mortgage ROA -0.3
market. The loan book is made up of loans backed by: ROE -6.2
44% owner-occupied properties, 20% private rental ROC -0.3
C:I 42.6
housing, 16% subsidised housing and 16% commercial Core capital 13.3
properties. All properties are located in Denmark. BRF Source: Bloomberg
Kredit is owned by an independent business foundation,
BRFfonden. Cover pool overview
The lender finances its lending activity using covered characteristics:
bonds and mortgage bonds, depending on the type of
collateral used. BRF adheres to the general balance Table 56: Covered bond characteristics
principle, with bonds being full recourse obligations on As at 31 March
BRF Kredit. Mortgage bonds are supported by a cover 2010
pool of assets, either from a specific capital centre or by S/M/F
the remaining assets of BRF Kredit (General Capital Covered Bond rating: Capital Centre E (SDO) -/Aa1/-
Covered Bond rating: Capital Centre B (RO) -/Aa3/-
Centre). Covered Bond rating: General Capital Centre (RO) -/Aa3/-
Issuer rating -/Baa1/-
Total Cover Pool Balance: 216,000,000,000
We set out below some of the key financial performance WA Loan Balance: 1,589,000
metrics: No. of Loans: 135,928
WA LTV (in %): 67
Table 53: BRF Kredit, select income statement items, DKKmm
Interest only mortgages (in %): 51
FY 2009 Fixed rate mortgages (in %) 24
Net interest income 1,747 Capped mortgages (in %): 11
Provisions for loan losses 2,125 Private housing (in %): 47
NII less provisions -378 Copenhagen concentration (in %): 49
Operating profit (loss) -852
Table 57: Collateral pool LTV breakdown
Current LTV ranges As at 31 March
PBT -858 2010
Taxes -237 0-<=40% 61
Net profit (loss) -621 >40%-<=60% 20
Source: Bloomberg >60%-<=80% 13
>80%-<=100% 4
Table 54: BRF Kredit, select balance sheet items, DKKmm >100% 2
Source: Investor report. All loans
FY 2009
Deposits 3,937
Equity 9,730
Source: Bloomberg
53
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Danske Bank AS Cover pool overview

We set out below key cover pool characteristics:
Danske Bank Group (Danske) is the largest financial
group in Denmark and one of the largest in the Nordic Table 61: Covered bond characteristics, Pool I (International)
region. The Group focuses on retail banking, with a
As at 30 April
product range which includes banking, mortgage lending, 2010
insurance, leasing, real-estate brokerage and asset S/M/F
management. In Sweden and Norway, the Group has Covered Bond rating AAA/Aaa/AAA
mid-single digit market shares through its acquisitions of Issuer rating A/Aa3/A+
Ostgota Enskilda Bank & Provinsbankerne and Fokus Total Cover Pool Balance: 79,763,052,664
Bank respectively, while also owning Finland's third Avg Loan Balance: 795,443
largest bank (Sampo Bank). Danske is also currently No. of Loans: 100,275
WA LTV (in %): 61
present in Ireland, Luxembourg, Germany, Poland and OC at cut-off (in %): 19.4
the Baltics. Danske issues covered bonds backed by two Substitution collateral 2,438,977,500
separate cover pools: Pool I (International) comprises Seasoning (in months): 32
Remaining term (in months): 435
47% Swedish and 53% Norwegian mortgages, while Housing cooperatives (in %): 25
Pool D (Domestic) is made up of 100% Danish loans. Country concentration (in %): 47 Swe, 53 Nor
We set out below some of the key financial performance Table 62: Collateral pool LTV breakdown, Pool I (International)
metrics: Current Indexed LTV ranges As at 30 April
2010
Table 58: Danske Bank, select income statement items, DKKmm 0-<=40% 15
>40%-<=50% 15
FY 2009 >50%-<=60% 18
Net interest income 47,542 >60%-<=70% 19
Provisions for loan losses 25,677 >70%-<=80% 18
NII less provisions 21,865 >80% 15
Other operating income -8,851
Operating profit (loss) 4,462 Table 63: Covered bond characteristics, Pool D (domestic)
As at 30 April
PBT 4,755
2010
Taxes 3,042
Net profit (loss) 1,727 S/M/F
Source: Bloomberg Issuer rating A/Aa3/A+
Table 59: Danske Bank, select balance sheet items, DKKmm Total Cover Pool Balance: 31,936,752,259
Avg Loan Balance: 610,214
FY 2009 No. of Loans: 52,337
Loans to public 1,815,615 WA LTV (in %): 58
Total Assets 3,098,477 OC at cut-off (in %): 16
Deposits 859,580 Substitution collateral 515,583,500
Short-term borrowings 311,169 Seasoning (in months): 40
Long-term borrowings 1,111,658 Remaining term (in months): 318
Equity 100,659 Copenhagen concentration (in %): 36
Table 60: Danske Bank, select financial metrics Table 64: Collateral pool LTV breakdown, Pool D (domestic)
FY 2009 Current Indexed LTV ranges As at 30 April
NIM 1.6 2010
ROA 0.1 0-<=40% 24
ROE 1.7 >40%-<=50% 14
ROC 0.1 >50%-<=60% 16
C:I 49.8 >60%-<=70% 16
Core capital 14.1 >70%-<=80% 14
Source: Bloomberg >80% 16
54
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DLR Kredit AS Cover pool overview

Dansk Landbrugs Realkreditfond (DLR) was founded in characteristics:
1960 to target farmers' needs for long term capital. DLR
was allowed to grant mortgages with LTVs ranging Table 68: Covered bond characteristics
between 45-70% but gave up this exclusive right in 1999, As at 31 March
before being transferred to the Mortgage Credit Act in 2010
S/M/F
2000. In 2001, it acquired its current form as a company Covered Bond rating (SDO, Capital Centre B) -/Aa1/-
limited by shares. Covered Bond rating (RO, General Capital Centre) -/Aa1/-
Issuer rating -/A3/-
The loan portfolio is heavily skewed towards agricultural Total Cover Pool Balance: 131,526,200,000
and commercial properties, with fixed rate loans and Agricultural loans (in %): 64
short-interest period loans accounting for 24% and 76% Office and business property loans (in %): 16
of the total portfolio respectively. ARM loans are by far Private rental property loans (in %): 13
Residential loans (in %): 6
the dominant loan type, with a 60% share of the loan Fixed rate loans (in %): 24
book. Interest only loans make up 52% of the pool, but Interest only loans (in %): 52
are mostly concentrated in the private rental and Source: Quarterly report
cooperative housing sections of the loan portfolio.
metrics:
Table 65: DLR Kredit, select income statement items, DKKmm

FY 2009
Provisions for loan losses 159
NII less provisions 889
Commissions and fee income 76

Non-interest expense 203
PBT 450
Taxes 113
Source: DLR Kredit Annual Report 2009
Table 66: DLR Kredit, select balance sheet items, DKKmm

FY 2009
Equity 6,534
Table 67: DLR Kredit, select financial metrics

FY 2009
ROA 0.2
ROE 5.5
Core capital 11.6
55
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Nordea Kredit Realkredit AS Table 71: Nordea, select financial metrics

FY 2009
Nordea Kredit grants mortgage lending secured by
NIM 1.4
residential, commercial, agricultural and industrial ROA 0.5
properties in Denmark. The Nordea Group is a well ROE 11.6
established financial group catering to the Nordic and ROC 1.2
C:I 50.0
Baltic states, where it is consistently one of the largest by Core capital 10.2
market share, with a small but growing presence in new Source: Bloomberg
European markets. No geographical market accounts for
more than a quarter of income, out of a customer base of Cover pool overview
around 10mm households and corporates. As of May We set out below some of the key cover pool
2010, one of the largest shareholders is the Swedish characteristics:
State, with a stake of around 20%.
There are two covered bond Capital Centres: mortgage As at 31 March
bonds (ROs) are issued out of Capital Centre I and 2010
constitute 43% of the loan pool; only one ISIN remains S/M/F
open for issuance out of CC I. Covered bonds (SDROs) Covered Bond rating AAA/Aaa/-
Issuer rating AA-/Aa2/AA-
are issued out of Capital Centre II and new issues are
almost exclusively out of this CC. Total Cover Pool Balance: 302,700,000,000
Capital Centre 1 (in %): 43
Capital Centre 2 (in %): 57
Financial performance WA LTV (in %): 66
We set out below some of the key financial performance Fixed rate mortgages (in %) 25
metrics: ARM mortgages (in %): 44
Interest only mortgages (in %): 54
Table 69: Nordea, select income statement items, DKKmm
FY 2009
Commissions and fee income 18,377

PBT 22,897
Taxes 5,637
Source: Bloomberg
Table 70: Nordea, select balance sheet items, DKKmm

FY 2009
Loans to public 2,101,200
Total Assets 3,776,300
Deposits 1,142,700
Long-term borrowings 1,024,600
Equity 166,813
Source: Bloomberg
56
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Nykredit Realkredit AS Cover pool overview

Nykredit is the third largest financial institution in
characteristics:
Denmark, with a share of 41% of the mortgage lending
market and 5% of the commercial banking market. The Table 76: Covered bond characteristics, Pool D (RO)
group also offers insurance, pension and estate agency
As at 31 March
services and products. Nykredit Realkredit is wholly 2010
owned by Nykredit Holding AS (majority owned by the S/M/F
Nykredit Foundation (87.46%)). Covered Bond rating AAA/Aaa/-
Issuer rating A+/A1/-
In 2003 Nykredit acquired Totalkredit, which currently Total Cover Pool Balance: 381,498,000,000
operates as a wholly owned subsidiary. Since 2006 the Avg Loan Balance: 1,393,946
two have been jointly funded, with Totalkredit covered No. of Loans: 273,682
WA LTV (in %): 55
bonds originally issued out of Capital Centre D. Since Fixed rate loans (in %): 41
2007, these are issued out of Capital Centre E with the Interest only (in %): 49
pre-existing series being grandfathered in accordance Source: Investor report
with the CRD.
Table 77: Collateral pool LTV breakdown, Pool D (RO)
Financial performance Current Indexed LTV ranges As at 31 March
We set out below some of the key financial performance 2010
metrics: 0-<=40% 17
>40%-<=60% 30
>60%-<=70% 17
Table 73: Nykredit, select income statement items, DKKmm >70%-<=80% 16
FY 2009 >80%-<=90% 11
>90% 10
Provisions for loan losses 7,919 Source: Investor report
Table 78: Covered bond characteristics, Pool E (SDO)
Other operating income 1,686 As at 31 March
Non-interest expense 7,584 2010
S/M/F
PBT 179 Covered Bond rating AAA/Aaa/-
Taxes 50 Issuer rating A+/A1/-
Source: Nykredit Realkredit Group Annual Report 2009
Avg Loan Balance: 1,465,113
No. of Loans: 318,086
Table 74: Nykredit, select balance sheet items, DKKmm WA LTV (in %): 64
FY 2009 Fixed rate loans (in %): 11
Interest only (in %): 64
Consumer loans 992,992
Loans to public 1,055,003 Source: Investor report
Deposits 64,483 Table 79: Collateral pool LTV breakdown, Pool E (SDO)
Other short-term borrowings 1,008 Current Indexed LTV ranges As at 31 March
Long-term borrowings 889,899 2010
Equity 51,241 0-<=40% 10
>40%-<=60% 19
>60%-<=70% 14
>70%-<=80% 26
Table 75: Nykredit, select financial metrics >80%-<=90% 21
FY 2009 >90% 9
ROA 0.0 Source: Investor report
ROE 0.3
Core capital 16.7
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Realkredit Danmark AS Cover pool overview

Realkredit Danmark (RD) specialises in mortgage
characteristics:
lending secured by residential, commercial, agricultural
and industrial properties. RD dates back to 1851 but it Table 83: Covered bond characteristics
became a wholly owned subsidiary of the Danske Bank
As at May 2010
Group in 2001.
S/M/F
Covered Bond rating AAA/Aaa/-
RD’s main market is Denmark, where it is the second Issuer rating AA-/Aa3/-
largest specialist mortgage lender, but also offers loans
secured by properties in the UK, Sweden, Faroe Islands WA LTV (in %): 69
and Greenland. LTV>80% (in %): 6
Loans to homeowners (in %): 59
Commercial loans (in %): 15
Financial performance Loans for residential rental (in %): 19
We set out below some of the key financial performance Agricultural loans (in %): 7
metrics: Source: Investor report
Table 80: Realkredit Danmark, select income statement items, Table 84: Collateral pool LTV breakdown
DKKmm
Current LTV ranges As at May 2010
FY 2009 0-<=40% 63
Net interest income 5,732 >40%-<=60% 20
Provisions for loan losses 1,265 >60%-<=80% 12
NII less provisions 4,467 >80% 6
Commissions and fee income 516
PBT 3,333
Taxes 841
Source: Realkredit Danmark Annual Report 2009
Table 81: Realkredit Danmark, select balance sheet items,

DKKmm
FY 2009
Mortgage loans 691,301
Equity 41,020
Table 82: Realkredit Danmark, select financial metrics

FY 2009
ROA 0.3
ROE 6.5
C:I 17.2
Core Capital 44.2
58
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Dutch covered bonds
59
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Dutch Covered Bonds

Market size
Dutch covered bonds in Figure 32 and Figure 33 respectively.

10,000 30,000
Mortgage
Mortgage 25,000
8,000
20,000
6,000
15,000
4,000
10,000
2,000 5,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 85 a snapshot of key covered bond attributes in The
Netherlands.

Legislative Framework Decree of 3 June 2008 and Financial Services Act. The contractual terms are defined
by the Dutch law and allow four types of bonds: general law based CB (those
structured through contract law, prior to the adoption of CB legislation), covered
bonds, CRD and UCITS compliant registered CB and non-CRD-compliant registered
CB (both issued under the legislative framework)
Structure of Issuer Bonds are issued by the credit institution itself, using a similar guarantor structure
(Covered Bond Company or CBC0 to that used in the UK, French non-legislative
covered bonds etc
Supervision Netherlands Authority for Financial Markets (AFM) and Dutch Central Bank (DNB)
Cover assets Only Dutch and EEA mortgages allowed in the cover pool. Max size typically set at
€1.5mm and for non-NHG loans max 125% LTFV. Both NHG ad non-NHG loans
accepted. Loan with LTFV between 125% and 130% must not exceed 5% of total.
Substitute collateral typically must not exceed 10%, with eligibility criteria self-
imposed by the issuers.
Valuation Individual market values
ALM matching Nominal value of assets has to be greater than principal amount of o/s bonds.
Derivatives can be used. Pre-maturity tests are designed to ensure the borrower can
provide sufficient liquidity in case of downgrade (i.e. pre-defined period prior to
scheduled bond redemption, if a borrower's short-term rating is below a prescribed
threshold, the borrower must fund a cash collateral account to ensure redemption).
Amortisation tests are designed to ensure the issuer has the capacity to meet its
obligations following a borrower EOD. Asset Coverage tests are designed to ensure
that pool collateral is sufficient to meet future interest and principal cashflows on the
outstanding covered bonds
Over-collateralisation Requirements prescribed by the issuers
Bankruptcy remoteness Similar to the UK, in case of insolvency of the originator, the issuer exercises the
financial guarantee over the pledged assets; if the issuer is insolvent, assets are
transferred to an SPE
Compliance with EU UCITS and CRD compliant for registered covered bonds (see above)
legislation
60
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Dutch macro background
Figure 34: Dutch real GDP growth, y-on-y, % Figure 35: Dutch unemployment level, %
6 Real GDP grow th 8 Unemploy ment
4 7
6
2 5
0 4
-2 3
2
-4
1
-6 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Figure 36: Dutch CPI and base rate, % Figure 37: Dutch consumer confidence, balance of survey
40 Cons. Confidence
4 30
20
3 10
0
2 -10
-20
1
-30
0 -40
-50
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 38: Dutch house price growth, y-on-y, % Figure 39: Dutch annual dwelling transactions, #
25% House price grow th 250000 Annual ow ner occ.dw elling transactions
20%
200000
15%
10% 150000
5% 100000
0%
50000
-5%
-10% 0
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-09
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Source: Kadaster Source: CBS Netherlands
61
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ABN Amro Bank NV Cover pool overview

On 1st July 2010, the legal merger between ABN Amro
characteristics:
Bank NV and Fortis Bank (Nederland) NV was
completed, creating a combined entity called ABN Amro Table 88: Covered bond characteristics
Bank NV. This institution is wholly owned by the Dutch
As at 30 April
government, and will eventually be returned to the 2010
private sector. S/M/F
The ABN Amro Group offers retail, private and Issuer rating (ABN Amro Bank NV) A/Aa3/A+
merchant and commercial banking services to just under Cover pool size (€) 21,699,007,900
7mm retail clients and 400,000 corporate clients globally. Number of loans 115,042
Avg loan (€) 105,086
The ABN covered bond programme is backed by Dutch WA original LTFV (in %) 89.6
residential mortgages, and is registered with the Dutch WA indexed LTFV (in %) 83.8
central bank. WA original LTV (in %) 76.4
WA indexed LTV (in %) 71.2
Table 86: ABN Amro Bank NV, select income statement items,
€mm Highest regional concentration (in %) Zuid-Holland 22

PBT -67
Taxes 50
Net profit (loss) -117
Source: ABN Amro Bank NV Annual Report 2009, unaudited pro forma
Table 87: ABN Amro Bank NV, select balance sheet items, €mm
FY 2009
Equity 4,278
Source: ABN Amro Bank NV Annual Report 2009, unaudited pro forma
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Achmea Hypotheekbank NV Cover pool overview

Achmea Hypotheekbank NV was formed in 1995 and
characteristics:
provides mortgage loans to private individuals in the
Netherlands under the Centraal Beheer Achmea, FBTO, Table 92: Covered bond characteristics
Avéro Achmea and Woonfonds Hypotheken brands.
As at 30 April
Achmea mortgage bank is wholly owned by Achmea 2010
Holding, which in turn is a wholly owned subsidiary of S/M/F
the insurance group Eureko BV. Covered Bond rating -/Aa2/AAA
Issuer rating (Achmea Hypotheekbank) A-/Aaa/A-
While part of the lending is financed with deposits, Cover pool size (€) 5,300,000,000
Achmea is rather active on the wholesale markets: in Number of loans 63,567
addition to the €10bn covered bond programme started in Avg loan (€) 83,377
2007, the bank has had an established RMBS platform WA original LTMV (in %) 84.3
since 2000 and a €10bn EMTN programme launched in WA indexed LTMV (in %) 79.4
1996. Interest only share (in %) 57.0
The Achmea covered bond programme is backed by Regional distribution (in %)

Dutch residential mortgages, and is not currently Zuid Holland 17.9
Noord Brabant 16.3
registered with the Dutch central bank.
Noord Holland 15.7
Gelderland 14.6
Financial performance Source: Fitch Ratings
metrics:
Table 89: Achmea Hypotheekbank, select income statement

items, €mm
FY 2009
Net interest income 126
Commissions & fee income 11

Operating profit (loss) 67
PBT 67
Taxes 16
Source: Achmea Hypotheekbank Annual Report 2009
Table 90: Achmea Hypotheekbank, select balance sheet items,

€mm
FY 2009
Total Assets 15,999
Deposits 250
Short-term borrowings 791
Long-term borrowing 239
Equity 484
Table 91: Achmea Hypotheekbank, select financial metrics

FY 2009
ROE 11
Core capital 10.4
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ING Bank NV Table 95: ING Bank NV, select financial metrics
FY 2009
ING Bank NV is the Dutch subsidiary of the ING Group,
NIM 1.2
a global financial institution based in the Netherlands. ROA 0.1
ING offers a wide range of financial products, including ROE 2.6
banking, insurance, investments and retirement services. ROC 0.2
C:I 69.0
Core capital 10.2
At the end of 2009, ING announced that it will proceed Source: Bloomberg
with a gradual separation of its banking and insurance
businesses, to be completed by the end of 2013, in order Cover pool overview
to provide more efficient and agile operations. We set out below some of the key cover pool
characteristics:
The ING covered bond programme is backed by Dutch
residential mortgages, and is registered with the Dutch Table 96: Covered bond characteristics
central bank. As at 20 June
2010
Financial performance S/M/F
We set out below some of the key financial performance Covered Bond rating AAA/Aaa/AAA
Issuer rating A+/Aa3/A+
metrics:
Cover pool size (€) 19,346,600,194
Table 93: ING Bank NV, select income statement items, €mm Number of loans parts 226,896
Avg loan parts (€) 82,497
FY 2009
Net interest income 11,020 WA original LTMV (in %) 60.0
Provisions for loan losses 2,973 Remaining tenor (yrs) 23.4
NII less provisions 8,047 WA seasoning (yrs) 6.3
Commissions & fee income 3,553 Interest only (in %) 71.3

Other operating income 456 WA avg Debt to Income 3.9
Non-interest expense 10,571 WA avg Payment to Income (in %) 18
Operating profit (loss) 1,384 Highest regional concentration (in %) Zuid-Holland 22
PBT 500
Taxes -43
Net profit (loss) 684 Table 97: Collateral pool LTMV breakdown
Source: Bloomberg Current LTMV ranges As at 20 June
2010
Table 94: ING Bank NV, select balance sheet items, €mm 0-<=40% 21.3
>40%-<=50% 12.0
FY 2009 >50%-<=60% 14.7
Real Estate Loans 324,340 >60%-<=70% 15.0
Commercial Loans 536,167 >70%-<=80% 14.2
Consumer Loans 19,960 >80%-<=100% 22.7
Deposits 477,602
Equity 31,217
Source: Bloomberg
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NIBC Bank NV Table 100: NIBC Bank NV, select financial metrics
FY 2009
NIBC offers merchant banking and specialised finance in
NIM 0.8
sectors such as shipping, oil & gas services, ROA 0.2
infrastructure & renewables and real estate. Merchant ROE 2.7
Banking provides end-clients with investment banking ROC 0.2
C:I 53.9
products in the Benelux and Germany, while Specialised Core capital 16.1
Finance focuses on asset and project financing, along Source: NIBC Bank NV Annual Report 2009, Bloomberg
with the Group's retail activities including residential
mortgages and retail savings. Cover pool overview
The bank, founded in 1945, two Dutch pension funds, characteristics:
ABP and PGGM, acquired 85% of NIB, creating the NIB
Capital brand, while 15% was owned by the Dutch Table 101: Covered bond characteristics – Dutch assets
Government. In 2005, a consortium of financial As at 31 May
institutions, led by J.C. Flowers & Co. purchased all 2010
equity interests in the bank, which changed its name to S/M/F
NIBC. Covered Bond rating -/Aa2/AAA
Issuer rating BBB/Baa2/BBB
The NIBC covered bond programme is backed by both Cover pool size (€) 852,962,244
Dutch and German residential mortgages, and is Share of total pool (in %) 76
registered with the Dutch central bank. WA Current LTFV (in %) 94.8
WA Indexed LTFV (in %) 82.6
Financial performance Seasoning (mths) 67
We set out below some of the key financial performance Avg principal balance (borrower) 190,862
metrics: Avg principal balance (loan part) 85,561
Table 98: NIBC Bank NV, select income statement items, €mm Interest only (in %) 58.3
NHG loans (in %) 11.8
FY 2009 Highest regional concentration (in %) Zuid-Holland 21
Original LTFV distribution (in %)
Commissions & fee income 32 <=50% 3.0
Other operating income 35 >50%-<=60% 4.2
Non-interest expense 187 >60%-<=70% 6.5
Operating profit (loss) 165 >70%-<=60% 11.7
>80%-<=90% 12.9
PBT 41 >90%-<=100% 10.2
Taxes -2 >100% 39.7
Net profit (loss) 43 Source: Investor report
Source: NIBC Bank NV Annual Report 2009, Bloomberg
Table 99: NIBC Bank NV, select balance sheet items, €mm
FY 2009
Total Assets 29,189
Deposits 4,332
Equity 1,696
Source: NIBC Bank NV Annual Report 2009, Bloomberg
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Table 102: Covered bond characteristics – German assets

As at 31 May
2010
S/M/F
Covered Bond rating -/Aa2/AAA
Issuer rating BBB/Baa2/BBB
Cover pool size (€) 276,005,072

Share of total pool (in %) 24
WA Current LTFV (in %) 65.6

WA Indexed LTFV (in %) 64.4
Seasoning (mths) 95
Avg principal balance (borrower) 108,493
Avg principal balance (loan part) 48,076
Annuity (in %) 94.2

Highest regional concentration (in %) NRW – 30.5
Original LTFV distribution (in %)

<=50% 12.4
>50%-<=60% 22.2
>60%-<=70% 29.6
>70%-<=60% 22.9
>80%-<=90% 9.1
>90%-<=100% 2.3
>100% 1.5
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SNS Bank NV Cover pool overview

SNS Bank NV is the mortgage lender of the SNS Reaal
characteristics:
Group, whose product range spans mortgage and
property finance, savings and investment products and Table 106: Covered bond characteristics
insurance and pensions. SNS Reaal reached its current
As at 31 May
form in 1997, after the merger of SNS Groep, which 2010
focused mainly on retail banking, and Reaal Groep, S/M/F
whose main business line was insurance. Covered Bond rating -/Aaa/AAA
Issuer rating A-/A3/A-
In addition to the covered bond programme, SNS has at Cover pool size (€) 4,654,458,636
its disposal a €25bn MTN platform and is also the Number of loans 52,644
originator behind one of the longest standing RMBS Avg loan (€) 162,698
platforms in the Dutch market, HERMES. WA original LTMV (in %) 86.6
WA indexed LTMV (in %) 82.2
The SNS covered bond programme is backed by Dutch Remaining tenor (yrs) 24.9
residential mortgages, and is registered with the Dutch
central bank. Interest only (in %) 81.5
Savings mtges (in %) 11.4
National mortgage guarantee (in %) 22.2
Highest regional concentration (in %) Limburg – 19.8
We set out below some of the key financial performance Source: Investor report
metrics:
Table 107: Collateral pool LTFV breakdown
Table 103: SNS Bank NV, select income statement items, €mm
Current LTFV ranges As at 31 May
FY 2009 2010
Net interest income 672 0-<=40% 4.6
>40%-<=50% 4.5
Commissions & fee income 136 >50%-<=60% 7.7
Non-interest expense 1,197 >70%-<=80% 18.3
>80%-<=90% 6.8
PBT -99 >90%-<=100% 8.7
Taxes -1 >100% 37.4
Source: SNS Bank NV Annual Report 2009
Table 104: SNS Bank NV, select balance sheet items, €mm
FY 2009
Real Estate Loans 13,196
Consumer Loans 50,878
Other Loans 3,405
Total Assets 80,289
Deposits 24,435
Equity 2,434
Table 105: SNS Bank NV, select financial metrics

FY 2009
ROE -4.6
C:I 56.6
Core capital 10.7
RWA 18,690
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68
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Finnish covered bonds
69
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Finnish Covered Bonds

Market size
Finnish covered bonds in Figure 40 and Figure 41 respectively.

2,500 10,000
Mortgage Mortgage
2,000 8,000
1,500 6,000
1,000 4,000
500 2,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 108 a snapshot of key covered bond attributes in Finland.

Legislative Framework Act on Mortgage Credit Banks (1240/1999), as subsequently amended.
Structure of Issuer Covered bond issuers are specialised banks (MCBs) under the Act on Mortgage
Credit Banks, with the scope of their activities limited by law. Typically issuers acquire
portfolios of mortgages from their financial group.
Supervision Finnish FSA.
Cover assets Residential and commercial mortgages, along with shares in housing companies up
to 60% LTV (or market value), with commercial mortgages capped at 10% of the
cover pool. Both residential and commercial properties must be situated in Finland or
other members of the EEA. Loans to public authorities can also be included in the
cover pool, along with substitute assets (limited to a maximum of 20% of the cover
pool).
Valuation Individual market values for underlying collateral.
ALM matching Elimination of interest rate and currency risk through hedging. Matching by nominal
value, interest (interest received in a given 12 month period must be greater than
interest due), currency and duration (average term to maturity of CB is shorter than
average term to maturity of collateral assets). Monitored on a monthly basis by the
FSA.
Over-collateralisation Not formally required, but committed OC protected by law.
Bankruptcy remoteness Segregation of assets in a special cover register, with a preferential claim on
registered collateral. Bankruptcy of the MCB does not automatically result in
acceleration of the covered bonds, except where breach of the asset eligibility criteria
has occurred.
legislation
Out with the old…

The Finnish government has recently announced changes to its covered bond regime,
set to be implemented in H2. We highlight the main amendments below:
• Removal of the specialist bank principle, allowing direct issuance without

establishment of a specific vehicle.
70
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• Introduction of over-collateralisation requirements, similar to those adopted in

Germany (2% NPV).
• Improved hedging standards, whereby the swap counterparties rank equal, as
opposed to junior, to bondholders on issuer insolvency.
• Increase in the LTV threshold for residential property from 60% to 70%.
Finnish macro background
Figure 42: Finnish real GDP growth, y-on-y, % Figure 43: Finnish unemployment level, %
5 10
8
0
6
-5
4
-10 2
-15 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 44: Finnish CPI and base rate, % Figure 45: Finnish consumer confidence, index
6 Inflation Base rate 25 Cons. Confidence
5 20
4 15
3
10
2
5
1
0 0
-1 -5
-2 -10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 46: Finnish nominal house price growth, y-on-y % Figure 47: Finnish construction sector production index
15% OECD HP nominal grow th 140 OECD Construction production index
120
10%
100
5% 80
0% 60
40
-5%
20
-10% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: OECD Source: OECD, Bloomberg
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Aktia Real Estate Mortgage Bank plc Table 112: Aktia Bank plc, funding profile
2009
Aktia Real Estate Mortgage Bank plc (Aktia MB) is a
Customer deposits 33%
Finnish credit institution, specialising in mortgage loans. Covered bonds 25%
The bank grants loans to both individuals and housing Repos 15%
corporations, and is regulated by the Finnish Mortgage CDs & MM 12%
Local bank deposits 9%
Bank Act. The institution is owned by Aktia Bank plc Senior debt 3%
(52.3% of equity, 70% voting rights), 30 savings banks Subordinated debt 3%
(36.2%, 20%) and 39 local co-operative banks (11.5%, Source: Aktia Bank, debt investor presentation
10%). Aktia Group is the fourth largest banking group in
Finland, acting as the central financial institution for Cover pool overview
independent savings and cooperative banks. We set out below some of the key cover pool
characteristics:
Aktia Real Estate Mortgage Bank plc mortgages are
distributed through the branch networks of the co- Table 113: Covered bond characteristics
operating banks. Eligible cover pool collateral is As at 31 March 2010
restricted to first-lien Finnish residential mortgages. S/M/F
Furthermore, the originator has committed to a Covered bond rating -/Aa1/-
Issuer rating (Aktia Bank plc) -/A1/-
mandatory over-collateralisation level of 8.5%. The bank
funds its activities predominantly by issuing covered €mm
bonds, with short-term funding coming from a credit Mortgages 2,772
Substitute collateral 292
facility from Aktia Bank. Collateral pool 3,064
Financial performance LTV <60% 2,541

LTV 60-70% 138
We set out below some of the key financial performance LTV 70-85% G'teed by Republic of Finland 63.4
metrics:
WA LTV (%) 56.7
Table 109: Aktia Bank plc, select income statement items, €mm Average loan size (€) 79,000
WA Margin (bp) 70.1
2009 Source: Investor report
Net Interest Income 152.4
Net Commission Income 40.7
Total Operating Income 196.7
Total Operating Expenses -111.8
Write-Downs -31.1
Operating Profit 54.2
Profit 39.4
Source: Aktia Bank annual report 2009
Table 110: Aktia Bank plc, select balance sheet items, €mm
2009
Mortgage loans through Aktia branches 1,346
Mortgage loans brokered by local banks 1,290
Other loans through Aktia branches 3,488
Total assets 9,539
Table 111: Aktia Bank plc, select financial metrics

2008 2009
Cost:Income 0.65 0.57
Capital Adequacy Ratio 13.7 15.9
Tier 1 ratio 9.3 9.5
RWA 3,313 3,460
72
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OP Mortgage Bank plc Cover pool overview

OP Mortgage Bank plc is the mortgage bank of the OP-
characteristics:
Pohjola Group, the largest financial services group in
Finland. The Group includes OP Mortgage Bank, 220 Table 117: Covered bond characteristics
member co-operative banks, their central co-operative,
As at 31 March 2010
Pohjola Bank as the central bank of the Group and
S/M/F
companies belonging to its member credit institutions. Covered bond rating AAA/Aaa/-
The member co-operative banks are independent, local Issuer rating (Pohjola Bank plc) AA-/Aa2/AA-
deposit taking institutions engaged in retail banking. OP
€mm
Mortgage Bank is regulated under the Finnish Mortgage Mortgages n/a
Bank Act, and grants secured housing loans. Substitute collateral n/a
Collateral pool 3,900
Covered bonds in issue 3,250
OP Mortgage Bank’s purpose is to grant mortgage loans
through its member co-operative banks. The Bank LTV <60% 3,750
obtains funding through the issuance of mortgage backed LTV >60% (JPM estimate) 150
covered bonds, which are direct, unconditional and WA LTV (%) 47.0
unsubordinated obligations of OP Mortgage Bank. Average loan size (€) 47,000
Source: Investor reports, J.P. Morgan estimates
metrics:
Table 114: OP-Pohjola Group, select income statement items,

€mm
as at
Dec 09
Other income 981
Total income 1,872
Total expenses 1,248
Operating profit 464
Source: OP-Pohjola Group annual report 2009
Table 115: OP-Pohjola Group, select balance sheet items, €bn

as at
Dec 09
Loan portfolio 52.6
Total assets 80.4
Table 116: OP-Pohjola Group, select financial metrics

2008 2009
Cost:Income 54 53
RWA 13,120 13,024
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Sampo Housing Loan Bank plc Cover pool overview

Sampo Housing Loan Bank plc (SHLB), is a wholly
characteristics:
owned subsidiary of Sampo Bank plc and is constituted
with the sole purpose of funding mortgages through the Table 121: Covered bond characteristics
issuance of covered bonds. Sampo Bank plc is the third
As at 31
largest bank in Finland and through its Finnish parent, December 2009
Sampo Group, is in turn a part of the larger Danske Bank S/M/F
Bank, one of the Nordic region’s largest banking groups. Covered bond rating -/Aaa/-
Issuer rating (Sampo Bank plc) A/A1/-
Similar to other covered bond issuers in the country, €mm
SHLB is regulated by Finland's Mortgage Bank Act. The Mortgages 2,050.1
bank purchases mortgages from its parent company, and Substitute collateral 150.0
Collateral pool 2,200.1
issues covered bonds under a €5bn EMTN programme.
All other functions such as mortgage servicing are LTV <60% 1,999.6
performed by Sampo Bank plc. To date, Sampo Housing LTV > 60% 50.5
Substitute collateral 150.0
Loan Bank has issued two transactions from its shelf,
with €2bn of bonds currently outstanding. WA LTV (%) 37.59
Average loan size (€) 47,000
Financial performance Source: Sampo Housing Loan Bank annual report 2009
metrics:
Table 118: Sampo Bank plc, select income statement items, €mm
2009
Net Other Income 239.1
Total Operating Income 698
Total Operating Expenses -438
Write-Downs -227.3
Profit 18.4
Source: Sampo Bank annual report 2009
Table 119: Sampo Bank plc, select balance sheet items, €mm
2009
Households 10,171
Corporates & housing companies 5,761
Other 888
Loans to credit institutions 3,139
Loans & receivables 19,960
Total assets 22,889
Table 120: Sampo Bank plc, select financial metrics

2008 2009
Cost:Income (%) 63.7 57.4
Capital Adequacy Ratio (%) 14.3 14.9
Tier 1 ratio (%) 12.4 13.7
RWA (€mm) 18,998.5 17,331
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French covered bonds
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French Covered Bonds

Market size
French covered bonds in Figure 48and Figure 49 respectively.

100,000 Mix ed Assets 350,000 Mixed Assets
Mortgage Mortgage
300,000 Public sector
250,000
60,000 200,000
150,000
40,000
100,000
20,000 50,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 122 a snapshot of key covered bond attributes in France.
Table 122: Obligations Foncières overview

Legislative Framework Act. No 99-532 of 25 June 1999; Decree No 99-655 of 29 July 1999; Decree No 99-
710 of 3 Aug 1999; regulation No 99-10 of the banking and finance regulation
committee on SCF; Art. 16 of Act No 69-1263 of 31 December 1969
Structure of Issuer Bonds are issued by a specialised credit institution (Societe de Credit Foncier or SCF)
with authorisation from the Credit Institution and Investment Companies Committee
(CECEI). SCF are limited by law in their range of business activities
Supervision French Banking Commission
Cover assets Mortgages: max LTV 60%, 80% for loans used to finance the purchase or
construction of a property and 100% for loans with a personal or FGAS guarantee;
guaranteed loans must not exceed 35% of SCF assets Public entities: debt issued
or guaranteed by a public entity. Senor units and debt securities senior units and
debt issued by securitisation vehicles or similar entities where the entity is governed
by the law of a EEA country, USA, Japan, Switzerland, Canada, Australia and New
Zealand; limited at 20% of OF's principal value. Promissory notes: must not exceed
10% of an SCF’s assets. Substitute collateral: must not exceed 15%of privileged
liabilities of the SCF
Valuation Prescribed standards. Commercial properties must be valued each year if value
>€450k and loan balance >€360k or every 3yrs if loan balance <€360k
ALM matching Nominal and present value of assets has to be greater than nominal and present
value of o/s bonds. Coverage ratio must exceed 100%. When calculating coverage
ratio the weights are: 100% for exposure to public companies, mortgage loans, units
and debt if guarantor has credit rating falling in Quality Step 1 (50% if Quality Step 2,
0% otherwise), 95% for substitute collateral
Over-collateralisation Required by law: assets >100% of o/s amount of privileged debt
Bankruptcy remoteness In case of default, no new additions to the pool are allowed and no new debt is issued
legislation
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Table 123: General law based covered bonds overview

Legislative Framework French Monetary and Financial Code. Contracts regulated by French law
Structure of Issuer The issuer is a duly licensed credit institution but with a restricted purpose.
Cover assets Eligibility criteria are decided by the issuers, although generally there is an LTV cap at
100%.
Valuation Prescribed standards
ALM matching Nominal cover only; derivatives can be used for hedging. Similar to other contract law
based CB jurisdictions, programmes typically include pre-maturity, asset coverage
and amortisation tests. Pre-maturity tests are designed to ensure the borrower can
provide sufficient liquidity in case of downgrade (i.e. pre-defined period prior to
scheduled bond redemption, if a borrower's short-term rating is below a prescribed
threshold, the borrower must fund a cash collateral account to ensure redemption).
Amortisation tests are designed to ensure the issuer has the capacity to meet its
obligations following a borrower EOD. Asset Coverage tests are designed to ensure
that pool collateral is sufficient to meet future interest and principal cashflows on the
outstanding covered bonds
Over-collateralisation Requirements prescribed by the issuers, but in the majority of cases to date
programmes have typically used a 92.5% asset percentage, which corresponds to
just over 8% OC
Bankruptcy remoteness Similar to the UK, in case of insolvency of the originator, the issuer exercises the
financial guarantee over the pledged assets; if the issuer is insolvent, assets are
transferred to an SPE
Compliance with EU Not UCITS and CRD compliant
legislation
Table 124: CRH overview

Legislative Framework Art. 13 Law 85-695 of 11 July 1985, together with art. 36 of Law 2006-872 of 13 July
2006; French Monetary and Financial Code; CRH internal rules and regulations
Structure of Issuer Specialised credit institution. Owned by Credit Agricole (40%), Credit Mutuel-CIC
(33.2%), Societe Generale (12.6%), BNP Paribas (8.8%), BPCE (4.5%)
Cover assets CRH accepts promissory notes issued by its shareholders backed by first ranking
loans secured on a property. Max LTV is 60%, 80% for loans used to finance the
construction of a property, 90% if the collateral assigned to CRH by a borrowing
institution is at least 25% over the value of the corresponding promissory notes, 100%
if there is a personal or FGAS guarantee. No substitute collateral
Valuation Individual market values (as for OF)
ALM matching Nominal and present value coverage required.
Over-collateralisation 25% by law
Bankruptcy remoteness Issuers are required to have a register to record the cover assets
legislation
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French macro background
Figure 50: French real GDP growth, y-on-y, % Figure 51: French unemployment level, %
4 8
2
6
0
4
-2
Unemploy ment
-4 2
-6 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 52: French CPI and base rate, % Figure 53: French consumer confidence, balance of survey
10 Cons. Confidence
5
4 0
3 -10
2 -20
1 -30
0
-40
-1
-50
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 54: French house price growth, y-on-y, % Figure 55: French dwelling sales, #
20 House price grow th 40000 Dw elling sales
15 35000
10 30000
25000
5
20000
0
15000
-5 10000
-10 5000
-15 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-06
Jul-06
Mar-07
Jul-07
Mar-08
Jul-08
Mar-09
Jul-09
Mar-10
Nov-06
Nov-07
Nov-08
Nov-09
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Caisse de Refinancement de l'Habitat Cover pool overview

Caisse de Refinancement de l'Habitat (CRH) is a credit characteristics:
institution whose ownership is split amongst a number of
French banks: Crédit Agricole-Crédit Lyonnaise 40%, Table 125: Covered bond characteristics
Crédit Mutuel CIC 33%, Société Générale 13%, BNP As at 30 Jun
Paribas 9%, and BPCE 5%. 2009
S/M/F
CRH was created with the sole purpose of funding Issuer rating n.a.
French mortgages granted by its shareholder credit
Cover pool size (€) 60,200,000,000
institutions. It does this by issuing mortgage bonds as per WA LTV 48
its own special legal framework, regulated by law 85-695 Fixed rate (in %) 90
of July 1985. CRH bonds were initially backed by a First lien (in %) c80
guarantee from the French government, but this was Guaranteed mtges (in %) c20
withdrawn in 1988. From 2006 they have received a
capital risk-weighting of 10%.
The underlying mortgage loans remain on the

shareholder banks’ balance sheets, with promissory notes
issued to CRH. CRH-issued bonds then mimic the same
features (rate, maturities etc) of these promissory notes.
By law, CRH must have a minimum over-
collateralisation rate of 25%. In fact, as of June 2009,
CRH bonds amount to just over €40bn, compared to a
cover pool of €60bn, for an over-collateralisation level of
48%. No substitution assets are allowed in the collateral
pool, while internal rules stipulate that no holdings of
securitised positions are allowed.
Funds are received by CRH from the shareholder banks

five business days in advance of payment on its own
bonds. If one of the borrowing banks defaults, CRH
acquires full ownership of the pledged collateral and is
allowed to sell the portfolio and use the proceeds to buy
and cancel the corresponding bonds. Furthermore, CRH
could ask its shareholders to provide a back-up line of up
to 5% of the outstanding loans.
The bank utilises CRH bonds for its funding needs.
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BNP Paribas Home Loan Covered Table 128: BNP Paribas Group, select financial metrics
Bonds FY 2009
NIM 1.1
BNP Paribas Group was created ten years ago through ROA 0.3
the merger of Banque Nationale de Paris and Paribas. ROE 10.6
ROC 0.5
Since then has continued its expansion by acquiring C:I 57.9
BNL, the sixth largest Italian bank, and 75% of Fortis Core capital 10.1
Bank in Belgium and 66% of BGL in Luxembourg. The Source: BNP Paribas Group Annual Report 2009, Bloomberg
group focuses on retail baking, corporate and investment
banking and investment solutions, providing services to Cover pool overview
13mm customers in its core markets of Belgium, France, We set out below some of the key cover pool
Italy and Luxembourg and a further 5mm in its characteristics:
secondary markets: the Mediterranean basin, Eastern
Europe and the USA. BNP Paribas is the largest Table 129: Covered bond characteristics
European banking group by deposits. As at 31 May
2010
The bank utilises structured covered bonds for part of Covered Bond rating S/M/F AAA/Aaa/AAA
Issuer rating S/M/F AA/Aa2/AA-
its funding needs. Cover pool size (€) 31,500,969,171
Financial performance Avg loan (€) 96,197
We set out below some of the key financial performance WA current LTV (in %) 69.6
metrics: WA current indexed LTV (in %) 66.6
Remaining tenor (mths) 187.1
Table 126: BNP Paribas Group, select income statement items, WA seasoning (mths) 45.6
€mm
Owner occupied property (in %) 79
FY 2009 Buy-to-let (in %) 17
Net interest income 21,021 Employed borrower (in %) 80
Provisions for loan losses 8,369 Self-employed borrower (in %) 14
NII less provisions 12,652 Unemployed borrower (in %) 5
Other operating income 5,182
Operating profit (loss) 8,569 Current LTFV ranges As at 31 May
2010
PBT 9,000 0-<=40% 13.7
Taxes 2,526 >40%-<=50% 7.6
Net profit (loss) 5,832 >50%-<=60% 9.1
Source: BNP Paribas Group Annual Report 2009, Bloomberg >60%-<=70% 11.3
>70%-<=80% 15.2
>80%-<=90% 21.8
Table 127: BNP Paribas Group, select balance sheet items, €mm
>90%-<=100% 21.3
Deposits 604,903
Short-term borrowings 1,021,434
Equity 80,344
Source: BNP Paribas Group Annual Report 2009, Bloomberg
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Compagnie de Financement Foncier Cover pool overview

SCF We set out below some of the key cover pool
characteristics:
The main business of Crédit Foncier de France, founded
in 1852, is to originate mortgage loans and local Table 133: Covered bond characteristics
authority loans and to issue bonds to finance these loans.
As at 31
The company is a wholly owned subsidiary of Crédit December 2009
Foncier (A/Aa3/A+) and an affiliate of BPCE S/M/F
(A+/Aa3/A+). Covered Bond rating AAA/Aaa/AAA
Issuer rating A/Aa3/A+
Compagnie de Financement Foncier (CFF) gained its Cover pool size (€bn) 98.25
current status as a SCF in 1999, when old secured loans
Asset type (in %)
as well as eligible assets and liabilities were transferred Mortgage loans, of which: 32.97
to CFF to make it compliant with the new law on SCF Mortgage loans and related items 18.66
(Act of 25 June 1999). European RMBS 14.31
Public sector exposures, of which: 52.62
Mortgage loans guaranteed by the public sector 10.88
CFF adopted a minimum OC ratio of 5% for it’s OF and French public sector loans 19.09
in 2009 issued €15.8bn of covered bonds, of which 78% International public sector loans 22.65
was purchased by public investors, while the remaining Other assets, of which: 12.66
Replacement securities 9.45
22% was placed privately. Other assets 3.21
The bank utilises obligation foncieres for part of its Coverage ratio as per SCF law 10.5
funding needs. Source: CFF SCF Annual report 2009
metrics:
Table 131: CFF SCF, select income statement items, €mm

FY 2009

PBT 258
Taxes 83
Source: CFF SCF Annual report 2009
Table 132: CFF SCF, select balance sheet items, €mm

FY 2009
Bonds 45,107
Total Assets 98,245
Deposits 5
Short-term borrowings 242
Equity 1,560
Source: CFF SCF Annual report 2009
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Crédit Agricole Covered Bonds Table 136: Crédit Agricole SA, select financial metrics
FY 2009
The Credit Agricole Group offers retail banking and
NIM 1.0
corporate and investment baking products and specialised ROA 0.1
financial services. The group operates globally (it is the ROE 2.6
largest retail bank in France and the second largest ROC 0.2
C:I 67.8
banking group by revenues in Europe and has operations Core capital 9.5
in 70 countries), although its core markets are France Source: Crédit Agricole SA Annual Report 2009, Bloomberg
(where it has 28% of the household market), Italy and
Greece. Cover pool overview
Activities within the Group are organised into three, characteristics:
broad business lines. Retail banking in France and
abroad; Specialised Business lines including asset Table 137: Covered bond characteristics
management, insurance, private banking and consumer As at 30 April
finance, leasing and factoring; and Corporate and 2010
Investment banking. Covered Bond rating S/M/F AAA/Aaa/AAA
Issuer rating S/M/F AA-/Aa1/AA-
Cover pool size (€) 8,241,166,343
The bank utilises structured covered bonds for part of Number of loans 172,402
its funding needs. Avg loan (€) 47,802

Financial performance WA current indexed LTV (in %) 54.1
We set out below some of the key financial performance Remaining tenor (mths) 168
metrics: WA seasoning (mths) 59
Owner occupied property (in %) 86.6

Table 134: Crédit Agricole SA, select income statement items, Buy-to-let (in %) 10.8
€mm Employed borrower (in %) 80.1
Self-employed borrower (in %) 13.9
FY 2009
Unemployed borrower (in %) 5.4
Other operating income -6,179 Current LTFV ranges As at 30 April
Non-interest expense 17,204 2010
Operating profit (loss) 1,093 0-<=40% 14.0
>40%-<=50% 11.0
PBT 1,657 >50%-<=60% 14.6
Taxes 211 >60%-<=70% 17.8
Net profit (loss) 1,125 >70%-<=80% 18.5
>80%-<=90% 16.3
Source: Crédit Agricole SA Annual Report 2009, Bloomberg
>90%-<=100% 7.8
Table 135: Crédit Agricole SA, select balance sheet items, €mm
FY 2009
Deposits 464,080
Equity 51,964
Source: Crédit Agricole SA Annual Report 2009, Bloomberg
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Crédit Mutuel Arkéa Covered Bonds Cover pool overview

Crédit Mutuel Arkéa is a cooperative credit union formed
characteristics:
by the federations of Crédit Mutuel du Bretagne, Crédit
Mutuel du Sud-Ouest, Crédit Mutuel du Massif Central Table 142: Covered bond characteristics
and around 20 other specialised lenders, for a total of
As at 31 May
around 600 local saving banks and branches, serving 2010
3.1mm customers. Covered Bond rating S/M/F AAA/-/-
Issuer rating S/M/F A+/-/-
The group offers a range of financial services, including Cover pool size (€) 2,089,414,334
retail banking, insurance and investment products. Avg loan (€) 68,257
The bank utilises structured covered bonds for part of WA current LTV (in %) 67
WA current indexed LTV (in %) 64
its funding needs. Remaining tenor (mths) 169
WA seasoning (mths) 44
We set out below some of the key financial performance Buy-to-let (in %) 11
metrics: Employed borrower (in %) 84
Self-employed borrower (in %) 13
Table 139: Crédit Mutuel Arkea Group, select income statement Unemployed borrower (in %) 3
items, €mm Source: Investor report
FY 2009
Commissions & fee income 429 2010
Other operating income 5,350 0-<=40% 14.2
Non-interest expense 971 >40%-<=50% 9.4
>60%-<=70% 13.7
PBT 208 >70%-<=80% 16.8
Taxes 46 >80%-<=90% 19.0
Net profit (loss) 161 >90%-<=100% 14.9
Source: Crédit Mutuel Arkea Group Annual Report 2009 Source: Investor report
Table 140: Crédit Mutuel Arkea Group, select balance sheet

items, €mm
FY 2009
Total Assets 72,362
Deposits 21,168
Equity 3,507
Source: Crédit Mutuel Arkea Group Annual Report 2009
Table 141: Crédit Mutuel Arkea Group, select financial metrics

FY 2009
ROE 5.9
C:I 72.1
Core capital 15.4
Source: Crédit Mutuel Arkea Group Annual Report 2009
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Crédit Mutuel-CIC Covered Bonds Table 146: Crédit Mutuel - CIC, select financial metrics
FY 2009
The CM-CIC Group operates along different business
NIM 1.4
lines. Banque Fédérative du Crédit Mutuel (BFCM) ROA 0.3
manages the general interest of the specialised branches ROE 6.7
of the group, is involved in the financing of large-scale ROC 0.7
C:I 59.9
projects and is active on the financial markets. Core capital 11.8
Source: Bloomberg
Banque de l'Economie is the corporate bank of the Group
for industrial and trading companies. CM-CIC also owns Cover pool overview
a real estate agency and offers insurance products. We set out below some of the key cover pool
CMCIC CB is registered as a limited liability company characteristics:
and license to act as a credit institution with limited
purpose. Its sole activity if to finance residential Table 147: Covered bond characteristics
mortgages for CMCEE-CIC group. As at 30 April
2010
The bank utilises structured covered bonds for part of S/M/F
its funding needs. Covered Bond rating AAA/Aaa/AAA
Issuer rating (Credit Mutuel) A+/Aa3/AA-
Financial performance Cover pool size (€) 25,389,180,293

Avg loan (€) 86,391
metrics:
WA current LTV (in %) 68
Table 144: Crédit Mutuel - CIC, select income statement items, WA current indexed LTV (in %) 60
€mm Remaining tenor (mths) 192
FY 2009
Net interest income 7,392 Fixed rate (in %) 83
Provisions for loan losses 2,614 Owner occupied property (in %) 84
NII less provisions 4,778 Buy-to-let (in %) 14
Loans with guarantor (in %) 59
Commissions & fee income 4,411 First liens (in %) 41
Other operating income 2,253 Source: Investor report
PBT 2,742 Current LTFV ranges As at 30 April
Taxes 860 2010
0-<=40% 12.4
Source: Bloomberg >40%-<=50% 9.2
>50%-<=60% 12.0
Table 145: Crédit Mutuel - CIC, select balance sheet items, €mm >60%-<=70% 14.9
>70%-<=80% 18.3
FY 2009 >80%-<=90% 21.5
Real estate loans 159,402 >90%-<=100% 11.2
>100% 0.6
Loans to public 304,511 Source: Investor report
Deposits 218,431
Equity 30,619
Source: Bloomberg
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Groupe Caisse d'Épargne Covered Cover pool overview

Bonds We set out below some of the key cover pool
characteristics:
Caisse d'Épargne is one of the two brands of the BPCE
Group, together with Banques Populaires. The two Table 152: Covered bond characteristics
cooperative groups merged in July 2009 to create the
As at 30 April
second largest French banking group. The group provides 2010
banking, financial and real estate services to all types of S/M/F
customers, with Caisse d'Épargne more focused on the Covered Bond rating AAA/Aaa/-
Issuer rating (BPCE) A+/Aa3/A+
retail sector, while Banques Populaires specialises in
services to SMEs, professionals and high net worth Cover pool size (€) 32,515,.032,832
individuals. The group also includes Natixis, which Number of loans 608,015
Avg loan (€) 53,477
provides corporate and investment banking services.
Groupe BPCE also owns Credit Foncier de France, WA current indexed LTV (in %) 63.3
which in turn owns Compaganie de Financement Foncier Remaining tenor (mths) 181
(CFF).
Fixed rate (in %) 91
The bank utilises structured covered bonds for part of Owner occupied property (in %) 93
Buy-to-let (in %) 5
its funding needs. Employed (in %) 93.7
Self employed (in %) 4
Financial performance Source: Investor report
metrics: Table 153: Collateral pool LTFV breakdown
Current LTFV ranges As at 30 April
Table 149: Groupe BPCE, select income statement items, €mm 2010
0-<=40% 14.1
FY 2009 >40%-<=50% 9.2
Net interest income 12,752 >50%-<=60% 11.1
>60%-<=70% 13.3
Commissions & fee income 8,705 >70%-<=80% 16.8
Other operating income 11,804 >80%-<=90% 20.7
PBT -368
Taxes -293
Source: Groupe BPCE Annual report 2009
Table 150: Groupe BPCE, select balance sheet items, €mm

FY 2009
Deposits 14,941
Equity 47,794
Table 151: Groupe BPCE, select financial metrics

FY 2009
C:I 69.0
Core capital 9.1
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HSBC France Covered Bonds Table 156: HSBC Group, select financial metrics
FY 2009
HSBC France (HBFR) is part o the HSBC Group, one of
NIM 2.2
the largest banking groups globally and headquartered in ROA 0.2
the UK. HSBC France was created by the combination of ROE 5.0
five banks (CCF, UBP, Banque de Picardie, Banque de ROC 1.5
C:I 46.4
Baecque Beau and the Paris branches of Banque Hervet), Core capital 10.8
which were rebranded in 2005 under the HSBC logo. Source: Bloomberg
HSBC France operates through 380 branches offering Cover pool overview
global banking and markets, asset management, We set out below some of the key cover pool
insurance and private banking services. characteristics:
The bank utilises structured covered bonds for part of Table 157: Covered bond characteristics
its funding needs. As at 31 May
2010
We set out below some of the key financial performance Covered Bond rating AAA/Aaa/-
Issuer rating (HSBC France) AA/Aa3/AA
metrics:
Cover pool size (€) 3,844,669,487
Table 154: HSBC Group, select income statement items, €mm Number of loans 29,177
Avg loan (€) 131,771
FY 2009
Net interest income 29,379 WA current LTV (in %) 68.4
Provisions for loan losses 19,047 WA current indexed LTV (in %) 63.1
NII less provisions 10,332 Remaining tenor (mths) 171
Other operating income 5,074 Owner occupied property (in %) 76
Non-interest expense 28,007 Buy-to-let (in %) 16
Operating profit (loss) 10,255 Employed (in %) 72.5
Taxes 277
Source: Bloomberg
Table 155: HSBC Group, select balance sheet items, €mm 2010
0-<=40% 12.9
FY 2009 >40%-<=50% 8.9
Real estate loans 48,419 >50%-<=60% 12.3
Commercial loans 335,551 >60%-<=70% 13.5
Consumer loans 302,984 >70%-<=80% 16.0
Other loans 4,668 >80%-<=90% 17.0
Loans to public 625,379 >90%-<=100% 15.4
Total Assets 1,649,900 >100% 4.0
Deposits 808,760
Equity 94,663
Source: Bloomberg
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Banque Populaires SCF Cover pool overview

Together with Caisse d'Épargne, Banques Populaires is
characteristics:
one of the two brands of the BPCE Group. The two
cooperative groups merged in July 2009 to create the Table 162: Covered bond characteristics
second largest French banking group.
As at 30 April
2010
The group provides banking, financial and real estate S/M/F
services to all types of customers, with Caisse d’Épargne Covered Bond rating AAA/Aaa/-
more focused on the retail sector, while Banques Issuer rating (BPCE) A+/Aa3/A+
Populaires, whose baking network consists of 20 banques Cover pool size (€) 20,412,130,702
populaires, specialises in services to SMEs, professionals Number of loans 315,200
and high net worth individuals. The group also includes Avg loan (€) 64,759
Natixis, which provides corporate and investment WA current LTV (in %) 69
banking services. WA current indexed LTV (in %) 62
Remaining tenor (mths) 177
Unlike Groupe Caisse d'Épargne, BP utilises obligation
foncieres for part of its funding. Owner occupied property (in %) 90
Buy-to-let (in %) 8
Employed (in %) 82.2
metrics:
Table 159: Groupe BPCE, select income statement items, €mm
Current LTFV ranges As at 30 April
FY 2009 2010
Net interest income 12,752 0-<=40% 12.6
>40%-<=50% 8.4
Other operating income 11,804 >60%-<=70% 13.2
>90%-<=100% 16.7
PBT -368
Taxes -293
Table 160: Groupe BPCE, select balance sheet items, €mm

FY 2009
Deposits 14,941
Equity 47,794
Table 161: Groupe BPCE, select financial metrics

FY 2009
C:I 69.0
Core capital 9.1
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BNP Paribas Public Sector SCF Table 166: BNP Paribas Group, select financial metrics
FY 2009
BNP Paribas Group was created ten years ago through
NIM 1.1
the merger of Banque Nationale de Paris and Paribas. ROA 0.3
Since then has continued its expansion by acquiring ROE 10.6
BNL, the sixth largest Italian bank, and 75% of Fortis ROC 0.5
C:I 57.9
Bank in Belgium and 66% of BGL in Luxembourg. The Core capital 10.1
group focuses on retail baking, corporate and investment Source: BNP Paribas Group Annual Report 2009, Bloomberg
banking and investment solutions, providing services to
13mm customers in its core markets of Belgium, France, Cover pool overview
Italy and Luxembourg and a further 5mm in its We set out below some of the key cover pool
secondary markets: the Mediterranean basin, Eastern characteristics:
Europe and the USA. BNP Paribas is the largest
European banking group by deposits. Table 167: Covered bond characteristics
As at 31 March
Unlike BNP Paribas Home Loans CB, BNP Paribas 2010
public sector SCF utilises obligation foncieres for part S/M/F
of its funding. Covered Bond rating AAA/Aaa/AAA
Issuer rating S/M/F AA/Aa2/AA-

Country of guarantor (in %)
metrics: France 42
USA 27
Table 164: BNP Paribas Group, select income statement items, Germany 21
€mm UK 10
FY 2009 Country of borrowers (in %)

Net interest income 21,021 China 23
Provisions for loan losses 8,369 Chile 22
NII less provisions 12,652 Ireland 14
USA 12
Commissions & fee income 12,276 Australia 7
Other operating income 5,182 Others 22
Operating profit (loss) 8,569 Borrowers by sector (in %)
Aviation 76
PBT 9,000 Transport 12
Taxes 2,526 Energy 9
Net profit (loss) 5,832 Other 3
Currency split (in %)
USD 73
Table 165: BNP Paribas Group, select balance sheet items, €mm EUR 20
FY 2009 AUD 7
Total Assets 2,057,698 Asset types (in %)
Deposits 604,903 AAA sovereign backed loans 92
Short-term borrowings 1,021,434 Other 8
Other short-term borrowings 85,295 Source: Investor report
Equity 80,344
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CIF Euromortgage SCF Cover pool overview

CIF Euromortgage is the SCF of the Crédit Immobilier
characteristics:
de France (CIF), a credit institution focused solely on the
distribution of residential mortgages in France. CIF Table 170: Covered bond characteristics
Euromortgage’s sole purpose is to raise funds necessary
As at 31 Dec
for CIF to lend to its customers. CIF operates through 12 2009
subsidiaries, each serving a specific geographic market S/M/F
and with its own shareholder base. Covered Bond rating -/Aaa/AAA
Issuer rating A/A1
The funding activity of CIF Euromortgage is organised Cover pool size (€) 24,616,500,000
around CIF's two securitisation vehicles, CIS Assets
(created in 2001 as a multi-series FCC or SPV) and BPI Asset type (in %)
CIF Assets 62
Master Mortgage (created in 2003 with the sole purpose Replacement portfolio 15
of purchasing home loans originated by Banque CIF Mortgage promissory notes 9
Patrimoine et Immobilier). CIF Euromortgage’s primary BPI Master mortgage 8
AAA-rated European RMBS 6
purpose is to purchase all the AAA/Aaa senior notes
issued by these two SPVs, and to use them as collateral
for its cover pool.
The bank utilises obligation foncieres for part of its

funding needs.
metrics:
Table 168: CIF EuroMortgage SCF, select income statement

items, €mm
FY 2009
Net banking income 9
PBT 5
Taxes 2
Net profit (loss) 3
Source: CIF EuroMortgage SCF Annual report 2009
Table 169: CIF EuroMortgage SCF, select balance sheet items,

€mm
FY 2009
Total Assets 24,617
Long term borrowings 330
Equity 211
Source: CIF EuroMortgage SCF Annual report 2009
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Dexia Municipal Agency SCF Cover pool overview

Dexia Municipal Agency (DexMA) is the SCF of the
characteristics:
Dexia Group, whose sole activity is to finance local
governments in the EEA area, the USA, Canada and Table 173: Covered bond characteristics
Japan (although France remains its main market) and
As at 30 March
issue covered bonds. It is a wholly owned subsidiary of 2010
Dexia Crédit Local, the French public finance arm of the S/M/F
Dexia group. Covered Bond rating AAA/Aaa/AAA
Issuer rating -/-/A+
The Dexia group is active in public and project finance, Cover pool size (€) 79,880,000,000
personal finance, investment management, insurance and
treasury and financial market. The group is the leader in Country split (in %)
France 62.4
public sector financing in Europe and its main markets Belgium 10.7
are Belgium (market share of 80%), France (market share Italy 9.7
of 42%) and Italy (market share of 20%). Switzerland 5.8
Spain 4.0
Luxembourg 3.0
The bank utilises obligation foncieres for part of its Other 4.5
funding needs.
Collateral type (in %)
Loans to local governments 69.5
Financial performance Bonds 30.5
metrics:
Table 171: Dexia Municipal Agency, select income statement

items, €mm
FY 2009
Commissions & fee income

Other operating income
PBT 207
Taxes 73
Source: Dexia Municipal Agency Annual report 2009
Table 172: Dexia Municipal Agency, select balance sheet items,

€mm
FY 2009
Loans 78,870
Total Assets 85,830
Equity 990
Source: Dexia Municipal Agency Annual report 2009
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General Electric SCF

GE Money Bank France is part of GE Capital, in turn
part of the General Electric Group. GE Capital provides a
wide range of products from consumer lending to
financial products for businesses throughout the world. In
France, GE Money Bank focuses on the financing of
vehicles, houses and consumer credit.
The bank utilises obligation foncieres for part of its

funding needs.
Cover pool overview

characteristics:

As at 31 March
2010
S/M/F
Cover pool size (€) 1,732,179,903

Avg loan (€) 85,460

WA current indexed LTV (in %) 70.8
Fixed rate (in %)

Buy-to-let (in %) 23
Employed (in %) 82

Current LTFV ranges As at 31 March
2010
0-<=40% 10.5
>40%-<=50% 7.6
>50%-<=60% 10.2
>60%-<=70% 12.1
>70%-<=80% 16.7
>80%-<=90% 11.0
>90%-<=100% 20.
>100% 11.1
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Société Générale SCF Cover pool overview

Société Générale SCF is the SCF set up by Société
characteristics:
Générale, one of the largest French financial institutions.
The objective of SG SCF is to provide funding for SG’s Table 178: Covered bond characteristics
public-sector loan book. The cover pool consists entirely
As at 31 May
of loans to French public entities. 2010
S/M/F
SG’s product offer ranges from corporate and investment Covered Bond rating AAA/Aaa/AAA
banking to retail banking, insurance, private finance and Issuer rating (SG) A+/Aa2/A+
investment management services. Cover pool size (€) 9,495,816,412
Number of loans 1087
The bank utilises obligation foncieres for part of its France (in %) 100
funding needs. Borrower type (in %)
Regions 14
Financial performance Departments 32
Districts 13
We set out below some of the key financial performance Districts groups 13
metrics: Public health complex 1
Syndicates 8
Table 176: Société Générale SCF, select income statement items, Other 6
€mm Fixed rate loans (in %) 57
FY 2009 Over-collateralisation (in %) 107.1

Net interest income 106 Source: Investor report
PBT 7
Taxes 2
Net profit (loss) 5
Source: Société Générale SCF Annual report 2009
Table 177: Société Générale, select balance sheet items, €mm

FY 2009
Loans 6,231
Total Assets 7,244
Equity 56
Source: Société Générale SCF Annual report 2009
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German covered bonds
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German Covered Bonds

Market size
German covered bonds in Figure 56 and Figure 57 respectively.

250,000 Ships 1,200,000 Ships
Mortgage Mortgage
200,000 1,000,000 Public sector
Public sector
800,000
150,000
600,000
100,000
400,000
50,000 200,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out in Table 179 a snapshot of key covered bond attributes in Germany.

Legislative Framework German Pfandbrief Act (Pfandbriefgesetz of 2005) and Regulations to the Pfandbrief
Act (as of September 2009); Net Present Value Regulation (Barwertverordnung);
Regulation on the Determination of the Mortgage Lending Value
(Beleihungswertermittlungsverordnung); Cover Register Statutory Order
(Deckungsregisterverordnung); Funding Register Statutory Order
(Refinanzierungsregisterverordnung); §§ 22a – German Banking Act
(Kreditwesengesetz)
Structure of Issuer Since 2005, pfandbrief issuers no longer need to be specialised banks. Bonds are
therefore issued directly off the balance sheet of the lender, although a special
pfandbrief licence is required
Supervision Federal Financial Supervisory Authority; German Banking Supervisory Authority
(BaFin). A cover pool monitor also supervises the cover pool
Cover assets Four broad types of collateral allowed in their own, specific bonds: a) Mortgages or
Hypothekenpfandbrief - residential or commercial, only first 60% LTV can be
classified as collateral. Land or mortgages on properties under construction are
limited at 10% of collateral value; b) Public loans or Oeffentlichepfandbrief - granted
to or guaranteed by public authorities with a RSA risk weight less than 20% and from
EU, EEA, Japan, Canada, USA, Switzerland and other European OECD members. c)
Ship loans or Schiffspfandbrief - only first 60% LTV can be classified as collateral
and finally d) Aircraft loans or Flugzeugpfandbrief. The geographical scope of the
collateral can be EEA, Switzerland, USA, Canada and Japan. The total amount of
loans granted to non-EU countries where the preferential right of pfandbrief creditors
is uncertain is limited to 10%, or 20% for aircraft and ship exposures. Derivatives are
also eligible cover assets, up to a maximum of 12% of the pool on an NPV basis
Valuation Individual market values, with monitoring requirements for commercial property
exposures each year, and every three years for residential properties
ALM matching Eligible assets must be 102% of liabilities at all times on an NPV basis. Derivatives
can be used to help meet cashflow requirements
Over-collateralisation Required 2% on NPV basis
Bankruptcy remoteness Issuers are required to have a register to record the cover assets. Insolvency of the
originating institution does not accelerate payments under the covered bonds. On
insolvency, a special cover pool administrator (Sachwalter) carries out the
administration of the cover assets
legislation
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German macro background
Figure 58: German real GDP growth, y-on-y, % Figure 59: German unemployment level, %
4 12
2 10
0 8
-2 6
-4 4 Unemploy ment
-6 2
-8 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 60: German CPI and base rate, % Figure 61: German consumer confidence, balance of survey
120 Cons. Confidence
5
4 100
3 80
2 60
1 40
0
20
-1
0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 62: German nominal house price growth, % Figure 63: German residential construction orders index, #
2% Nominal house price grow th 200 Residential construction orders index
1%
150
0%
-1% 100
-2%
50
-3%
-4% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Source: OECD Source: Bloomberg
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Aareal Bank AG Cover pool overview

The Aareal Bank Group is a specialist in property finance
characteristics:
and related services and operates in 19 countries.
Table 183: Public-sector covered bond characteristics
The business model is made up of two segments:
As at 31 Mar
structured property financing – including the institution’s 2010
property financing activities as well as this consists of S/M/F
advising and assisting clients in realising real estate Covered Bond rating -/-/AAA
projects; consulting/services – this unit of the group Issuer rating -/-/A-
provides a range of services to clients in the institutional Cover pool size (€) 3,168,100,000
housing industry in Germany, including IT systems, Overcollateralisation (€) 400,200,000
payment transactions systems and real estate portfolio
Borrower type (in %)
management. German Federal States 64
EU countries 23
Financial performance German Landesbanken 6
German Federal Government 4
We set out below some of the key financial performance Other 3
metrics:
Ratings split (in %)
Table 180: Aareal Bank AG, select income statement items, €mm AAA 74
AA (Fitch) 9
FY 2009 A 0
Net interest income 460 BBB 0
Provisions for loan losses 150 At least AA (S/M) 8
NII less provisions 310 Other 9
Commissions & fee income 188 Risk weighting split (in %)

Other operating income 30 Solvency 0 90
Non-interest expense 460 Solvency 20 10
Operating profit (loss) 88 Source: Investor report
PBT 87
Taxes 20 Table 184: Mortgage covered bond characteristics
Net profit (loss) 49 Current LTMV ranges As at 31 Mar
Source: Bloomberg 2010
S/M/F
Table 181: Aareal Bank AG, select balance sheet items, €mm Covered Bond rating -/-/AAA
Issuer rating -/-/A-
FY 2009
Loans to public 23,176 Cover pool size (€) 8,818,400,000
Total Assets 39,569 Over-collateralisation (€) 1,647,000,000
Deposits 21,361
Short-term borrowings 5,083 Geographical split (in %)
Long-term borrowing 9,131 Western Europe ex. Germany 25
Equity 2,077 Southern Europe 20
Source: Bloomberg Germany 18
Northern Europe 16
North America 12
Table 182: Aareal Bank AG, select financial metrics Eastern Europe 9
FY 2009
NIM 1.2 Property type (in %)
ROA 0.1 Office 37
ROE 3.9 Retail 22
ROC 0.4 Logistic 13
C:I 63.0 Residential 13
Core capital 11.0 Hotel 12
Other 3
Source: Bloomberg
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Bayerische Landesbank (BayernLB) Cover pool overview

BayernLB is a leading commercial bank for large and
characteristics:
middle-market corporate customers in Germany and
Europe whilst also catering for retail customers. It works Table 188: Public-sector covered bond characteristics
closely with the Sparkassen-Finanzgruppe in Bavaria,
As at 30 June
other Bavarian savings banks and the Bavarian State. In 2010
particular, BayernLB's products are sold via other saving S/M/F
banks, which act as customers, owners and sales partners. Covered Bond rating -/Aaa/AAA
Issuer rating -/A1/A+
The core lines of business are public sector financing and Cover pool size (€) 478,987,000,000
institutional investors; real estate – long term commercial Overcollateralisation (in %) 45.8
financing to residential property developers and
Geographical split (in %)
construction companies; middle market finance and Germany 91
consulting; corporate banking and retail banking through Switzerland 4
its Deutsche Kreditbank subsidiary. Other 5
Borrowers type (in %)

Financial performance Other public assets 47
We set out below some of the key financial performance States 28
Municipalities 16
metrics:
Sovereign 3
Additional cover 6
Table 185: BayernLB, select income statement items, €mm
FY 2009
Net interest income 2,562 Table 189: Mortgage covered bond characteristics
NII less provisions -715 As at 30 June
2010
Commissions & fee income 1,040 S/M/F
Other operating income 461 Covered Bond rating -/Aaa/AAA
Non-interest expense 2,731 Issuer rating -/A1/A+
Operating profit (loss) -2,395
Cover pool size (€) 10,645,000,000
PBT -2,765 Overcollateralisation (in %) 42.8
Taxes 328
Net profit (loss) -2,619 Geographical split (in %)
Source: Bloomberg
Germany 70
UK 10
France 5
Table 186: BayernLB, select balance sheet items, €mm Italy 5
USA 4
FY 2009
Other 6
Property type (in %)
Deposits 92,197
Office 35
Residential 28
Retail 23
Equity 14,061
Mixed Commercial 8
Source: Bloomberg Other 6
Table 187: BayernLB, select financial metrics
FY 2009
NIM 0.7
ROA -0.7
ROE -23.4
ROC -1.3
C:I 70.7
Core capital 10.9
Source: Bloomberg
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Berlin-Hannoversche Hypothekenbank Cover pool overview

Berlin Hyp is a real estate financing bank and one of the
characteristics:
leading mortgage-lending institutions in Germany. In
conjuction with its parent company, the Landebank Table 193: Public-sector covered bond characteristics
Berlin, it offers a wide range of financial services and
As at 31 Mar
products. 2010
S/M/F
Financial performance Covered Bond rating -/Aaa/AAA
We set out below some of the key financial performance Issuer rating -/-/A+
Overcollateralisation (€) 1,604,800,000
Table 190: Berlin-Hannoversche Hypothekenbank, select income
statement items, €mm Geographical split (in %)
Germany 90
FY 2009 Austria 3
Net interest income 214 Other 7
NII less provisions 151 Borrowers type (in %)
Regional Authorities 58
Commissions & fee income 14 Central Government 37
Other operating income 7 Other 5
Non-interest expense 94 Source: Investor report
PBT 78 Table 194: Mortgage covered bond characteristics

Taxes 19
As at 31 Mar
2010
Source: Bloomberg S/M/F
Covered Bond rating -/Aa1/AA+
Table 191: Berlin-Hannoversche Hypothekenbank, select balance Issuer rating -/-/A+
sheet items, €mm
Cover pool size (€) 11,659,300,000
FY 2009 Overcollateralisation (€) 962,100,000
Total Assets 41,291 Geographical split (in %)
Deposits 7,952 Germany 90
Short-term borrowings 11,191 France 4
Long-term borrowing 21,085 UK 3
Equity 789 Other 3
Source: Bloomberg
Office 24
Table 192: Berlin-Hannoversche Hypothekenbank, select financial Residential 25
metrics Retail 15
Mixed Commercial 31
FY 2009
Other 5
NIM 0.5
ROA 0.1 Source: Investor report
ROE 7.8
ROC 0.2
C:I 38.3
Core capital 7.6
Source: Bloomberg
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Bremer Landesbank Cover pool overview

Bremer Landesbank is the leading regional and
characteristics:
commercial bank in the North West of Germany. The
institution has a business volume of €41bn in 2009. Its Table 198: Public-sector covered bond characteristics
two shareholders are the Norddeutsche Landesbank with
As at 30 June
92.5% and the State of Bremen with 7.5%. 2010
S/M/F
The bank has three types of pfandbrief in circulation, Covered Bond rating -/Aaa/AAA
with public-sector, mortgage and shipping bonds Issuer rating -/Aa2/A
available. Cover pool size (€) 4,317,000,000
Over-collateralisation (€) 731,420,000
Financial performance Over-collateralisation (in %) 20.4
We set out below some of the key financial performance Borrowers type (in %)
metrics: Local Authorities 45
Regional Authorities 45
Table 195: Bremer Landesbank, select income statement items, State 1
Other 9
€mm
FY 2009
Table 199: Mortgage covered bond characteristics
NII less provisions 108 As at 30 June
2010
Commissions & fee income 59 S/M/F
Other operating income 6 Covered Bond rating -/Aaa/-
Non-interest expense 163 Issuer rating -/Aa2/A
PBT 79 Over-collateralisation (€) 460,390,000
Taxes 21 Over-collateralisation (in %) 109.2
Source: Bloomberg Property type (in %)
Office 2.4
Table 196: Bremer Landesbank, select balance sheet items, €mm Residential 55.0
Retail 3.5
FY 2009 Mixed Commercial 25.5
Loans to public 20,721 Extra collateral 13.6
Total Assets 33,787 Source: Investor report
Deposits 10,236
Other short-term borrowings 407 Table 200: Ship covered bond characteristics
Long-term borrowing 16,530 As at 30 June
Equity 960 2010
Covered Bond rating n/a
Table 197: Bremer Landesbank, select financial metrics Issuer rating -/Aa2/A
FY 2009 Cover pool size (€) 884,920,000

NIM 0.7 Over-collateralisation (€) 424,590,000
ROA 0.2 Over-collateralisation (in %) 92.2
ROE 6.1
ROC 0.2 Geographical split (in %)
C:I 39.7 Germany 80
Core capital 9.3 Malta 4
Source: Bloomberg Netherlands 3
Greece 3
Cyrpus 3
Gibraltar 2
Other 3
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Corealcredit Bank AG Cover pool overview

Coreralcredit is a specialist real estate and commercial
characteristics:
lending bank. The bank offers real estate solutions for
both German and international clients, although its main Table 204: Public-sector covered bond characteristics
market remains the domestic one.
As at 30 Jun
2010
As well as the tried and tested method of refinancing via S/M/F
Mortgage Pfandbriefe, Corealcreditbank also makes use Covered Bond rating -/-/AAA
of securitisation and syndication. Business with the Issuer rating -/-/BBB-
public sector has been discontinued and as such the cover Cover pool size (€) 2,256,500,000
pool will be run off according to the maturity of the Overcollateralisation (€) 125,000,000
bonds.
Germany 73
Financial performance Austria 14
We set out below some of the key financial performance Hungary 5
Greece 4
metrics: Other 4
Other 4
Table 201: Corealcredit, select income statement items, €mm Source: Investor report
FY 2009
Net interest income 72 Table 205: Mortgage covered bond characteristics
NII less provisions 48 Current LTMV ranges As at 30 Jun
2010
Other operating income 11 Covered Bond rating -/-/AA-
Non-interest expense 64 Issuer rating -/-/BBB-
Cover pool size (€) 3,942,500,000
PBT -2 Overcollateralisation (€) 505,000,000
Taxes -5
Net profit (loss) 3 Property type (in %)
Residential 40
Source: Bloomberg
Office 26
Mixed Commercial 20
Table 202: Corealcredit, select balance sheet items, €mm Retail 13
Industrial 1
FY 2009
Loans to public 5,632 Source: Investor report
Total Assets 11,375
Deposits 2,773
Equity 696
Source: Bloomberg
Table 203: Corealcredit, select financial metrics

FY 2009
NIM 0.6
ROA 0.0
ROE 0.4
ROC 0.0
C:I 74.3
Source: Bloomberg
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DekaBank Deutsche Girozentrale Table 208: DekaBank Deutsche Girozentrale, select financial
metrics
DekaBank is the German Savings Bank Finance Group's
FY 2009
central asset manager. The German Savings Banks and NIM 0.3
Giro Association and a group of Landebanken each own ROA 0.3
50% of DekaBank. ROE 11.6
ROC 0.6
C:I 48.9
With managed fund assets of about € 160 billion, more Core capital 12.7
than five million customer deposits and group locations Source: Bloomberg
in Luxembourg and Switzerland, the DekaBank Group is
one of the largest asset managers in Germany, with the Cover pool overview
savings banks and Landesbanken as exclusive sales We set out below some of the key cover pool
partners for its products. characteristics:
The three main lines of business are asset management- Table 209: Public-sector covered bond characteristics
capital markets, asset management-property and As at 30 June
corporate banking and markets, plus a central savings 2010
banks sales unit. S/M/F
Issuer rating A/Aa2/-
We set out below some of the key financial performance Cover pool size (€) 23,732,221,300
Over-collateralisation (€) 3,249,374,604
metrics:
Table 206: DekaBank Deutsche Girozentrale, select income Germany 88
statement items, €mm Mixed America 3
Other 9
FY 2009
Net interest income 453 Borrower type (in %)
Provisions for loan losses 352 Regional authorities 10
NII less provisions 100 Local authorities 4
State 2
Commissions & fee income 2,280 Other 84

Taxes 150
Net profit (loss) 386 Current LTMV ranges As at 30 June
2010
Table 207: DekaBank Deutsche Girozentrale, select balance sheet Issuer rating A/Aa2/-
items, €mm
FY 2009 Over-collateralisation (€) 114,905,250
Total Assets 133,283 Property type (in %)
Deposits 23,773 Office 52
Short-term borrowings 14,906 Retail 29
Other short-term borrowings 55,704 Industrial 12
Long-term borrowing 35,400 Other collateral 7
Equity 3,500
Source: Bloomberg
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Deutsche Apotheker und Aertzebank Table 213: Deutsche Apotheker und Aertzebank, select financial
metrics
Deutsche Apotheker und Aertzebank (‘apoBank’) was
FY 2009
founded in 1902 as a cooperative bank for the academic NIM 1.6
medical professions. As a focused specialist and niche ROA -0.7
player, the bank has a strong market position in the ROE -15.6
ROC -1.2
German healthcare sector; with over 100,000 members, C:I 161.0
more than 330,000 customers and a balance sheet total of Core capital 6.2
more than 40 billion euro, apoBank is the largest primary Source: Bloomberg
cooperative bank in Germany.
apoBank provides a comprehensive range of financial Cover pool overview

services and is the market leader within its customers We set out below some of the key cover pool
segment in the areas of lending business and payment characteristics:
services.
Financial performance Current LTMV ranges As at 30 June
metrics: S/M/F
Covered Bond rating AAA/-/-
Issuer rating A+/A2/A+
Table 211: Deutsche Apotheker und Aertzebank, select income
statement items, €mm Cover pool size (€) 3,142,160,000
FY 2009 Overcollateralisation (in %) 74..5
Residential 98
Other commercial 2
Commissions & fee income 192 Source: Investor report
PBT -269
Taxes 14
Source: Bloomberg
Table 212: Deutsche Apotheker und Aertzebank, select balance

sheet items, €mm
FY 2009
Total Assets 41,231
Deposits 16,984
Other short-term borrowings 678
Equity 1,621
Source: Bloomberg
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Deutsche Bank Cover pool overview

Deutsche Bank is a global investment bank operating in
characteristics:
72 countries along three main business lines: Corporate
& Investment Banking, Private Clients & Asset Table 218: Mortgage covered bond characteristics
Management and Corporate Investments.
Current LTMV ranges As at 30 June
2010
Deutsche Bank has a strong retail base in Europe, with S/M/F
Germany as its core market (where 49% of all branches Covered Bond rating AAA/Aaa/AAA
are located and where it also is the largest bank by Issuer rating A+/Aa3/AA-
assets). Cover pool size (€) 1,690,900,000
Overcollateralisation (in %) 62.0
Fixed rate loans (in %) 90.3
We set out below some of the key financial performance €-denominated loans (in %) 92.7
metrics:
Table 215: Deutsche Bank, select income statement items, €mm Residential 31.9
Office 32.9
FY 2009 Retail 27.3
Net interest income 12,459 Industrial 5.0
Provisions for loan losses 2,630 Other 3.2
Commissions & fee income 11,377 Germany 91.5
Other operating income 131 UK 5.6
Non-interest expense 23,095 Switzerland 1.9
Operating profit (loss) 4,948 France 1.0
PBT 5,202
Taxes 244
Source: Bloomberg
Table 216: Deutsche Bank, select balance sheet items, €mm

FY 2009
Other loans 86,988
Deposits 344,220
Equity 37,969
Source: Bloomberg
Table 217: Deutsche Bank, select financial metrics

FY 2009
NIM 0.7
ROA 0.3
ROE 14.8
ROC 1.7
C:I 73.1
Core Capital 12.6
Source: Bloomberg
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Deutsche Genossenshafts- Cover pool overview

Hypothekenbank (DG Hyp) We set out below some of the key cover pool
characteristics:
DG HYp’s expertise lies in commercial real estate
finance, with business originated via three channels: Table 222: Public-sector covered bond characteristics
cooperative banking via partner banks, directly with
As at 30 Jun
domestic investors and developers and through 2010
participation in syndicates on international markets. S/M/F
Covered Bond rating AAA/-/AAA
Issuer rating A/-/A+
The bank is affiliated to DZ Bank Group and, outside its
German core market, it is represented in the USA, the Cover pool size (€) 30,520,160,000
UK, France and Poland. Over-collateralisation (in %) 9.03

Financial performance Germany 65
We set out below some of the key financial performance Spain 14
metrics: Italy 6
Austria 3
Portugal 3
Table 219: DG Hyp, select income statement items, €mm Other 10
FY 2009
Net interest income 164 Central Government 10
Provisions for loan losses 125 Regional authorities 36
NII less provisions 39 Local authorities 31
Other 23
Other operating income 14 Source: Investor report
Operating profit (loss) -261 Table 223: Mortgage covered bond characteristics
PBT -127 As at 30 Jun
Taxes -2 2010
Net profit (loss) 0 S/M/F
Source: Bloomberg
Issuer rating A/-/A+
Table 220: DG Hyp, select balance sheet items, €mm Cover pool size (€) 16,228,390,0000
Over-collateralisation (in %) 26.04
FY 2009
Other Loans 37,043
Residential 57
Total Assets 68,075
Office 21
Deposits 16,016
Retail 9
Industrial 1
Other 12
Equity 1,653
UK 4
Table 221: DG Hyp, select financial metrics France 4
USA 4
FY 2009 Other 3
NIM 0.2
ROA 0.0
ROE 0.0
ROC 0.0
Core capital 6.9
Source: Bloomberg
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Deutsche Hypo Hannover (Deutsche Cover pool overview

Hypothekenbank) We set out below some of the key cover pool
characteristics:
Deutsche Hypo Hannover is a mortgage bank and as such
it focuses on all aspects of financing and consultancy Table 227: Public-sector covered bond characteristics
associated with real estate. In particular the bank
As at 31 Mar
specialises in large-scale commercial financing with 2010
professional real estate customers and the construction of S/M/F
residential buildings for investment purposes. Covered Bond rating -/Aaa/-
The bank also offers public-sector lending and capital Cover pool size (€) 16,010,000,000
market transactions with German and foreign market Overcollateralisation (€) 970,000,000
operator and is part of Nord/LB since 2008. Borrower type (in %)
German Central Government 3
Financial performance German Federal States 30
We set out below some of the key financial performance Municipalities, non-profit organizations 6
Foreign loans 42
metrics: Public sector banks 18
Public sector companies 2
Table 224: Deutsche Hypo Hannover, select income statement
items, €mm Ratings split (in %)
AAA 27
FY 2009 AA 59
Net interest income 98 A 13
Provisions for loan losses 91 BBB 1
NII less provisions 7 Source: Investor report

Other operating income 1 Table 228: Mortgage covered bond characteristics
Non-interest expense 55 As at 31 Mar
Operating profit (loss) 13 2010
S/M/F
PBT 13
Covered Bond rating -/Aaa/-
Taxes 3
Source: Bloomberg Cover pool size (€) 6,897,000,000
Table 225: Deutsche Hypo Hannover, select balance sheet items,
€mm Geographical split (in %)
Germany 60
FY 2009 USA 14
Loans to public 16,672 Other Europe 26
Total Assets 35,358
Deposits 10,401 Property type (in %)
Short-term borrowings 6,660 Residential 27
Long-term borrowing 16,702 Office 30
Equity 416 Retail 29
Source: Bloomberg
Hotel 8
Other 6
Table 226: Deutsche Hypo Hannover, select financial metrics
FY 2009
NIM 0.3
ROA 0.0
ROE 2.5
ROC 0.0
C:I 34.5
Core capital 6.8
Source: Bloomberg
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Deutsche Postbank Cover pool overview

Deutsche Postbank Group is one of Germany’s major
characteristics:
financial services providers. Its focus is on retail business
with private customers; it is also active in the corporate Table 232: Public-sector covered bond characteristics
banking sector, while its transaction banking division
As at 30 June
performs back office services for other financial services 2010
providers. S/M/F
In 2006 Postbank acquired the 850 largest branches from Issuer rating A-/A1/A+
Deutsche Post AG and created a mobile sales team of Cover pool size (€) 2,570,000,000
more than 4,000 consultants through the acquisition of Over-collateralisation (in %) 31.9
BHW. It sells its products through a networked multi-
channel platform via the Internet, by telephone, in Germany 57
branches and via mobile consultants. Belgium 8
France 8
Italy 4
We set out below some of the key financial performance Netherlands 12
metrics: Spain 4

Table 229: Deutsche Postbank, select income statement items, Central Government 43
€mm Regional authorities 16
FY 2009 Other 41
Net interest income 2,401 Source: Investor report
NII less provisions 1,723 Table 233: Mortgage covered bond characteristics
Commissions & fee income 1,614 As at 30 June
Other operating income 187 2010
Non-interest expense 3,280 S/M/F
Operating profit (loss) -407 Covered Bond rating AAA/Aaa/AAA
Issuer rating A-/A1/A+
PBT -398
Taxes -475 Cover pool size (€) 7,478,800,000
Net profit (loss) 76 Over-collateralisation (in %) 24
Source: Bloomberg
Property type (in %): Residential 100.0
Geographical split (in %): Germany 100.0
Table 230: Deutsche Postbank, select balance sheet items, €mm
FY 2009
Deposits 131,988
Equity 5,251
Source: Bloomberg
Table 231: Deutsche Postbank, select financial metrics

FY 2009
NIM 1.1
ROA 0.0
ROE 1.5
ROC 0.1
C:I 91.7
Core capital 7.6
Source: Bloomberg
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Deutsche Schiffsbank Cover pool overview

Deutsche Schiffsbank is one of the leading ship finance
characteristics:
banks in the world with joint headquarters in Bremen and
Hamburg. The shareholders are Commerzbank and Table 237: Public-sector covered bond characteristics
Bayerische Hypo- und Vereinsbank, which indirectly
As at 31 Mar
hold 92% and 8% respectively. 2010
S/M/F
The bank offers maritime and public finance services and Covered Bond rating n/a
uses Pfandbriefe to fund these activities. The ship loans Issuer rating -/A2/-
are mostly granted in US dollars. Cover pool size (€) 1,632,000,000
Overcollateralisation (€) 210,100,000
We set out below some of the key financial performance Germany 79
metrics: Greece 4
Italy 4
Table 234: Deutsche Schiffsbank, select income statement items, Austria 4
Ireland 2
€mm
Poland 2
FY 2009 Other 4
Commissions & fee income 11 Central Government 13
Other operating income 5 Regional authorities 43
Non-interest expense 31 Other 44
PBT 22
Taxes 22
Table 238: Ship covered bond characteristics
Net profit (loss) 0.3 As at 31 Mar
Source: Deutsche Schiffsbank 2009 Annual Report 2010
S/M/F
Table 235: Deutsche Schiffsbank, select balance sheet items, Covered Bond rating n/a
€mm
FY 2009 Cover pool size (€) 5,872,500,000
Loans to public 12,467 Overcollateralisation (€) 938,600,000
Total Assets 16,311
Long-term borrowing 7,445 Germany 42
Equity 950 Marshall Islands 10
Greece 9
Source: Deutsche Schiffsbank 2009 Annual Report
Liberia 6
Malta 5
Table 236: Deutsche Schiffsbank, select financial metrics Cyprus 5
Other 4
FY 2009
ROE 4.1 Source: Investor report
C:I 19.4
Core capital 9.2
Source: Deutsche Schiffsbank 2009 Annual Report
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Dexia Kommunalbank Deutschland Cover pool overview

Dexia Kommunalbank Deutschland, part of the Dexia
characteristics:
Group, focuses predominantly on the public finance line
of business. It provides a wide range of products and Table 242: Public-sector covered bond characteristics
services in the management of PPP/PFI and project
As at 31 Mar
finance as well as export finance, particularly to 2010
infrastructure/transportation, energy and S/M/F
telecommunications sectors. The German operations Covered Bond rating AAA/-/-
form part of Dexia Credit Local. Issuer rating (Dexia CL) A/A1/A+
Cover pool size (€) 37,240,980,000

Financial performance Over-collateralisation (€) 1,512,560,000
metrics: Germany 72
Italy 8
Table 239: Dexia Kommunalbank, select income statement items, Austria 5
€mm Spain 3
Greece 2
FY 2009 Other 10
Borrowers type (in %)
Commissions & fee income 2 Regional Authorities 43
Other operating income 0 Local Authorities 23
Non-interest expense 22 Central Government 9
Operating profit (loss) 5 Other 25
PBT 1
Taxes 0
Net profit (loss) 1
Source: Bloomberg
Table 240: Dexia Kommunalbank, select balance sheet items,

€mm
FY 2009
Other loans 556
Total Assets 47,291
Deposits 18,915
Equity 344
Source: Bloomberg
Table 241: Dexia Kommunalbank, select financial metrics

FY 2009
C:I 78.0
Core capital 12.3
Source: Bloomberg
108
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Duesseldorfer Hypothekenbank Cover pool overview

DHB’s main line of business is public-sector lending,
characteristics:
although property finance has gradually become the
second pillar of the institution’s business model, Table 246: Public-sector covered bond characteristics
accounting for almost 10% of the aggregate lending
As at 31 Mar
volume and roughly 20% of the bank’s operating income. 2010
Loans to central, regional and local authorities and to S/M/F
public-sector banks dominate the portfolio. Covered Bond rating -/-/AAA
Issuer rating -/-/BBB-
The bank’s operations are for the most part funded Cover pool size (€) 8,739,000,000
through public-sector Pfandbriefe. DHB remains Over-collateralisation (€) 632,000,000
predominantly owned (94%) by the Bundesverband
deutscher Einlagensicherungsfonds (Association of AAA 34
German Bank Deposit Protection Funds) AA 27
A 24
BBB 4
Financial performance Below BBB and NR 11
metrics: Geographical split (in %)
Germany 56
Austria 16
Table 243: Duesseldorfer Hypothekenbank, select income Spain 7
statement items, €mm Italy 3
FY 2009 Portugal 3
Other 15
Central Government 12
Regional authorities 34
Local authorities 3
Other 51

Taxes 0
Net profit (loss) 2 Current LTMV ranges As at 31 Mar
S/M/F
Table 244: Duesseldorfer Hypothekenbank, select balance sheet Issuer rating -/-/BBB-
items, €mm
FY 2009 Cover pool size (€) 1,026,000,000
Over-collateralisation (€) 212,000,000
Total Assets 24,170
Deposits 7,358
Residential 13
Office 64
Retail 17
Equity 307
Other 7
Source: Bloomberg
Table 245: Duesseldorfer Hypothekenbank, select financial Germany 57
metrics USA 25
Netherlands 5
FY 2009 France 4
NIM 0.2 UK 4
ROA 0.0 Switzerland 3
ROE 0.5 Source: Investor report
ROC 0.0
C:I 75.1
Core capital 7.0
Source: Bloomberg
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Eurohypo Cover pool overview

Eurohypo AG is a leading international specialist bank
characteristics:
for real estate and public finance. The bank currently
forms part of the Commerzbank Group, but is expected Table 251: Public-sector covered bond characteristics
to be spun out of the institution by 2014 as a condition
As at 31 Mar
for approval of State Aid. 2010
S/M/F
The real estate division of the company includes Covered Bond rating AAA/Aaa/AAA
commercial real estate financing in Germany as well as Issuer rating A-/A1/A
numerous international markets. The public finance Cover pool size (€) 64,505,000,000
division offers conventional public sector lending, Over-collateralisation (€) 4,356,000,000
financing and consulting to PPP projects and Pfandbrief
refinancing and cover pool management. Germany 72
Austria 6
Financial performance USA 4
Spain 3
We set out below some of the key financial performance Italy 3
metrics: Other 12
Table 248: Eurohypo Group, select income statement items, €mm Borrower type (in %)
FY 2009 Regional authorities 75
Net interest income 1,245 Local authorities 9
Provisions for loan losses 1,174 Other 2

Other operating income 77 Table 252: Mortgage covered bond characteristics
Non-interest expense 537 Current LTMV ranges As at 31 Mar
Operating profit (loss) -369 2010
S/M/F
PBT -515
Taxes 387
Issuer rating A-/A1/A
Table 249: Eurohypo Group, select balance sheet items, €mm
FY 2009 Residential 42
Loans to public 129,695 Office 25
Total Assets 256,061 Retail 21
Deposits 34,630 Industrial 5
Short-term borrowings 96,696 Other 8
Equity 3,952 Geographical split (in %)
Spain 5
France 4
Table 250: Eurohypo Group, select financial metrics UK 4
FY 2009 Other 15
NIM 0.5 Source: Investor report
ROA -0.3
ROE -22.6
ROC -0.4
C:I 38.6
Core capital 8.6
Source: Bloomberg
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HSH Nordbank Cover pool overview

HSH Nordbank is one of the major providers of real
characteristics:
estate finance in Germany but also offers private banking
services and financing to the regionally dominant Table 256: Public-sector covered bond characteristics
industries of shipping, transportation and energy.
As at 30 Jun
2010
The institution is the result of the 2003 merger between S/M/F
Hamburgische Landesbank and Landesbank Schleswig- Covered Bond rating -/Aaa/-
Holstein (LB Kiel). Ownership is currently (at least until Issuer rating -/A3/A-
2013) centred around the City State of Hamburg and the Cover pool size (€) 9,148,300,000
State of Schleswig-Holstein, which own a combined Over-collateralisation (in %) 25.2
85.5% of the institution.
Germany 77
metrics: Borrower type (in %)
Table 253: HSH Nordbank, select income statement items, €mm Regional authorities 63
Local authorities 8
FY 2009 Other 17
NII less provisions -673
Table 257: Ship covered bond characteristics
Other operating income -22 As at 30 Jun
Non-interest expense 870 2010
Operating profit (loss) -654 S/M/F
Covered Bond rating -/A2/-
PBT -1,102 Issuer rating -/A3/A-
Taxes -423
Net profit (loss) -670 Cover pool size (€) 3,282,500,000
Source: Bloomberg
Germany 77
Table 254: HSH Nordbank, select balance sheet items, €mm Panama 5
Liberia 5
FY 2009
Other 13
Consumer loans 2,581 Source: Investor report
Other loans 9,809
Loans to public 106,209 Table 258: Mortgage covered bond characteristics
Deposits 49,803 As at 30 Jun
Short-term borrowings 38,591 2010
Other short-term borrowings 19,550 S/M/F
Long-term borrowing 62,005 Covered Bond rating n/a
Equity 4,491 Issuer rating -/A3/A-
Source: Bloomberg
Cover pool size (€) 5,575,200,000
Table 255: HSH Nordbank, select financial metrics Property type (in %)
Residential 30
FY 2009
Office 41
NIM 1.1
Retail 13
ROA -0.4
Other 16
ROE -20.9
ROC -0.6
Germany 63
C:I 26.7
Netherlands 16
Core capital 9.5
France 15
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Landesbank Baden Württemberg Cover pool overview

(LBBW) We set out below some of the key cover pool
characteristics:
LBBW is a regionally-linked universal bank and together
with its regional retail banks (Baden-Württembergische
Bank, Rheinland-Pfalz Bank, and Sachsen Bank), it As at 30 Jun
2010
offers a wide spectrum of financial products throughout
S/M/F
Germany. BW-Bank acts as a savings bank for LBBW in Covered Bond rating -/Aaa/AAA
the area of Stuttgart, the state capital of Baden- Issuer rating -/Aa2/A+
Württemberg.
Cover pool size (€) 64,777,000,000
LBBW is the largest bank in the southwest of Germany,
ranking among the five largest German banks and among Geographical split (in %)
Germany 96
the 50 largest credit institutions worldwide. The largest Other 4
three shareholders remain the local savings banks
(40.5%) along with the State of Baden-Württemberg Borrower type (in %)
(19.6%) and the City of Stuttgart (18.9%). Regional authorities 14
Local authorities 10
Financial performance Other 72
metrics:
Table 259: LBBW, select income statement items, €mm As at 30 Jun
FY 2009 2010
Net interest income 2,778 S/M/F
Provisions for loan losses 1,527 Covered Bond rating -/Aaa/-
NII less provisions 1,251 Issuer rating -/Aa2/A+
Commissions & fee income 964 Cover pool size (€) 9,075,000,000
Other operating income 386 Over-collateralisation (€) 4,713,000,000
Operating profit (loss) -203 Property type (in %)
Residential 56
PBT -1,214 Office 14
Taxes 268 Retail 8
Net profit (loss) -1,483 Industrial 1
Other 22
Source: Bloomberg
Table 260: LBBW, select balance sheet items, €mm Germany 97

Deposits 105,212
Equity 10,506
Source: Bloomberg
Table 261: LBBW, select financial metrics

FY 2009
ROA 0.7
ROE -0.3
ROC -17.9
C:I -0.5
Core capital 66.2
Source: Bloomberg
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Landesbank Berlin Table 266: Landesbank Berlin, select financial metrics

FY 2009
Landesbank Berlin offers retail and regional corporate
NIM 0.6
banking, capital markets and real estate financing. ROA 0.2
ROE 11.5
Landesbank Berlin -Girozentrale- was founded as a bank ROC 0.3
C:I 62.3
subject to public law on 1 October 1990. At the same Core capital 14.5
time, the city's savings banks that had been separated into Source: Bloomberg
east and west were transferred to Landesbank Berlin and
since then have formed the joint Berliner Sparkasse. As Cover pool overview
at 1 January 2006, Landesbank was transformed into a We set out below some of the key cover pool
stock corporation in accordance with the Berlin Savings characteristics:
Bank Act of summer 2005. At the same time, the State of
Berlin made Landesbank Berlin AG the parent company Table 267: Public-sector covered bond characteristics
of the public-law Berliner Sparkasse. Berliner Sparkasse As at 31 Mar
is now operated as a branch of Landesbank Berlin AG. 2010
S/M/F
Issuer rating -/A1/AA-
Table 264: Landesbank Berlin, select income statement items,
€mm Germany 95
FY 2009
Net interest income 861 Borrower type (in %)
Provisions for loan losses 185 Central Government 9
NII less provisions 676 Regional authorities 43
Local authorities 4
Commissions & fee income 395 Other 44
Operating profit (loss) 410 Table 268: Mortgage covered bond characteristics
PBT 339 As at 31 Mar
Taxes 67 2010
Net profit (loss) 257 S/M/F
Source: Bloomberg Covered Bond rating -/Aaa/-
Issuer rating S/M/F -/A1/AA-
Table 265: Landesbank Berlin, select balance sheet items, €mm Cover pool size (€) 3,033,233,229
FY 2009 Over-collateralisation (€) 609,091,170
Loans to public 47,476 Geographical split (in %)
Total Assets 143,835 Germany 95
Deposits 35,129 France 5
Other short-term borrowings 33,408 Property type (in %)
Long-term borrowing 22,698 Residential 38
Equity 2,712 Office 30
Retail 15
Source: Bloomberg
Industrial 7
Other 9
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Landesbank Hessen-Thueringen Cover pool overview

The Helaba Group is one of Germany’s leading
characteristics:
Landesbanks, with a strong doemstic and international
foothold. The bank is owned by the savings banks (85%) Table 272: Public-sector covered bond characteristics
and the states of Hesse (10%) and Thuringia (5%).
As at 30 Jun
2010
The bank is focused on three areas including S/M/F
Multinational Corporate Business servicng corporates, Covered Bond rating AAA/Aaa/AAA
banks and institutional investors; Private Customers & Issuer rating A/Aa2/A+
SME Business division; and Public Development & Cover pool size (€) 20,549,000,000
Infrastructure business. Over-collateralisation (€) 5,048,000,000

Financial performance Central Government 4
We set out below some of the key financial performance Regional authorities 15
metrics: Local authorities 35
Other 46
Table 269: Landebank Hessen-Thueringen, select income Geographical split (in %)
statement items, €mm Germany 93
Spain 7
FY 2009
NII less provisions 542 Table 273: Mortgage covered bond characteristics
Commissions & fee income 349 As at 30 Jun
Operating profit (loss) 323 Covered Bond rating -/Aaa/-
Issuer rating A/Aa2/A+
PBT 343
Taxes 80 Cover pool size (€) 8,910,000,000
Net profit (loss) 324 Over-collateralisation (€) 3,702,000,000
Source: Bloomberg
Germany 95
Table 270: Landebank Hessen-Thueringen, select balance sheet Sweden 3
items, €mm Other 2
FY 2009
Loans to public 86,280 Residential 19
Office 50
Deposits 41,891
Retail 25
Industrial 2
Other short-term borrowings
Other 4
Equity 4,898 Source: Investor report
Source: Bloomberg
Table 271: Landebank Hessen-Thueringen, select financial

metrics
FY 2009
NIM 0.6
ROA 0.2
ROE 6.8
ROC 0.4
C:I 56.4
Core capital 8.8
Source: Bloomberg
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Landesbank Saar Cover pool overview

Landesbank Saar (‘SaarLB’) is the largest financial
characteristics:
institution in the Saarland region and has positioned itself
as the leading Franco-German SME bank. The Bank’s Table 277: Public-sector covered bond characteristics
core markets are the German state of Saarland and the
As at 30 Jun
neighbouring regions of France, particularly the 2010
country’s northeast. S/M/F
SaarLB’s activities are geared toward small and medium- Issuer rating -/A1/A+
sized enterprises, high net worth individuals and Cover pool size (€) 2,614,000,000
customers seeking commercial real estate financing. Over-collateralisation (in %) 47.7
SaarLB also provides financing for mainly regional
public-sector budgets and for renewable energy projects. Central Government 64
Owners include BayernLB, Saarland and the Regional authorities 18
Sparkassenverband Saar. Local authorities 13
Other 5
metrics:
As at 30 Jun
2010
Table 274: Landesbank Saar, select income statement items,
S/M/F
€mm Covered Bond rating n/a
FY 2009 Issuer rating -/A1/A+
Provisions for loan losses 73 Cover pool size (€) 272,000,000
NII less provisions 53 Over-collateralisation (in %) 59.1
Commissions & fee income 25 Geographical split (in %)

Non-interest expense 90 Germany 36
Operating profit (loss) 19 France 64
PBT 17 Property type (in %)

Taxes 6 Residential 13
Net profit (loss) 11 Office 43
Retail 16
Source: Bloomberg
Industrial 1
Other 23
Table 275: Landesbank Saar, select balance sheet items, €mm Source: Investor report
FY 2009
Total Assets 18,670
Deposits 4,806
Equity 371
Source: Bloomberg
Table 276: Landesbank Saar, select financial metrics

FY 2009
NIM 0.7
ROA 0.1
ROE 3.3
ROC 0.1
C:I 43.4
Core capital 9.7
Source: Bloomberg
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Muenchener Hypothekenbank Cover pool overview

Münchener Hypothekenbank is active in the public sector
characteristics:
lending business as well as in mortgage lending. As an
independent mortgage bank – no other large bank holds a Table 282: Public-sector covered bond characteristics
majority share in MünchenerHyp – the bank’s owners
As at 30 Jun
primarily consist of cooperative banks, cooperative 2010
central banks and individual members/shareholders, most S/M/F
of whom are customers of the bank itself. Covered Bond rating -/Aaa/-
The bank operates in the private residential lending Cover pool size (€) 11,185,781,000
business via the cooperative Financial Services Network, Overcollateralisation (€) 557,292,000
the Volksbanken and Raiffeisenbanken, and their own
regional offices, which serve as lending partners to local Germany 81
banks within the FinanzVerbund. Austria 3
Switzerland 3
Other 13
We set out below some of the key financial performance Borrower type (in %)
metrics: Central Government 11
Table 279: Muenchener Hypothekenbank, select income Other 27
statement items, €mm
FY 2009
Net interest income 133 Table 283: Mortgage covered bond characteristics
NII less provisions 108 As at 30 Jun
2010
Other operating income 3 Covered Bond rating -/Aaa/-
Non-interest expense 100 Issuer rating -/A1/-
Cover pool size (€) 16,060,345,000
PBT 13 Overcollateralisation (€) 2,517,074,000
Taxes 2
Net profit (loss) 11 Geographical split (in %)
USA 13
Switzerland 6
Table 280: Muenchener Hypothekenbank, select balance sheet Other 5
items, €mm
FY 2009 Property type (in %)
Residential 71
Office 19
Total Assets 35,733
Retail 5
Deposits 9,282
Industrial 1
Other 4
Long-term borrowing 14,785 Source: Investor report
Equity 772
Source: Bloomberg
Table 281: Muenchener Hypothekenbank, select financial metrics

FY 2009
NIM 0.4
ROA 0.0
ROE 1.5
ROC 0.0
C:I 53.7
Source: Bloomberg
116
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Norddeutsche Landesbank Cover pool overview

NORD/LB is the leading universal bank in North
characteristics:
Germany, where it is the Landesbank for the federal
states Lower Saxony and Saxony Anhalt. It also acts as Table 287: Public-sector covered bond characteristics
the central bank for 62 savings banks in Lower Saxony,
As at 30 June
Saxony-Anhalt and Mecklenburg-Western Pomerania. 2010
S/M/F
It offers a wide range of financial services to its private, Covered Bond rating -/Aaa/-
corporate and institutional clients and to the public Issuer rating A-/Aa2/A
sector. The main areas of specialisation of NORD/LB are Cover pool size (€) 24,047,000,000
investment, agricultural and real estate banking, Overcollateralisation (in %) 19
corporate finance, ship and aircraft financing and private
banking. Germany 96
Financial performance Borrower type (in %)

Other 59
Table 284 Norddeutsche Landesbank, select income statement Source: Investor report
items, €mm
FY 2009 Table 288: Mortgage covered bond characteristics
Net interest income 1,366 As at 30 June
Provisions for loan losses 1,042 2010
NII less provisions 324 S/M/F
Commissions & fee income 277 Issuer rating A-/Aa2/A
Non-interest expense 1,878 Cover pool size (€) 2,699,000,000
Operating profit (loss) 108 Overcollateralisation (in %) 1677.4
PBT -92 Geographical split (in %)
Taxes 49 Germany 84
Net profit (loss) -152 Luxembourg 5
Source: Bloomberg Netherlands 4
Other 7
Table 285: Norddeutsche Landesbank, select balance sheet
items, €mm
Residential 40
FY 2009 Office 36
Loans to public 110,294 Other 24
Total Assets 238,688 Source: Investor report
Deposits 61,306
Long-term borrowing 101,257 Table 289: Ship covered bond characteristics
Equity 5,842 As at 30 June
S/M/F
Table 286: Norddeutsche Landesbank, select financial metrics Covered Bond rating n/a
Issuer rating A-/Aa2/A
FY 2009
NIM 0.6 Cover pool size (€) 844,000,000
ROA -0.1 Over-collateralisation (in %) 77.4
ROE -2.7
ROC -0.1 Geographical split (in %)
C:I 60.7 Germany 77
Core capital 8.7 Cyprus 23
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pbb (Deutsche Pfandbriefbank) Cover pool overview

pbb or Deutsche Pfandbriefbank is part of the larger HRE
characteristics:
Group, an institution which is currently in the midst of
realigning itself as a specialist bank in real estate and Table 293: Public-sector covered bond characteristics
public finance. The slimmed down group will focus on
As at 31 Mar
Germany in particular, and Europe, more broadly. 2010
Deutsche Pfandbriefbank AG was formed in mid-2009 S/M/F
by the merger of Hypo Real Estate Bank AG and DEPFA Covered Bond rating AA+/Aaa/AAA
Deutsche Pfandbriefbank AG. The institution is currently Issuer rating BBB/A3/A-
wholly owned by the German government, through the Cover pool size (€) 54,223,500,000
SoFFin, with the expectation that it will be returned to Over-collateralisation (€) 5,276,100,000
the private sector by the middle of the decade.
Germany 42.3
The bank offers real estate finance services to Austria 12.8
professional real estate operators and SME customers, Italy 11.1
France 6.4
with a particular focus on Germany, and public sector Greece 6.1
finance with a European focus. Spain 4.8
Portugal 3.7
Other 12.8
metrics: Central Government 26.4
Regional authorities 35.1
Local authorities 3.7
Table 290: HRE Group, select income statement items, €mm
Other 34.8
As at 31 Mar
Commissions & fee income 137 2010
Other operating income 14 S/M/F
Non-interest expense 1,397 Covered Bond rating AA+/Aa3/AA+
Operating profit (loss) -2,213 Issuer rating BBB/A3/A-
PBT -2,221 Cover pool size (€) 24,662,800,000

Taxes 15 Over-collateralisation (€) 4,117,000,000
Net profit (loss) -2,236
Source: Bloomberg Property type (in %)
Residential 27.0
Table 291: HRE Group, select balance sheet items, €mm Office 37.4
Retail 22.5
FY 2009 Industrial 1.6
Loans to public 194,446 Mixed commercial 9.7
Total Assets 359,676 Other 1.7
Deposits 13,259
Long-term borrowing 112,895 Germany 58.7
Equity 3,566 UK 9.8
France 6.6
Source: Bloomberg
US 6.8
Table 292: HRE Group, select financial metrics
FY 2009
NIM 0.4
ROA -0.6
ROC -0.7
C:I 124.6
Core capital 9.4
Source: Bloomberg
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SEB AG Cover pool overview

SEB AG became the German subsidiary of the Swedish
characteristics:
bank SEB in 2000. The core businesses are banking and
financial and insurance services for companies, Table 298: Public-sector covered bond characteristics
institutions and real estate clients, as well as for retail
As at 30 June
customers. 2010
S/M/F
The bank has 174 branches in Germany and around 1mm Covered Bond rating -/Aa1/-
customers. Santander, the Spanish banking group, is Issuer rating A-/Baa1/-
currently in the process of acquiring the retail network Cover pool size (€) 7,814,217,000
from SEB. The existing covered bonds will however Over-collateralisation (€) 518,366,000
remain an obligation of SEB AG, which will retain its
merchant banking and wealth management operations. Germany 86
Austria 7
Financial performance Other 7
metrics: Central Government 4
Table 295: SEB Bank, select income statement items, €mm Local authorities 2
Other 55
FY 2009
Net interest income 360 Collateral type (in %)
Loans 46
Commissions & fee income 257 Bonds 54
PBT -16 As at 30 June
Taxes -1 2010
S/M/F
Source: Bloomberg Covered Bond rating -/Aa1/-
Issuer rating A-/Baa1/-
Table 296: SEB Bank, select balance sheet items, €mm
Cover pool size (€) 5,371,231,000
FY 2009 Over-collateralisation (€) 1,285,630,000
Consumer estate loans 26.393
Loans to public 26,393 Geographical split (in %)
Total Assets 52,743 Germany 100
Deposits 22,057
Short-term borrowings 16,837 Property type (in %)
Other short-term borrowings 929 Residential 72
Equity 2,385 Retail 13
Table 297: SEB Bank, select financial metrics
FY 2009
NIM 0.7
ROA -0.2
ROE -3.7
ROC -0.3
C:I 82.6
Source: Bloomberg
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Unicredit Bank AG (HypoVereinsbank) Cover pool overview

HypoVereinsbank (HVB) is a member of UniCredit characteristics:
Group, which occupies the leading position in the
economic area comprising Italy, Germany, Austria, and Table 303: Public-sector covered bond characteristics
central and eastern Europe, with over 10,000 branches in As at 31 Mar
22 countries. 2010
S/M/F
HVB operates predominantly in Germany, where it offers Issuer rating A/A1/A+
retail and corporate banking services, as well as real
Cover pool size (€) 9,917,800,000
estate financing, private banking and corporate and Over-collateralisation (€) 3,020,400,000
investment banking services.
Financial performance Germany 96
Austria 2
metrics:
Table 300: HypoVereinsbank, select income statement items,
€mm Local authorities 45
FY 2009 Other 21
Commissions & fee income 2,160 As at 31 Mar
Operating profit (loss) 1,580 Covered Bond rating -/Aa1/AAA
Issuer rating A/A1/A+
PBT 1,266
Taxes 382 Cover pool size (€) 33,,847,200,000
Net profit (loss) 819 Over-collateralisation (€) 4,366,800,000
Source: Bloomberg
Residential 73
Table 301: HypoVereinsbank, select balance sheet items, €mm
Office 12
FY 2009 Retail 9
Real estate loans 56,012 Industrial 2
Loans to public 145,919 Other 4
Deposits 96,490 Geographical split (in %)
Short-term borrowings 50,704 Germany 100
Other short-term borrowings 130,127 Source: Investor report
Equity 23,638
Source: Bloomberg
Table 302: HypoVereinsbank, select financial metrics

FY 2009
ROA 0.2
ROE 3.6
ROC 0.6
C:I 53.9
Core capital 17.8
Source: Bloomberg
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Westdeutsche Immobilienbank Cover pool overview

Westdeutsche Immobilien Bank AG (‘WestImmo’) is a
characteristics:
100% subsidiary of WestLB AG and the centre of
competence for all domestic, foreign real estate property Table 308: Public-sector covered bond characteristics
financings and activities for the group. Customers
As at 30 Jun
include institutional investors, global developers, 2010
property companies, real estate corporates and medium S/M/F
sized enterprises. Covered Bond rating AAA/- /-
Issuer rating BBB+/-/-
In addition to financing at property, project or portfolio Cover pool size (€) 2,461,300,000
level, the bank also offer customers a spectrum of Over-collateralisation (€) 255,600,000
additional products such as real estate joint ventures,
syndications and interest and exchange derivatives. Germany 97
Financial performance Borrower type (in %)

Other 30
Table 305: Westdeutsche Immobilienbank, select income Source: Investor report
FY 2009 Table 309: Mortgage covered bond characteristics
Net interest income 199 As at 30 Jun
Provisions for loan losses 66 2010
NII less provisions 132 S/M/F
Covered Bond rating AAA/- /-
Commissions & fee income 40 Issuer rating BBB+/-/-
Non-interest expense 95 Cover pool size (€) 11,088,000,000
Operating profit (loss) 77 Over-collateralisation (€) 2,059,500,000
PBT 75 Geographical split (in %)
Taxes 3 Germany 55
Net profit (loss) 83 USA 14
Source: Westdeutsche Immobilienbank Annual Report 2009 UK 12
Other 20
Table 306: Westdeutsche Immobilienbank, select balance sheet
items, €mm
Residential 33
FY 2009 Office 34
Loans to public 16,732 Retail 16
Total Assets 26,889 Other 17
Deposits 6,864 Source: Investor report
Equity 906
Source: Westdeutsche Immobilienbank Annual Report 2009
Table 307: Westdeutsche Immobilienbank, select financial

metrics
FY 2009
ROE 7.9
C:I 37.7
Core capital 8.2
Source: Westdeutsche Immobilienbank Annual Report 2009
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WestLB Table 312: WestLB, select financial metrics

FY 2009
WestLB AG is a commercial bank with roots in North
NIM 0.9
Rhine-Westphalia, Germany´s largest federal state. It is ROA -0.2
one of Germany´s leading financial services providers ROE -14.1
and the central institution for the savings banks in North ROC -0.4
C:I 63.3
Rhine-Westphalia and Brandenburg. Core capital 8.2
Source: Bloomberg
WestLB works in close partnership with the savings
banks, offering a wide range of products and services but Cover pool overview
focusing on lending, structured finance, capital market, We set out below some of the key cover pool
asset management, transaction services and real estate characteristics:
finance.
In 2008, WestLB’s owners (NRW Bank, local savings As at 30 Jun
bank association and the States) approved a risk shield 2010
for the Bank. The European authorities have approved S/M/F
this state aid, on condition that the institution must Covered Bond rating AAA/Aaa/-
Issuer rating BBB+/A3/A-
reduce its balance sheet and its RWA by 50%
respectively. Cover pool size (€) 11,257,115,000
Financial performance Geographical split (in %)
We set out below some of the key financial performance Germany 82
metrics: Switzerland 5
Austria 3
Spain 3
Table 310: WestLB, select income statement items, €mm Other 7
FY 2009
Other 11
AAA 43
AA 53
A 3
PBT -503
Below BBB and NR 1
Taxes 28
Net profit (loss) -531 Source: Investor report
Source: Bloomberg
Table 311: WestLB, select balance sheet items, €mm

FY 2009
Deposits 27,643
Equity 3,733
Source: Bloomberg
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WL Bank Cover pool overview

As a Pfandbrief bank, WL Bank focuses on public-sector
characteristics:
and real estate lending, both for commercial and
residential use. Table 317: Public-sector covered bond characteristics
As at 30 June
The bank is a member of the German cooperative 2010
financial system and is a partner for the commercial and S/M/F
agricultural credit cooperatives. Covered Bond rating AAA/-/-
Issuer rating A+/-/A+
We set out below some of the key financial performance Over-collateralisation (€) 2,488,700,000
metrics:
Table 314: WL Bank, select income statement items, €mm Regional authorities 47
FY 2009 Local authorities 27
Other 11
Germany 82
Spain 4
Austria 4
Other 10
PBT 51 Source: Investor report
Taxes 25
Net profit (loss) 26 Table 318: Mortgage covered bond characteristics
Source: Bloomberg
As at 30 June
2010
Table 315: WL Bank, select balance sheet items, €mm S/M/F
FY 2009 Covered Bond rating AAA/-/-
Consumer loans 13,678 Issuer rating A+/-/A+
Other loans 10,152
Total Assets 43,380 Over-collateralisation (€) 1,309,500,000
Deposits 14,344
Short-term borrowings 6,611 Property type (in %)
Other short-term borrowings 166 Residential 88
Equity 393 Retail 5
Other 2
Source: Bloomberg
Table 316: WL Bank, select financial metrics

FY 2009
NIM 0.3
ROA 0.1
ROE 7.1
ROC 0.1
C:I 44.1
Source: Bloomberg
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Greek covered bonds
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Greek Covered Bonds

We set out below in Table 319 a snapshot of key covered bond attributed in Greece.

Legislative Framework Article 91 Law 3601/2007 and Act 2598/2.11.2007 of the Bank of Greece
Structure of Issuer Bonds can be issued either directly off the balance sheet of the lender (‘direct
issuance’) or via an SPE (‘indirect issuance’ can be undertaken in two forms, with
either the credit institution guaranteeing bonds issued the SPE, or vice versa)
Supervision Bank of Greece
Cover assets Eligible mortgage collateral includes domestic residential mortgages (max 80% LTV),
domestic commercial mortgages (max 60% LTV) and ship loans (max 70% LTV until
end of 2010). Whereas residential and commercial loans can be included in the cover
pool above the LTV thresholds (with subsequent scaling), ship loans can only be
included if they are under the LTV threshold. Pools can also include exposures to
public sector entities or credit institutions. Substitute collateral can also be included in
the pool to meet over-collateralisation requirements
ALM matching Nominal and present value (including yield curve shift) cover required, with liabilities
capped at 95% of assets on a nominal basis. 12 month interest coverage test also
required. Natural matching preferred but derivatives allowed to hedge risk
Over-collateralisation Covered bonds capped at 95% of assets on a nominal basis
Bankruptcy remoteness Covered bond holders protected by preferential claim by law, pledge of assets to an
SPE and specific covered pool administration. No automatic acceleration on issuer
insolvency
legislation
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Greece macro background
Figure 64: Greek real GDP growth, y-on-y, % Figure 65: Greek unemployment level, %
6 12
10
4
8
2
6
0
4
-2 2
-4 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 66: Greek CPI and base rate, % Figure 67: Greek consumer confidence, balance of survey
0
5 -10
4 -20
-30
3
-40
2 -50
1 -60
-70 Cons. Confidence
0
-80
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 68: Greek house price growth, % Figure 69: Greek newly built properties, #
25% House price grow th (Urban areas) House price grow th (Athens) 6000 New ly built properties
20% 5000
15%
4000
10%
3000
5%
2000
0%
-5% 1000
-10% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Jun-00
Jun-01
Jun-02
Jun-03
Jun-04
Jun-05
Jun-06
Jun-07
Jun-08
Jun-09
Source: Bank of Greece Source: Bloomberg
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National Bank of Greece Table 322: National Bank of Greece Group, select financial
metrics
NBG Group is the oldest commercial bank and largest
FY 2009
financial services group in Greece, with a 25% market NIM 4.2
share in retail banking and 24% share in deposits. As ROA 0.8
well as its core domestic market, the institution also ROE 10.2
ROC 3.1
focuses on providing banking services in southeastern C:I 49.8
Europe and the eastern Mediterranean. Core capital 11.3
Source: Bloomberg
The Group provides a wide range of financial products
and is also present in 12 other countries through 9 banks Cover pool overview
and a network of 65 other companies. NBG has a We set out below some of the key cover pool
presence in the following countries through acquisitions: characteristics:
Bulgaria, FYROM, Romania, Turkey and Serbia.
Financial performance As at 31 July
metrics: S/M/F
Covered Bond rating -/Baa3/A-
Issuer rating BB+/Ba1/BBB-
Table 320: National Bank of Greece Group, select income
statement items, €mm Cover pool size (€) 8,828,437,187
FY 2009
Avg loan (€) 70,614
Provisions for loan losses 1,295 WA original LTFV (in %) 64.3
NII less provisions 2,769 WA indexed LTFV (in %) 54.2
Remaining tenor (yrs) 21.4
Commissions & fee income 742 WA seasoning (yrs) 3.6
Non-interest expense 2,585 Fixed rate (in %) 45.2
Operating profit (loss) 1,252 Self employed (in %) 33.4
Taxes 289
Net profit (loss) 923 Table 324: Collateral pool LTFV breakdown
Source: Bloomberg
Current LTFV ranges As at 31 July
2010
Table 321: National Bank of Greece Group, select balance sheet 0-<=40% 15.3
items, €mm >40%-<=50% 10.4
>50%-<=60% 11.1
FY 2009 >60%-<=70% 17.2
Commercial Loans 33,077 >70%-<=80% 22.6
Consumer Loans 44,135 >80%-<=100% 23.4
Deposits 71,194 Table 325: Collateral pool Indexed LTFV breakdown
Other short-term borrowing 7,187 Current LTFV ranges As at 31 July
Long-term borrowing 3,085 2010
Equity 9,828 0-<=40% 29.8
>40%-<=50% 12.3
>60%-<=70% 16.8
>70%-<=80% 13.9
>80%-<=100% 14.7
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Hungarian covered bonds
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Hungarian Covered Bonds

Market size
Hungarian covered bonds in Figure 70 and Figure 71 respectively.
Figure 70: €-denominated CB Issuance, €mm Figure 71: €-denominated CB outstanding, €mm
1,400 5,000
1,200
4,000
1,000
800 3,000
600 2,000
400
1,000
200
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
Source: Dealogic, J.P. Morgan Covered Bond Research Source: Dealogic, J.P. Morgan Covered Bond Research
We set out below in Table 326 a snapshot of key covered bond attributes in Hungary.

Legislative Framework Act XXX 1997 on mortgage banks and mortgage bonds (Mortgage Bank Act) outlines
the special framework applicable to covered bonds issuers. Act CXII 1996 also
contains rules on the establishment, operation, supervision and liquidation of
mortgage banks. Decree 40/2005 contains rules regarding the calculation of the
value of the cover assets and the methodology for stress tests to be applied.
Structure of Issuer Only mortgage banks are allowed to issue covered bonds, with the collateral being
kept on their balance sheet.
Supervision Hungarian Financial Supervisory Authority
Cover assets Mortgages secured on properties in Hungary or the EEA. Max LTV for
residential/commercial/agricultural mortgages max is 70/60/60% respectively
Substitute collateral must not exceed 20% of the cover assets and must consist of
liquid assets as specified in the Mortgage Bank Act.
Valuation Individual market values. Decree 25/1997 and Decree 54/1997 request the
application of the principle of carefulness in valuing the property.
ALM matching Assets must be greater than liabilities at all times and interest received must exceed
that due on the bonds at any time.
Over-collateralisation Not-mandatory
Bankruptcy remoteness All assets are registered in the cover register. No acceleration in case of default of the
issuer
legislation
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Hungary macro background
Figure 72: Hungary real GDP growth, y-on-y, % Figure 73: Hungary unemployment level, %
6 12
4
10
2
0 8
-2 6
-4
4
-6
-8 2
-10 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 74: Hungary CPI and base rate, % Figure 75: Hungary consumer confidence index, #
0
12
-10
10 Cons. Confidence
-20
8 -30
6 -40
4 -50
2 -60
-70
0
-80
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 76: Hungary house price growth, % Figure 77: Hungary building permits, sum of previous 12mths, #
30% House price grow th 30,000 Building permits (of prev ious 12mths)
25% 25,000
20%
15% 20,000
10% 15,000
5% 10,000
0%
-5% 5,000
-10% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: FHB Bank Source: Hungarian Central Statistical Office
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FHB Bank Cover pool overview

FHB Land Credit and Mortgage Bank was established by
characteristics:
four banks and the Government with the aim of
providing long-term financing, creating opportunities for Table 330: Covered bond characteristics
long-term investment and promoting the development of
As at 31 Mar 2010
the real estate market.
S/M/F
Covered Bond rating -/A3/-
The government substantially reduced its stake in 2003 Issuer rating -/Baa3/-
and in 2004 the bank’s shares started trading on the
Cover pool size (HUF) 534,284,446,799
Budapest Stock Exchange. The group has since been Outstanding liabilities (HUF) 445,076,655,000
adding more specialised financial products, such as life Current OC (in %) 13.2
annuity, consulting, real estate agency and valuation Committed OC (in %) 20.0
services to its range of traditional banking services. Residential mortgages (in %) 98
Commercial mortgages (in %) 2
Residential pool
metrics: Average loan (HUF) 3,951,225
Table 327: FHB Bank, select income statement items, HUFmm WA remaining term (mths) 173
FY 2009 Floating rate loans (in %) 55.3
Net interest income 19,532 Highest regional exposure (in %) Budapest – 25.8
Provisions for loan losses 3,951 Loans in arrears >2mths (in %) 0.9
Commissions & fee income 1,414 <=40 30.8
Other operating income 798 40-50 10.1
Non-interest expense 10,830 50-60 18.4
Operating profit (loss) 6,963 60-70 31.3
>70 1.4
PBT 8,251 Source: Moody’s
Taxes 1,681
Source: Bloomberg
Table 328: FHB Bank, select balance sheet items, HUFmm

FY 2009
Loans 636,750
Equity 74,955
Source: Bloomberg
Table 329: FHB Bank, select financial metrics

FY 2009
NIM 2.8
ROA 0.9
ROE 11.4
ROC 0.9
C:I 41.1
Source: Bloomberg
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OTP Bank Table 333: OTP Bank, select financial metrics

FY 2009
The OTP Group comprises several subsidiaries offering a
NIM 6.7
wide range of financial products. OTP Bank offers the ROA 1.6
more traditional banking services, while specialised ROE 13.6
services such as car leasing, investment funds and ROC 3.9
C:I 27.7
insurance (using strategic collaboration with French Core capital 13.8
insurance company, Groupama) are offered by the Source: Bloomberg
group's subsidiaries.
Cover pool overview
OTP also has also been expanding its operations by We set out below some of the key cover pool
entering neighbouring markets in the Central and Eastern characteristics:
Europe region. It has operations in Bulgaria, Croatia,
Romania, Serbia, Slovakia, Ukraine, Montenegro and Table 334: Covered bond characteristics
Russia. As at 31 Mar 2010
S/M/F
Financial performance Covered Bond rating -/A2/-
We set out below some of the key financial performance Issuer rating BB+/Baa1/-
metrics: Cover pool size (HUF) 1,395,232,815,830
Outstanding liabilities (HUF) 1,268,280,057,836
Table 331: OTP Bank, select income statement items, HUFmm Current OC (in %) 10.0
FY 2009 Number of loans 300,656

Net interest income 590,674 Average loan (HUF) 4,634,741
Provisions for loan losses 249,278 WA seasoning (mths) 47
NII less provisions 341,396 WA remaining term (mths) 190
Commissions & fee income 170,335 Floating rate loans (in %) 63.3
Other operating income 0 Highest regional exposure (in %) Budapest – 24.7
Non-interest expense 238,080 Loans in arrears 2-6mths (in %) 1.4
PBT 170,482 <=40 23.0
Taxes 20,276 40-50 17.2
Net profit (loss) 151,045 50-60 16.4
Source: Bloomberg 60-70 13.8
70-80 12.5
>80 17.2
Table 332: OTP Bank, select balance sheet items, HUFmm
Source: Moody’s
FY 2009
Commercial loans 2,466,413
Consumer loans 4,152,251
Other loans 288,430
Loans 6,412,716
Deposits 5,688,887
Equity 1,191,606
Source: Bloomberg
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Irish covered bonds
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Irish Covered Bonds

Market size
We provide an overview of market issuance trends and outstanding volumes of Irish
covered bonds in Figure 78 and Figure 79 respectively.

25,000 Mortgage 100,000 Mortgage
Public sector
20,000 80,000 Public sector
15,000 60,000
10,000 40,000
5,000 20,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 335 a snapshot of key covered bond attributes in Ireland.
Table 335: Irish ACS overview

Legislative Asset Covered Securities (ACS) Act 2001 (as amended), along with regulations from the
Framework Central Bank of Ireland
Structure of Issuer ACS are issued by Designated Credit Institutions (DCIs) authorised by the Central Bank of
Ireland, with restricted business activities. The framework allows for the transfer of eligible
cover pool assets to this special-purpose subsidiary (typically called Mortgage or ACS Bank).
Supervision IFSRA, and CBI
Cover assets Within this entity, the segregation of assets based on pool-type must be recorded in separate
registers. Mortgage assets are restricted to EEA jurisdictions, plus Australia, New Zealand,
Switzerland, Canada, Japan and the US. Securitised mortgage assets are also eligible for
inclusion if rated at least AA-, and constitute a maximum of 20% of the pool. Commercial
mortgages can constitute a maximum of 10% of the pool. Public sector assets are limited to
the same jurisdictions as for mortgage assets, along with debt from highly-rated multilateral
development banks and international organisations. DCIs can also keep assets on their
balance sheets which are not registered in the cover pool. Substitution assets can also be
kept in the cover pool (capped at 15%). A Cover Asset Monitor supervises compliance with
the ACS Act’s provisions.
Valuation Prudent market valuation taken on entry into the cover pool for residential assets, and them
annually thereafter. Where house prices are declining according to the Permanent/TSB
index, the indexed valuation should be used. If prices increase, less than 100% of the upward
revision should be used. For commercial exposures, the latest market value should be
reviewed by an independent valuer, with mandatory reviews for large (>7%) declines in
approved indices.
ALM matching Duration of the cover assets must not be less than that of issued securities. Interest income
must exceed interest expense over a 12 month period. For public-sector backed bonds, the
duration of the assets can be no greater than 3years longer than the outstanding bonds
Over- Mandatory 103% over-collateralisation for residential and public sector mortgage assets. For
collateralisation commercial assets, minimum over-collateralisation of 10% is required.
Bankruptcy Claim and cashflows of an ACS are unaffected by the actual or potential insolvency of the
remoteness DCI or its parent. In either case, the securities and hedges continue, and do not accelerate.
legislation
136
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Irish macro backdrop
Figure 80:Irish real GDP growth, y-on-y, % Figure 83: Irish unemployment level, %
15 Real GDP grow th
14
10
12 Unemploy ment
5 10
0 8
-5 6
4
-10
2
-15
0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 81: Irish CPI and base rate, % Figure 84: Irish consumer confidence, balance of survey
6 120
4 100
2 80
0
60
-2
40
-4
20
-6
-8 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 82: Irish house price growth, y-on-y, % Figure 85: Irish dwelling completions, #
30 House price grow th 30000 Dw ellings completed
20 25000
10 20000
0 15000
-10 10000
-20 5000
-30 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
137
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AIB Mortgage Bank Cover pool overview

Snapshot
characteristics:
AIB Mortgage Bank (‘AIBMB’) is a DCI under the Irish
ACS legislation, and a wholly owned subsidiary of Table 338: Cover pool characteristics
Allied Irish Banks Plc (‘AIB'). AIBMB’s principal
Characteristic
purpose is to issue ACS backed by mortgage loans on
Ratings S/M/F
residential property. These loans may be made directly Covered bond rating AAA/Aaa/AAA
by the bank itself (AIB transferred its Irish branch- Parent rating A-/A1/A-
originated residential mortgage business to AIBMB in Fitch D:factor 14.00%
Moody's TPI Probable
2006), sourced from other subsidiaries of AIB Group or
third parties. Cover pool Jun-10
Total pool (€bn) (March) 19.1
Asset type:
Most of the bank’s activities are outsourced to AIB under Mortgages (€bn) 16.1
an outsourcing and agency agreement, with AIB Cash & other assets (€bn) (JPM calc) 3.1
originating residential mortgage loans through its branch Bonds outstanding (€bn) 14.0
network, servicing the mortgage loans, providing # mortgages 112,755
treasury services and a range of other support services. Avg loan balance 143,163
The bank's activities are financed through the issuance of WA Indexed LTV 80.2%
LTV>80% 50.7%
MCS, a mortgage-backed promissory note facility with
LTV>90% 42.6%
the central bank and Irish FSA, and the balance by AIB LTV>100% 33.0%
plc.
Asset seasoning 47.4
Financial performance Owner occupied 72.5%
We set out below some of the key financial performance Second homes 1.2%
metrics: BTL 26.3%
Dublin 31.9%
Other 68.1%
Table 336: Key profit & loss figures, €mm
Source: J.P. Morgan Covered Bond Research, Rating Agencies
2006 2007 2008 2009
Net interest income 126.5 129.6 81.5 217.6
Provisions for loan losses 2.5 1.3 27.2 78.7
NII less provisions 124.0 128.3 54.3 138.9
Commissions & fee income 0 0 0 0
Other operating income -15.1 22.6 -11.4 -1.4
Non-interest expense 38.8 42.0 39.9 36.1
PBT 69.7 108.4 1.3 94.3
Taxes 8.7 13.5 0.2 11.8
Net profit (loss) 61.0 94.9 1.1 82.5
Source: Bankscope and annual report 2009
Table 337: Key balance sheet figures, €mm

2006 2007 2008 2009
Loans 16,325 18,4230 19,998 20,693
Total Assets 23,346 27,096 37,387 39,308
Bank deposits 16,965 18,832 23,183 27,474
LT funding 5,424 7,083 13,169 10,760
Equity 466 581 537 619.6
Source: Bankscope and annual report 2009
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Bank of Ireland Mortgage Bank Cover pool overview

Snapshot
characteristics:
Bank of Ireland Mortgage Bank (‘BoIMB’) was
established in 2004 and is a wholly-owned subsidiary of Table 341: Cover pool characteristics
the Governor & Company of the Bank of Ireland (BoI).
Characteristic
In June 2004, BoI transferred its Irish residential
Ratings S/M/F
mortgage business and substantially all of its Irish Covered bond rating AAA/Aaa/-
residential mortgage loans to BoIMB, whose main Parent rating A-/A1/A-
activities are the issuance of residential MCS. Portfolios Fitch D:factor n/a
of mortgages can be directly originated, acquired from
other parts of the BoI group or third parties. Cover pool Jun-10
Total pool (€bn) n/a
Financial performance Asset type:
Mortgages (€bn) 10.7
We set out below some of the key financial performance Cash (€bn) n/a
metrics: Bonds outstanding 8.5
Table 339: Key profit & loss figures, €mm # mortgages 71,717
Avg loan balance 149,611
2006 2007 2008 2009 WA Indexed LTV 92.1%
Net interest income 164.0 179.0 188.0 195.0 LTV>80% 67.3%
Provisions for loan losses LTV>90% 58.6%
NII less provisions LTV>100% 47.3%
Commissions & fee income -67.0 -80.0 -90.0 -101.0
Other operating income 2.0 3.0 3.0 2.0 Asset seasoning 58.5
Non-interest expense 12.0 14.0 14.0 13.0
PBT 87.0 88.0 87.0 35.0 Dublin 32.7%
Taxes 11.0 11.0 11.0 4.0 Other 67.3%
Net profit (loss) 76.0 77.0 76.0 31.0
Source: J.P. Morgan Covered Bond Research, Rating Agencies
Source: Bankscope

2006 2007 2008 2009
Loans 13,885.0 17,395.0 19,359.0 20,505.0
Total Assets 20,495.0 25,556.0 27,475.0 36,161.0
Deposits 14,549.0 18,165.0 19,383.0 21,663.0
Other funding 5,283.0 6,558.0 7,224.0 13,683.0
Equity 620.0 707.0 763.0 794.0
Source: Bankscope
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Depfa ACS Cover pool overview

Snapshot
characteristics:
Depfa ACS Bank (‘DACS’) is a subsidiary of Depfa
Bank plc, which in turn is a subsidiary of Deutsche Table 344: Cover pool characteristics
Pfandbriefbank AG (formed by the recent merger of
Characteristic Public sector ACS
Hypo Real Estate Bank AG and Depfa Deutsche
Ratings S/M/F
Pfandbriefbank AG). DACS current business model Covered bond rating AAA/Aa2/AAA
focuses on the financing of public sector assets with Issuer rating BBB/A3/A-
ACS. It is the largest ACS issuer, with over €50bn of Fitch D:factor 9.50%
Moody's TPI Probable-High
bonds outstanding currently.
Collateral pool As at 31 March
Post the merger, the combined Deutsche Pfandbriefbank Pool 53,200,000,000
Bonds 48,700,000,000
is repositioning itself to be a bank specialising in
European real estate and public sector finance, funded Borrower classification
predominantly by the issuance of pfandbrief. Based on PSE 59.8%
Local Govt 28.2%
this, we expect DACS to continue in its solvent run-off Sovereign 8.9%
for a number of years. Other 3.1%
Ratings S&P
AAA 34.8%
We set out below some of the key financial performance AA 42.1%
metrics: A 18.7%
BBB 3.0%
Largest jurisdictions
2006 2007 2008 2009 1 USA - 20.7%
Net interest income 81 141 136 89 2 Germany – 20.4%
Provisions for loan losses n/a n/a n/a 10 3 Iberia – 11.9%
NII less provisions 81 141 136 79 4 Benelux – 11.3%
Commissions & fee income -2 -2 -11 -58 5 UK - 7.4%
Other operating income 19 17 14 -10
Operating profit (loss) 93 146 119 24 Non-EEA 25.9%
PBT 81 126 101 7 Source: J.P. Morgan Covered Bond Research, Investor Reports, Rating Agencies
Taxes 10 -16 -12 0
Net profit (loss) 71 110 89 7
Source: Bankscope

2006 2007 2008 2009
Loans 47,935 47,716 57,879 53,806
Total Assets 73,344 68,963 96,067 86,959
Deposits 25,814 18,144 34,623 29,642
Other funding 44,416 39,261 52,773 50,842
Equity 605 701 715 571
Source: Bankscope
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EBS Mortgage Finance Cover pool overview

Snapshot
characteristics:
EBS Mortgage Finance (‘EBS MF’) was established in
November 2008 as a DCI under the Irish ACS Table 347: Cover pool characteristics
legislation, and a wholly owned subsidiary of the EBS
Characteristic
Building Society. EBS MF’s main purpose is to issue
Ratings S/M/F
MCS backed by mortgage loans on residential property Covered bond rating -/Aaa/AA
under a €6bn ACS programme. Issuer rating -/A2/BBB-
Fitch D:factor 12.1%
Moody's TPI Probable-High
EBS is one of Ireland’s two building societies (the 6th
largest credit institution in Ireland), with close to one Cover pool May-10
hundred outlets across the Irish Republic. EBS Total pool (€bn) 4.1
Asset type:
traditionally focused its lending business on public sector Mortgages (€bn) 4.0
workers in Ireland. It accounts for approximately 8% of Cash (€bn) 0.1
the retail savings market. Bonds outstanding (€bn) 2.4
# mortgages 43,665
Financial performance Avg loan balance 91,772
We set out below some of the key financial performance WA Indexed LTV 75.1%
LTV>80% 48.0%
metrics for EBS:
LTV>90% 38.2%
LTV>100% 27.3%
2005 2006 2007 2008 Asset seasoning 60
Net interest income 119.9 150.1 173.6 155.1
Provisions for loan losses 0.4 4.6 19.1 110 Dublin 41.9%
NII less provisions 119.5 145.5 154.5 45.1 Other 58.1%
Non interest income 16 16.3 16.1 14.3 Source: J.P. Morgan Covered Bond Research, Investor Reports, Rating Agencies
Other operating income 7.6 3.4 4.1 2.9
Total operating expenses 89.3 99.3 108.1 100.5
Operating profit (loss) 54.2 70.5 85.7 71.8
PBT before XO items 53.8 65.9 66.6 (38.2)
Taxes 15.1 8.2 10.7 .4
Net profit (loss) 38.7 57.7 55.9 (37.8)
Source: Annual reports

2005 2006 2007 2008
Loans 13,638 15,646 16,158 18,188
Total Assets 16,556 19,306 19,476 21,374
Deposits 12,120 12,815 12,201 16,230
LT Funding 3,367 5,185 5,677 3,683
Total Reserves 605 659 830 668
Source: Annual reports
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Italian covered bonds
143
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Italian Covered Bonds

Market size
Italian covered bonds in Figure 86 and Figure 87 respectively.

8,000
15,000
6,000
10,000
4,000
2,000 5,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 348 a snapshot of key covered bond attributes in Italy.

Legislative Framework Law 130 of 1999, decree 310/2006 of Ministry of Economics and Finance, Bank of
Italy regulation on covered bonds, May 2007
Structure of Issuer OBG are issued by credit institutions, where the CB are direct, unsecured,
unsubordinated and unconditional obligations of the Issuer. Under the typical
structure, the Issuer lends the sums received from bond issuance to a guarantor SPE,
with this SPE using the funds to purchase collateral from the originator. Under this
structure, the guarantor agrees to guarantee the Issuer’s obligations to covered bond
investors, collateralising the guarantee with the purchased loans and securities
acquired from the Issuer. This structure is similar to that used in the UK and the
Netherlands.
Issuance of OBG is restricted to banks with a minimum consolidated regulatory
capital base of at least €500mm, and a total capital ratio (TCR) of at least 9%. If TCR
>11% and Tier-1 (T1) ratio > 7%, there is no restriction on issuance. If TCR is 10-11%
and T1> 6.5%, then 60% of available eligible assets can be transferred to the SPE, if
TCR is 9-10% and T1>6%, then 25% of eligible assets can be transferred only
Supervision Bank of Italy
Cover assets Mortgage assets can include: residential mortgages (max 80% LTV), and commercial
mortgages (max 60% LTV). Exposures to public sector entities up to a maximum of
10% of the cover pool from the EEA or Switzerland with a maximum risk-weight of
20% under the Standardised Approach, or from entities from outside the EEA and CH
with a risk-weight of 0%. Senior tranches of MBS deals with a maximum risk-weight of
20%. Substitute assets can also be included in the cover pool up to a 15% cap. Cover
pool assets are monitored by a dedicated asset monitor, typically an audit firm.
ALM matching Nominal and present value cover required, with liabilities not larger than assets on a
nominal or NPV basis. Interest coverage test
Over-collateralisation None required by law
Bankruptcy remoteness Covered bond holders protected by preferential claim by law. Similar to the UK and
the Netherlands, in case of insolvency of the originator, the issuer exercises the
financial guarantee over the pledged assets.
legislation
144
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Italian macro background
Figure 88: Italian real GDP growth, y-on-y, % Figure 89: Italian unemployment level, %
4 10
2
8
0
6
-2
-4 4
-6 2
-8 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 90: Italian CPI and base rate, % Figure 91: Italian consumer confidence, balance of survey
5 Cons. Confidence
4 0
-5
3
-10
2 -15
-20
1 -25
-30
0
-35
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 92: Italian house price growth, % Figure 93: Italian outstanding mortgages (€mm) and annual growth of
25% House price grow th mortgage stock, %
20% 350,000 Outstanding mortgages Grow th in o/s mortgages 25%
15% 300,000
20%
10% 250,000
5% 200,000 15%
0% 150,000 10%
-5% 100,000
-10% 5%
50,000
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
0 0%
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-09
Jun-03
Jun-04
Jun-05
Jun-06
Jun-07
Jun-08
Jun-09
Source: Bloomberg
Source: ECB
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Banca Carige Table 351: Banca Carige Group, select financial metrics
FY 2009
The Banca Carige Group is one of the six largest
ROA 0.6
financial services groups, with over 1,000 branches and ROE 5.6
agencies throughout Italy. The group includes the parent, ROC 1.3
Banca Carige, four other banks (Cassa di Risparmio di C:I 61.8
Core capital 7.9
Savona, Cassa di Risparmio di Carrara, Banca del Monte
Source: Bloomberg
di Lucca, Banca Cesare Ponti), an asset management
company (Carige Asset Management Sgr) and two
Cover pool overview
insurance companies (Carige Assicurazioni and Carige
Vita Nuova). The group is also the majority shareholder
characteristics:
of Creditis Servizi Finanziari SpA, a company
specialised in consumer credit. Table 352: Covered bond characteristics
As at 30 April
Ownership is split between a foundation (44%), France’s 2010
Groupe BPCE (15%), Generali (3%) and a free float of S/M/F
38%. Covered Bond rating -/Aaa/AAA
Issuer rating A-/A2/A
metrics: Avg loan (€) 87,821
WA LTV (in %) 48.6

Table 349: Banca Carige Group, select income statement items, Remaining tenor (mths) 211
€mm WA seasoning (mths) 252
FY 2009
Residential properties (in %) 96
Net interest income 740 Commercial properties (in %) 4
Commissions & fee income 315 Table 353: Collateral pool LTV breakdown
Non-interest expense 742 Current LTV ranges As at 30 April
Operating profit (loss) 337 2010
0-<=40% 34.1
PBT 313 >40%-<=50% 15.5
Taxes 104 >50%-<=60% 17.2
Net profit (loss) 205 >60%-<=70% 18.1
>70%-<=80% 13.9
Source: Bloomberg
>80%-<=100% 1.3
Table 350: Banca Carige Group, select balance sheet items, €mm
FY 2009
Total Assets 36,299
Deposits 14,954
Equity 3,853
Source: Bloomberg
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Banca Popolare di Milano Cover pool overview

BPM was founded as a cooperative bank in Milan. The
characteristics:
group now offers a range of financial products across
Italy. It is the eighth largest banking group and the fourth Table 357: Covered bond characteristics
largest Popolare bank, with a leading position in the
As at 30 April
north of the country. It operates close to 800 branches 2010
across Lombardy, Piedmont, Apulia and Latium. S/M/F
Financial performance Issuer rating A-/A1/A-
metrics: Number of loans 22,646
Avg loan (€) 101,836
Table 354: BPM Group, select income statement items, €mm
WA LTV (in %) 56.7
FY 2009 Remaining tenor (mths) 224.8
Net interest income 1,052 WA seasoning (mths) 28.4
NII less provisions 715 Residential properties (in %) 100
Commercial properties (in %) -
Commissions & fee income 767 Source: Investor report
Current LTV ranges As at 30 April
PBT 217 2010
Taxes 114 0-<=40% 27.4
Net profit (loss) 104 >40%-<=50% 15.8
>60%-<=70% 16.7
>70%-<=80% 27.1
Table 355: BPM Group, select balance sheet items, €mm
>80%-<=100% n/a
Total Assets 44,281
Deposits 21,804
Equity 4,022
Source: Bloomberg
Table 356: BPM Group, select financial metrics

FY 2009
NIM 2.5
ROA 0.2
ROE 2.9
ROC 0.5
C:I 70.6
Core capital 8.6
Source: Bloomberg
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Banco Popolare Cover pool overview

The group was created in 2007 from the merger of Banco
characteristics:
Popolare di Verona e Novara and the Banca Popolare
Italiana. It is the fourth largest Italian banking group by Table 362: Covered bond characteristics
assets, focused on northern and central Italy, with a
As at 30 June
traditionally strong presence in the regions of Lombardy, 2010
Piedmont, Liguria, Tuscany and Emilia Romagna. S/M/F
The group focuses its businesses on retail banking, while Issuer rating A-/A2/A-
Cover pool size (€) 3,181,799,606
also offering business banking for small and medium Number of loans 32,670
sized corporates. Avg loan (€) 97,392
Est. WA LTV (in %) 51.8

Financial performance Remaining tenor (yrs) 18.8
We set out below some of the key financial performance WA seasoning (yrs) 2.3
metrics:
Floating rate (in %) 67.8
Fixed rate (in %) 32.2
Table 359: Banco Popolare, select income statement items, €mm
FY 2009
Net interest income 2,529 Table 363: Collateral pool LTV breakdown
NII less provisions 1,706 Current LTV ranges As at 30 June
2010
Commissions & fee income 1,361 0-<=40% 28.8
>70%-<=80% 22.8
PBT 493 Source: Investor report
Taxes 229
Source: Bloomberg
Table 360: Banco Popolare, select balance sheet items, €mm

FY 2009
Deposits 46,083
Equity 12,112
Source: Bloomberg
Table 361: Banco Popolare, select financial metrics

FY 2009
NIM 2.2
ROA 0.2
ROE 2.5
ROC 0.3
C:I 71.2
Core capital 7.7
Source: Bloomberg
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Intesa Sanpaolo Table 366: Intesa Sanpaolo, select financial metrics

FY 2009
Intesa Sanpaolo is a banking group resulting from the
NIM 2.0
merger between Banca Intesa and Sanpaolo IMI. It is one ROA 0.4
of the leaders of the Italian market as well as having a ROE 5.5
strong international presence focused on Central-Eastern ROC 0.9
C:I 63.7
Europe and the Mediterranean basin. Core capital 8.4
Source: Bloomberg
The Group brings together two major Italian banks and is
a leader in its domestic market across all business areas Cover pool overview
in which it operates (retail, corporate and wealth We set out below some of the key cover pool
management). Outside of Italy, it operates over 1,800 characteristics:
branches providing retail and commercial banking
services across thirteen countries. Corporate clients are Table 367: Public Sector covered bond characteristics
further supported across thirty-one countries, including As at 30 April
the US, Russia, China and India. 2010
S/M/F
Intesa Sanpaolo issues public-sector backed OBG. Covered Bond rating -/Aaa/-

We set out below some of the key financial performance Number of loans 388
Avg loan (€) 14,303,415
metrics:
Table 364: Intesa Sanpaolo, select income statement items, €mm WA seasoning (mths) 60
FY 2009 Fixed rate (%) 76.7
Net interest income 11,716 Floating rate (%) 23.3
NII less provisions 8,268 AAA to AA- (%) 70.9
A+ to A- (%) 17.5
Commissions & fee income 6,141 BBB+ to BBB- (%) 0.04
Other operating income -153 Not Rated (%) 11.6
Operating profit (loss) 2,889 Sovereign (%) 29
Municipality (%) 28
PBT 3,455 Region (%) 39
Taxes 686 Other (%) 4
Source: Bloomberg Sovereign %) 29
North (%) 36
Central (%) 15
Table 365: Intesa Sanpaolo, select balance sheet items, €mm
South (%) 12
FY 2009 Spain (%) 4
Loans to public 363,447 France (%) 2
Total Assets 624,844 Germany (%) 1
Deposits 203,392 Belgium (%) 1
Short-term borrowings 69,256 Source: Investor report
Equity 53,771
Source: Bloomberg
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UBI Banca Table 370: UBI Banca, select financial metrics

FY 2009
UBI Banca is a cooperative group that was created in
NIM 2.3
2007 from the merger of Banche Popolari Unite and ROA 0.2
Banca Lombarda e Piemontese. While the core markets ROE 2.4
are the northern regions of Lombardy and Piedmont, the ROC 0.5
C:I 68.5
group also has a significant presence in central and Core capital 8.0
southern Italy. Source: Bloomberg
The bank focuses mostly on retail banking, which Cover pool overview
accounts for 97% of its customer base and 69% of its We set out below some of the key cover pool
revenues, although it also has a strong presence in the characteristics:
SME market (24% of its revenues). UBI Banca is the
parent company of the group, and performs centralised Table 371: Covered bond characteristics
functions, while supporting the nine network banks along As at 30 June
with a wide range of product companies which specialise 2010
in corporate banking, consumer credit, asset S/M/F
management, factoring & leasing and life & non-life Covered Bond rating AAA/Aaa/AAA
Issuer rating A/A1/A+
bancassurance. Cover pool size (€) 5,724,995,550
Financial performance Avg loan (€) 72,323
We set out below some of the key financial performance WA LTV (in %) 44.1
metrics: Remaining tenor (mths) 193
Table 368: UBI Banca, select income statement items, €mm
Floating rate (in %) 21.8
FY 2009 Fixed rate (in %) 78.2
Commissions & fee income 1,329 Current LTV ranges As at 30 June
Non-interest expense 2,920 0-<=40% 43.8
>50%-<=60% 14.8
PBT 519 >60%-<=70% 13.3
Taxes 237 >70%-<=80% 11.6
Source: Bloomberg
Table 369: UBI Banca, select balance sheet items, €mm

FY 2009
Deposits 47,722
Equity 12,350
Source: Bloomberg
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UniCredit Group Cover pool overview

The UniCredit Group has its origins in Italy, which,
characteristics:
together with Austria and Germany (through the
acquisition of HvB), remains one of its key markets. Table 376: Covered bond characteristics
Over the years the group has grown into one of the main
As at 30 April
European financial services groups, with a strong 2010
presence in Central and Eastern Europe. The group has a S/M/F
presence in 22 countries, with over 9,000 branches Covered Bond rating AAA/Aaa/AAA
worldwide. Issuer rating A/Aa3/A
Cover pool size (€) 10,355,271,670

The Group offers a wide variety of financial products, Number of loans 94,357
ranging from retail to corporate and investment banking, Avg loan (€) 109,747
organised along a number of divisions: asset WA LTV (in %) 64.2
management, CEE, retail and CIB&PB. Remaining tenor (mths) 271
Financial performance Floating rate (in %) 33.2
We set out below some of the key financial performance Fixed rate (in %) 58.6
Table 373: UniCredit Group, select income statement items, €mm Table 377: Collateral pool LTV breakdown
FY 2009 Current LTV ranges As at 30 April
Net interest income 17,607 2010
Provisions for loan losses 8,152 0-<=40% 11.1
NII less provisions 9,455 >40%-<=50% 7.0
>50%-<=60% 9.4
Non-interest expense 18,654 Source: Investor report
PBT 2,923
Taxes 888
Source: Bloomberg
Table 374: UniCredit Group, select balance sheet items, €mm

FY 2009
Deposits 361,152
Equity 62,892
Source: Bloomberg
Table 375: UniCredit Group, select financial metrics

FY 2009
NIM 1.9
ROA 0.2
ROE 3.0
ROC 0.5
C:I 60.5
Core capital 8.6
Source: Bloomberg
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Korean covered bonds
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Korean Covered Bonds

Market size
Korean covered bonds in Figure 94 and Figure 95 respectively.
1,000 1,400
1,200
800
1,000
600 800
400 600
400
200
200
0 0
2004 2005 2006 2007 2008 2009 2010 2004 2005 2006 2007 2008 2009 2010
Source: J.P. Morgan Covered Bond Research Source: J.P. Morgan Covered Bond Research
A brief description of the two covered bond structures so far has been included in the
respective issuer’s profile page.
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Korea macro background
Figure 96: Korean real GDP growth, y-on-y, % Figure 97: Korean unemployment level, %
10 5
4
5
3
0
2
-5 1
-10 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 98: Korean CPI and base rate, % Figure 99: Korean business survey index, #
160 Business surv ey index
5 140
4 120
100
3
80
2 60
1 40
20
0
0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 100: Korean house price growth, % Figure 101: Korean loans to households (KRWtn) and annual change
(RHS), %
15% House price grow th 800 Credit to HH (stock) Credit to HH (grow th) RHS 40%
700 35%
10%
600 30%
5% 500 25%
400 20%
0% 300 15%
-5% 200 10%
100 5%
-10% 0 0%
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
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Kookmin Bank Table 379: Kookmin Bank, select balance sheet items, KRWmm
FY 2009
Kookmin Bank is the largest bank in South Korea by
Loans 194,154,600
assets and market capitalisation. It has a strong domestic Total Assets 256,519,800
presence and also a small but growing international Deposits 170,385,900
presence in Asia. The core business remains lending to Short-term borrowings 13,843,060
Other short-term borrowings 13,134,670
individuals and SMEs: these constitute 52% and 34% of Long-term borrowings 37,985,060
its domestic currency loan book while residential Equity 19,342,560
mortgages account for 46% of the lending to households. Source: Bloomberg
As there is no specific covered bond legislation in Korea, Table 380: Kookmin Bank, select financial metrics
the issuer adopted a securitisation-like structure, whereby FY 2009
the issuer will make a loan to a guarantor, which will in NIM 2.7
turn purchase the assets from the issuer via a trust and ROA 0.2
ROE 3.5
guarantee the bonds in case of default. ROC 0.8
C:I 60.1
The collateral consists of mortgages and credit card Source: Bloomberg
receivables and an Asset Coverage Test (ACT) will be
carried out monthly. The asset percentage (AP) is set at Cover pool overview
85% for mortgages and 72% for credit cards. An We set out below some of the key cover pool
amortisation test will be also carried out if there is a non- characteristics:
cured breach of the ACT. If the credit card pool is
underperforming or in case of default of the issuer, the Table 381: Covered bond characteristics
revolving suspension test will end the revolving period As at 31 Jul 2010
and the structure will start trapping cash. S/M/F
Covered Bond rating AA/Aa1/-
Issuer rating A/A1/A
We set out below some of the key financial performance Cover pool size (KRW) 3,891,529,115,354
metrics: Outstanding liabilities (in KRW equivalent) 1,248,500,000,000
Mortgage pool
Table 378: Kookmin Bank, select income statement items, Aggregate amount outstanding (in KRW) 1,660,963,065,784
KRWmm Number of loans 17,438
Average loan balance (in KRW) 95,249,631
FY 2009 WA seasoning (mths) 41
Net interest income 6,288,438 WA LTV (in %) 46.5
Provisions for loan losses 2,207,853 >90days arrears (in %) 0.09
NII less provisions 4,080,585
Eligible credit card pool
Commissions & fee income 1,324,506 Aggregate amount outstanding (in KRW) 2,230,566,049,570
Other operating income 115,527 Number of account 1,879,462
Non-interest expense 5,088,616 Average account balance 1,186,828
Operating profit (loss) 703,027 >30 days arrears (in %) 0.79
PBT 660,471
Taxes 24,668
Source: Bloomberg
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Korea Housing Finance Corporation Table 383: KHFC Bank, select balance sheet items, KRWmm
FY 2009
KHFC is a quasi-government financial institution
Loans 2,795,500
established with the aim of supplying long term housing Total Assets 3,443,840
finance. KHFC also provides mortgage guarantees to Short-term borrowings 260,000
prospective homebuyers and reverse mortgage products. Other short-term borrowings 185,000
Equity 884,917
The company is a regular issuer of MBS and student loan Source: Bloomberg
ABS and has only issued their first covered bond (called
mortgage-backed bonds, MBB) in July, as permitted by Cover pool overview
Art. 31 of the KHFC Act. It also announced that it is We set out below some of the key cover pool
planning to issue $2bn of covered bonds annually starting characteristics:
in 2011.
The underlying collateral is purchased from participating As at 30 Jun 2010
banks (SC First Bank Korea, Shinhan Bank, Woori Bank, S/M/F
Kookmin Bank, Korea Exchange Bank, Industrial Bank Covered Bond rating -/Aa3/-
of Korea and Hana Bank, although in this case only SC Issuer rating A/A2/-
First Bank, Shinhan and Woori participated) and is Cover pool size (KRW) 1,120,367,432,635
subject to an ACT (eligible assets at least equal to Outstanding liabilities (in KRW equivalent using 604,700,000,000
liabilities) and a portfolio yield test (interest received has issuance date FX rate)
Committed OC (in %) 19
to be greater than liabilities and expenses).
While there is no acceleration of the bonds in case of an Average loan balance (in KRW) 109,144,416
issuer event of default, the bonds will accelerate if there WA LTV (in %) 49.1
is a covered bond event of default i.e. failure to pay WA indexed LTV (in %) 47.6
interest and/or principal as due. Interest only loans (in %) 37.7

Financial performance 0-40 22.4
We set out below some of the key financial performance 40-50 21.2
metrics: 50-60 56.4
Source: Moody’s
Table 382: KHFC, select income statement items, KRWmm

FY 2009

PBT 23,245
Taxes -12,501
Source: Bloomberg
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Luxembourgish covered bonds
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Luxembourgish Covered Bonds

Market size
Luxembourgish covered bonds in Figure 102 and Figure 103 respectively.

Public sector 35,000
30,000
8,000
25,000
6,000 20,000
15,000
4,000
10,000
2,000
5,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 385 a snapshot of key covered bond attributes in
Luxembourg.

Legislative Framework Article 12-1 to 12-9 of the Law of April 5, 1993 on the Financial Sector and June 22,
2000 amendment to Law of November 21, 1997 on banks issuing mortgage bonds.
The Luxembourg Supervisory Authority (Commission de Surveillance du Secteur
Financier, or CSSF) also released circular 01/42 on the rule for the appraisal of real
estate and circular 03/95 on the maintenance of the cover register. Further amended
in 2008
Structure of Issuer Bonds are issued by specialised mortgage credit institutions, with licenses from the
financial services regulator
Supervision CSSF
Cover assets Three types of collateral: mortgages, public sector and moveable assets (vessels,
aircraft, railway). Only EU, EEA and OECD assets are eligible. Public sector loans or
bonds must be guaranteed by a national, regional or local government or public entity;
mortgage must have an LTV<80% if residential or <60% if commercial. Substitution
assets can make up to 20% of the pool and can be cash, loans, or bonds satisfying
the conditions. Monitoring of cover pool compliance through an internationally active
auditor is mandatory
ALM matching Eligible assets must be 102% of liabilities at all times on a nominal and NPV basis.
Derivatives can be used to help meet cashflow requirements
Over-collateralisation Mandatory 102% over-collateralisation on both a nominal and NPV basis
Bankruptcy remoteness Issuers are required to have a register to record the cover assets; the register must
have one section each for mortgage and public sector collateral and up to three for
moveable assets. Bonds are insolvency remote. On bankruptcy, the Supervisory
Authority will take over management of the LdG and the cover pool. It may then either
conclude a servicing contract or even transfer the LdG to a suitable CB issuer
Compliance with EU
legislation UCITS and CRD compliant
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Dexia LdG Banque Cover pool overview

Dexia LdG Banque was founded in 2007 and is a fully
characteristics:
owned subsidiary of Dexia Banque Internationale à
Luxembourg SA, part of the Dexia Group, which offers a Table 389: Covered bond characteristics
range of financial products spanning from public and
As at 31 March
project finance to personal finance, insurance and 2010
investment management services. S/M/F
Covered Bond rating AAA/-/-
The first LdG was issued out of the €25bn EMTN Issuer rating (Dexia Banque) A/A1/A+
programme in September 2007. The cover pool consists Eligible Loans (€) 3,095,000,000
entirely of public sector assets that are eligible according Eligible Debt Securities (€) 2,051,000,000
to the Article 12-1 of the Financial Services Act of April Substitution Assets (€) 441,000,000
5, 1993. Eligible countries are those included in the EEA Country split (in %)
and the OECD. France 31.5
USA 16.7
Spain 13.2
Financial performance Luxembourg 13.0
We set out below some of the key financial performance Germany 7.8
metrics: Sweden 4.1
Greece 3.8
Italy 3.1
Table 386: Dexia LdG Banque, select income statement items, € Australia 1.6
FY 2009 Poland 1.6
Net interest income 23,608,834 Denmark 0.9
Provisions for loan losses 135,905 Ireland 0.9
NII less provisions 23,472,929 UK 0.7
Finland 0.6
Commissions and fee income 36,763 Norway 0.3
Non-interest expense 134,293 Canada 0.3
Operating profit (loss) 22,552,186 Source: Investor report
PBT 22,688,091
Taxes 1,690,378
Net profit (loss) 20,997,713
Source: Dexia LdG Banque Annual Report 2009
Table 387: Dexia LdG Banque, select balance sheet items, €

FY 2009
Loans to public 1,561,162,211
Total Assets 5,132,240,797
Deposits 1,594,547,955
Equity 162,344,188
Table 388: Dexia LdG Banque, select financial metrics

FY 2009
C:I 7
Core capital 24.3
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Erste Europaeische Pfandbrief und Cover pool overview

Kommunalbank (EEPK) We set out below some of the key cover pool
characteristics:
EEPK, part of the Commerzbank Group, focuses mostly
on lending to public bodies such as governments, Table 393: Covered bond characteristics
regional assemblies, local authorities and public
As at 30 June
corporations throughout the OECD zone. EEPK benefits 2010
from a group letter of comfort from Commerzbank AG. S/M/F
It is one of Commerbank's two public-sector covered Covered Bond rating AA+/ - / -
Issuer rating (Commerzbank AG) A/Aa3/A+
bond issuing subsidiaries in Luxembourg (the other being
Eurohypo Luxembourg). Cover pool size (€) 5,231,600,000
Country split (in %)

Just over half of the cover pool is located in the USA and USA 36.8
Canada, while almost 60% of the cover pool has an Canada 14.9
external rating of at least AA/Aa3. FX and interest rate Germany 7.3
risk are hedged using derivatives. Italy 6.0
Switzerland 5.7
Rep. of Korea 4.0
In April 2009, S&P lowered the rating of EEPK’s LdG to Hungary 3.5
AA+ from AAA due to changes in its covered bond Spain 2.8
Poland 2.6
rating methodology. Other 16.4
Financial performance Rating split (in %)

AAA 14.4
We set out below some of the key financial performance AA (incl. AA+ and AA-) 43.7
metrics: A (incl. A+ and A-) 27.0
BBB (incl. BBB+ and BBB-) 5.5
Table 390: EEPK, select income statement items, € NR 9.4
FY 2009
Net interest income 2,670,771
Non-interest expense 8,390,079
Operating profit (loss) 9,768,101
PBT -85,283,746
Taxes 301,225
Profit from write-down of capital 44,366,313
Net profit (loss) -41,218,658
Source: EEPK Annual Report 2009
Table 391: EEPK, select balance sheet items, €

FY 2009
Loans 1,817,250,364
Deposits 234,856,293
Equity 281,350,509
Table 392: EEPK, select financial metrics

FY 2009
Core capital 36.3
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Eurohypo Luxembourg SA Cover pool overview

Eurohypo Europaische Hypothekenbank (Eurohypo
characteristics:
Luxembourg SA) focuses on public lending to EU, EEA
and OECD countries and is Luxembourg’s largest Table 397: Covered bond characteristics
mortgage bank. It was founded in 1989 and initially
As at 31 May
conducted general banking until it received its special 2010
purpose banking license in 1999. S/M/F
Eurohypo has a market share of more than 50% in terms Issuer rating A-/-/A
of volume of LdG in circulation. The assets in the cover Cover pool size (€) 16,687,000,000
pool are largely investment grade and mostly Public debtor debt (in %) 50.0
independent from any monoline rating. Eurohypo LdG debt (in %) 43.0
Luxembourg and its parent are today part of the
Commerzbank Group, and are timetabled to be divested Country split (in %)
by 2014 as part of the EU conditions for approval of state USA 21.8
Germany 16.0
aid from the German taxpayer. GBR 14.5
Canada 13.6
Financial performance Switzerland 8.2
Spain 5.3
Italy 4.8
metrics: Other 15.8
Table 394: Eurohypo SA, select income statement items, € Europe 57.5
North America 35.3
FY 2009 Asia 2.7
Net interest income 60,250,956 Supra 4.5
Commissions and fee income 1,467 Split by guarantee (in %)

Other operating income 2,754,660 Not wrapped 90.3
Non-interest expense 7,076,399 MBIA 3.5
Operating profit (loss) 47,287,334 XL 0.3
AMBAC 0.6
PBT 36,704,334 FGIC 2.6
Taxes 1,172,245 FSA 2.7
Source: Eurohypo SA Annual Report 2009 S&P Rating split (in %)
AAA 38.2
AA (incl. AA+ and AA-) 16.1
Table 395: Eurohypo SA, select balance sheet items, € A (incl. A+ and A-) 23.1
FY 2009 BBB (incl. BBB+ and BBB-) 0.7
Loans to public 5,973,006,297 Below BBB or NR/Internal rating only 21.9
Short-term borrowings 6,713,709 Fitch Rating split (in %)
Other short-term borrowings 778,914 AAA 32.4
Long-term borrowing 35,000 AA (incl. AA+ and AA-) 20.6
Equity 372,476,525 A (incl. A+ and A-) 8.2
BBB (incl. BBB+ and BBB-) 0.7
Source: Eurohypo SA Annual Report 2009 Below BBB or NR/Internal rating only 38.1
Table 396: Eurohypo SA, select financial metrics
FY 2009
C:I 11.6
Core capital 31.0
Source: Eurohypo SA Annual Report 2009
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Hypo Pfandbrief Bank International SA Cover pool overview

HPBI is part of the Hypo Real Estate Group, which
characteristics:
focuses on real estate and public finance. It is a
subsidiary of Depfa Bank plc, the Irish subsidiary of Table 401: Covered bond characteristics
HRE AG. HRE AG is currently owned 100% by the
As at 31 May
German state, through SoFFin, the Financial Market 2010
Stabilisation Agency. HRE is currently in the process of S/M/F
a significant restructuring of its balance sheet. Covered Bond rating AA/-/-
Issuer rating (Hypo Public Finance Bank) BBB+/A3/A-
As for other Luxembourgish issuers, HPBI is active in Public sector cover pool size (€) 4,528,000,000
the international public sector lending business. It was Over-collateralisation (€) 360,000,000
the first Luxembourg issuer of LdG in 2000. The cover
Country split (in %)
pool is skewed towards Europe, which accounts for just USA 27.4
over 60% of the cover assets, despite the single largest Germany 14.0
country exposure being to the USA. The vast majority Austria 11.5
Canada 10.0
(95%) of the underlying collateral is investment grade. Spain 8.5
Over-collateralisation is just under 9%. Switzerland 7.9
Portugal 3.5
Italy 3.4
Other 13.9
metrics: Europe 60.5
North America 37.4
Asia 2.1
Table 398: HPBI SA, select income statement items, €
FY 2009 Rating split (in %)
Net interest income 18,602,066 AAA 49.2
Other operating income 778,072 A (incl. A+ and A-) 18.5
Non-interest expense 3,980,392 BBB (incl. BBB+ and BBB-) 1.9
NR 3.1
PBT 2,815,569 Source: Investor report
Taxes 349,783
Source: HPBI SA Annual Report 2009
Table 399: HPBI SA, select balance sheet items, €

FY 2009
Deposits 166,054
Long-term borrowing 1,487,097
Equity 123,787,628
Table 400: HPBI SA, select financial metrics

FY 2009
Core capital 15.7
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Nord/LB Covered Finance Bank SA Cover pool overview

Nord/LB CFB SA is a wholly owned subsidiary of
characteristics:
Nord/LB Luxembourg SA and part of the Nord/LB
Group. It is also in receipt of a direct letter of support Table 405: Covered bond characteristics
from the parent company. The only objective of Nord/LB
As at 30 April
CFB is to conduct business as a covered bond bank: as 2010
such, the bank takes on part of the public finance S/M/F
business generated by Nord/LB Girozentrale and Covered Bond rating AAA/-/-
provides funding primarily via the issuance of covered Issuer rating A-/-/-
bonds. Nord/LB CFB is the only institution within the Cover pool size (€) (as at 31 March) €4.3bn
Landesbank framework to provide such funding platform
to its savings bank. Country split (in %)
Germany 28.0
USA 24.9
The cover pool is heavily concentrated in Germany and Luxembourg 9.8
the USA and mostly investment grade-rated, although the Canada 5.2
Spain 4.4
rating distribution is rather evenly distributed amongst Other 27.7
the three top investment grade ratings (AAA-A).
Rating split (in %)
AAA 32.5
We set out below some of the key financial performance A (incl. A+ and A-) 38.9
metrics: BBB (incl. BBB+ and BBB-) 4.6
Table 402: Nord/LB SA, select income statement items, €
FY 2009
Net interest income 8,725,000
NII less provisions 8,436,000
Commissions and fee income 1,175,000

Other operating income -2,323,000
Non-interest expense 5,351,000
PBT 7,955,000
Taxes 1,591,000
Source: Nord/LB SA Annual Report 2009
Table 403: Nord/LB SA, select balance sheet items, €

FY 2009
Loans to public 2,001,600,000
Short-term borrowings 1,960,800,000
Long-term borrowing 641,600,000
Equity 64,300,000
Table 404: Nord/LB SA, select financial metrics

FY 2009
ROE 11.9
C:I 24.6
Core capital 7.4
RWA (€mm) 908
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New Zealand covered bonds
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New Zealand Covered Bonds

There is no special covered bond legislation in New Zealand. Therefore, since only
Bank of New Zealand has issued covered bonds so far, we provide a brief overview
of the structure of the programme in the issuer profile section below.
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New Zealand macro background
Figure 104: New Zealand real GDP growth, y-on-y, % Figure 105: New Zealand unemployment level, %
6 7
6
4 5
2 4
0 3
2
-2
1
-4 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 106: New Zealand CPI and base rate, % Figure 107: New Zealand consumer confidence index, #
8 120
6 100
80
4
60
2 40
20
0
0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 108: New Zealand house price growth, % Figure 109: New Zealand dwelling sales, #
15% House price grow th 12,000 Dw elling sales
10% 10,000
8,000
5%
6,000
0%
4,000
-5% 2,000
-10% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
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Bank of New Zealand Table 408: Bank of New Zealand, select financial metrics
FY 2009
BNZ is the country's fourth largest bank and is a wholly
NIM 26.5
owned subsidiary of National Australia Bank. ROA -0.3
ROE -5.6
This is the first covered bond out of New Zealand; since ROC -2.4
C:I 47.0
there is no special covered bond law, the deal is governed
Source: Bloomberg
by New Zealand and English contract and common law.
BNZ will sell the mortgages to a guarantor, which will
Cover pool overview
purchase these using the proceeds of the covered bonds We set out below some of the key cover pool
issuance and will then guarantee the bonds. The characteristics:
bondholder will have dual recourse to the issuer and the
cover pool. This structure resembles that used in Canada, Table 409: Covered bond characteristics
the Netherlands and the UK.
As at 31 Jul
2010
The bonds will benefit from a defined cover pool with S/M/F
LTV restrictions, overcollateralisation and asset coverage Covered Bond rating -/Aaa/AAA
and amortisation tests (only the first 80% LTV will be Issuer rating AA/Aa2/AA
taken into account for inclusion in the cover pool and Cover pool size (NZD) 493,000,000
liabilities may not exceed 97% of the asset value at any Outstanding liabilities (in NZD) 425,000,000
time). Nominal overcollateralisation (in %) 16.0
Nominal asset percentage (in %) 86.2
Supporting asset percentage (in %) 88.3
Average loan size (in NZD) 139,305
metrics: WA residual maturity (yrs) 22.8
Table 406: Bank of New Zealand, select income statement items, WA LTV (in %) 44.6
NZDmm Highest geographic exposure (in %) Auckland – 30.4
Interest only loans (in %) 5.9
FY 2009

PBT 685
Taxes 866
Source: Bloomberg
Table 407: Bank of New Zealand, select balance sheet items,

NZDmm
FY 2009
Loans 55,142
Total Assets 69,862
Deposits 27,233
Equity 3,745
Source: Bloomberg
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Norwegian covered bonds
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Norwegian Covered Bonds

Market size
Norwegian covered bonds in Figure 110 and Figure 111 respectively.

35,000 Public sector 60,000 Public sector
25,000
40,000
20,000
30,000
15,000
20,000
10,000
5,000 10,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 410 a snapshot of key covered bond attributes in Norway.

Legislative Framework Act on Financing Activity and Financial Institutions (No. 40 of 10 June 1988), as
amended in 2007 (No. 11 of 6 March 2007), along with accompanying regulations.
Structure of Issuer Bonds are issued by specialised mortgage credit institutions, with a license from the
Norwegian FSA (specialist banking principle).
Supervision Kredittilsynet (Norwegian FSA) appoints an independent party to check that the value
of the cover pool exceeds that of the claims and that the register is in accordance with
the laws and regulations.
Cover assets Residential (up to 75% LTV) and commercial (up to 60% LTV) mortgages, public
assets within EEA or OECD. Up to 20% of cover pool can be substitute assets (30%
can be temporarily allowed). All assets must be recorded in a cover pool register.
Valuation Individual market values.
ALM matching NPV of cover pool should always remain above that of the liabilities; cashflows from
pool and derivatives should be enough to cover payments on liabilities and
derivatives; FX risk should be hedged and the issuer must set limits for cashflow
mismatches using a parallel +/- 100bp shift in the curve.
Over-collateralisation No mandatory OC, but voluntary OC is considered bankruptcy remote.
Bankruptcy remoteness Segregation of assets in a special cover register, with a preferential claim on register
collateral. Insolvency of the issuer does not necessarily result in acceleration of the
outstanding liabilities.
legislation
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Norwegian macro background
Figure 112: Norwegian real GDP growth, y-on-y % Figure 113: Norwegian unemployment level, %
8 5
Real GDP grow th Unemploy ment
6 4
4
3
2
2
0
-2 1
-4 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 114: Norwegian CPI and base rate % Figure 115: Norwegian consumer confidence, index
8 40
Inflation Base rate Consumer confidence
6 30
20
4
10
2
0
0
-10
-2 -20
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 116: Norwegian nominal house price growth, y-on-y % Figure 117: Norwegian building permits issued, index
20% 120
OECD HP nominal grow th OECD Building permits issued
15% 100
10% 80
5% 60
0% 40
-5% 20
-10% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
173
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DnB NOR Boligkreditt ASA Cover pool overview

DnB NOR Boligkreditt is the covered bond issuer set up
characteristics:
by DnB NOR Bank ASA, Norway’s leading financial
services group. DnB NOR has a 30% market share of the Table 414: Covered bond characteristics
retail lending market and accounts for 35% of corporate
As at 31 March
lending in Norway. It is 34% owned by the Norwegian 2010
Government. Covered Bond rating S/M/F AAA/Aaa/AAA
Parent rating S/M/F (DnB Nor Bank) A+/A3/-
The covered bond programme, set up in June 2007, is
Total Cover Pool Balance: (NOK000) 328,701,869
rated AAA by all three agencies and totals around €40bn. Substitution assets: 0
The pool is entirely backed by Norwegian residential Over-collateralisation 40.2%
mortgages, with an OC of 40%, as of February 2010. As
WA Loan Balance: (NOK) 987,921
of Q1 2010, defaulted loans in the pool (defined as 90+ No. of Loans: 332,923
days arrears) amount to only 0.13%. WA Seasoning (in months): 50
WA Remaining term (in months): 261
WA Current LTV (in %): 57
Financial performance Interest only mortgages (in %): 28
We set out below some of the key financial performance Fixed rate mortgages (in %) 6
Table 411: DnB NOR Boligkreditt, select income statement items, Table 415: Collateral pool LTV breakdown
NOK000
FY 2009 2010)
Net interest income 2,962,029 0-<=40% 37.3
>40%-<=50% 11.9
Other operating income -880,892 >50%-<=60% 13.5
Non-interest expense -801,404 >60%-<=70% 17.6
Operating profit (loss) 1,216,693 >70%-<=75% 13.9
>75% 5.9
Writedowns -63,040 Source: Investor report
Taxes -343,419
Source: DnB Nor Boligkreditt annual report 2009
Table 412: DnB NOR Boligkreditt, select balance sheet items,

NOK000
FY 2009
Loans to credit institutions 1,813,745
Total assets 350,943,492
Table 413: DnB NOR Boligkreditt, select financial metrics

2008 2009
RWA 97,023,137 145,564,498
174
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SpareBank 1 Boligkreditt ASA Cover pool overview

SpareBank 1 Boligkreditt is a mortgage company
characteristics:
licensed by the Norwegian FSA. It is a separate legal
entity established in accordance with the Norwegian Table 419: Covered bond characteristics
covered bonds legislation in order to acquire mortgages
As at 31 March
from banks in the SpareBank 1 Alliance and finance 2010
further lending via the issuance of covered bonds. Covered Bond rating S/M/F -/Aaa/AAA
Issuer rating S/M/F -/A1/A
SpareBank 1 Gruppen AS is owned by Sparebanken
Total Cover Pool Balance: (NOK000) 62,029,369
Hedmark (12%), SpareBank 1 Nord-Norge (19,5%), Substitute collateral (NOK000) 10,851,269
SpareBank 1 SMN (19,5%), SpareBank 1 SR-Bank
(19,5%), Samarbeidende Sparebanker AS (19,5%) and WA Loan Balance: (NOK) 1,073,772
No. of Loans: 57,805
the Norwegian Federation of Trade Unions WA Seasoning (in months): 27
(LO)/affiliated unions (10 %). Together, they constitute WA Original LTV (in %): 57
the country’s second largest lender. WA Current LTV (in %): 52
WA Interest Rate (in %): 3.56
metrics:
2010)
Table 416: SpareBank 1 Boligkreditt, select income statement
0-<=40% 24.1
items, NOK000 >40%-<=50% 16.6
FY 2009 >50%-<=60% 22.0
Net interest income 107,902 >60%-<=70% 23.4
>70%-<=75% 11.5
Other operating income 28,662 >75% 2.4
Non-interest expense 19,387 Source: Investor report
PBT 116,771
Taxes 32,652
Source: SpareBank 1 Boligkreditt annual report 2009
Table 417: SpareBank 1 Boligkreditt, select balance sheet items,

NOK000
FY 2009
Flexible loans 31,186,607
Amortising loans 43,170,396
Total lending to customers 74,357,003
Table 418: SpareBank 1 Boligkreditt, select financial metrics

2008 2009
Cost:Income (%) n/a n/a
Tier 1 ratio (%) 10.44% 10.76%
RWA (€mm) n/a n/a
175
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Terra Boligkreditt AS Cover pool overview

Terra Boligkreditt is a specialised credit institution,
characteristics:
majority owned by Terra Gruppen AS (90.1%). Terra
Gruppen itself is owned by 78 local Terra banks (98% Table 425: Covered bond characteristics
ownership) and was constituted in order to provide its
As at 31
shareholder banks access to areas that are too small to December 2009
make entering their market cost effective. The company Covered Bond rating S/M/F -/Aa2/-
therefore negotiates on behalf of all the banks to arrange Issuer rating S/M/F n/a
banking solutions that deliver strategic benefits and
Total Cover Pool Balance (€mm): 2,650
economies of scale. The shareholder banks are WA Loan Balance (€): 159,105
committed to using the solutions negotiated for the group No. of Loans: 16,660
in the most important areas. WA LTV (in %): 46
Cooperative housing (in %): 13
Substitute assets (in %): 15
Terra banks rank as the fourth largest lender to the retail Fixed rate mortgages (in %) 11
sector, with a market share of 9%, while the focus on the Source: Investor presentation
corporate market is limited.
metrics:
Table 421: Terra Boligkreditt, select income statement items,

NOK000
FY 2009
PBT 47,967
Taxes 13,431
Source: Terra Boligkreditt annual report 2009
Table 422: Terra Boligkreditt, select balance sheet items, NOK000

FY 2009
Lending to customers 22,040,889
Retail market 87.1%
Housing co-operatives 12.9%
Table 423: Terra Boligkreditt, select financial metrics

2008 2009
RWA 4,960,025 7,905,088
Table 424: Terra Boligkreditt, funding profile

Funding profile 2009
Covered bonds 51%
Swaps with Govt 41%
Other bond debt 4%
ST borrowing 3%
Subordinated loan 1%
176
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Portuguese covered bonds
177
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Portuguese Covered Bonds

Market size
Portuguese covered bonds in Figure 118 and Figure 119 respectively.

8,000 Public sector 25,000 Public sector
7,000 Mortgage
20,000 Mortgage
6,000
5,000 15,000
4,000
3,000 10,000
2,000
5,000
1,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 426 a snapshot of key covered bond attributes in Portugal.

Legislative Framework Decree 59/2006 and Decree 298/1992, Notices 5-8/2006, Reg instrument 13/2006
Structure of Issuer The originator either issues covered bonds directly from the institution’s balance sheet
or transfers the assets to a specialised credit institution (Mortgage Credit Institution or
MCI) who then issues the bonds
Supervision Bank of Portugal and CMVM
Cover assets Mortgages (Obrigacoes Hipotecarias): both residential (max LTV 80%) and
commercial (max LTV 60%) within the EY; the property has to be valued every three
years for residential properties (or annually for exposures >€500k) and annually for
commercial ones. Public sector collateral (Obrigacoes Sobre o Sector Publico):
loans granted and debt issued or guaranteed by governments or local authorities
within the EU. Substitute collateral is limited to a maximum of 20% of the cover pool,
and can include cash deposits with the Bank of Portugal or other credit institutions
rated at least A-, government bonds or other eligible bonds (including ECB Tier 1
assets). Cover pools are monitored by a designated independent supervisor
ALM matching Nominal and present value cover required, with minimum 5.26% OC for mortgage
bonds. Interest coverage ratio
Over-collateralisation 5.26% for mortgage bonds, none required for public sector bonds
Bankruptcy remoteness List of assets is maintained in the cover register. No acceleration on issuer insolvency
legislation
178
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Portuguese macro background
Figure 120: Portuguese real GDP growth, y-on-y, % Figure 121: Portuguese unemployment level, %
4 10
2 8
0 6
-2 4
-4 2
-6 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 122: Portuguese CPI and base rate, % Figure 123: Portuguese consumer confidence, balance of survey
5 0
4 -10
3 Cons. Confidence
2 -20
1 -30
0
-1 -40
-2 -50
-3
-60
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 124: Portuguese house price growth, % Figure 125: Portuguese outstanding mortgages (€mm) and annual
6% House price grow th growth of mortgage stock, %
4% 120,000 Outstanding mortgages Grow th in o/s mortgages 20%
2% 100,000
0% 15%
80,000
-2%
60,000 10%
-4%
-6% 40,000
5%
-8% 20,000
Sep-05
Jan-06
Sep-06
Jan-07
Sep-07
Jan-08
Sep-08
Jan-09
Sep-09
Jan-10
May-06
May-07
May-08
May-09
May-10
0 0%
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-09
Jun-03
Jun-04
Jun-05
Jun-06
Jun-07
Jun-08
Jun-09
Jun-10
Source: INE
Source: ECB
179
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Banco Comercial Portugues Cover pool overview

Banco Comercial Portugues was founded in 1985 and in
characteristics:
2004 was rebranded as Millennium BCP to unite under
one name the different brands that made up the group’s Table 430: Covered bond characteristics
retail banking operations.
As at 30 June
2010
After securing a strong presence in the domestic market, S/M/F
BCP has started to expand in foreign markets, such as Covered Bond rating -/Aa2/AAA
Poland, Greece, Turkey, Angola, Mozambique and the Issuer rating BBB+/A3/A
USA. In the Iberian market, Millennium bcp and Banco Cover pool size (€) 6,404,986,538
Sabadell established an agreement according to which Number of loans 121,365
Millennium bcp supports Banco Sabadell's Customers in Avg loan (€) 52,775
Portugal and Banco Sabadell supports Millennium bcp's WA LTV (in %) 46.9
Customers in Spain. Source: Investor report
Financial performance Table 431: Collateral pool LTV breakdown

We set out below some of the key financial performance Current LTV ranges As at 30 June
metrics: 2010
0-<=40% 35.6
Table 427: Banco Comercial Portugues, select income statement >40%-<=50% 17.0
items, €mm >50%-<=60% 17.7
>60%-<=70% 17.5
FY 2009 >70%-<=80% 12.3

PBT 296
Taxes 46
Source: Bloomberg
Table 428: Banco Comercial Portugues, select balance sheet

items, €mm
FY 2009
Total Assets 95,550
Deposits 46,066
Equity 7,221
Source: Bloomberg
Table 429: Banco Comercial Portugues, select financial metrics

FY 2009
NIM 1.5
ROA 0.2
ROE 4.2
ROC 0.6
C:I 65.5
Core capital 9.3
Source: Bloomberg
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Banco Portugues de Investimento Table 434: Banco Portugues de Investimento, select financial
metrics
The BPI group, headed by Banco BPI, is a financial
FY 2009
services group offering services to both retail and NIM 1.4
corporate customers. It is the fourth largest private ROA 0.4
financial group with a market share of 10% in deposits ROE 10.5
ROC 1.7
and loans and more than fifteen percent in asset C:I 58.9
management. Core capital 8.6
Source: Bloomberg
The group's commercial bank (Banco BPI) serves 1.5mm
individuals, companies and institutions with over 700 Cover pool overview
branches. BPI also provides investment banking services We set out below some of the key cover pool
at the Iberian peninsula level and asset management characteristics:
products. The group is also active in Angola, where it has
a 20% market share via its controlling stake in Banco de Table 435: Mortgage covered bond characteristics
Fomento. As at 30 June
2010
We set out below some of the key financial performance Issuer rating A-/A1/A+
metrics:
Cover pool size (€) 4,198,690,970
Table 432: Banco Portugues de Investimento, select income Number of loans 78,549
Avg loan (€) 53,453
FY 2009 WA original LTV (in %) 65.3
Net interest income 589 WA current LTV (in %) 56.2
Provisions for loan losses 166 WA seasoning (mths) 59.0
NII less provisions 423 WA remaining term (mths) 162.3
Table 436: Public sector covered bond characteristics
Operating profit (loss) 323 As at 30 June
2010
PBT 319 S/M/F
Taxes 45 Covered Bond rating AAA/-/-
Net profit (loss) 175 Issuer rating A-/A1/A+
Source: Bloomberg
Number of loans 459
Table 433: Banco Portugues de Investimento, select balance
Avg loan (€) 641,553
sheet items, €mm
FY 2009 Top 10 borrowers (in %) 60.2
Loans to public 29,956 Top 50 borrowers (in %) 86.8
Total Assets 47,449 WA seasoning (mths) 31.3
Deposits 22,488 WA remaining term (mths) 92.3
Short-term borrowings 7,488 Source: Investor report
Equity 2,303
Source: Bloomberg
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Caixa Económica Montepio Geral Cover pool overview

Founded as a mutual bank, Montepio offers financial
characteristics:
products ranging from savings and retail banking to
investment management, insurance and leasing. It is the Table 440: Covered bond characteristics
oldest financial institution in Portugal, and the country’s
As at 30 June
sixth largest banking institution. It is one of the largest 2010
providers of housing and construction mortgage finance S/M/F
in Portugal. Covered Bond rating -/Aa1/AAA
Issuer rating -/Baa1/A-
Montepio is fully owned by Montepio Geral Assiciaco Cover pool size (€) 1,346,152,640
Mutualista (MCAM), a private mutual association, a not- Number of loans 23,049
for-profit with the aim of promoting social protection and Avg loan (€) 58,404
health benefits. WA LTV (in %) 54.1
Max LTV (in %) 79.9
Financial performance WA Seasoning (mths) 84.6
WA remaining term (mths) 285.8
We set out below some of the key financial performance Constant amortization loans (in %) 94.6
Table 437: Caixa Económica Montepio Geral, select income

FY 2009

PBT 44
Taxes 0
Source: Bloomberg
Table 438: Caixa Económica Montepio Geral, select balance sheet

items, €mm
FY 2009
Total Assets 17,245
Deposits 9,181
Other short-term borrowing 42
Long-term borrowing 381
Equity 986
Source: Bloomberg
Table 439: Caixa Económica Montepio Geral, select financial

metrics
FY 2009
C:I 54.8
Core capital 9.5
Source: Bloomberg
182
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Caixa Geral de Depositos Cover pool overview

Caixa Geral de Depositos was founded in 1876 as a
characteristics:
savings bank and is a public limited company, whose
only shareholder is the Portuguese government. The bank Table 444: Mortgage covered bond characteristics
also operates outside of Portugal, with the main foreign
As at 31 March
markets being Brazil and Mexico. 2010
S/M/F
The institution is structured along a number of business Covered Bond rating A-/A1/A+
lines including commercial banking, investment banking Issuer rating A-/Aa2/A+
& venture capital, asset management, specialised credit Cover pool size (€) 6,796,217,820
(including Leasing & Factoring and consumer credit); Number of loans 160,940
insurance (both life and non-life) and health care. Avg loan (€) 42,228

We set out below some of the key financial performance WA remaining term (yrs) 21.1
metrics: LTV breakdown (in %)
0-<=40% 22.3
Table 441: Caixa Geral de Depositos, select income statement >40%-<=50% 15.0
items, €mm >50%-<=60% 19.4
>60%-<=70% 23.3
FY 2009 >70%-<=80% 20.1
Provisions for loan losses 676 Regional breakdown (in%)
NII less provisions 965 Lisbon 38.8
North 24.9
Commissions & fee income 592 Center 22.6
Other operating income 2,244 Alentejo 4.6
Non-interest expense 3,622 Algarve 5.0
Operating profit (loss) 379 Azores-Madeira 4.0
PBT 374
Taxes 70
Net profit (loss) 279 Table 445: Public sector covered bond characteristics
Source: Bloomberg As at 31 March
2010
Table 442: Caixa Geral de Depositos, select balance sheet items, S/M/F
€mm Covered Bond rating A-/A1/A+
Issuer rating A-/Aa2/A+
FY 2009
Total Assets 120,985 Number of loans 2,820
Deposits 64,256 Avg loan (€) 513,915
Other short-term borrowing 2,232 Top 5 regional exposures (in%)
Long-term borrowing 29,252 Lisbon 15.2
Equity 7,157 Porto 13.0
Source: Bloomberg Setubal 7.9
Santarem 7.4
Aveiro 6.7
Table 443: Caixa Geral de Depositos, select financial metrics
FY 2009
NIM 1.5
ROA 0.2
ROE 5.5
ROC 0.8
C:I 76.7
Core capital 8.5
Source: Bloomberg
183
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Santander Totta Cover pool overview

Banco Santander Totta is part of the Santander Group
characteristics:
and offers financial services in Portugal and a number of
other countries. The bank operates close to 800 branches, Table 448: Mortgage covered bond characteristics
and is the third largest privately owned bank by assets.
As at 31 March
2010
The Santander Group is one of the largest financial S/M/F
groups in the world: the fourth by profits and the eighth Covered Bond rating AAA/Aa1/AAA
by market capitalisation in 2009. The group has a strong Issuer rating A/A1/AA
international presence, with 91 million customers across Cover pool size (€) 1,272,824,597
9 core markets in Europe and the Americas. While retail Number of loans 21,882
banking accounts for the largest share of its profits, the Avg loan (€) 51,168
group offers a wide range of products, including WA current LTV (in %) 60.8%
corporate and investment banking and asset management.
0-<=40% 12.8%
Financial performance >40%-<=50% 11.2%
We set out below some of the key financial performance >50%-<=60% 15.7%
metrics: >60%-<=70% 23.2%
>70%-<=80% 37.1%
Table 446: Santander Totta, select income statement items, €mm Regional breakdown (in%)
FY 2009 Lisbon 27.4%
Net interest income 762 Porto 16.4%
Setubal 8.9%
Commissions & fee income 364 Faro 7.6%
Non-interest expense 521 Other 39.7%
Source: Investor Presentation, March 2010
PBT 567
Taxes 87
Source: Bloomberg
Table 447: Santander Totta, select balance sheet items, €mm

FY 2009
Total Assets 45,681
Equity 2,731
Source: Bloomberg
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Spanish covered bonds
185
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Spanish Covered Bonds

Market size
Spanish covered bonds in Figure 126 and Figure 127 respectively.
Figure 126: CB Issuance, €bn Figure 127: CB outstanding, €bn

80,000 Public debt 400,000 Public debt
70,000 Mortgages 350,000 Mortgages
60,000 300,000
50,000 250,000
40,000 200,000
30,000 150,000
20,000 100,000
10,000 50,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 449 a snapshot of key covered bond attributes for
standalone programmes in Spain. In Table 450 we set out a similar overview of the
multi-cedula framework.

Legislative Framework Special law-based covered bonds. Mortgage Market Law 41/2007, Law 2/1981, Royal
Decree 716/2009, Law 22/2003
Structure of Issuer Issuers are either specialist or universal credit institutions; the collateral is kept on the
balance sheet of the issuer and not transferred to a separate legal entity. Bondholder
claims are guaranteed by the entire mortgage book (both residential and commercial
mortgage assets) of the lender that is registered in the cover register
Supervision Bank of Spain, Ministry of Economy and Commerce, CNMV (Spanish Securities
Commission)
Cover assets Residential mortgages (max 80% LTV) and commercial mortgages (max 60%
LTV) in Cedulas Hipotecarias; if there are additional guarantees, LTVs can be raised
to 95% and 80% respectively. No loans or part of loans are allowed if LTVs are above
limits. Public sector exposures (in Cedulas Territoriales) to EEA countries back
public sector covered bonds in the form of loans or credits to central governments,
local authorities or public companies linked to such institutions
Valuation Properties are valued by the lender or by a valuation company. If the value of the
property falls by over 20%, the lender has the right to ask the extension of the loan to
other assets to cover the required the 80% LTV limit; if the borrower does not take
any action within two months, the lender can assume that it has decided to repay the
loan in full
ALM matching Liabilities have to be no more than 80% of assets for mortgages (70% for public
sector covered bonds), with minimum OC set by law (see below). Derivatives are
allowed to manage risk
Over-collateralisation Minimum OC of 25% for mortgages and 43% for public sector exposures is legally
required. If minimum OC breached, there is a grace period of 10 days for mortgage
collateral and 3 months for public sector collateral
Bankruptcy remoteness All assets are recorded on the cover register, no acceleration in case of insolvency of
the issuer
legislation
186
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Table 450: Multi-cedula overview

Legislative Framework Mortgage Market Law 41/2007, Royal Decree 716/2009, Law 22/2003
Structure of Issuer Multiple participants in a multi-cedula issue covered bonds under the framework set
out in Table 17 above. These CH or CT bonds are then aggregated in an FTA (Fondo
Titulización de Activos), or bankruptcy remote vehicle, from which a multi-issuer
backed covered bond is issued. The collateral backing the multi-cedula is the
individually structured covered bonds, which in turn are backed by the mortgage or
public-sector portfolios of the respective contributing institution. The FTA is managed
by an SGFT (Sociedad Gestora de Fondo de Titulización), which is registered with
CNMV
Supervision CNMV (Spanish Securities Commission)
Cover assets The collateral are cedulas with a claim to the issuer and secured by specific
underlying assets (See Table 17 above)
Valuation Table 17 above
ALM matching Derivatives permitted. The SGFT uses OC, reserve funds, excess spread and liquidity
facilities (similar to features used in a traditional securitisation) to match payments of
the underlying pooled cedulas with those of the multi-cedula
Over-collateralisation n/a
Bankruptcy remoteness n/a
legislation
187
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Spain macro background
Figure 128: Spanish real GDP growth, y-on-y, % Figure 129: Spanish unemployment level, %
6
20
4
2 15
0 10
-2
5
-4
-6 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 130: Spanish CPI and base rate, % Figure 131: Spanish consumer confidence, balance of survey
10 Cons. Confidence
5
4 0
3 -10
2
-20
1
0 -30
-1 -40
-2
-50
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 132: Spanish house price growth, % Figure 133: Spanish mortgage approvals, #
20% House price grow th 140,000 Mortgage approv als
15% 120,000
10% 100,000
80,000
5%
60,000
0%
40,000
-5% 20,000
-10% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-03
Sep-03
Mar-04
Sep-04
Mar-05
Sep-05
Mar-06
Sep-06
Mar-07
Sep-07
Mar-08
Sep-08
Mar-09
Sep-09
Mar-10
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Standalone Programmes Cover pool overview

Bancaja characteristics:
Caja de Ahorros de Valencia, Castellón y Alicante
(Bancaja), is the largest financial institution in the Table 454: Covered bond characteristics
Autonomous Community of Valencia and the third As at 31 Mar
largest savings bank in Spain measured by total assets. 2010
S/M/F
Bancaja is itself the result of a merger of five Valencian Covered Bond rating -/Aaa/-
savings banks, with the Group also including an interest Issuer rating -/A3/BBB
in Banco de Valencia, and holding companies for Cover pool size (€) 31,490,389,535
insurance, valuations, recoveries and real estate. Outstanding liabilities (in €) 6,678,920,000
Estimated eligible collateral (in €) 13,431,388,120
Current OC (in %) 371.5
Following the recent re-structuring of the Spanish Required OC for current rating (in %) 64.0
savings banks sector, Bancaja is now part of the new
Residential properties (in %) 36.8
Jupiter group, together with Caja Madrid and 5 other Commercial properties (in %) 63.2
smaller cajas (see later section). Bancaja issues CH.
Residential pool overview
Financial performance Average loan (in €) 103,589
We set out below some of the key financial performance WA seasoning (mths) 30.9
metrics: WA remaining term (mths) 348
Second homes (in %) 9.6
Table 451: Bancaja, select income statement items, €mm Prior ranks (in %) 3.0
FY 2009 Highest regional exposure (in %) Valencia – 46.2
Provisions for loan losses -14 LTV breakdown
NII less provisions 1,462 0-40% LTV 11.2
41-50% LTV 8.5
Commissions & fee income 346 51-60% LTV 12.0
Other operating income 573 61-70% LTV 18.2
Non-interest expense 1,403 71-80% LTV 26.8
Operating profit (loss) 1,449 >80% LTV 23.3
PBT 371 Commercial pool overview

Taxes 0 Number of loans 20,886
Net profit (loss) 251 Average loan (in €) 952,649
Source: Bloomberg WA remaining term (mths) 170.6
Table 452: Bancaja, select balance sheet items, €mm Largest 10 loans (in %) 5.2
Largest 10 borrowers (in %) 15.7
FY 2009 Prior ranks (in %) 13.0
Loans to public 81,011 Highest regional exposure (in %) Valencia - 47.9
Deposits 50,668 Property type
Short-term borrowings 16,449 Real estate developers 40.9
Other short-term borrowing 1,659 Land 35.7
Long-term borrowing 35,015 Office 18.5
Equity 5,512 Industrial 4.9
Source: Bloomberg
LTV breakdown
0-40% LTV 22.2
Table 453: Bancaja, select financial metrics
41-50% LTV 12.2
FY 2009 51-60% LTV 17.3
ROA 0.2 61-70% LTV 27.5
ROE 7.2 71-80% LTV 13.3
ROC 0.6 >80% LTV 7.6
C:I 48.7 Source: Moody’s
Source: Bloomberg
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BBVA Cover pool overview

Banco Bilbao Vizcaya Argentaria (BBVA) is the second
characteristics:
largest Spanish financial institution with a strong
international presence. In fact the Group counts more Table 458: Mortgage Covered bond characteristics
than 35 million customers in 32 countries, with Iberia
As at 31 Mar
(34% of revenues) and Latin America (44% of revenues) 2010
being the core markets. S/M/F
The group offers a wide range of financial products to Issuer rating AA/Aa2/AA-
individuals, SMEs and corporates across a number of Cover pool size (€) 77,843,427,000
business units. ‘Businesses in Spain & Portugal’ covers Outstanding liabilities (in €) 35,431,201,806
the retail and corporate banking businesses in both Current OC (in %) 119.7
Required OC for current rating (in %) 12.5
countries; while the other units are Wholesale Banking &
Asset Management; Mexico; South America and USA. Residential properties (in %) 70.9
BBVA issued cédulas hipotecarias and territoriales. Commercial properties (in %) 29.1

We set out below some of the key financial performance WA remaining term (mths) 259.8
WA current LTV (in %) n/a
metrics:
<80% LTV 83.3
Table 455: BBVA, select income statement items, €mm Highest regional exposure (in %) Madrid – 20.3
FY 2009
Commercial pool overview
Net interest income 14,325 WA seasoning (mths) 31.6
Provisions for loan losses 5,199 WA remaining term (mths) 174.0
NII less provisions 9,126 WA current LTV (in %) n/a
<80% LTV (in %) 94.8
Commissions & fee income 5,305 Largest 10 borrowers (in %) 5.2
Other operating income 1,553 Highest regional exposure (in %) Andalusia – 21.4
Operating profit (loss) 6,988 Property type
Real estate developers 70.4
PBT 5,736
Taxes 1,141 Source: Moody’s
Source: Bloomberg Table 459: Public sector Covered bond characteristics
As at 31 Mar
Table 456: BBVA, select balance sheet items, €mm 2010
S/M/F
FY 2009 Covered Bond rating -/Aaa/-
Real estate loans 148,874 Issuer rating AA/Aa2/AA-
Total Assets 535,065 Cover pool size (€) 23,492,949,012
Deposits 242,582 Outstanding liabilities (in €) 7,716,025,000
Short-term borrowings 75,936 Current OC (in %) 204.5
Long-term borrowing 117,817 Number of borrowers 3,290
Equity 30,763 Average exposure (in €) 7,140,714
Source: Bloomberg Exposure to 10 largest borrowers (in %) 26.6
Highest regional exposure (in %) Catalonia – 20.1
Table 457: BBVA, select financial metrics Fixed rate assets (in %) 40.5
FY 2009 Borrower type

NIM 3.0 Direct claim against region/municipality 70.6
ROA 0.8 Claim with guarantee of region/municipality 29.3
ROE 15.3 Source: Moody’s
ROC 1.9
C:I 44.2
Core capital 9.4
Source: Bloomberg
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Banco Pastor Cover pool overview

Banco Pastor is the seventh largest banking group in
characteristics:
Spain and the leader in Galicia, combined with a small
international presence. The bank focuses on deposit Table 463: Covered bond characteristics
taking and lending to individuals and SMEs but also
As at 31 Mar
offers investment management and pension funds 2010
products. It operates a network of over 600 branches S/M/F
throughout Spain. Covered Bond rating -/Aaa/-
The largest shareholder is the Fundacion Pedro Burrie de Cover pool size (€) 12,173,803,514
la Maza (a private foundation devoted to promoting the Outstanding liabilities (in €) 5,543,100,000
development of Galicia), which holds approximately Estimated eligible collateral (in €) 8,373,406,860
40% of the institution’s share capital. Banco Pastor Required OC for current rating (in %) 54.0
issues cédulas hipotecarias .
Commercial properties (in %) 53.8
We set out below some of the key financial performance Residential pool overview
metrics: Pool balance (in €) 5,619,990,976
Average loan (in €) 115,150
Table 460: Banco Pastor, select income statement items, €mm WA seasoning (mths) 31.2
FY 2009 WA remaining term (mths) 321
Net interest income 548 WA current LTV (in %) 59.7
Provisions for loan losses 588 Highest regional exposure (in %) Catalonia – 23.2
LTV breakdown
Non-interest expense 456 51-60% LTV 13.7
Operating profit (loss) 120 61-70% LTV 18.3
71-80% LTV 32.4
PBT 131 >80% LTV 3.4
Taxes 28
Net profit (loss) 101 Commercial pool overview
Pool balance (in €) 6,553,812,538
Source: Bloomberg Number of loans 7,204
Table 461: Banco Pastor, select balance sheet items, €mm WA seasoning (mths) 24.1
FY 2009 WA current LTV (in %) 48.8
Real estate loans 13,447 Largest 10 loans (in %) 7.5
Loans to public 20,385 Largest 10 borrowers (in %) 16.1
Total Assets 32,325 Highest regional exposure (in %) Andalusia – 19.8
Deposits 13,659
Short-term borrowings 7,303 LTV breakdown
Other short-term borrowing 1,412 0-40% LTV 37.7
Long-term borrowing 7,983 41-50% LTV 15.0
Equity 1,610 51-60% LTV 14.5
Source: Bloomberg 61-70% LTV 13.3
71-80% LTV 11.6
Table 462: Banco Pastor, select financial metrics >80% LTV 7.9
Source: Moody’s
FY 2009
NIM 2.0
ROA 0.3
ROE 6.9
ROC 0.7
C:I 37.7
Core capital 10.6
Source: Bloomberg
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Banco Popular Cover pool overview

Banco Popular is a pure-play retail and commercial bank,
characteristics:
with a network of over 2,000 branches and a market
share of around 5%. Table 467: Covered bond characteristics
As at 30 Jun
Banco Popular has recently entered into a JV with Credit 2010
Mutuel to create a new bank in Spain, to which the group S/M/F
will contribute €2bn of loans and €1.7bn of AUM. Covered Bond rating AAA/Aaa/AA+
Issuer rating A/Aa3/A
Banco Popular issues cédulas hipotecarias. Cover pool size (€) 34,149,890,000
Outstanding liabilities (in €) 16,578,000,000
Financial performance Estimated eligible collateral (in €) 24,420,000,000
Current OC (in %) 206
metrics: Residential properties (in %) 54.9
Table 464: Grupo Banco Popular, select income statement items,
Borrower type
€mm
Individual 39.3
FY 2009 Real estate developers 19.5
Net interest income 2,830 SME and Corporates 41.2
NII less provisions 1,310 Regional split
Andalusia 28
Commissions & fee income 885 Madrid 15
Other operating income 139 Castilla Leon and Castilla La Mancha 11
Non-interest expense 1,485 Catalonia 10
Operating profit (loss) 1,254 Comunidad Valenciana 9
Galicia 7
PBT 1,073 Other 20
Taxes 293
Net profit (loss) 766 Residential pool overview
Source: Bloomberg
Table 465: Grupo Banco Popular, select balance sheet items, Second/holiday homes (%) 9.8
€mm
LTV breakdown
FY 2009 0-40% LTV 26.3
Real estate loans 47,782 41-50% LTV 11.7
Loans to public 88,777 51-60% LTV 15.0
Total Assets 129,290 61-70% LTV 16.5
Deposits 52,908 71-87% LTV 17.4
Short-term borrowings 23,900 >78% LTV 13.1
Long-term borrowing 32,991 Commercial pool overview
Equity 8,448 Number of loans 38,652
Source: Bloomberg WA seasoning (mths) 23
Largest 10 loans (in %)
Table 466: Grupo Banco Popular, select financial metrics
Largest 10 borrowers (in %)
FY 2009 Highest regional exposure (in %)
NIM 2.5
ROA 0.6 LTV breakdown
ROE 11.0 0-40% LTV 35.9
ROC 1.2 41-50% LTV 14.9
C:I 32.9 51-60% LTV 15.8
Core capital 9.1 61-70% LTV 14.8
71-77% LTV 7.5
Source: Bloomberg
>78% LTV 11.1
Source: Investor Presentation
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Banco Sabadell Cover pool overview

Banco Sabadell is Spain’s fourth largest banking group,
characteristics:
and offers a wide range of financial products throughout
the country via different brands and names. Table 471: Covered bond characteristics
As at 31 Mar
The group also operates in Africa, Asia and the Americas 2010
via a number of branches, representative offices and S/M/F
subsidiaries or part-owned companies. The Group is Covered Bond rating -/Aaa/-
structured along five business lines: Commercial Issuer rating A/A2/A
Banking; Corporate Banking & Global Operations; Cover pool size (€) 22,623,147,229
Markets & Private Banking, BS America and Outstanding liabilities (in €) 12,438,700,000
Bancassurance. Estimated eligible collateral (in €) 16,655,419,300
Banco Sabadell issues cédulas hipotecarias
We set out below some of the key financial performance Residential pool overview
metrics: Number of loans 91,172
Table 468: Banco Sabadell, select income statement items, €mm WA current LTV (in %) 55.1
FY 2009 Highest regional exposure (in %) Catalonia - 38.6
Net interest income 1,615 Second homes (in %) 16.7
NII less provisions 1,390 LTV breakdown
0-40% LTV 25.2
Non-interest expense 1,286 61-70% LTV 18.9
Operating profit (loss) 1,028 71-80% LTV 17.8
>80% LTV 9.2
PBT 571
Taxes 45 Commercial pool overview
Net profit (loss) 522 Number of loans 26,330
Source: Bloomberg WA seasoning (mths) 26.2
Table 469: Banco Sabadell, select balance sheet items, €mm WA current LTV (in %) 50.0
Largest 10 loans (in %) 5.8
FY 2009 Largest 10 borrowers (in %) 11.4
Real estate loans 36,280 Highest regional exposure (in %) Catalonia - 40.3
Total Assets 82,823 Property type
Deposits 37,407 Real estate developments 34
Short-term borrowings 9,577 Office 25
Other short-term borrowing 1,303 Retail 15
Long-term borrowing 24,852 Industrial 8
Equity 5,297 Hotel 8
Source: Bloomberg Mixed use 5
Land 5
Table 470: Banco Sabadell, select financial metrics
LTV breakdown
FY 2009 0-40% LTV 31
NIM 2.1 41-50% LTV 16.6
ROA 0.6 51-60% LTV 20.7
ROE 10.8 61-70% LTV 20.0
ROC 1.3 71-80% LTV 8.1
C:I 49.6 >80% LTV 3.7
Core capital 9.1 Source: Moody’s
Source: Bloomberg
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Banco Santander Cover pool overview

The Santander Group is one of the largest financial
characteristics:
groups in the world: the fourth by profits and the eighth
by market capitalisation in 2009. Table 475: Mortgage Covered bond characteristics
As at 31 Mar
The group has a strong international presence, with 91 2010
million customers across 9 core markets in Europe and S/M/F
the Americas. Covered Bond rating -/Aaa/AAA
Issuer rating AA/Aa2/AA
While retail banking accounts for the largest share of its Cover pool size (€) 57,174,621,702
profits, the group offers a wide range of products, Outstanding liabilities (in €) 26,560,000,000
including corporate and investment banking and asset Current OC (in %) 115.3
management. Banco Santander issues both cédulas
hipotecarias and territoriales. Residential properties (in %) 55.7
Financial performance Residential pool overview
metrics: Average loan (in €) 90,729
Estimated WA current LTV (in %) n/a
Table 472: Banco Santander, select income statement items, Highest regional exposure (in %) Madrid – 21.3
€mm
FY 2009 LTV breakdown
0-40% 28.8
41-60% 25.0
61-80% 24.3
>80% 21.7
Estimated WA current LTV (in %) n/a
Highest regional exposure (in %) Madrid – 24.0
LTV breakdown
PBT 10,588
0-40% 29.7
Taxes 1,207
41-60% 27.0
61-80% 23.9
Source: Bloomberg >80% 19.4
Source: Moody’s
Table 473: Banco Santander, select balance sheet items, €mm
FY 2009 Table 476: Public sector Covered bond characteristics
As at 31 Mar
2010
S/M/F
Deposits 468,283
Issuer rating AA/Aa2/AA
Cover pool size (€) 2,000,000,000
Equity 73,871
Source: Bloomberg Current OC (in %) 247.6
Table 474: Banco Santander, select financial metrics Average exposure (in €) 6,291,344
Exposure to 10 largest borrowers (in %) 48.3
FY 2009 Highest regional exposure (in %) Andalusia – 16.6
NIM 2.8
ROA 0.8 Borrower type
ROE 14.2 Direct claim against region/municipality/federal state 87.7
ROC 2.3 Claim with guarantee of region/municipality 12.3
C:I 47.0 Source: Moody’s
Core capital 10.1
Source: Bloomberg
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Banesto Cover pool overview

Banco Espanol de Credito (Banesto) offer retail banking,
characteristics:
SME and corporate lending, factoring and wholesale
banking in Spain. The company also offers real estate Table 480: Covered bond characteristics
and insurance products via a number of companies in
As at 31 Mar
which it has direct or indirect stakes. 2010
S/M/F
The company, founded in 1902 and based in Madrid is Covered Bond rating -/Aaa/AAA
97% owned by the Santander Group. Retail banking Issuer rating AA/Aa3/AA
covers a range of banking and specialised financial Cover pool size (€) 33,334,092,067
services for each customer segment served (individuals, Outstanding liabilities (in €) 19,004,360,000
personal banking, private banking and SMEs), Corporate Estimated eligible collateral (in €) 25,104,759,560
Banking and Wholesale Banking include treasury, capital Required OC for current rating (in %) 19.5
markets, brokerage and international businesses.
Banesto issues cédulas hipotecarias.
Financial performance Pool balance (in €) 24,467,735,660
metrics: Estimated WA current LTV (in %) n/a
Highest regional exposure (in %) Andalusia – 22.5
Table 477: Banesto, select income statement items, €mm Second homes (in %) 1.0

Net interest income 1,731 0-40% LTV 19.3
Provisions for loan losses 381 41-50% LTV 11.7
61-70% LTV 19.1
Other operating income -33 >80% LTV 15.0
Operating profit (loss) 1,564 Commercial pool overview
Pool balance (in €) 7,054,250,547
PBT 1,158 Number of loans 7,029
Taxes 334 Average loan (in €) 1,003,592
Net profit (loss) 560 WA remaining term (mths) 111.4
Source: Bloomberg Estimated WA current LTV (in %) n/a
Largest 10 borrowers (in %) 17.7
Table 478: Banesto, select balance sheet items, €mm
Loans to public 75,617 0-40% LTV 21.9
Total Assets 122,301 41-50% LTV 10.0
Deposits 57,076 51-60% LTV 20.3
Short-term borrowings 29,980 61-70% LTV 18.9
Long-term borrowing 21-528 71-80% LTV 15.7
Equity 5,933 >80% LTV 13.1
Source: Bloomberg Source: Moody’s
Table 479: Banesto, select financial metrics

FY 2009
ROE 10.5
C:I 38.9
Core capital 8.7
Source: Bloomberg
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Bankinter Cover pool overview

Bankinter, the sixth largest Spanish bank and initially
characteristics:
founded as a JV between Santander and Bank of
America, provides a range of banking and financial Table 484: Covered bond characteristics
services to individuals, SMEs and corporates in Spain, its
As at 30 June
core market. 2010
S/M/F
More than 20% of the bank is owned by France’s Credit Covered Bond rating -/Aaa/AAA
Agricole. Bankinter issues cédulas hipotecarias. Issuer rating A/A1/A+
Cover pool size (€) 17,216,936,890

Financial performance Outstanding liabilities (in €) 3,278,910,811
We set out below some of the key financial performance Current OC (in %) 425.1
metrics:
Table 481: Bankinter, select income statement items, €mm Commercial properties (in %) 41.9
FY 2009 Residential pool overview
Net interest income 796 Pool balance (in €) 9,998,407,320
Provisions for loan losses 219 Number of loans 80,244
NII less provisions 577 Average loan (in €) 124,600
Commissions & fee income 271 WA current LTV (in %) 59.7
Other operating income 470 Highest regional exposure (in %) Madrid – 36.8
Non-interest expense 1,037 Second homes (in %) 8.5
LTV breakdown
PBT 346 0-40% LTV 20.7
Taxes 92 41-50% LTV 12.6
Net profit (loss) 254 51-60% LTV 15.8
71-80% LTV 20.6
>80% LTV 12.7
Table 482: Bankinter, select balance sheet items, €mm
FY 2009 Commercial pool overview
Real estate loans 29,153 Pool balance (in €) 7,218,29,570
Loans to public 39,884 Number of loans 24,032
Total Assets 54,467 Average loan (in €) 300,371
Deposits 16,601 WA seasoning (mths) 34
Short-term borrowings 7,583 WA remaining term (mths) 200
Other short-term borrowing 1,900 WA current LTV (in %) 73.5
Long-term borrowing 19,620 Largest 10 borrowers (in %) 4.5
Equity 2,583 Highest regional exposure (in %) Madrid – 30.6
Source: Bloomberg
Property type
Other 57.5
Table 483: Bankinter, select financial metrics Retail 16.6
Land 11.4
FY 2009
Real estate developments 12.4
NIM 1.5 Office 1.9
ROA 0.5
ROE 11.2 LTV breakdown
ROC 0.7 0-40% LTV 23.9
C:I 62.2 41-50% LTV 13.0
Core capital 7.4 51-60% LTV 13.5
71-80% LTV 8.8
>80% LTV 27.8
Source: Moody’s
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Bilbao Bizkaia Kutxa Cover pool overview

Caja de Ahorros de Bilbao y Vizcaya (BBK) is a savings
characteristics:
bank based in the Basque Country, where most of its
client base is located. The bank is the product of the Table 488: Covered bond characteristics
merger of Caja de Ahorros Municipal de Bilbao and the
As at 31 Mar
Bizkaiko Aurrezki Kutxa-Caja de Ahorros Vizcaína. 2010
S/M/F
The bank issues cédulas hipotecarias. Covered Bond rating -/Aaa/-
Issuer rating -/A1/A+
We set out below some of the key financial performance Outstanding liabilities (in €) 3,862,900,000
metrics: Estimated eligible collateral (in €) 8,226,818,130
Table 485: Bilbao Bizkaia Kutxa, select income statement items,
€mm Residential properties (in %) 74
Commercial properties (in %) 26
FY 2009
Net interest income 490 Residential pool overview
Provisions for loan losses 158 Pool balance (in €) 9,550,630,529
NII less provisions 332 Average loan (in €) 108,433
Commissions & fee income 151 WA current LTV (in %) 64.1
Other operating income 162 Highest regional exposure (in %) Basque – 50.3
Non-interest expense 506 Second homes (in %) 4.8
LTV breakdown
PBT 275 0-40% LTV 16.9
Taxes -18 41-50% LTV 11.8
71-80% LTV 20.8
Table 486: Bilbao Bizkaia Kutxa, select balance sheet items, €mm >80% LTV 23.2
FY 2009 Commercial pool overview

Real estate loans 15,515 Pool balance (in €) 3,445,475,699
Loans to public 21,178 Average loan (in €) 166,601
Total Assets 29,806 WA seasoning (mths) 43.3
Deposits 16,884 WA current LTV (in %) 49.6
Short-term borrowings 4,332 Highest regional exposure (in %) Basque – 66.0
Long-term borrowing 1,263 Property type
Equity 4,123 RED 37
Source: Bloomberg Land 7
Retail 16
Industrial 7
Table 487: Bilbao Bizkaia Kutxa, select financial metrics Other 33
FY 2009
LTV breakdown
NIM 1.8
0-40% LTV 39.9
ROA 1.0
41-50% LTV 13.5
ROE 7.3
51-60% LTV 15.1
ROC 2.5
61-70% LTV 12.8
C:I 61.6
71-80% LTV 9.5
Core Capital 14.6
>80% LTV 9.1
Source: Bloomberg
Source: Moody’s
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Caixa Catalunya Cover pool overview

Caxia d’Estalvis de Catalunya is a Barcelona-based characteristics:
savings bank with strong ties to the region of Catalonia,
where it is the second largest savings bank in terms of Table 492: Mortgage Covered bond characteristics
market share. On 1 July 2010 Caixa d’Estalvis de As at 31 Mar
Catalunya, Tarragona i Manresa was established, the 2010
S/M/F
outcome of the merger of Caixa Catalunya, Caixa Covered Bond rating -/Aaa/-
Tarragona and Caixa Manresa, three institutions closely Issuer rating -/A3/-
linked to their territories.
Cover pool size (€) 21,857,947,017
Caixa d’Estalvis de Catalunya, Tarragona i Manresa has Estimated eligible collateral (in €) 13,807,115,530
more than €81 billion in consolidated assets and a Current OC (in %) 160.7
network of over 1,200 branches. Local retail banking and Required OC for current rating (in % 69.5
personal finance remain at the core of the new institution. Commercial properties (in %) 56.3
Caixa Catalunya issues CH and CT.
Financial performance WA current LTV (in %) 65.5
We set out below some of the key financial performance Highest regional exposure (in %) Catalonia – 63.6
metrics:
LTV breakdown
0-40% LTV 16.4
Table 489: Caixa Catalunya, select income statement items, €mm 41-50% LTV 8.3
FY 2009 51-60% LTV 10.8
Net interest income 869 61-70% LTV 14.8
NII less provisions 836 >80% LTV 28.3
Commissions & fee income 327 Commercial pool overview

Other operating income 1,344 WA current LTV (in %) 58.0
Non-interest expense 2,091 Largest 10 borrowers (in %) 25.7
Operating profit (loss) 563 Highest regional exposure (in %) Catalonia – 43.5
PBT 75 LTV breakdown

Taxes -2 0-40% LTV 20.7
51-60% LTV 17.0
71-80% LTV 22.6
Table 490: Caixa Catalunya, select balance sheet items, €mm >80% LTV 7.9
Source: Moody’s
FY 2009
Loans to public 44,381 Table 493: Public sector Covered bond characteristics
Total Assets 63,650
As at 31 Mar
Deposits 25,859
2010
S/M/F
Equity 2,835
Outstanding liabilities (in €) 625,000,000
Table 491: Caixa Catalunya, select financial metrics Current OC (in %) 77.1
Exposure to 10 largest borrowers (in %) 25.4
FY 2009 Highest regional exposure (in %) Catalonia – 78.3
ROA 0.1
ROE 2.9 Borrower type
ROC 0.2 Direct claim against region/municipality/federal state 84.3
C:I 77.5 Claim with guarantee of region/municipality 14.7
Core capital 6.1 Source: Moody’s
Source: Bloomberg
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Caja de Ahorros del Mediterraneo Cover pool overview

Caja de Ahorros del Mediterraneo or CAM is a savings
characteristics:
bank with a strong presence in the regions of Valencia
and Murcia. It is now part of the new Base group, after Table 497: Mortgage covered bond characteristics
merging with Cajastur, Caja Santander y Cantabria and
As at 31 Mar
Caja Extremadura. 2010
S/M/F
CAM is the fourth-largest savings bank in Spain by Covered Bond rating -/Aaa/-
assets. Its core business is offering banking services to Issuer rating -/A3/BBB+
Cover pool size (€) 30,037,122,065
individuals and SMEs. CAM is the product of the Outstanding liabilities (in €) 10,886,600,000
merger, over the years, of over 30 smaller cajas from the Estimated eligible collateral (in €) 21,555,468,000
Valencia and Alicante provinces, which remain its core Current OC (in %) 175.9
markets. CAM issues both CH and CT. Commercial properties (in %) 57
Financial performance Residential pool overview

Pool balance (in €) 13,021,607,913
We set out below some of the key financial performance Average loan (in €) 74,765
metrics: WA current LTV (in %) 60.9
Highest regional exposure (in %) Valencia – 46.8
Table 494: Caja Ahorros Mediterraneo, select income statement
items, €mm LTV breakdown
0-40% LTV 23.0
FY 2009 41-50% LTV 12.4
NII less provisions 793 71-80% LTV 19.4
>80% LTV 17.4
Other operating income 1,058 Commercial pool overview
Non-interest expense 1,718 Pool balance (in €) 17,015,514,152
Operating profit (loss) 623 Average loan (in €) 175,933
PBT 322 WA current LTV (in %) 57.6
Taxes 57 Highest regional exposure (in %) Valencia – 41.1
LTV breakdown
Source: Bloomberg
0-40% LTV 23.5
41-50% LTV 11.4
Table 495: Caja Ahorros Mediterraneo, select balance sheet 51-60% LTV 15.2
items, €mm 61-70% LTV 19.3
71-80% LTV 19.2
FY 2009 >80% LTV 10.5
Source: Moody’s
Total Assets 75,532
Deposits 40,416 Table 498: Public sector Covered bond characteristics
Other short-term borrowing 433 As at 31 Mar
Long-term borrowing 16,094 2010
Equity 3,806 S/M/F
Source: Bloomberg
Outstanding liabilities (in €) 400,000,000
Table 496: Caja Ahorros Mediterraneo, select financial metrics Current OC (in %) 128.3
FY 2009 Average exposure (in €) 3,169,751
NIM 2.3 Exposure to 10 largest borrowers (in %) 49.4
ROA 0.3 Highest regional exposure (in %) Valencia – 61.1
ROE 6.6
ROC 0.9 Borrower type
C:I 53.2 Direct claim against region/municipality/federal state 81.7
Core Capital 9.1 Other 18.3
199
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Caja Madrid Cover pool overview

Caja Madrid is the fourth largest Spanish financial group characteristics:
and offers a wide range of products and services for
retail, business and private banking clients. The bank also Table 502: Mortgage Covered bond characteristics
has an international presence with four Caja Madrid As at 31 Mar
branches in Lisbon, Dublin, Miami and Vienna. In 2010
S/M/F
addition, via Cibeles, the bank has investments in City Covered Bond rating AAA/Aaa/AA+
National Bank of Florida and Hipotecaria Su Casita in Issuer rating A-/A1/A
Mexico. Cover pool size (€) 68,341,391,319
Current OC (in %) 114
Following the recent re-structuring of the Spanish
savings banks sector, the bank is now part of the new Residential properties (in %) 72.7
Jupiter group. Caja Madrid issues both CH and CT. Commercial properties (in %) 27.3

We set out below some of the key financial performance WA current LTV (in %) 64.0
metrics:
LTV breakdown
Table 499: Caja Madrid, select income statement items, €mm 0-40% LTV 15.1
41-50% LTV 10.3
FY 2009 51-60% LTV 13.8
Provisions for loan losses 1,294 71-80% LTV 25.4
NII less provisions 1,357 >80% LTV 17.5
Commissions & fee income 888 Commercial pool overview

Other operating income 171 WA current LTV (in %) 62.2
Non-interest expense 2,050 Highest regional exposure (in %) Madrid – 38.5
Operating profit (loss) 965 Real estate developments 76.7
PBT 364 LTV breakdown

Taxes 97 0-40% LTV 16.6
61-70% LTV 23.4
71-80% LTV 18.2
Table 500: Caja Madrid, select balance sheet items, €mm
>80% LTV 15.2
FY 2009 Source: Moody’s
Table 503: Public sector Covered bond characteristics
Deposits 86,285 As at 31 Mar
Short-term borrowings 21,307 2010
Other short-term borrowing 10,842 S/M/F
Long-term borrowing 57,330 Covered Bond rating -/Aaa/-
Equity 10,298 Issuer rating A-/A1/A
Table 501: Caja Madrid, select financial metrics
FY 2009 Average exposure (in €) 5,271,704
NIM 1.6 Exposure to 10 largest borrowers (in %) 41.6
ROA 0.1 Highest regional exposure (in %) Madrid – 43.2
ROE 2.6
ROC 0.3 Borrower type
C:I 46.1 Direct claim against region/municipality/federal state 72.4
Core capital 8.9 Claim with guarantee of region/municipality 27.6
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Cajamar Cover pool overview

Cajamar is the result of the fusion of the Rural Savings
characteristics:
banks of Almería and Málaga, Caja Rural del Duero and
the incorporation of the co-operatives Campo de Table 507: Covered bond characteristics
Cartagena and Grumeco. It is the largest bank in the
As at 31 Mar
Grupo Cooperativo Cajamar, which provides banking 2010
services across Spain. It is the 16th largest bank in Spain, S/M/F
reaching over 2.5mm customers via just under a thousand Covered Bond rating -/Aaa/-
branches. Issuer rating -/A3/A
Cover pool size (€) 12,620,782,442

Cajamar issues cédulas hipotecarias. Outstanding liabilities (in €) 3,332,800,000
Financial performance Required OC for current rating (in %) 46.5
metrics: Residential properties (in %) 52
Commercial properties (in %) 48
Table 504: Cajamar, select income statement items, €mm Residential pool overview
FY 2009 Pool balance (in €) 6,528,546,794
Net interest income 546 Average loan (in €) 91,938
Provisions for loan losses 200 WA seasoning (mths) 32.8
NII less provisions 345 WA current LTV (in %) 60.1
Highest regional exposure (in %) Andalusia - 45.5
Commissions & fee income 100 Second homes (in %) 12.4
Non-interest expense 389 LTV breakdown
Operating profit (loss) 125 0-40% LTV 17.7
41-50% LTV 10.9
PBT 70 51-60% LTV 14.4
Taxes 5 61-70% LTV 18.5
>80% LTV 8.9
Source: Bloomberg
Table 505: Cajamar, select balance sheet items, €mm Pool balance (in €) 6,038,235,649
FY 2009 WA seasoning (mths) 33.5
Real estate loans 19,073 WA current LTV (in %) 56.4
Loans to public 24,188 Highest regional exposure (in %) Andalusia – 60.2
Total Assets 27,679
Deposits 20,314 Property type
Short-term borrowings 1,649 Real Estate Developers 45
Other short-term borrowing 6 Land 27
Long-term borrowing 3,029 Retail 16
Equity 2,212 Other 12
Source: Bloomberg
LTV breakdown
0-40% LTV 33.9
Table 506: Cajamar, select financial metrics
41-50% LTV 14.3
FY 2009 51-60% LTV 19.8
NIM 2.2 61-70% LTV 15.9
ROA 0.2 71-80% LTV 7.7
ROE 3.3 >80% LTV 8.4
ROC 1.0 Source: Moody’s
C:I 53.6
Source: Bloomberg
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Ibercaja Cover pool overview

Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon
characteristics:
y Rioja (Ibercaja) is based in the Aragon region. Ibercaja
offers traditional retail banking products to individuals Table 511: Covered bond characteristics
and SMEs. Despite enjoying a strong position in the
As at 31 Mar
northern regions that constitute its core markets, it only 2010
has a 2.1% share of the Spanish lending and deposits S/M/F
markets. Covered Bond rating -/Aaa/-
Issuer rating A/A2/-
Ibercaja issues cédulas hipotecarias. Cover pool size (€) 22,051,864,981
Financial performance Estimated eligible collateral (in €) 14,900,762,500
We set out below some of the key financial performance Required OC for current rating (in %) 39.5
metrics:
Table 508: Ibercaja, select income statement items, €mm Commercial properties (in %) 34
FY 2009 Residential pool overview

Net interest income 694 Pool balance (in €) 14,453,663,583
Provisions for loan losses 174 Average loan (in €) 82,481
NII less provisions 520 WA seasoning (mths) 36.4
Commissions & fee income 219 Highest regional exposure (in %) Madrid – 28.3
Other operating income 38 Second homes (in %) 5.2
Operating profit (loss) 292 LTV breakdown
0-40% LTV 17.8
PBT 182 41-50% LTV 10.3
Taxes 39 51-60% LTV 14.4
Source: Bloomberg
71-80% LTV 29.8
>80% LTV 9.4
Table 509: Ibercaja, select balance sheet items, €mm Commercial pool overview
FY 2009 Pool balance (in €) 7,598,201,398
Total Assets 44,691
Highest regional exposure (in %) Aragon – 22.8
Deposits 28,205
Property type
RED 45
Land 25
Equity 2,704
Retail 6
Source: Bloomberg Industrial 4
Other 21
Table 510: Ibercaja, select financial metrics
LTV breakdown
FY 2009 0-40% LTV 18.7
ROA 0.3 41-50% LTV 12.0
ROE 5.5 51-60% LTV 18.2
ROC 1.7 61-70% LTV 21.6
C:I 54.1 71-80% LTV 21.0
Core Capital 8.8 >80% LTV 8.5
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La Caixa Cover pool overview

The Caja de Ahorros y Pensiones de Barcelona, (La
characteristics:
Caixa), is currently the leading savings bank in Spain and
the third largest financial entity in the country. Table 515: Mortgage Covered bond characteristics
As at 31 Mar
Operating as a universal bank, La Caixa offers retail and 2010
corporate banking services as well as investing directly in S/M/F
company holdings. In fact, via its vehicle Criteria Covered Bond rating AAA/Aaa/-
CaixaCorp, the bank has a large portfolio of industrial Issuer rating AA-/Aa2/AA-
holdings in companies involved in the infrastructures, Cover pool size (€) 108,512,700,210
energy and communications sectors, among others. Outstanding liabilities (in €) 35,122,240,526
Required OC for current rating (in % 11.5
After the restructuring of the Spanish cajas sector, La Residential properties (in %) 68.0
Caixa and Caixa Girona have merged in the new Caixa Commercial properties (in %) 32.0
group. La Caixa issues CH and CT.
Pool balance (in €) 73,841,143,154
We set out below some of the key financial performance Highest regional exposure (in %) Catalonia – 34.6
metrics:
LTV breakdown
0-40% LTV 15.9
Table 512: La Caixa, select income statement items, €mm 41-50% LTV 10.9
51-60% LTV 14.7
FY 2009
61-70% LTV 21.2
Provisions for loan losses 1,902 >80% LTV 13.5
Commissions & fee income 1,530 Pool balance (in €) 34,671,557,056
Other operating income 1,190 Highest regional exposure (in %) Madrid – 24.6
Non-interest expense 4,401 Real estate developments 50.0
Operating profit (loss) 880 Land 26.3
PBT 1,868 LTV breakdown
Taxes 35 0-40% LTV 16.5
Net profit (loss) 1,510 41-50% LTV 12.9
61-70% LTV 27.1
Table 513: La Caixa, select balance sheet items, €mm 71-80% LTV 14.6
>80% LTV 9.6
FY 2009 Source: Moody’s
Deposits 134,841 Table 516: Public sector Covered bond characteristics
Short-term borrowings 25,918 As at 31 Mar
Other short-term borrowing 10,544 2010
Long-term borrowing 53,319 S/M/F
Equity 21,403 Covered Bond rating -/Aaa/-
Source: Bloomberg Issuer rating AA-/Aa2/AA-
Cover pool size (€) 7,982,963,428
Table 514: La Caixa, select financial metrics Outstanding liabilities (in €) 1,700,000,000
FY 2009
ROA 0.6 Average exposure (in €) 6,038,550
ROE 8.7 Exposure to 10 largest borrowers (in %) 42.8
ROC 1.9 Highest regional exposure (in %) Catalonia – 41.6
C:I 60.0
Source: Bloomberg
Borrower type
Direct claim against region/municipality/federal state 70.4
Claim with guarantee of region/municipality 29.6
Source: Moody’s
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Santander Consumer Finance Cover pool overview

Santander Consumer Finance is a leading consumer
characteristics:
finance company present in 17 countries: Austria,
Belgium, the Czech Republic, Denmark, Finland, Table 519: Covered bond characteristics
Germany, Italy, Netherlands, Norway, Poland, Portugal,
As at 31 Mar
Russia, the Slovak Republic, Spain, Sweden, UK and 2010
USA. S/M/F
The company is part of the Santander Group, one of the Issuer rating (Santander Group) AA/Aa2/AA
largest financial groups in the world (see separate Cover pool size (€) 2,669,671,145
profile), and offers its products mainly though point of Outstanding liabilities (in €) 1,350,000,000
sales but also branches, internet and telemarketing Estimated eligible collateral (in €) 2,184,300,000
platforms. Required OC for current rating (in %) 26.0
Santander Consumer Finance issues cédulas Residential properties (in %) 97.4

hipotecarias.
Financial performance Pool balance (in €) 2,601,110,957
metrics: WA current LTV (in %) 322.4
Table 517: Santander Consumer Finance, select income Second homes (in %) 0.4
LTV breakdown
FY 2009 0-40% LTV 13.7
71-80% LTV 23.6
Commissions & fee income 979 >80% LTV 26.8
Other operating income 165 Source: Moody’s
PBT 250
Taxes 99
Source: Bloomberg
Table 518: Santander Consumer Finance, select balance sheet

items, €mm
FY 2009
Total Assets 61,663
Deposits 17,896
Equity 4,774
Source: Bloomberg
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Unicaja Cover pool overview

Montes de Piedad y Caja de Ahorros de Ronda, Cádiz,
characteristics:
Almería, Málaga y Antequera (Unicaja) is a Malaga-
based savings bank with a strong regional presence in Table 523: Covered bond characteristics
Andalusia.
As at 31 Mar
2010
Unicaja issues cédulas hipotecarias. S/M/F
Financial performance Issuer rating -/Aa3/A+
metrics: Outstanding liabilities (in €) 8,345,100,000
Table 520: Unicaja, select income statement items, €mm
FY 2009
Net interest income 756 Residential properties (in %) 68
Provisions for loan losses 398 Commercial properties (in %) 32
Commissions & fee income 150 Pool balance (in €) 11,050,306,630
Other operating income 50 Average loan (in €) 73,816
Non-interest expense 504 WA seasoning (mths) 50.0
Operating profit (loss) 311 WA current LTV (in %) 58.7
PBT 231 Second homes (in %) 4.4
Taxes 26
Net profit (loss) 205 LTV breakdown
0-40% LTV 18.1
Source: Bloomberg, Unicaja 2009 Annual Report
41-50% LTV 12.0
51-60% LTV 15.8
Table 521: Unicaja, select balance sheet items, €mm 61-70% LTV 20.0
71-80% LTV 29.5
FY 2009
>80% LTV 4.5
Real estate loans 457
Loans to public 23,955 Commercial pool overview
Total Assets 34,185 Pool balance (in €) 5,074,489,486
Deposits 23,815 Average loan (in €) 213,726
Short-term borrowings 1,591 WA seasoning (mths) 43.0
Other short-term borrowing 81 WA current LTV (in %) 50.3
Long-term borrowing 5,033 Highest regional exposure (in %) Andalusia – 89.9
Equity 2,908
Source: Bloomberg, Unicaja 2009 Annual Report Property type
RED 40.2
Table 522: Unicaja, select financial metrics Land 20.2
Retail 10.2
FY 2009 Industrial 5.4
ROA 1 Office 2.2
ROE 7 Other 21.8
ROC 2
C:I 42 LTV breakdown
Source: Bloomberg, Unicaja 2009 Annual Report 0-40% LTV 30.3
41-50% LTV 18.0
51-60% LTV 19.3
61-70% LTV 18.0
71-80% LTV 9.9
>80% LTV 4.4
Source: Moody’s
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Multi-Cedulas A chain is however only as strong as its weakest link, and

this is also true of any multi-cedula. Ratings (and by
Multi-cedulas take a portfolio of mortgage or public-
derivation, bond pricing) is therefore consider the
sector backed Spanish covered bonds (CH or CT) issued
weakest/lowest rated contributing caja. Poor performance
by a small group of Spanish financial institutions
of the issuing entity, or in the collateral pools backing the
(predominantly savings banks), and uses broadly similar
individual bonds, therefore naturally affects the ratings of
structural features as in an RMBS deal (over-
the multi-cedulas. In the ABS space, only the
collateralisation, liquidity facilities and rating agency
performance of the pool affects ratings (ignoring any
approaches) to package these individual bonds into a
potential effects if the issuer was also a counterparty to
combined, multi-cedula issue.
the transaction).
Each outstanding series of multi-cedula is backed by a
This link has become even more evident of late, with the
different pool of underlying CH, with each CH being a
great majority of these institutions to be merged or forced
full-recourse obligation of the individual issuer. The
into institutional protection systems (see section below
underlying CH, as if directly holding a single-issue
on new groups); as a consequence of this restructuring,
cedula, are backed by the issuing bank’s entire mortgage
S&P has recently placed 53 multi-cedulas transactions on
pool. In the ABS world, there are also multi-seller
creditwatch negative, on the basis that the resulting
Spanish RMBS backed by partial collateral pools
increased concentration may result in insufficient
contributed by a similarly small number of institutions.
liquidity lines available to the bonds.
In fact there is a high degree of overlap between multi-
cedula issuers and multi-seller RMBS participants. Table 524: Multi-cedulas affected by S&P rating actions
Programme Series S&P rating
Despite their ostensible similarities, there are, however,
AyT Cedulas Territoriales II A, IV A AAA Watch Neg
some differences between multi-cedulas and RMBS. In a AyT Cedulas Cajas Global I to XXVI, ex XV AAA Watch Neg
multi-cedula transaction, investors are backed by a and XVII
portfolio of CH that remains static throughout the life of AyT Cedulas Cajas III to X AAA Watch Neg
CEDULAS TDA 2, 3, 5 to 10, 12, AAA Watch Neg
the transaction, (although the underlying collateral 15, 17 to 20
backing these CH bonds changes over time). Cedulas GBP 2 and 3 AAA Watch Neg
Programa Independiente de 1 AAA Watch Neg
Titulizacion de Cedulas Hipotecarias
Where the two secured funding forms diverge however is IM Cedulas 1 to 5 AAA Watch Neg
in the revolving nature of the underlying pools. Under a IM Master Cedulas A AAA Watch Neg
multi-cedula, the ‘static’ CH in the transaction are each Programa Cedulas TDA A1 to A6 ex A2 AAA Watch Neg
backed by a ‘dynamic’ pool of mortgage collateral on Source: Standard and Poor’s
each individual issuer's balance sheet. In a multi-seller
RMBS, the initial contributed collateral pools from each Programmes
institution are static. There are 7 multi-cedulas programmes, although one (IM
Cedulas GBP) is entirely made up of collateral from
Furthermore, multi-cedulas are of a bullet nature and, Grupo Banco Popular companies so we will exclude it
being a covered bond, are full-recourse obligations of the from our analysis.
issuer, collateralised by a pool of mortgages or loans. As
in other securitisations, Spanish RMBS are not an Of the remaining six programmes, only one is a public
obligation of the originator, but rather of the issuing sector multi-cedula (AyT Cedulas Territoriales), while
vehicle (typically an SPV). Should the collateral pool the remaining five are backed by mortgage collateral.
prove insufficient to redeem outstanding bonds, then
junior bondholders (in reverse order up the capital stack) Overall, outstanding bonds (for which we could find a
will incur principal losses. Should underlying mortgages collateral split by lender) total €145bn, of which only
in the covered bond collateral pool default, however, the €2bn are multi-cedulas-territoriales (in addition, the GBP
obligation remains on the issuing institution to repay the platform account for another €7bn). The largest
bond in full, with credit risk on the collateral pool only programme is AyT Cedulas Cajas Global with an
passing to investors on default of the issuing institution. outstanding amount of €48bn, followed by Cedulas TDA
(€42bn) and AyT Cedulas Cajas (€30bn).
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Largest contributors part the restructuring of the cajas system in 2010 but
maintained its brand (see next section).
Participation in multi-cedulas programmes is quite
widespread, with 56 cajas contributing to issuance and no
Ibercaja, Caixa Penedes and Caixa Galicia
individual lender accounting for more than 7% of total
Each of these contribute to around 3% of the total
collateral.
outstanding multi-cedulas volumes. While Caixa Penedes
and Ibercaja are independent lenders, Caixa Galicia is
Below is a review of the top contributors to multi-cedulas
now part of the Breogan group, following the
collateral pools:
restructuring of the Spanish cajas system (see below).
Caja Madrid
New groups
Caja Madrid is the fourth largest Spanish financial group
The Spanish banking system is undergoing a phase of
and offers a wide range of products and services for
significant change and restructuring. The past strong
retail, business and private banking clients (see
economic growth and the focus of these regional lenders
individual profile for more details). Caja Madrid
on the real estate sector have altered their traditional
contributes approximately 7% of overall multi-cedula
banking model and made them over-reliant on the
collateral, mostly through recent Cedulas TDA issues.
wholesale markets. As the Spanish economy and housing
market contracted over the past three years, the cajas
Caja Ahorros Mediterraneo (CAM)
system faced significant funding and capital problems
CAM is one of the oldest cajas, with a 133 years history
(effectively, the capital base of these institutions is the
and over 1,060 branches. After the restructuring of the
volume of retained earnings, with very little or no access
Spanish cajas system in the summer of 2010, it merged
to equity-like instruments, such as non-voting shares
with Caja Asturias, Caja Santander y Cantabria and Caja
called 'cuotas participativas', which have had limited
Extremadura into the new Base group (see next section).
success). One of the solutions taken to curtail difficulties
Overall, it accounts for around 6% of all outstanding
in a number of the savings banks was to integrate them in
multi-cedula collateral. It is a particularly frequent
the form of mergers or via the creation of institutional
contributor to AyT Cedulas Cajas Global and AyT
protection systems (or IPS, where a central common
Cedulas Cajas, although it provides on average 15% of
institution is created and charged with taking key
the collateral in four Cedulas TDA issues.
management decisions for the cajas that took part to the
agreement - this is fundamentally the same as a merger,
Cajastur
as the parties will support each other in terms of solvency
Cajastur, which took over Caja Castilla La Mancha as the
and liquidity and will share profits).
latter tried to avoid bankruptcy, accounts for almost 5%
of outstanding multi-cedula collateral (3.6% is from
These measures have significantly changed the make-up
CCM and 1.2% from Cajastur). Together with CAM,
of the sector: of the 45 Spanish cajas, 39 are involved in
Caja Santander y Cantabria and Caja Extremadura, it is
merger/IPS processes, resulting in 12 new institutions. Of
now part of the Base group (see next section).
these, 7 requested aid from the FROB (Fund for the
Orderly Restructuring of the Banking system), totalling
Unicaja
€10.2bn. The six institutions not involved in the
Unicaja is the result of the merger, throughout the years,
aggregation account for just 8% of the caja sector's
of several smaller cajas: Ronda, Cadiz, Almeria, Malaga,
assets.
Antequera and Jaen. It operates through almost 1,000
branches in 17 Spanish provinces and a few foreign
Below are quick descriptions of the new groups and their
offices. Unicaja accounts for 4.5% of all multi-cedulas
contributions to the outstanding multi-cedulas.
issuance and is also a stand-alone issuer.
Júpiter
Caja Sol
This new caja has been formed by the merger of Caja
Caja Sol is the result of the merger in 2007 of a number
Madrid, Bancaja, Caixa Laietana, Caja Insular de
of smaller lenders. It contributes to around 4% of all
Canarias, Caja Ávila, Caja Segovia and Caja La Rioja.
outstanding multi-cedula collateral and has a relatively
evenly spread presence throughout the different
programmes. Caja Sol merged with Caja Guadalajara as
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The group accounts for 17% of outstanding multi-cedula widespread across programmes but only totals 4% of
collateral, with a particularly significant contribution to outstanding volumes.
the TDA programmes.
Unnim
Caixa The result of the merger of Caixa Sabadell, Caixa
Merger of La Caixa and Caixa d’Estalvis de Girona. Terrassa and Caixa Manlleu, Unnim's contribution to
Very limited participation in multi-cedulas programmes. multi-cedulas amounts to 5%.
Base Caja3
Formed by the merger of CAM, Caja Asturias, Caja Caja Circulo, Caja Badajoz and Caja Aragon joined
Santander y Cantabria and Caja Extremadura. It is a forces under the new Caja3 brand, a small participant in
relatively large contributor to a number of multi-cedulas, multi-cedulas programmes.
in particular Ayt programmes (Ayt Cedulas Cajas, AyT
Cedulas Territoriales, AyT Cedulas Cajas Globales); in Deal overviews
total Base contributes the second largest share, 13%, to
The following tables summarise the contribution to each
the outstanding amount of multi-cedula collateral.
multi-cedula of the individual cajas in Table 525 and
Table 526 (where this split was made available) and of
Diada
the new groups (Table 527).
Caixa Catalunya and Caixa Manresa merged with Caixa
Tarragona to form Diada, whose largest contribution to
any multi-cedulas programme is a 6% overall
participation in the TDA Cedulas series.
Breogán
Breogán came to life after the merger of Caja Galicia and
Caixanova. Despite the small number of lenders
included, it is a relatively large contributor to AyT series
of multi-cedulas.
Mare Nostrum
Caja Murcia, Caixa Penedes, Sa Nostra and Caja
Granada are the original cajas joined under the new
brand. The group is a regular contributor to multi-cedulas
issuance and accounts for 10% of the total outstanding
bonds.
Espiga
The new Caja Espiga is the product of the merger of Caja
Duero and Caja España. Jointly, these two lenders
contribute to 6% of outstanding bonds, with particular
concentration in the AyT Cedulas Territoriales
programme.
Banca Civica
One of the mergers that did not require any financial aid,
Banca Civica is formed by Caja Navarra, Caja Burgos
and Caja Canarias. These lenders regularly issue via
multi-cedulas, mostly out of AyT platforms.
Caja Sol
Caja Sol and Caja Guadalajara merged into Caja Sol,
whose contributions to multi-cedulas issuance is rather
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Table 525: Multi-cedula contributors by pre-merger institutions (Bancaja to Caixa Tarragona), % of collateral
Caixa Sabadell
Caixa Penedés
Caixa Laietana
Caixa Cataluña
Banco Popular
Caixa Pollenca
Banco Espirito
Banco Popular
Caixa Manresa
Banco Gallego
C.C.O. Burgos
Caja Granada
Caixa Manlleu
Caja La Rioja
Banco Pastor
Guipuzcoano
Banca March
Caixa Galicia
Caixa Girona
Guadalajara
Hipotecario
Tarragona
Bankpime
(Cajastur)
Ontinyent
Bankinter
Banco de
Bancaja
Valencia
Espanol
Banco
Santo
(BPE)
Caixa
Caixa
CCM
Caja
BBK
CAI
AyT Cedulas Cajas I 1 4 1 7 7 1 1 7
AyT Cedulas Cajas III 4 6 4 4 4 5 1 4
AyT Cedulas Cajas IV 3 3 3 2 4 10 1 1 2
AyT Cedulas Cajas V 6 5 2 5 10 2 5 2
AyT Cedulas Cajas VI 10 5 3 1 9 3 2 1
AyT Cedulas Cajas VII 6 14 9 3 3
AyT Cedulas Cajas VIII 2 10 2 1 1 7 10 3 1 0 2
AyT Cedulas Cajas IX 6 3 5 2 0 6 4 4 2 2 1
AyT Cedulas Cajas X 5 5 6 4 21
CEDULAS TDA 1 17
CEDULAS TDA 2 8 3 15 4
CEDULAS TDA 3 15 15 3 4 4
CEDULAS TDA 11 50 25
CEDULAS TDA 13 23 1 14 2 5 23 2
CEDULAS TDA 14
CEDULAS TDA 15 1 10 3 24 1 0
CEDULAS TDA 17 15 15 26
CEDULAS TDA 20
IM Cedulas 2 12 17 27 10
IM Cedulas 3 9 8 8 5
IM Cedulas 4 24 10 5
IM Cedulas 5 20 8 4
IM Cedulas M1 12 6
IM Cedulas 7 20
IM Cedulas 9 20 6
IM Cedulas 10 19 8 15 8 15
IM Cedulas 14
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Caixa Sabadell
Caixa Penedés
Caixa Laietana
Caixa Cataluña
Banco Popular
Caixa Pollenca
Banco Espirito
Banco Popular
Caixa Manresa
Banco Gallego
C.C.O. Burgos
Caja Granada
Caixa Manlleu
Caja La Rioja
Banco Pastor
Guipuzcoano
Banca March
Caixa Galicia
Caixa Girona
Guadalajara
Hipotecario
Tarragona
Bankpime
(Cajastur)
Ontinyent
Bankinter
Banco de
Bancaja
Valencia
Espanol
Banco
Santo
(BPE)
Caixa
Caixa
CCM
Caja
BBK
CAI
Ayt Cedulas Territoriales
11 23 15
Cajas 2
11 22
Cajas 3
5 4
Cajas 4
IM CEDULAS GBP 1 85 15
CEDULAS GBP 2 86 14
CEDULAS GBP 3 87 14
AyT Cedulas Cajas Global

3 6 7 1 0 1 4 1 16 4 1 1
- Series 1
5 4 8 7 0 3 1 1 8 1 1 0
- Series 2
4 7 3 2 0 6 1 9 2 2 7
- Series 3
8 8 4 6
- Series 4
10 20 3 20 5 3
- Series 5
13 5 7 2
- Series 6
10 10 5 20 5
- Series 7
7 6 0 2 13 2 11
- Series 8
6 15 4 23
- Series 9
13 6 9 5 6 6
- Series 10
8 16 2 12 2
- Series 11
10 15 3 3
- Series 12
6 6 2 3
- Series 13
24 6
- Series 14
7 4
- Series 16
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Caixa Sabadell
Caixa Penedés
Caixa Laietana
Caixa Cataluña
Banco Popular
Caixa Pollenca
Banco Espirito
Banco Popular
Caixa Manresa
Banco Gallego
C.C.O. Burgos
Caja Granada
Caixa Manlleu
Caja La Rioja
Banco Pastor
Guipuzcoano
Banca March
Caixa Galicia
Caixa Girona
Guadalajara
Hipotecario
Tarragona
Bankpime
(Cajastur)
Ontinyent
Bankinter
Banco de
Bancaja
Valencia
Espanol
Banco
Santo
(BPE)
Caixa
Caixa
CCM
Caja
BBK
CAI
13
- Series 18
10 8 7 6 6 12
- Series 19
7 2 5 2 5 1 2 3 5
- Series 20
7 2 5 2 5 1 2 3 5
- Series 21
4 6 2 9 2 1 6 3 2 2 3
- Series 22
7 9 2 4 7 17 9 0
- Series 23
10 14 7
- Series 24
31
- Series 25
40
- Series 26
Programa Cedulas TDA -

6 4
Class A1
17 13 9
Class A3
6 4 9 4
Class A4
27 8
Class A5
5 3 14 4
Class A6
Source: J.P. Morgan Covered Bond Research, Investor reports
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Table 526: Multi-cedula contributors by pre-merger institutions (Caixa Terrassa to Unicaja), % of collateral
Caixa Terrassa
Caja Insular de
Caja Cantabria
Caja Municipal
Caja Badajoz
Caja Segovia
Caja Navarra
Extremadura
Caja General
Caja Laboral
Caja España
de Canarias
Caja Madrid
Caja Murcia
Caja Duero
Caixanova
de Burgos
Ipar Kutxa
Caja Avila
Caja Jaen
Sa Nostra
Caja Vital
Canarias
Total o/s
Cajastur
Cajamar
Ibercaja
Cajasur
amount
Unicaja
Cajasol
Kutxa
CAM
Caja
AyT Cedulas Cajas I 15 1 15 9 7 15 7 2,048
AyT Cedulas Cajas III 9 4 1 3 4 3 7 5 9 9 9 7 3,500
AyT Cedulas Cajas IV 2 8 2 2 2 3 3 4 9 3 7 5 8 8 7 3,800
AyT Cedulas Cajas V 7 6 3 3 5 3 1 5 5 3 6 10 5 3,100
AyT Cedulas Cajas VI 3 6 3 6 3 2 5 5 9 3 3 5 3 3 8 3,300
AyT Cedulas Cajas VII 1 11 9 9 24 6 6 1,750
AyT Cedulas Cajas VIII 2 1 2 5 2 4 1 2 4 7 12 7 4 5 4,100
AyT Cedulas Cajas IX 3 4 4 4 3 2 5 2 1 9 4 10 8 3 4 5,000
AyT Cedulas Cajas X 3 2 2 7 3 6 3 6 13 10 4 3,900
CEDULAS TDA 1 17 17 17 17 14 1,750

CEDULAS TDA 2 12 10 10 15 9 5 10 2,000
CEDULAS TDA 3 6 3 15 15 8 13 2,000
CEDULAS TDA 5 7 7 20 20 13 1,500
CEDULAS TDA 6 6 7 23 17 13 3,000
CEDULAS TDA 7 5 5 17 10 20 8 8 2,000
CEDULAS TDA 9 2 10 16 10 10 8 6 3,150
CEDULAS TDA 10 16 13 2 6 10 3 3 3,150
CEDULAS TDA 11 25 4,000
CEDULAS TDA 12 9 9 9 13 2,000
CEDULAS TDA 13 9 14 5 1 2,140
CEDULAS TDA 14 80 20 1,000
CEDULAS TDA 15 10 5 12 19 12 2 2,070
CEDULAS TDA 17 15 26 3 1,950
CEDULAS TDA 18 4 28 6 1,770
CEDULAS TDA 19 33 4,500
CEDULAS TDA 20 98 2 4,100
IM Cedulas 2 34 1,475
IM Cedulas 3 5 19 47 1,060
IM Cedulas 4 7 24 7 2 10 6 5 2,075
IM Cedulas 5 8 12 40 8 1,250
IM Cedulas M1 6 30 9 6 30 1,655
IM Cedulas 7 8 42 22 8 1,250
IM Cedulas 9 4 8 24 39 1,275
IM Cedulas 10 23 12 1,300
IM Cedulas 14 25 17 33 25 1,200
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Caixa Terrassa
Caja Insular de
Caja Cantabria
Caja Municipal
Caja Badajoz
Caja Segovia
Caja Navarra
Extremadura
Caja General
Caja Laboral
Caja España
de Canarias
Caja Madrid
Caja Murcia
Caja Duero
Caixanova
de Burgos
Ipar Kutxa
Caja Avila
Caja Jaen
Sa Nostra
Caja Vital
Canarias
Total o/s
Cajastur
Cajamar
Ibercaja
Cajasur
amount
Unicaja
Cajasol
Kutxa
CAM
Caja
8 8 3 8 23 3
Cajas 2 665
16 17 11 17 7
Cajas 3 450
9 16 10 10 2 7 16 10 10
Cajas 4 965
IM CEDULAS GBP 1 2,000

CEDULAS GBP 2 3,000
CEDULAS GBP 3 2,000
AyT Cedulas Cajas Global 2,640

4 4 3 1 2 1 4 8 2 4 11 7 3
- Series 1
3 3 0 7 2 1 1 3 3 1 11 8 4 8 4 2
- Series 2
5 6 7 2 3 2 6 2 6 14 1 4
- Series 3
8 7 8 17 13 20
- Series 4
5 13 13 3 4
- Series 5
13 13 7 3 20 10 7
- Series 6
5 10 15 20
- Series 7
2 5 3 4 9 7 4 13 4 4
- Series 8
2 12 8 8 15 8
- Series 9
8 6 13 6 9 13
- Series 10
2 3 8 6 12 19 12
- Series 11
10 8 15 8 5 15 10
- Series 12
13 8 6 6 10 3 6 6 13 6 3
- Series 13
AyT Cedulas Cajas Global 425
12 12 47
- Series 14
14 4 9 11 9 6 7 11 10 9
- Series 16
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Caixa Terrassa
Caja Insular de
Caja Cantabria
Caja Municipal
Caja Badajoz
Caja Segovia
Caja Navarra
Extremadura
Caja General
Caja Laboral
Caja España
de Canarias
Caja Madrid
Caja Murcia
Caja Duero
Caixanova
de Burgos
Ipar Kutxa
Caja Avila
Caja Jaen
Sa Nostra
Caja Vital
Canarias
Total o/s
Cajastur
Cajamar
Ibercaja
Cajasur
amount
Unicaja
Cajasol
Kutxa
CAM
Caja
13 27 13 7 27
- Series 18
5 7 5 5 2 4 7 5 10 2
- Series 19
3 4 2 4 2 2 2 1 6 4 12 1 1 5 5 4 5 3
- Series 20
3 4 2 4 2 2 2 1 6 4 12 1 1 5 5 4 5 3
- Series 21
6 2 3 3 5 4 4 3 4 5 9 4 6
- Series 22
3 4 10 7 13 9
- Series 23
14 14 14 7 10 10
- Series 24
15 15 23 15
- Series 25
9 15 25 10
- Series 26
Programa Cedulas TDA - 1,585

2 9 13 19 19 13 16
Class A1
26 9 26
Class A3
9 3 4 4 11 13 13 20
Class A4
8 23 8 8 20
Class A5
11 5 8 5 14 12 3 15
Class A6
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Table 527: Multi-cedula contributors by post-merger institution, % of collateral
Mare Nostrum
Banca Civica
Breogan
Caja Sol
Jupiter
Espiga
Unnim
Caja 3
Diada
Caixa
Other
Base
AyT Cedulas Cajas I 16 22 10 15 6 16 7 8
AyT Cedulas Cajas III 3 16 4 5 7 4 4 4 16 14 22
AyT Cedulas Cajas IV 13 9 18 1 2 7 2 9 9 7 24
AyT Cedulas Cajas V 15 13 16 2 6 7 3 5 6 12 14
AyT Cedulas Cajas VI 20 9 3 7 19 8 6 28
AyT Cedulas Cajas VII 9 33 6 11 7 14 20
AyT Cedulas Cajas VIII 2 15 2 3 2 12 5 13 14 4 28
AyT Cedulas Cajas IX 5 16 8 2 4 9 8 9 13 10 17
AyT Cedulas Cajas X 6 13 21 6 10 10 10 3 21
CEDULAS TDA 2 8 10 19 10 9 12 33
CEDULAS TDA 3 8 15 3 4 4 15 15 6 31
CEDULAS TDA 5 28 5 7 14 46
CEDULAS TDA 6 20 7 4 23 8 6 32
CEDULAS TDA 7 9 5 5 17 30 5 29
CEDULAS TDA 9 2 10 5 10 32 16 3 24
CEDULAS TDA 10 2 6 10 16 29 3 35
CEDULAS TDA 12 9 22 17 43 8
CEDULAS TDA 13 5 5 2 23 48 14 2
CEDULAS TDA 15 19 24 5 11 2 10 28
CEDULAS TDA 18 28 25 4 34 6 3
IM Cedulas 3 5 12 9 74
IM Cedulas 4 2 24 6 5 7 24 7 25
IM Cedulas 5 4 12 8 8 8 60
IM Cedulas M1 6 6 21 67
IM Cedulas 9 8 4 88
IM Cedulas 10 8 12 15 23 42
IM Cedulas 14 17 25 33 25
Ayt Cedulas Territoriales Cajas 2 45 23 8 8 3 14 0
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Mare Nostrum
Banca Civica
Breogan
Caja Sol
Jupiter
Espiga
Unnim
Caja 3
Diada
Caixa
Other
Base
Ayt Cedulas Territoriales Cajas 3 11 16 22 17 18 17
Ayt Cedulas Territoriales Cajas 4 17 10 9 16 4 26 2 5 10
AyT Cedulas Cajas Global-Series 1 3 16 16 4 1 8 1 3 9 11 9 19

AyT Cedulas Cajas Global-Series 4 13 8 6 4 15 8 8 36
AyT Cedulas Cajas Global-Series 6 20 20 20 5 17 18
AyT Cedulas Cajas Global-Series 7 10 20 5 5 5 10 45
AyT Cedulas Cajas Global-Series 8 30 11 8 5 4 11 9 6 16
AyT Cedulas Cajas Global-Series 14 12 6 12 24 47
AyT Cedulas Cajas Global-Series 20 21 16 4 3 5 5 5 15 16 5 5
AyT Cedulas Cajas Global-Series 21 21 16 4 3 5 5 5 15 16 5 5
AyT Cedulas Cajas Gl obal-Series 22 14 17 6 2 3 11 5 8 10 15 2 6
AyT Cedulas Cajas Global-Series 23 13 9 14 2 17 4 16 9 9 7
AyT Cedulas Cajas Global-Series 24 7 24 14 24 31 0
AyT Cedulas Cajas Global-Series 25 31 38 31 0
Programa Cedulas TDA-Class A1 9 19 2 13 10 47

Programa Cedulas TDA-Class A3 9 26 17 9 13 26
Programa Cedulas TDA-Class A4 12 4 4 10 23 13 33
Programa Cedulas TDA-Class A5 8 27 8 8 8 23 20
Programa Cedulas TDA-Class A6 14 5 12 4 13 20 3 13 15
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Swedish covered bonds
217
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Swedish Covered Bonds

Market size
Swedish covered bonds in Figure 134 and Figure 135 respectively.

60,000 160,000
Mortgage Mortgage
50,000 140,000
120,000
40,000
100,000
30,000 80,000
20,000 60,000
40,000
10,000
20,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 528 a snapshot of key covered bond attributes in Sweden.

Legislative Framework Covered Bond (Issuance) Act, 2004.
Structure of Issuer On balance sheet issuance by a universal credit institution with a special license
granted by the Swedish FSA (no specialist banking principle).
Supervision Swedish FSA monitors that the issuing institution complies with the Covered Bond
Act and associated regulations. In addition to the FSA, the regulator also appoints an
independent asset inspector responsible for monitoring the cover pool Register. The
Inspector ensures that only eligible collateral and substitute assets are included on
the Register, the valuation of the underlying collateral is in compliance with the
Covered Bond Act, and that matching requirements are met.
Cover assets Eligible collateral from the EEA for mortgage assets, with EEA and OECD for public
sector assets. Maximum LTV for residential mortgages (75%), agricultural properties
(70%), commercial properties (60% LTV and 10% of the collateral pool). Maximum
20% substitute assets (30% can be temporarily allowed). All assets and eligible
derivative contracts must be entered into a special register.
Valuation Regular valuation of mortgage collateral required.
ALM matching The cover pool must at all times exceed the aggregate value of claims under the
covered bonds on both a nominal value and NPV basis. The cover pool must also be
matched in terms of currency, interest rate and maturity profile.
Over-collateralisation Not defined by legislation.
Bankruptcy remoteness In the event of bankruptcy, holders of covered bonds and certain eligible
counterparties to derivative contracts related to the covered bonds benefit from a
priority claim over the cover pool. Holders continue to receive timely payments
following the institution's bankruptcy.
legislation
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Swedish macro background
Figure 136: Swedish real GDP growth, y-on-y % Figure 137: Swedish unemployment level, %
6
8
4
2 6
0
-2 4
-4
2
-6
-8 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 138: Swedish CPI and base rate % Figure 139: Swedish consumer confidence, index
5 30
4 20
3
10
2
0
1
0 -10
-1 -20
-2 -30
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 140: Swedish nominal house price growth, y-on-y % Figure 141: Swedish building permits issued, #
0 OECD HP nominal grow th 25000 Dw elling starts
20000
0
15000
0
10000
0
5000
0 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: OECD Source: Statistics Sweden
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Landshypotek AB Cover pool overview

Landshypotek is a cooperative credit institution
characteristics:
specialising in the financing of Swedish agriculture and
forestry industries. Customers are members of the Table 533: Covered bond characteristics
association that owns and operates the business, and are
As at 31 December
required to be farm or forestry landowners.
Covered bond rating AAA/-/-
Landshypotek provides a wide array of financial products Issuer rating A-/A3/A+
to its members, including both banking and insurance
services. Cover pool 44,173
Substitute assets 6,186
Covered bonds 46,192
The mainstay of Landshypotek’s product range is first- Over-collateralisation 4,167
lien mortgages, with supplemental bank and insurance 9.02%
services offered in partnership with other providers. Due Average LTV 37.1%
to its cooperative structure, all members receive refunds Number of loans 131,492
on their interest payments when the institution makes a Average loan size (SEK) 335,936
Agricultural properties 98.8%
profit. Residential properties 1.2%
metrics:
Table 529: Landshypotek, select income statement items,

SEKmm
2009
Net Other Income 95.8
Write-Downs -8.5
Profit 129.2
Source: Landshypotek annual report 2009
Table 530: Landshypotek, select balance sheet items, SEKmm

2009
Loans to customers 46,456
Total assets 59,796
Table 531: Landshypotek, select financial metrics

2008 2009
Cost:Income 54% 49%
Table 532: Landshypotek, funding profile

Swedish CP 4%
Swedish MTN programme 78%
International EMT programme 17%
Private bonds 0%
Other bonds 0%
Subordinated loans 1%
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Länsförsäkringar Hypotek AB Table 537: LF Hypotek, funding profile

Twenty-four regional insurance companies own
Covered bonds 83%
Länsförsäkringar AB, and its subsidiaries, including both Liabilities to parent company 13%
Länsförsäkringar Bank AB, and its mortgage subsidiary Shareholder equity 4%
Länsförsäkringar Hypotek AB. The Group offers Source: Investor presentation
insurance, pensions and banking services to its
customers. Cover pool overview
Länsförsäkringar Bank is the fifth largest retail bank in characteristics:
Sweden, focusing primarily on private individuals and
farmers. Banking services are conducted at the 116 Table 538: Covered bond characteristics
branches of the regional insurance companies, along with As at 31
more modern distribution channels including telephone March
Covered bond rating AAA/Aaa/-
and internet banking. Issuer rating A/A2/-
Länsförsäkringar Hypotek is one of the largest retail Cover pool (SEK bn) 68
mortgage institutions in Sweden, with lending of some Substitute assets (SEKbn) 15
Over-collateralisation 14.6%
SEK70bn as at March 2010, predominantly funded
through the issuance of covered bonds. Average LTV 60.0%
Average loan size (SEK) 369,000
Financial performance Single family houses 80%
We set out below some of the key financial performance Tenant-owned apartments 19%
metrics: Leisure homes 1%
Source: Investor presentation
Table 534: LF Hypotek, select income statement items, SEKmm
2009
Net Other Income -83.9
Write-Downs 5.4
Net Profit 99.9
Source: LF Hypotek annual report 2009
Table 535: LF Hypotek, select balance sheet items, SEKmm

2009
Retail mortgage lending 75%
Agricultural lending 11%
Other lending 14%
Total assets 81,750
Table 536: LF Hypotek, select financial metrics

2008 2009
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Nordea Hypotek AB Table 542: Nordea Hypoteke, select financial metrics

Nordea Hypotek is a wholly owned subsidiary of Nordea
Domestic covered bonds 54%
Bank AB, the Nordic region’s largest financial EMTN covered bonds 25%
institution. Nordea Hypotek is the third largest mortgage Unsecured group funding 20%
lender in Sweden, granting loans to Swedish households, Sub debt 1%
municipalities, municipal housing companies and Source: Investor presentation
corporates.
Cover pool overview
The purpose of the lending is primarily to finance We set out below some of the key cover pool
properties, agriculture and municipal activities, with a characteristics:
central emphasis on housing finance. Collateral consists
predominantly of mortgages on residential property,
tenant-owned apartments or municipal guarantees. As at 31 March
Nordea also issues covered bonds through its Danish Issuer rating AA-/Aa2/AA-
subsidiary (Nordea Realkredit).
Cover pool (SEK bn) 359.2
Financial performance Substitute assets (SEKbn) n/a
Over-collateralisation 17.2%
metrics: Average LTV 52.1%
Average loan size (SEK) n/a
Table 539: Nordea Hypotek, select income statement items,
Single family houses 47.0%
SEKmm Tenant owned units 18.2%
2009 Multi family houses 16.8%
Net Interest Income 3,141 Other houses, agricultural, commercial, public sector 18.0%
Net Other Income 46 Source: Investor presentation
Total Operating Income 3,187
Write-Downs -61
Operating Profit 2,574
Net Profit 1,895
Source: Nordea Hypotek annual report 2009
Table 540: Nordea Hypotek, select balance sheet items, SEKmm

2009
Households 50%
Tenant owner apartments 18%
Multi-housing 16%
Public sector 11%
Other collateral 5%
Total assets 393,280
Table 541: Nordea Hypotek, select balance sheet items, SEKmm

2008 2009
RWA 47,418 49,707
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Skandinaviska Enskilda Banken AB Cover pool overview

Skandinaviska Enskilda Banken AB, or SEB is one of
characteristics:
Northern Europe’s leading financial groups, and the
second largest bank in Sweden after Nordea. The group Table 547: Covered bond characteristics
is predominantly focused on banking activities (although
As at 31 March
it also carries out life insurance business in selected 2010
markets) and is a leading universal bank in Sweden and Covered bond rating -/Aaa/-
the Baltic states. Issuer rating A/A1/A+
Total Cover Pool Balance: (SEKbn) 267.8

In other Nordic countries, SEB’s operations focus on WA Loan Balance: (SEK) 548,347
wholesale and investment banking, along with wealth No. of Loans: 488,387
management. The group also offers banking services in No. of Borrowers: 326,640
No. of Properties: 213,397
Germany, focusing on wholesale banking, commercial WA Legal Maturity (in months): 511.47
real estate finance, asset management and retail banking. WA LTV (in %): 44.93
WA Interest Rate on Floating rate Loans (in %): 1.39
WA Interest Rate on Fixed rate Loans (in %): 3.87
metrics:
Table 544: SEB, select income statement items, SEKmm LTV ranges As at 31 March
2010)
FY 2009 0-<=40% 46%
Net interest income 19,606 >40%-<=50% 14%
Provisions for loan losses 12,448 >50%-<=60% 12%
NII less provisions 7,158 >60%-<=70% 10%
4,646 >70%-<=75% 17%
Commissions & fee income 19,252 Source: Investor report
148
PBT 3,378
Taxes 2,200
Source: Bloomberg
Table 545: SEB, select balance sheet items, SEKmm

FY 2009
Deposits 801,088
Equity 99,669
Source: Bloomberg
Table 546: SEB, select financial metrics

FY 2009
NIM 0.9
ROA 0.0
ROE 1.2
ROC 0.1
Cost:Income 64.1
Core capital 12.8
Source: Bloomberg
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Stadshypotek AB Cover pool overview

Stadshypotek AB is a wholly-owned domestic mortgage
characteristics:
subsidiary of Svenska Handelsbanken AB.
Handelsbanken is a universal bank offering both retail Table 552: Covered bond characteristics
and commercial banking services in Sweden, along with
As at 31 March
operations in the other Nordic countries, as well as the
Covered bond rating -/Aaa/-
UK. Its 460-strong branch network is organised along Issuer rating AA-/Aa2/AA-
eleven regional banks, 6 of which are in Sweden, one
each in Denmark, Finland and Norway and two in the Cover pool (SEKbn) 585.0
Substitute assets
UK. Covered bonds (SEKbn) 380.6
Over-collateralisation
Stadshypotek issues covered bonds in accordance with
Average LTV 49.2%
the Swedish Covered Bond Act, with both a domestic Number of loans 1,184,202
and international programme available to investors. Average loan size (€) 441,800
Single family houses 51%
Multi family houses 24%
Financial performance Other houses, commercial, agricultural 24%
We set out below some of the key financial performance Source: Investor presentation
metrics:
Table 549: Handelsbanken, select income statement items,

SEKmm
2009
Net Interest Income 22,000
Net Other Income 10,335
Total Operating Expenses -15,220
Write-Downs -3,392
Source: Handelsbanken annual report 2009
Table 550: Handelsbanken, select balance sheet items, SEKmm

2009
Loans to customers 1,477,183
Table 551: Handelsbanken, select financial metrics

2008 2009
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Swedbank Mortgage AB Cover pool overview

Swedbank Mortgage is the largest mortgage institution in
characteristics:
Sweden. It has more than 1 million customers, financing
more than one third of all the houses in Sweden. Table 556: Covered bond characteristics
Swedbank Mortgage is a fully owned subsidiary of
As at 31 March
Swedbank, with its products primarily sold through the
branch network of Swedbank and the savings banks Issuer rating A/A2/-
(approximately 680 branches). Swedbank Mortgage
lends only domestically. Its parent company focuses on Cover pool (SEK bn) 613
Substitute assets (SEKbn) n/a
the provision of banking services to private customers
and small-and-medium sized enterprises in Sweden and Average LTV 44.0%
the Baltic states. Average loan size (SEK) 400,821
Residential mortgages 90.5%
Forest & agriculture 6.7%
Swedbank Mortgage funds itself on both the Swedish and Public 2.7%
international capital markets, issuing covered bonds Commercial 0.1%
under its domestic bond programme, its EMTN Source: Investor report
programme as well as its Swedish MTN programme.
metrics:
Table 553: Swedbank Mortgage, select income statement items,

SEKmm
2009
Net Interest Income 4,408
Net Other Income -597
Write-Downs -8
Net Profit 3,377
Source: Swedbank Mortgage annual report 2009
Table 554: Swedbank Mortgage, select balance sheet items,

SEKmm
2009
Households 82%
Real estate management 16%
Other business lending 1%
Municipalities 1%
Table 555: Swedbank Mortgage, select financial metrics

2008 2009
Cost:Income n/a n/a
RWA 320,560 310,556
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Swedish Covered Bond Corporation Cover pool overview

The Swedish Covered Bond Corporation (SCBC) is a
characteristics:
wholly-owned subsidiary of the Swedish Housing
Finance Corporation (SBAB), which in turn is owned in Table 561: Covered bond characteristics
its entirety by the Kingdom of Sweden. SBAB offers
As at 31 May 2010
loans and savings products, with a 100% domestic
S/M/F
mortgage portfolio. Covered bond rating AAA/Aaa/-
Issuer rating (Sampo Bank plc) A+/A1/-
SCBC's business activities are predominantly focused on
issuing covered bonds, both domestically and on the Mortgage certificate 127,927
international capital markets (accounting for 37% and Pledges 38,646
23% of its funding requirements respectively). Municipal & govt g'tee 5,552
KFA-Municipal g'tee 374
BKN-Public sector g'tee 498
Financial performance Direct loans to municipalities 654
We set out below some of the key financial performance Other -
173,652
metrics:
WA LTV mortgages 56%
Table 557: SCBC, select income statement items, SEKmm WA LTV pledges 65%
2009 Source: Investor report
Net Interest Income 813
Net Other Income -638 Table 562: Collateral pool LTV breakdown
Total Operating Income 175
Total Operating Expenses -445 End LTV % of pool
Write-Downs -25 0-20 5.7%
Operating Profit -295 20-40 16.2%
Profit -217 40-50 11.2%
50-60 18.2%
60-70 14.5%
Source: SCBC annual report 2009
70-75 34.2%
Total 100.0%
Table 558: SCBC, select balance sheet items, SEKmm Source: Investor report
2009
Households 40%
Tenant owner apartments 45%
Multi-housing 11%
Other collateral 4%
Table 559: SCBC, select financial metrics

2008 2009
Cost:Income 28 n/a
RWA 73,535 80,760
Table 560: SBAB, funding profile

Swedish Covered Bond funding 30%
Covered EMTN programme 26%
Senior Unsecured 34%
CP 10%
Source: Investor presentation
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Swiss covered bonds
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Swiss Covered Bonds

We set out below in Table 563 a snapshot of key covered bond attributes in
Switzerland.

Legislative Framework Issuance under the Swiss CB framework (Pfandbriefgesetz or PfG) is limited to just
two institutions, one for cantonal banks (Pfandbriefzentrale der schweizerischen
Kantonalbanken or PBZ) and one for non-cantonal banks (Pfandbriefbank
schweizerischer Hypothekarinstitute or PBB). These issue in CHF only.
A second variety of Swiss covered bonds has been issued in the international capital
markets by UBS, using structured covered bond technology similar to that deployed
by UK and Dutch issuers. This type of obligation is covered bond uses contract as
opposed to statute law to define its terms.
Structure of Issuer Both PBB and PBZ use the proceeds raised through pfandbrief issuance and pass
them on to the member institutions who originated the loans. The underlying
mortgages remain on the member bank’s balance sheets, but PBB and PBZ receive a
lien on the eligible cover assets.
Similar to other contractual, structured covered bonds, UBS’ CB are direct,

unsecured, unsubordinated and unconditional obligations of the Issuer. Under this
structure, the Issuer lends the sums received from bond issuance to a guarantor
(usually a Limited Liability Partnership, or LLP) with the LLP using the funds to
purchase collateral from the originator. The LLP agrees to guarantee the Issuer’s
obligations to covered bond investors, collateralising the guarantee with the
purchased loans and securities acquired from the Issuer.
Supervision Swiss Banking Regulator (Finma), along with external, third-party audits
Cover assets The PfG allows only for mortgages on real property and land. LTV limits stand at 67%
for homes, 50% for weekend holiday homes and 33% for apartments in holiday
resorts. Substitute assets are defined as cash or Swiss marketable securities. There
is no explicit cap on the level of substitute assets.
With respect to UBS’ programme, eligible assets are defined in the programme terms.
This includes residential mortgages, with a maximum LTV of 80%. Substitute assets
are capped at 15%
ALM matching Eligible assets must be greater than liabilities at all times on a nominal and NPV
basis. Derivatives can be used to help meet cashflow requirements
Over-collateralisation Under the PfG, principal and interest payments must be covered at all times by an
equivalent amount of loans.
For UBS, minimum OC varies depending on contractual obligations. Pre-maturity

tests are designed to ensure the borrower can provide sufficient liquidity in case of
downgrade (i.e. pre-defined period prior to scheduled bond redemption, if a
borrower's short-term rating is below a prescribed threshold, the borrower must fund a
cash collateral account to ensure redemption). Asset Coverage tests are designed
to ensure that pool collateral is sufficient to meet future interest and principal
cashflows on the outstanding covered bonds. Interest Coverage test to ensure
interest from the cover pool after hedges always exceeds payments due on the
covered bonds
Bankruptcy remoteness Under the PfG, member bank insolvency, pfandbrief issuers would have a direct
priority claim on the interest and principal payments of registered collateral. Finma
can also require transfer of the collateral pool or arrange for sale of the cover assets
For UBS, bankruptcy will result in the transfer of the cover pool to the Guarantor
Compliance with EU For pfandbrief, the bonds are UCITS but not CRD compliant
legislation
For UBS, the bonds are neither UCITS or CRD compliant
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UBS AG Table 566: UBS AG, select financial metrics

FY 2009
Headquartered in Zurich and Basel UBS is a global
NIM 0.7
financial services firm, offering wealth management, ROA -0.2
asset management and investment banking services in ROE -7.4
over 50 countries. The Bank focuses on the provision of ROC -0.4
C:I 98.9
financial services to private, corporate and institutional Core capital 15.4
clients across a four-division structure. Wealth Source: Bloomberg
Management & Swiss Bank focuses on HNW individuals
(with the exception of clients in the Americas, who are Cover pool overview
served by Wealth Management Americas) and retail and We set out below some of the key cover pool
corporate banking business in Switzerland. The two other characteristics:
divisions are Global Asset Management and the
institution's Investment Bank. Table 567: Covered bond characteristics
As at 30 June
The firm operates mostly out of the Americas and 2010
Switzerland, which together account for 74% of the S/M/F
group's workforce, while 16% is located in other Covered Bond rating -/Aaa/AAA
Issuer rating A+/Aa3/A+
European countries and 10% in Asia.
Cover pool size (CHF) 14,406,849,376
UBS has a 20% mortgage market share in Switzerland, Number of loans 37,531
Average loan balance (CHF) 383,865
despite the strong competition from local cantonal banks, Available over-collateralisation 68.8
and 28% of its funding comes from customer deposits. Excess over-collateralisation 42.0
WA remaining term of loans (yrs) 3.26

Financial performance WA LTV (%) 54.2
We set out below some of the key financial performance Fixed rate assets (in %) 83.9
metrics: Highest regional concentration (in %) Lake Geneva-33
Table 564: UBS AG, select income statement items, CHFmm
Table 568: Collateral pool LTMV breakdown
FY 2009
Net interest income 6,445 Current LTMV ranges As at 30 June
Provisions for loan losses 1,832 2010
NII less provisions 4,613 0-<=40% 18.1
>40%-<=50% 18.7
Operating profit (loss) -1,571 >80% 0.2
PBT -2,562
Taxes -443
Net profit (loss) -2,736
Source: Bloomberg
Table 565: UBS AG, select balance sheet items, CHFmm

FY 2009
Deposits 410,475
Equity 48,633
Source: Bloomberg
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UK covered bonds
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UK Covered Bonds
Market size
We provide an overview of market issuance trends and outstanding volumes of UK

120,000
200,000
100,000
80,000 150,000
60,000 100,000
40,000
20,000 50,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 569 a snapshot of key covered bond attributes in the UK.
Table 569: UK CB overview

Legislative Previously a contract-law based covered bond regime. The Regulated Covered Bonds (RCB)
Framework Regulations 2008 (as subsequently amended), now provides the legislative framework for UK
covered bond programmes. UK CB can therefore be either contract-law or legislative covered
bonds.
Structure of Issuer UKCB are issued by credit institutions, where the CB are direct, unsecured, unsubordinated
and unconditional obligations of the Issuer. Under the typical structure, the Issuer lends the
sums received from bond issuance to a guarantor (usually a Limited Liability Partnership, or
LLP), with the LLP using the funds to purchase collateral from the originator. Under this
structure, the LLP agrees to guarantee the Issuer’s obligations to covered bond investors,
collateralising the guarantee with the purchased loans and securities acquired from the
Issuer. This structure is similar to that used in the Netherlands.
Supervision Financial Services Authority
Cover assets Owing to the (initial) non-statutory nature of the UK covered bond framework, originators
typically define their own eligibility criteria (see individual programme snapshots). Most
programmes are backed by UK residential mortgages, with Bank of Scotland’s Social
Housing CB programme being the exception. Substitution assets consisting of highly liquid,
non-mortgage assets are also eligible for inclusion, up to certain, pre-defined programme
limits. Derivatives can be used.
ALM matching Shelves must also comply with programme requirements, including: Pre-maturity tests are
designed to ensure the borrower can provide sufficient liquidity in case of downgrade (i.e.
pre-defined period prior to scheduled bond redemption, if a borrower's short-term rating is
below a prescribed threshold, the borrower must fund a cash collateral account to ensure
redemption). Amortisation tests are designed to ensure the issuer has the capacity to meet
its obligations following a borrower EOD. Asset Coverage tests are designed to ensure that
pool collateral is sufficient to meet future interest and principal cashflows on the outstanding
covered bonds
Over- Requirements prescribed by the issuers. Nominal value of assets has to be greater than
collateralisation principal amount of o/s bonds, plus the costs associated with running the programme.
Bankruptcy Similar to the Netherlands, in case of insolvency of the originator, the issuer exercises the
remoteness financial guarantee over the pledged assets; if the issuer is insolvent, assets are transferred
to an SPE
Compliance with EU Dependant on programme, but generally UCITS and CRD compliant for RCBs
legislation
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UK macro background
Figure 144: UK real GDP growth, y-on-y, % Figure 147: UK unemployment level, %
6 Real GDP grow th
10
4
8
2
0 6
-2
4
-4
Unemploy ment
-6 2
-8 0
Mar-00
Mar-01
Mar-02
Mar-03
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Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 145: UK CPI and base rate, % Figure 148: UK consumer confidence, balance of survey
7 Inflation Base rate Cons. Confidence
10
6
5 0
4 -10
3
-20
2
1 -30
0 -40
Mar-00
Mar-01
Mar-02
Mar-03
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Mar-05
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Mar-08
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Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 146: UK house price growth, y-on-y, % Figure 149: UK mortgage loan approvals, #
30 Nationw ide house price grow th 100000 BBA Mortgage loan approv als
20 80000
10 60000
0 40000
-10 20000
-20 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
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Barclays plc Table 572: Key ratios, %

2006 2007 2008 2009
Snapshot
NIM 1.3 1.2 1.2 1.3
Barclays is one of the world’s largest financial services ROA 0.5 0.4 0.3 0.5
companies, with operations in over 50 countries. Its ROCE 24.6 20.5 14.6 22.4
businesses currently include retail and commercial ROC 1.5 1.3 1.1 2.0
C:I 60.6 57.4 63.2 57.3
banking, credit cards, investment banking, wealth Core capital 7.7 7.8 8.6 13.0
management and investment management services. Source: Bloomberg
The Group is constructed around two broad divisions. Cover pool overview
Barclays Global Retail and Commercial Banking We set out below some of the key cover pool
(GRCB) operations comprises six business units characteristics:
including UK retail banking, Barclays commercial bank,
Barclaycard, Emerging markets, Western Europe and Table 573: Select covered bond terms
Absa, its South African platform. Investment Banking Terms
and Investment Management (IBIM) includes Barclays Asset Coverage Test (ACT)
Capital (including the acquired segments of Lehman <3m in arrears 0.75
Brothers), Barclays Global Investors and Barclays 3m+ true balance & LTV<75% 0.40
3m+ true balance & LTV>75% 0.25
Wealth.
Asset percentage 94.0%
Barclays plc issued its first UK covered bond in Max. subs assets n/a
September 2009, and has issued two subsequent deals in
Reps & warranties
2010. Min. current payments 1
Min. margin n/a
Financial performance Max. balance 1,500,000
Max. term (yr) 50
We set out below some of the key financial performance BTL eligible? Y
metrics: Source: J.P. Morgan Covered Bond Research, Offering Circulars
Table 570: Key profit & loss figures, £mm Table 574: Cover pool characteristics
2006 2007 2008 2009 Characteristic
Net interest income 10,105 10,826 12,149 11,974 Ratings S/M/F
Provisions for loan losses 2,154 2,795 5,419 8,071 Covered bond rating AAA/Aaa/AAA
NII less provisions 7,951 8,031 6,730 3,903 Issuer rating A+/Aa3/AA-
Commissions & fee income 8,005 8,678 7,573 9,946 Fitch D:factor 18.60%
Other operating income 699 707 1,220 1,730 Moody's TPI Probable
Non-interest expense 13,913 14,169 14,479 18,210
Operating profit (loss) 6,356 7,006 2,383 4,370 Cover pool Jun-10
PBT 7,136 7,076 5,136 4,585 Total pool 13,274,386,585
Taxes 1,941 1,981 453 1,074 Asset type:
Net profit (loss) 4,571 4,417 4,382 9,393 Mortgages 13,274,386,585
Source: Bloomberg Cash n/a
Bonds outstanding 4,055,181,690
Table 571: Key balance sheet figures, £mm
# mortgages 92,470
2006 2007 2008 2009 Avg loan balance 143,553
Real Estate Loans 16,528 17,018 22,155 23,468 WA Indexed LTV 60.9%
Commercial Loans 145,477 182,319 261,680 220,255 LTV>80% 13.9%
Consumer Loans 130,012 153,622 188,471 194,709 LTV>90% 4.1%
Other Loans 10,142 13,226 18,187 15,995 LTV>100% n/a
Loans 282,300 345,398 461,815 420,224
Total Assets 996,787 1,227,361 2,052,980 1,378,929 Asset seasoning 21.9
Deposits 256,754 294,987 335,505 322,429
Short-term borrowings 161,819 178,166 221,659 154,912 Current asset percentage 77.3%
Other ST borrowings 368,559 498,323 223,192 155,832 Amt of credit support n/a
Long-term borrowings 42,812 50,758 72,660 83,252
Equity 27,390 32,476 47,411 58,478 Source: J.P. Morgan Covered Bond Research, Investor Reports, Rating Agencies
Source: Bloomberg
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Bradford & Bingley Plc Table 577: Key ratios, %

2006 2007 2008 2009
Snapshot
NIM 1.2 1.2 1.5 1.3
Bradford & Bingley Plc (‘Bradbi’) was the UK’s largest ROA 0.4 0.2 0.0 0.0
specialist Buy-to-Let mortgage lender, before its ROCE 12.9 7.1 1.5 7.7
nationalisation in September 2008. In a two-part ROC 0.9 0.4 0.1 0.4
C:I 44.6 49.0 31.2 31.9
transaction, the savings arm and branch network of Core capital 7.6 8.6 8.9 8.7
Bradbi were transferred to Santander (see Santander UK Source: Bloomberg
plc profile), while the rest of the group's operations
including the mortgage business were transferred to Cover pool overview
public ownership. The covered bonds remain an We set out below some of the key cover pool
obligation of the publicly-owned institution. characteristics:
Approval of State Aid support was received from the EC Table 578: Select covered bond terms
on 25th January 2010. This extends the HM Treasury Terms
guarantee on Bradbi's covered bonds until institutional Asset Coverage Test (ACT)
run-off is complete. <3m in arrears 0.75
3m+ true balance & LTV<75% 0.40
Bradford & Bingley is set to be integrated with Northern
Rock (Asset Management) plc, under a single holding Asset percentage 91.0%
company. The companies will remain separate legal Max. subs assets 10.0%
entities, with their own balance sheets, liabilities and
government support arrangements. Reps & warranties
Min. current payments 2
Min. margin
Financial performance Max. balance 1,000,000
We set out below some of the key financial performance Max. term (yr) 50
metrics: BTL eligible? Y
Source: J.P. Morgan Covered Bond Research, Offering Circulars
Table 575: Key profit & loss figures, £mm

Table 579: Cover pool characteristics
2006 2007 2008 2009
Net interest income 510 548 737 612 Characteristic
Provisions for loan losses 7 117 699 687 Ratings S/M/F
NII less provisions 503 431 38 -75 Covered bond rating AA/Aa2/AAA
Commissions & fee income 92 82 63 53 Issuer rating A-1/A2/AAA
Other operating income 5 -64 206 45 Fitch D:factor No longer disclosed
Non-interest expense 272 280 277 224 Moody's TPI Probable
Operating profit (loss) 330 175 -90 -209
PBT 247 126 134 -196 Cover pool Jun-10
Taxes 69 33 116 -98 Total pool 10,266,076,401
Net profit (loss) 178 93 18 -98 Asset type:
Source: Bloomberg Mortgages 10,264,898,640
Cash 1,177,761
2006 2007 2008 2009 # mortgages 91,718
Real Estate Loans 33,431 39,565 40,989 38,167 Avg loan balance 111,918
Commercial Loans 2,750 880 838 819 WA Indexed LTV 81.9%
Consumer Loans 33,431 39,565 41,826 39,923 LTV>80% 65.2%
Other Loans n/a n/a n/a n/a LTV>90% 41.5%
Loans 36,132 40,445 41,826 38,986 LTV>100% 13.1%
Total Assets 45,354 51,985 55,923 49,394
Deposits 22,201 24,153 828 458 Asset seasoning 53.3
Short-term borrowings 14,341 8,221 10,945 8,100
Other ST borrowings 705 658 22,067 27,776 Current asset percentage 83.0%
Long-term borrowings 6,425 17,576 20,657 11,398 Amt of credit support 1,561,669,425
Equity 1,420 1,211 1,158 1,394
Source: J.P. Morgan Covered Bond Research, Investor Reports, Rating Agencies
Source: Bloomberg
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HSBC Cover pool overview

Snapshot
characteristics:
HSBC Bank plc (‘HSBC’) is a wholly owned subsidiary
of HSBC Group, one of the world’s largest financial Table 583: Select covered bond terms
institutions. HSBC Bank is the UK’s seventh largest
Terms
mortgage lender, accounting for 4.7% of total mortgage
Asset Coverage Test (ACT)
balances outstanding. The demise of segments of the UK <3m in arrears 0.75
mortgage market saw HSBC play a larger role in the 3m+ true balance & LTV<75% 0.40
mortgage market in 2008 (latest available CML figures), 3m+ true balance & LTV>75% 0.25
with gross mortgage lending of £17.2bn or 6.7% of loans
advances (compared against £10.1bn or 2.1% in 2007). Max. subs assets
Financial performance Reps & warranties

We set out below some of the key financial performance Min. current payments 1
Min. margin
metrics:
Max. balance 1,000,000
Max. term (yr) 2056
Table 580: Key profit & loss figures, £mm BTL eligible? Y
2006 2007 2008 2009 Source: J.P. Morgan Covered Bond Research, Offering Circulars
Net interest income 18,929 19,053 23,374 26,187
Provisions for loan losses 5,747 8,618 13,607 16,978 Table 584: Cover pool characteristics
NII less provisions 13,182 10,435 9,766 9,209
Commissions & fee income 11,458 13,164 13,513 13,719 Characteristic
Other operating income 2,265 3,540 5,250 4,523 Ratings S/M/F
Non-interest expense 20,356 21,681 23,614 24,965 Covered bond rating AAA/Aaa/AAA
Operating profit (loss) 11,545 11,351 8,602 9,141 Issuer rating AA-/Aa2/AA
PBT 12,005 12,102 5,079 4,537 Fitch D:factor 15.50%
Taxes 2,835 1,878 1,533 247 Moody's TPI Probable
Net profit (loss) 8,582 9,563 3,126 3,739
Source: Bloomberg Cover pool Jun-10
Total pool 29,074,218,695
Asset type:
Table 581: Key balance sheet figures, £mm Mortgages 29,074,218,695
2006 2007 2008 2009 Cash NR
Real Estate Loans 44,729 53,590 69,783 42,971 Bonds outstanding 15,569,434,133
Commercial Loans 202,655 249,262 349,918 297,794
Consumer Loans 243,317 252,602 302,043 268,892 # mortgages 274,628
Other Loans 4,594 2,879 4,490 4,142 Avg loan balance 105,868
Loans 443,627 495,056 640,047 555,011 WA Indexed LTV 64.2%
Total Assets 950,870 1,187,404 1,734,110 1,464,238 LTV>80% 30.3%
Deposits 458,293 552,852 765,233 717,757 LTV>90% 13.9%
Short-term borrowings 102,730 135,405 158,442 125,030 LTV>100% 4.0%
Other ST borrowings 195,312 282,431 572,224 262,682
Long-term borrowings 77,861 68,145 74,292 62,143 Asset seasoning 47.92
Equity 58,730 68,299 68,768 84,011
Source: Bloomberg Current asset percentage 78.2%
Amt of credit support 4,527,912,733
Table 582: Key ratios, % Source: J.P. Morgan Covered Bond Research, Investor Reports, Rating Agencies
2006 2007 2008 2009

NIM 2.4 2.1 2.2 2.2
ROA 0.9 0.9 0.2 0.2
ROE 15.7 16.2 5.2 5.0
ROC 4.0 4.1 1.3 1.5
C:I 51.3 49.4 48.6 46.4
Core capital 9.4 9.3 8.3 10.8
Source: Bloomberg
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Lloyds Banking Group plc (including Table 587: Key ratios, %

Bank of Scotland and Lloyds TSB Bank) FY 2006 FY 2007 FY 2008 FY 2009
ROA 0.9 0.9 0.2 0.4
Snapshot ROE 26.3 28.2 7.2 10.7
Bank of Scotland Plc (‘BoS’) is wholly owned and ROC 2.8 2.9 0.6 1.0
C:I 47.7 52.0 61.8 68.7
guaranteed by Lloyds Banking Group, the combined Core capital 8.2 8.1 8.0 9.6
entity formed by the acquisition of HBoS Plc by Lloyds Source: Bloomberg
TSB during the financial crisis of 2008. The enlarged
group is the UK’s largest mortgage lender, with a market Cover pool overview
share of 30.3% in 2008. The enlarged entity is currently We set out below some of the key cover pool
41% owned by the UK government. characteristics:
Bank of Scotland has two distributed covered bond Table 588: Select covered bond terms
programmes, one backed by residential mortgages (BoS Terms BoS SH BoS Resi L Resi
Resi) and another backed by social housing (BoS SH) Asset Coverage Test (ACT)
collateral. Lloyds TSB also has its own CB programme, <3m in arrears n/a 0.60 0.75
backed by residential mortgages (L Resi). 3m+ true balance & LTV<75% n/a 0.60 0.40
3m+ true balance & LTV>75% n/a 0.60 0.25
Financial performance Asset percentage 100.0% 92.5% 93.0%

We set out below some of the key financial performance Max. subs assets 25.0% 10.0% 10.0%
metrics:
Reps & warranties
Table 585: Key profit & loss figures, £mm Min. current payments n/a 2 1
Min. margin n/a
2006 2007 2008 2009 Max. balance n/a 1,000,000 1,000,000
Net interest income 5,537 6,099 7,718 9,026 Max. term (yr) n/a 50
Provisions for loan losses 1,555 1,796 3,012 16,673 BTL eligible? n/a Y
NII less provisions 3,982 4,303 4,706 -7,647 Source: J.P. Morgan Covered Bond Research, Offering Circulars
Commissions & fee income 3,116 3,224 3,231 4,254
Other operating income -3,066 -1,145 8,780 -7,680
Non-interest expense 6,147 6,167 6,794 17,501 Table 589: Cover pool characteristics
Operating profit (loss) 4,248 3,343 756 -9,379 Characteristic BoS SH BoS Resi L Resi
PBT 4,248 4,000 760 1,042
Ratings S/M/F S/M/F S/M/F
Taxes 1341 679 -38 -1,911
Covered bond rating AAA/Aaa/AAA AAA/Aaa/AAA -/Aaa/AAA
Net profit (loss) 2,803 3,289 772 2,827
Issuer rating A/A1/AA- A/A1/AA- A/A1/AA-
Source: Bloomberg Fitch D:factor 6.90% 18.40% 14.10%
Moody's TPI Probable-High Probable Probable
Cover pool Q2 2010 May-10 Jun-10
2006 2007 2008 2009 Total pool 3,834,197,890 51,754,743,118 13,240,690,185
Real Estate Loans 110,829 123,186 140,977 457,317 Asset type:
Commercial Loans 61,990 76,386 94,001 236,362 Mortgages 3,386,680,624 45,285,217,570 11,409,981,681
Consumer Loans 118,626 125,727 139,961 405,625 Cash 447,517,266 6,469,525,548 1,830,708,504
Other Loans 9,862 10,109 9,841 18,017 Bonds outstanding 2,400,000,000 32,169,538,595 8,446,750,000
Loans 188,285 209,814 240,344 626,969
Total Assets 343,598 353,346 436,033 1,027,255 # mortgages 73 459,744 112,590
Deposits 139,342 156,555 170,938 406,741 Avg loan balance 46,392,885 177,445 101,341
Short-term borrowings 72,732 74,948 125,040 188,108 WA Indexed LTV n/a 69.0% 56.9%
Other ST borrowings 86,028 78,444 93,915 223,754 LTV>80% n/a 36.8% 9.73%
Long-term borrowings 29,852 27,673 34,440 162,573 LTV>90% n/a 20.4% 0.65%
Equity 11,507 12,425 9,699 44,107 LTV>100% n/a 8.0% 0.01%
Source: Bloomberg
Asset seasoning n/a 53.12 40.92
Current asset % 86.0% 70.0% 79.9%

Amt of credit
support 68,050,145 1,521,944,819 2,172,457,446
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Nationwide Building Society Table 592: Key ratios, %

FY 2007 FY 2008 FY 2009 FY 2010
Snapshot
NIM 1.2 1.2 1.0 n/a
Nationwide Building Society is the UK’s largest building ROA 0.4 0.3 0.1 0.1
society, and its third largest mortgage lender (11.2% ROE 8.8 8.6 3.1 5.3
mortgage market share, similar to its 11% share of retail ROC 1.0 0.9 0.3 0.4
C:I 59.3 61.2 73.2 59.2
savings). Following an earlier merger with the Portman Core capital (%) 8.7 9.7 15.1 15.3
BS (September 2006), Nationwide has also merged with Source: Bloomberg
two smaller societies since the start of the financial crisis
(Derbyshire BS and Cheshire BS). Cover pool overview
As a mutual organisation, Nationwide has no characteristics:
shareholders and is ultimately owned by its retail savings
and residential mortgage customers. As such, bottom-line Table 593: Select covered bond terms
profitability is not the primary driver of activity, with Terms
some of the value generated by the business being given Asset Coverage Test (ACT)
back to members through more competitive pricing. <3m in arrears 0.75
3m+ true balance & LTV<75% 0.40
We set out below some of the key financial performance Asset percentage 93.0%
metrics: Max. subs assets 10%
Reps & warranties

Table 590: Key profit & loss figures, £mm Min. current payments 2
2007 2008 2009 2010 Min. margin 0.15%
Max. term (yr) 50
Provisions for loan losses 134 106 394 549
BTL eligible? Y
Commissions & fee income 335 334 359 378 Source: J.P. Morgan Covered Bond Research, Offering Circulars
Other operating income 91 44 145 47
Non-interest expense 1,149 1,284 1,631 1,248 Table 594: Cover pool characteristics
Operating profit (loss) 651 707 202 307
PBT 652 686 212 341 Characteristic
Taxes 188 191 50 77 Ratings S/M/F
Net profit (loss) 464 495 162 264 Covered bond rating AAA/Aaa/AAA
Source: Bloomberg
2007 2008 2009 2010 Cover pool May-10
Total pool 39,463,716,796
Real Estate Loans 101,883 127,078 138,794 n/a
Asset type:
Commercial Loans n/a n/a n/a n/a
Mortgages 39,220,675,324
Consumer Loans 101,883 127,078 138,794 n/a
Cash 243,041,472
Other Loans 14,055 15,726 16,688 n/a
Loans 115,938 142,804 155,482 152,429
Total Assets 137,379 179,027 202,361 191,397
# mortgages 457,643
Deposits 86,795 113,816 128,284 120,943
Avg loan balance 85,701
WA Indexed LTV 56.9%
LTV>80% 18.7%
LTV>90% 7.7%
Equity 6,510 7,253 5,820 7,240
LTV>100% 1.7%
Source: Bloomberg
Asset seasoning 62.66
Current asset percentage 84.5%

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Northern Rock (Asset Management) plc Table 597: Key ratios, %

2006 2007 2008 2009
Snapshot
NIM n/a 0.7 0.1 0.5
Northern Rock (AM) plc ('NRAM') is the UK ROA 0.5 -0.2 -1.3 -0.3
government-owned run-off vehicle (formerly referred to ROE 20.2 -13.1 n/a n/a
as AssetCo), created by the nationalisation, and ROC 0.7 -0.2 -1.5 -0.4
C:I 30.4 42.1 119.2 47.6
subsequent split of Northern Rock plc into two separate Core capital (%) 11.7 7.7 -0.4 n/a
legal entities (the other, successor institution retaining the Source: Bloomberg
original name of the pre-nationalisation entity).
Cover pool overview
The outstanding covered bonds remain obligations of We set out below some of the key cover pool
NRAM, and are currently beneficiaries of a guarantee characteristics:
from HM Treasury. Unlike the guarantee on Bradford &
Bingley’s existing covered bonds however, this Table 598: Select covered bond terms
guarantee can be terminated with no less than three Terms
month's notice. The terms of the guarantee for NRAM's Asset Coverage Test (ACT)
covered bonds remain under review with the objective of <3m in arrears 0.75
sustaining the programme's credit rating. A further 3m+ true balance & LTV<75% 0.40
announcement from HMT is expected to be made in due
course. Asset percentage 90.0%
Max. subs assets 10.0%
We set out below some of the key financial performance Reps & warranties
metrics: Min. margin 0.15%
Table 595: Key profit & loss figures, £mm Max. term (yr) 50
BTL eligible? Y
2006 2007 2008 2009
Net interest income 818 761 51 1,157 Source: J.P. Morgan Covered Bond Research, Offering Circulars
Provisions for loan losses 81 240 894 1,045
NII less provisions 737 522 -844 113 Table 599: Cover pool characteristics
Other operating income 1 25 53 13 Characteristic
Non-interest expense 352 352 363 659 Ratings S/M/F
Operating profit (loss) 627 179 -943 -424 Covered bond rating AAA/Aaa/AAA
PBT 627 -168 -1,356 -258 Issuer rating A/Aa3/A+
Taxes 184 31 -46 19 Fitch D:factor 18.50%
Net profit (loss) 443 -199 -1,378 -309 Moody's TPI Probable
Source: Bloomberg
Cover pool May-10
Total pool 13,028,542,57
Table 596: Key balance sheet figures, £mm Asset type:
2006 2007 2008 2009 Mortgages 11,587,785,635
Real Estate Loans 72,122 84,278 61,004 60,068 Cash 1,440,756,922
Commercial Loans 6,967 7,059 8,569 2,234 Bonds outstanding 7,305,976,411
Consumer Loans 79,956 92,019 66,724 64,339
Other Loans n/a n/a n/a n/a # mortgages 82,776
Loans 86,796 98,835 74,424 65,400 Avg loan balance 139,990
Total Assets 101,011 109,321 104,346 87,446 WA Indexed LTV 92.16%
Deposits 26,868 11,563 20,723 20,608 LTV>80% 70.58%
Short-term borrowings 54,050 51,874 51,524 33,611 LTV>90% 24.35%
Other ST borrowings 2,798 2,017 2,555 557 LTV>100% 0.99%
Equity 2,175 1,664 -402 1,055 Asset seasoning 44.12
Source: Bloomberg
Amt of credit support 456,094,427
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Royal Bank of Scotland Table 602: Key ratios, %

2006 2007 2008 2009
Snapshot
NIM 1.6 1.1 1.4 1.4
Royal Bank of Scotland Group (‘RBS’) is one of ROA 0.7 0.5 -1.1 -0.2
Europe's largest financial groups, despite its travails ROE 15.9 15.7 -43.4 -5.3
during the credit crisis. It is structured around six ROC 1.9 1.5 -4.9 -0.4
C:I 52.9 58.9 96.0 58.2
business lines: UK Personal which includes its retail, Core capital (%) 7.5 7.3 10.0 14.1
corporate and commercial banking and wealth Source: Bloomberg
management services; UK Corporate which serves UK
corporate customers; RBS Insurance which includes the Cover pool overview
UK's #2 general and #1 personal insurer by GWP; US We set out below some of the key cover pool
Retail and Commercial Banking provided through the characteristics:
Group's Citizen Financial Group; European & Middle
East Retail & Commercial Banking and its Global Table 603: Select covered bond terms
Banking & Markets division. Terms
Asset Coverage Test (ACT)
The Group remains majority owned by the UK <3m in arrears 75%
government (68.4%), with the ultimate goal of returning >3m in arrears 40%
the institution to the private sector once restructuring is Asset percentage 90%
completed. RBS introduced its covered bond programme Max. subs assets 15%
and issued its inaugural bond in 2010.
Reps & warranties
Financial performance Min. current payments 1m
Min. margin n/a
We set out below some of the key financial performance Max. balance £2,600,000
metrics: Max. term (yr) n/a
BTL eligible? n/a
Table 600: Key profit & loss figures, £mm Source: J.P. Morgan Covered Bond Research, Offering Circulars
2006 2007 2008 2009

Net interest income 10,596 12,069 18,675 16,504 Table 604: Cover pool characteristics
Provisions for loan losses 1,878 1,968 8,072 14,950 Characteristic
Ratings S/M/F
Commissions & fee income 7,116 8,278 9,831 9,831
Covered bond rating -/Aaa/AAA
Other operating income 4,888 3,509 3,113 6,397
Issuer rating A/A1/AA-
Non-interest expense 14,268 16,027 22,650 22,651
Operating profit (loss) 9,129 7,697 -7,238 -694
PBT 8,995 9,832 -40,836 -2,595
Taxes 2,689 2,044 -2,323 -371
Cover pool Jun-10
Net profit (loss) 6,202 7,549 -23,710 -2,672
Total pool 4,530,731,159
Source: Bloomberg Asset type:
Mortgages 4,530,731,159
Table 601: Key balance sheet figures, £mm Cash n/a
Bonds outstanding (€) 1,250,000,000
2006 2007 2008 2009
Real Estate Loans 39,296 88,837 52,127 48,895 # mortgages 33,538
Commercial Loans 351,070 552,138 754,738 607,330 Avg loan balance 135,092
Consumer Loans 98,806 253,274 110,419 118,829 WA Indexed LTV 65.8%
Other Loans 20,950 29,575 20,454 19,360 LTV>80% 16.6%
Loans 466,893 828,538 874,722 728,393 LTV>90% 0.6%
Total Assets 871,432 1,840,829 2,401,652 1,696,486 LTV>100% 0.1%
Deposits 384,222 682,363 639,512 614,202
Short-term borrowings 198,287 549,975 477,680 327,343 Asset seasoning 13.0
Current asset percentage n/a
Equity 45,490 91,426 80,498 94,631
Amt of credit support n/a
Source: Bloomberg
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Santander UK Plc Table 607: Key ratios, %

2006 2007 2008 2009
Snapshot
NIM 0.8 0.9 0.9 1.5
Abbey National Treasury Services Plc (‘ANTS’) is a ROA 0.0 0.4 0.3 0.4
wholly owned subsidiary of Santander UK and is the ROCE 2.2 21.2 17.4 19.1
issuing entity for its UKCB programme. Santander UK, ROC 0.2 1.4 1.2 1.6
C:I 82.7 56.6 52.0 46.1
is the new name for the broader Santander Group’s UK Core capital 8.0 5.4 6.2 6.8
operations, and includes the businesses of Abbey (since Source: Bloomberg
2004), alongside its other UK brands, including Alliance
& Leicester (full acquisition) and Bradford & Bingley Cover pool overview
(deposits & branches only)–both acquired during the We set out below some of the key cover pool
financial crisis. The combined entities took a 13.7% characteristics:
share of the mortgage market in 2008 (latest available
CML figures), marginally ahead of their share by Table 608: Select covered bond terms
balances outstanding of 13%. Santander UK has the third Terms
largest share of deposits (10%) and 1,303 branches. Asset Coverage Test (ACT)
<3m in arrears 0.75
Santander is the world’s third-largest bank in terms of 3m+ true balance & LTV<75% 0.40
profits and seventh-largest by market capitalisation. It
has significant operations in Europe (Spain, Portugal, UK Asset percentage 91.0%
in particular) and Latin Amercia, where it is the region’s Max. subs assets 10.0%
largest player.
Reps & warranties
Financial performance Min. margin 0.50%
We set out below some of the key financial performance Max. balance 1,000,000
Max. term (yr) 50
metrics: BTL eligible? Y
Source: J.P. Morgan Covered Bond Research, Offering Circulars
Table 605: Key profit & loss figures, £mm
2006 2007 2008 2009 Table 609: Cover pool characteristics
Characteristic
Provisions for loan losses n/a 344 348 842
NII less provisions 1,229 1,156 1,424 2,570 Ratings S/M/F
Commissions & fee income 789 785 768 986 Covered bond rating AAA/Aaa/AAA
Other operating income 134 n/a n/a n/a Issuer rating AA/Aa3/AA-
Non-interest expense 2,132 1,664 1,659 2,326 Fitch D:factor 14.40%
Operating profit (loss) 428 864 1,094 1,690 Moody's TPI Probable
PBT before XO items 428 864 1,094 1,690
Taxes 115 179 275 445 Cover pool Jun-10
Net profit (loss) 68 685 811 1,190 Total pool 20,177,991,206
Asset type:
Source: Bloomberg Mortgages 16,151,727,468
Cash 4,026,263,738
Table 606: Key balance sheet figures, £mm Bonds outstanding 10,769,165,000
2006 2007 2008 2009 # mortgages 158,271
Real Estate Loans n/a n/a n/a n/a Avg loan balance 102,051
Commercial Loans n/a n/a n/a n/a WA Indexed LTV 62.0%
Consumer Loans n/a n/a n/a n/a LTV>80% 15.5%
Other Loans n/a n/a n/a n/a LTV>90% 0.7%
Loans 103,146 112,147 180,176 186,804 LTV>100% 0.0%
Total Assets 191,805 199,623 297,310 285,291
Deposits 66,519 69,650 130,245 143,893
Long-term borrowings 34,018 40,444 68,231 53,510 Source: J.P. Morgan Covered Bond Research, Investor Reports, Rating Agencies
Equity 3,116 3,442 6,697 7,222
Source: Bloomberg
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Yorkshire Building Society Cover pool overview

Snapshot
characteristics:
Yorkshire Building Society (YBS) is the UK’s second
largest building society, approximately one-seventh the Table 613: Select covered bond terms
size of the largest (Nationwide BS) based on Society
Terms
Assets. Similar to Nationwide, YBS is a mutual
Asset Coverage Test (ACT) 0.75
organisation owned by its depositors and mortgage <3m in arrears 0.40
borrowers. YBS is the eleventh largest lender in the UK 3m+ true balance & LTV<75% 0.25
with a book of £15.9bn or a little over 1% of the total 3m+ true balance & LTV>75%
market (according to 2008 CML data). 93.5%
Max. subs assets
We set out below some of the key financial performance Reps & warranties 2
metrics: Min. current payments
Min. margin 1,000,000
Max. balance 50
Table 610: Key profit & loss figures, £mm Max. term (yr) Y
2006 2007 2008 2009 BTL eligible? 0.75
Net interest income 165 188 165 148 Source: J.P. Morgan Covered Bond Research, Offering Circulars
Provisions for loan losses 4 5 25
NII less provisions 161 183 140 148 Table 614: Cover pool characteristics
Other operating income 7 14 5 16 Characteristic
Non-interest expense 129 118 136 141 Ratings S/M/F
Operating profit (loss) 94 55 5 57 Covered bond rating AA+/Aa1/AAA
PBT 78 55 8 -13 Issuer rating A-/Baa1/A-
Taxes 24 15 -1 -9 Fitch D:factor 13.70%
Net profit (loss) 54 39 9 -3 Moody's TPI Probable
Source: Bloomberg
Cover pool May-10
Table 611: Key balance sheet figures, £mm Total pool 4,885,432,752
Asset type:
2006 2007 2008 2009 Mortgages 4,768,881,638
Loans 13,269 15,362 16,292 14,979 Cash 116,551,114
Total Assets 17,566 20,498 23,032 22,722 Bonds outstanding 2,007,820,000
Long-term borrowings 1,596 2,424 1,762 1,091 # mortgages 48,533
Equity 111 160 748 553 Avg loan balance 98,261
Source: Bloomberg
WA Indexed LTV 61.21%
LTV>80% 24.95%
LTV>90% 14.12%
Table 612: Key ratios, % LTV>100% 5.77%
2006 2007 2008 2009
Core capital 13.4 13.6 14.1 14.2 Asset seasoning 53.13
C:I 61.4 71.0 77.1 70.1
Source: Bloomberg Current asset percentage 72.90%
Amt of credit support 987,143,434
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US covered bonds
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US Covered Bonds
Market size
We provide an overview of market issuance trends and outstanding volumes of US
10,000 14,000
12,000
8,000
10,000
6,000 8,000
4,000 6,000
4,000
2,000
2,000
0 0
2003 2004 2005 2006 2007 2008 2009 2003 2004 2005 2006 2007 2008 2009
We set out below in Table 615 a snapshot of key covered bond attributes in the USA.
The legislature is currently looking to introduce a specific covered bond framework
in the US.

Legislative Framework There is currently no special covered bond legislation. The current two covered bond
programmes are governed by the contractual law, together with a number of other US
Federal regulations including SEC Rule 144a and FDIA Reg S.
Structure of Issuer Two tier approach, whereby the bonds are issued by an SPV. The sponsor bank
issues $-denominated floating rate mortgage bonds backed by loans that remain on
the bank's balance sheet. The SPV’s sole purpose is to purchase these bonds using
the funds from the issuance of covered bonds
Supervision Current issuers are regulated by the Office of the Comptroller of the Currency, part of
the US Department of Treasury
Cover assets Current issuers allow inclusions of first and second lien loans and home equity lines
(JPM). Substitute collateral in the form of cash, debt guaranteed by 0% risk weight
entities, exposure to 10%/20% risk weight entities and AAA-rated $-denominated
RMBS is allowed.
Valuation The value of the properties is that estimated by the sponsor bank adjusted by the
Office of Federal Housing Enterprise Oversight HPI; falls in this index are fully passed
on to the valuation but only 85% of the increases is considered. Only the first 75% of
the property value is used in the ACT
ALM matching Derivatives are allowed to manage mismatches. The individual programmes also
have ACTs that ensure that the asset percentage remains below 96% for BA and
93% for JPM. A proceeds compliance test is also carried out to establish if the
amounts credited to the bond and the outstanding principal amount of each
underlying mortgage bond is greater than outstanding CB amounts.
Over-collateralisation The asset percentages set for each current programme correspond to 4.2% and 7.5%
OC for the BA and JPM programmes respectively.
Bankruptcy remoteness If the sponsor bank defaults, substitution ceases. Following default of the SPV, the
bonds can be declared immediately due and payable and the covered bond collateral
can be liquidated to repay the bonds.
legislation
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US macro background
Figure 152: USA real GDP growth, y-on-y, % Figure 153: USA unemployment level, %
4 10
2 8
0 6
-2 4
-4 2
-6 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 154: USA CPI and base rate, % Figure 155: USA consumer confidence index, #
6 120
4 100
80
2
60
0 40
20
-2
0
Mar-03
Sep-03
Mar-04
Sep-04
Mar-05
Sep-05
Mar-06
Sep-06
Mar-07
Sep-07
Mar-08
Sep-08
Mar-09
Sep-09
Mar-10
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg
Source: Bloomberg
Figure 156: USA house price growth, % Figure 157: USA existing home sales (mm), and housing starts index
(RHS), 000s
15% House price grow th 8 Ex isting home sales New home sales (RHS) 1600
7 1400
10%
6 1200
5% 5 1000
4 800
0% 3 600
-5% 2 400
1 200
-10% 0 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
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Bank of America Table 618: Bank of America, select financial metrics

FY 2009
Bank of America is one the leading global financial
NIM 3.1
institutions and the largest American bank by assets, ROA -0.1
since its acquisition of both Countrywide Financial and ROE -1.3
Merrill Lynch in 2008. ROC 0.7
C:I 49.7
Core capital 10.4
The company has an extensive network in its core US Source: Bloomberg
market, providing banking services to around 57 million
consumer and small businesses. It also offers a wide
range of products such as wealth management and
corporate and investment banking in over 40 countries.
As the covered bonds issued by BoA’s programme have

been privately placed to date, no cover pool information
is available to external parties.
metrics:
Table 616: Bank of America, select income statement items, $mm

FY 2009
NII less provisions -1,461

Other operating income -14
PBT 4,360
Taxes -1,916
Source: Bloomberg
Table 617: Bank of America, select balance sheet items, $mm

FY 2009
Loans 862,928
Deposits 991,611
Equity 231,444
Source: Bloomberg
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J.P. Morgan Chase Cover pool overview

J.P. Morgan Chase is a leading global financial services
characteristics:
firm with over $2tr in assets and operating in over 60
countries. Its two core brands are Chase, which offers Table 622: Covered bond characteristics
consumer and commercial banking in the US, and J.P.
As at 31 Jul
Morgan, which offers investment banking, asset 2010
management, treasury and private banking services S/M/F
globally. Covered Bond rating AA/-/AA+
Issuer rating (J.P. Morgan Chase Bank NA) AA-/Aa1/AA-
J.P. Morgan Chase assumed stewardship of the WaMu Cover pool size ($) 11,849,735,919
covered bond programme after it took over the bank in Outstanding liabilities (in $) 7,784,300,000
2008. Excess credit support by asset coverage test (in %) 2.66
Excess credit support by total loan balance (in %) 52.23
Financial performance WA seasoning (mths) 56

We set out below some of the key financial performance WA LTV (in %) 63.7
Highest geographic exposure (in %) California – 56.6
metrics: Interest only loans (in %) 66.2
Primary residence (in %) 80.5
Table 619: J.P Morgan Chase, select income statement items, Single family residential property (in %) 88.0
$mm Full documentation (in %) 35.7
WA FICO score 740
FY 2009
Net interest income 51,152 Loan purpose distribution (in %)
Provisions for loan losses 32,015 Purchase 32.2
NII less provisions 19,137 Construction 3.3
Improvement 0.5
Commissions & fee income 37,460 Cash out refi 35.2
Other operating income 916 Non-cash out refi 28.9
Operating profit (loss) 18,323 FICO Score breakdown (in %)
<600 1.3
PBT 16,067 600-700 22.9
Taxes 4,415 700-800 61.2
Net profit (loss) 11,728 >=800 14.6
Source: Bloomberg
Current LTV breakdown (in %)
<=50 16.6
Table 620: J.P Morgan Chase, select balance sheet items, $mm 50.01-60 17.0
FY 2009 60.01-65 12.6
Real estate loans 244,347 65.01-70 14.2
Commercial loans 204,175 70.01-75 16.5
Consumer loans 429,283 75.01-80 23.2
Loans 601,856 Source: Investor report
Deposits 938,367
Equity 165,365
Source: Bloomberg
Table 621: J.P Morgan Chase, select financial metrics

FY 2009
NIM 2.8
ROA 0.4
ROE 6.4
ROC 1.4
C:I 49.7
Core capital 11.1
Source: Bloomberg
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responsible for this report, the research analyst denoted by an “AC” on the cover or within the document individually certifies, with
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JPM Covered Bond Handbook 2010

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Europe Credit Research

The J.P. Morgan Covered Bond

See page 250 for analyst certification and important disclosures.

Covered Bond Handbook 2010

Covered Bonds: a “bluffer’s guide”

Table 1: Covered bond cheat-sheet

What exactly is a covered bond?

Figure 1: Example UK covered bond structure

Bank ABC Loans & related ABC CB LLP Swaps

Repayment of Interco loan

Source: J.P. Morgan Covered Bond Research

Recourse & seniority

• Exposures to public sector entities (central governments, central banks, PSEs,

Covered bonds vs. RMBS

‘A traditional securitisation is a structure where the cash flow from an underlying

Credit enhancement & Investor protections

Further investor protection is provided to CB investors by tests adopted in local

Similarly, programmes from these jurisdictions also typically include an

Other tests offering protection to bondholders include ‘Pre-maturity Tests’ (which

The product of today…

Source: ECBC Source: ECBC

The product of tomorrow…

“Increase in covered bond issuance

However, if the reasoning behind the current regulatory moves is to create an

Shining the light

Pricing in the primary market broadly reflects the theoretical subdivision of

Secondary market overview

Covered bonds vs. the rest

The future investor base

How do you analyse it?

appropriate classification is fundamentally important, having a bearing on the correct

Irrespective of your starting point in an analysis of the risks of covered bonds, we

Top down or bottom up?

‘Inner core’ jurisdictions

‘Outer core’ jurisdictions

Key Markets Summary

Attribute Germany Spain Denmark France UK

Attribute Germany Spain Denmark France UK

• Compliant with Article 22(4) of UCITS (see later section)

Table 3: Standardised approach risk weights

BIS Liquidity proposals

• Eligible for central bank intraday or overnight liquidity

• Minimum rating of double-A minus

• Maximum decline in price or increase in haircut over a 30 days period in the

• Covered bonds must be issued by a credit institution

• The programme has to be governed by a specific legal framework

The role of Central Banks

• It must be a debt instrument with a fixed, unconditional principal amount

• With a non-negative coupon (i.e. zero, fixed or floating)

• The debt instrument must be denominated in Euro and admitted to trading

• Issuers can be central banks, public sector entities, private entities or

Table 4: Liquidity categories for marketable assets

Table 6: Eligible collateral levels and fees for drawing of gilts

Eligible collateral is defined as non-synthetic, non-wrapped securities denominated

Table 7: Margin ratios for extended collateral

The D-Factor is designed to capture the level of expected difficulty in transitioning

Table 8: Maximum achievable rating based on PD

Table 9: Maximum uplift from Step 1 due to recovery considerations

• Asset type considerations

Standard & Poor’s

Figure 6: Revised ratings approach

Cashflow & Market Value

CB Rating Compare target credit enhancement with