JPM European Coveredbonds

EuropeCredit Research
12 September 2011
The J.P. Morgan Covered Bond

Handbook 2011
Taking the strain
European ABS & CB Research

AC
We write this years Handbook from something of a position of strength Gareth Davies, CFA
(44-20) 7325-7283
for the industry. Over the course of the past twelve months we have seen gareth.davies@jpmorgan.com
product expansion across many metrics: from the number of AC
Flavio Marco Rusconi
jurisdictions providing a stable regulatory framework for covered bond (44-20) 7777-4461
issuance; to the number of originators relying on covered bonds as part flaviomarco.rusconi@jpmorgan.com
of their funding mix; and of course to the number of investors, both J.P. Morgan Securities Ltd.
credit- and rates-focused who now engage with the asset class.
This is an even greater achievement when considering the broad market

themes that have characterised the past twelve months. With the
continuing peripheral European sovereign crisis elevating concerns about
the health of the regions banks, and further exacerbated by what is
proving to be a relatively weak economic recovery (at best), the appetite
for adding bank debt (even when secured) has been tested severely.
Covereds as an asset class appear to have passed this test.
That being said however, we remain aware of potential roadbumps in the

medium-term outlook. We identify the developing regulatory regime as
the primary protagonist we believe the regulatory backdrop is
potentially becoming skewed in favour of covered bonds to such a
degree, that it is damaging the diversity of alternate bank funding
opportunities, and by derivation, potentially harming the ability of
todays covered product to grow at a more measured and sustainable
pace. We would welcome a more balanced environment where covereds
play a role in bank funding, but not the role.
As usual, we split the Handbook into two discrete sections, first

providing an overview of market and product themes, followed by the
larger, second segment which provides a jurisdiction-by-jurisdiction,
issuer-by-issuer overview of those institutions that have accessed the
international capital markets.
Hard copies of this publication are available by contacting the analysts.
See page 302 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.
www.morganmarkets.com
Gareth Davies, CFA Europe Credit Research
(44-20) 7325-7283 12 September 2011
gareth.davies@jpmorgan.com

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flaviomarco.rusconi@jpmorgan.com
Foreword
Credit where credit is due What a difference a year makes! At the time of publication of our last Handbook in
September 2010, we wrote something of a love letter to credit investors; suggesting
they increase their engagement with an asset class that had historically been outside
their traditional investment criteria. The onslaught of the European sovereign crisis
augmented our investment rationale, with pricing pushing a number of covered sub-
segments to levels where value could also be identified from a credit perspective. In
last years publication, we welcomed the opportunity that both regulatory support
and pricing linked more closely to alternative bank funding instruments in a number
of jurisdictions had brought to the market.
The last year has demonstrated We therefore write this years Handbook from something of a position of strength for
the increasing appeal of covered the industry. Over the course of the past twelve months we have seen product
bonds on a global basis
expansion across many metrics: from the number of jurisdictions providing a stable
regulatory framework for covered bond issuance; to the number of originators
relying on covered bonds as part of their funding mix; and of course to the number of
investors, both credit- and rates-focused who now engage with the asset class.
despite substantial headwinds This is an even greater achievement when considering the broad market themes that
have characterised the past twelve months. With the continuing peripheral European
sovereign crisis elevating concerns about the health of the regions banks, and further
exacerbated by what is proving to be a relatively weak economic recovery (at best),
the appetite for adding bank debt (even when secured) has been tested severely.
Covereds as an asset class appear to have passed this test.
Can one have too much of a That being said however, we remain aware of potential roadbumps in the medium-
good thing? Yes term outlook (as credit analysts the glass is always half empty). While analysts
responsible for other products may envy the relative health of the covered bond
markets, our caution stems from what we see as the potential for over-reliance on the
asset class.
Lots of eggs. Lots of baskets. In this, we identify the developing regulatory regime as the primary protagonistwe
Please! believe the regulatory backdrop is potentially becoming skewed in favour of covered
bonds to such a degree, that it is damaging the diversity of alternate bank funding
opportunities, and by derivation, potentially harming the ability of todays covered
product to grow at a more measured and sustainable pace. Looking ahead to the next
twelve months, we would welcome a more balanced environment where covereds
play a role in bank funding, but not the role.
Document structure
As usual, we split the Handbook into two discrete sections, first providing an
overview of market and product themes, followed by the larger, second segment
which provides a jurisdiction-by-jurisdiction, issuer-by-issuer overview of those
institutions that have accessed the international capital markets.
We hope this Handbook proves useful for investors over the course of the next
twelve months, and of course welcome any feedback on its form and content.
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Table of Contents
Foreword ...................................................................................2
Primary Market Outlook ...........................................................9
The last twelve monthsthe boy done good' ............................................................9
The next twelve monthsMagic 8 ball time............................................................14
Secondary Market Outlook ....................................................15
The last twelve monthsVow to thee, my country ..................................................15
The next twelve monthsMore of the same ............................................................17
Our covered bond recommendations...................................18
Product overview....................................................................20
Covered Bonds: a bluffers guide .......................................................................20
What exactly is a covered bond?............................................................................21
Covered bonds vs. RMBS......................................................................................23
Rating Agencies .....................................................................25
DBRS ...................................................................................................................25
Fitch Ratings.........................................................................................................25
Moodys ...............................................................................................................28
Standard & Poors.................................................................................................29
Austrian Covered Bonds .......................................................36
Legislative snapshot ..............................................................................................36
Austrian covered bond & macro backdrop .............................................................37
BAWAG PSK .......................................................................................................38
Erste Bank Group..................................................................................................39
HYPO NOE Gruppe..............................................................................................40
Kommunalkredit Austria AG.................................................................................41
UniCredit Bank Austria.........................................................................................42
Canadian Covered Bonds......................................................44
Canadian covered bond & macro backdrop ............................................................45
Bank of Montreal ..................................................................................................46
Caisse Centrale Desjardins du Quebec ...................................................................48
CIBC ....................................................................................................................50
National Bank of Canada.......................................................................................52
Royal Bank of Canada...........................................................................................53
Scotiabank ............................................................................................................55
Toronto Dominion Bank........................................................................................57
Danish Covered Bonds ..........................................................60
Danish covered bond & macro backdrop................................................................61
BRF Kredit AS......................................................................................................62
Danske Bank AS...................................................................................................63
DLR Kredit AS .....................................................................................................65
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Nordea Kredit AS..................................................................................................66

Nykredit Realkredit AS (Nykredit)......................................................................67
Realkredit Danmark AS (Realkredit)...................................................................68
Dutch Covered Bonds............................................................70
Dutch covered bond & macro backdrop .................................................................71
ABN Amro Bank NV (ABN)..............................................................................72
Achmea Hypotheekenbank NV ('Achmea)............................................................73
ING Bank NV (ING) ..........................................................................................74
NIBC Bank NV (NIBC)......................................................................................75
SNS Bank NV (SNS)..........................................................................................77
Finnish Covered Bonds .........................................................80
Finnish covered bond & macro backdrop...............................................................81
Aktia Real Estate Mortgage Bank plc ....................................................................82
Nordea Bank Finland Oyj......................................................................................83
OP Mortgage Bank (OP).....................................................................................84
Sampo Housing Loan Bank ...................................................................................85
French Covered Bonds ..........................................................88
French covered bond & macro backdrop................................................................92
AXA Bank Europe SCF ........................................................................................93
Banques Populaires SCF .......................................................................................94
BNP Paribas Home Loan SFH...............................................................................95
BNP Paribas Public Sector SCF.............................................................................96
BPCE SFH............................................................................................................97
Caisse de Refinancement de lHabitat....................................................................98
CIF Euromortgage SCF.........................................................................................99
Compagnie de Financement Foncier SCF ............................................................ 100
Crdit Agricole Home Loans SFH ....................................................................... 101
Crdit Mutuel Arka Home Loans SFH ............................................................... 102
Crdit Mutuel-CIC Home Loans SFH.................................................................. 103
Dexia Municipal Agency SCF ............................................................................. 104
General Electric SCF........................................................................................... 105
Groupe Caisse dpargne Covered Bonds............................................................ 106
HSBC France Covered Bonds.............................................................................. 107
Socit Gnrale SCF.......................................................................................... 108
Socit Gnrale SFH ......................................................................................... 109
German Covered Bonds ......................................................112
Legislative snapshot ............................................................................................ 112
German covered bond & macro backdrop ............................................................ 113
Aareal Bank AG.................................................................................................. 114
Bayerische Landesbank (BayernLB).................................................................... 116
Berlin-Hannoversche Hypothekenbank................................................................ 118
Bremer Landesbank ............................................................................................ 119
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Corealcredit Bank AG......................................................................................... 121

DekaBank Deutsche Girozentrale ........................................................................ 122
Deutsche Apotheker und Aertzebank................................................................... 123
Deutsche Bank .................................................................................................... 124
Deutsche Genossenshafts-Hypothekenbank (DG Hyp) ......................................... 125
Deutsche Hypo Hannover (Deutsche Hypothekenbank) ....................................... 126
Deutsche Postbank .............................................................................................. 127
Deutsche Schiffsbank.......................................................................................... 128
Dexia Kommunalbank Deutschland..................................................................... 129
Duesseldorfer Hypothekenbank........................................................................... 130
Eurohypo ............................................................................................................ 131
HSH Nordbank ................................................................................................... 133
ING DiBa ........................................................................................................... 135
Landesbank Baden Wrttemberg (LBBW)........................................................... 136
Landesbank Berlin .............................................................................................. 137
Landesbank Hessen-Thueringen .......................................................................... 139
Landesbank Saar ................................................................................................. 140
Muenchener Hypothekenbank ............................................................................. 141
Norddeutsche Landesbank................................................................................... 142
pbb (Deutsche Pfandbriefbank)............................................................................ 144
SEB AG.............................................................................................................. 146
Unicredit Bank AG (HypoVereinsbank) .............................................................. 147
Westdeutsche Immobilienbank ............................................................................ 148
WestLB .............................................................................................................. 149
WL Bank ............................................................................................................ 150
Greek Covered Bonds..........................................................152
Greek macro backdrop ........................................................................................ 153
National Bank of Greece ..................................................................................... 154
Hungarian Covered Bonds ..................................................156
Hungarian covered bond & macro backdrop ........................................................ 157
FHB Bank........................................................................................................... 158
OTP Bank........................................................................................................... 159
Irish Covered Bonds ............................................................162
Irish covered bond & macro backdrop ................................................................. 163
AIB Mortgage Bank (AIBMB).......................................................................... 164
Bank of Ireland Mortgage Bank (BoIMB) ......................................................... 165
Depfa ACS Bank (DACS) ................................................................................ 166
EBS Mortgage Finance (EBS)........................................................................... 167
Italian Covered Bonds..........................................................170
Italian covered bond & macro backdrop............................................................... 171
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Banca Carige (Carige) ...................................................................................... 172

Banca Monte dei Paschi di Siena (BMPS) ......................................................... 173
Banca Popolare di Milano (BPM) ..................................................................... 174
Banco Popolare (Popolare)................................................................................ 175
Credito Emiliano (Credem)............................................................................... 176
Intesa Sanpaolo (Intesa).................................................................................... 177
UBI Banca (UBI).............................................................................................. 179
Unicredit Group (Unicredit).............................................................................. 180
Korean Covered Bonds........................................................182
Korean covered bond & macro backdrop ............................................................. 183
Kookmin Bank.................................................................................................... 184
Korea Housing Finance Corporation.................................................................... 185
Luxembourgish Covered Bonds .........................................188
Luxembourgish covered bond backdrop............................................................... 189
Dexia LdG Banque.............................................................................................. 190
Erste Europaeische Pfandbrief und Kommunalbank (EEPK) ................................ 191
Eurohypo Luxembourg SA.................................................................................. 192
Nord/LB Covered Finance Bank SA.................................................................... 194
New Zealand Covered Bonds ..............................................196
New Zealand covered bond & macro backdrop .................................................... 197
Bank of New Zealand.......................................................................................... 198
Westpac New Zealand......................................................................................... 199
Norwegian Covered Bonds..................................................202
Norwegian covered bond & macro backdrop ....................................................... 203
DnB NOR Boligkreditt ASA (DNB) ................................................................. 204
Nordea Eiendomskreditt ...................................................................................... 205
SpareBank 1 Boligkreditt ASA............................................................................ 206
Sparebanken Vest Boligkreditt AS....................................................................... 207
Terra Boligkreditt AS.......................................................................................... 208
Portuguese Covered Bonds ................................................210
Portuguese covered bond & macro backdrop ....................................................... 211
Banco Comercial Portugues (Millennium bcp) .................................................. 212
Banco Espirito Santo (BES).............................................................................. 213
Banco Portugues de Investimento (BPI) ............................................................ 214
Caixa Economica Montepio Geral (Montepio)................................................... 215
Caixa Geral de Depositos (CGD) ...................................................................... 216
Santander Totta (Totta)..................................................................................... 217
Spanish Covered Bonds ......................................................220
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Spanish covered bond & macro backdrop ............................................................ 222

Standalone programmes: ..................................................................................... 223
Banco Bilbao Vizcaya Argentina (BBVA) ........................................................ 223
Banco CAM........................................................................................................ 225
Banco Espanol de Credito (Banesto) ................................................................. 227
Banco Pastor ....................................................................................................... 228
Banco Popular Espanol........................................................................................ 230
Banco Sabadell ................................................................................................... 232
Banco Santander ................................................................................................. 234
Bankia ................................................................................................................ 236
Bankinter ............................................................................................................ 238
Bilbao Bizkaia Kutxa (BBK) ............................................................................ 240
Caixa dEstalvis de Catalunya, Tarragona i Manresa (CatalunyaCaixa).............. 242
CaixaBank .......................................................................................................... 244
Caja de Ahorros y Monte de Piedad de Guipzcoa y San Sebastin (Kutxa)....... 246
Caja Vital Kutxa ................................................................................................. 247
Cajamar Caja Rural ............................................................................................. 248
Ibercaja ............................................................................................................... 250
Santander Consumer Finance .............................................................................. 251
Unicaja ............................................................................................................... 252
Multi-Cedulas ..................................................................................................... 253
Programmes........................................................................................................ 253
Swedish Covered Bonds .....................................................260
Swedish covered bond & macro backdrop ........................................................... 261
Landshypotek AB ............................................................................................... 262
Lnsfrskringar Hypotek AB ............................................................................. 263
Nordea Hypotek AB............................................................................................ 264
Skandinaviska Enskilda Banken AB .................................................................... 265
Stadshypotek Mortgage AB................................................................................. 266
Swedbank Mortgage AB ..................................................................................... 267
Swedish Covered Bond Corporation .................................................................... 268
Swiss Covered Bonds..........................................................270
Swiss covered bond backdrop.............................................................................. 271
Credit Suisse Group AG...................................................................................... 272
UBS AG ............................................................................................................. 273
UK Covered Bonds...............................................................276
UK covered bond & macro backdrop................................................................... 277
Barclays Bank PLC (Barclays).......................................................................... 278
Bradford & Bingley PLC (Bradbi) .................................................................... 280
Coventry Building Society (Coventry) .............................................................. 281
HSBC Bank PLC (HSBC) ................................................................................ 282
Leeds Building Society (Leeds)......................................................................... 283
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Lloyds Banking Group PLC (Lloyds)................................................................ 284

Nationwide Building Society (Nationwide) ....................................................... 285
Northern Rock Asset Management (NRAM) ..................................................... 287
Royal Bank of Scotland PLC (RBS).................................................................. 289
Santander UK plc (Santander)........................................................................... 291
Yorkshire Building Society (Yorkshire) ............................................................ 293
US Covered Bonds ...............................................................296
US covered bond & macro backdrop ................................................................... 297
Bank of America ................................................................................................. 298
J.P. Morgan Chase .............................................................................................. 299
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Primary Market Outlook

The past twelve monthsthe boy done good'
Recent issuance trends
Covered bond issuance We have recorded benchmark covered bond issuance of 255bn to the 1st September
continues to expand its role in (see Figure 1). This compares to full-year issuance of 276bn in 2010, or an increase
funding the world's banks
of 31% over the comparable eight-month period last year. Even when considering
that 2011 has seen a number of months with minimal levels of issuance owing to
broad macro market dislocation (see Figure 2), it remains impressive that the amount
issued in the functioning 5 months has still exceeded 2010 levels.
Figure 1: Covered Bonds issuance, mm

350,000 Cov. Bonds (Not retained)
300,000
250,000
200,000
150,000
100,000
50,000
0
2007 2008 2009 2010 2011 YTD
Source: Dealogic, J.P. Morgan Covered Bonds Research. Benchmark issuance only
Even when adjusting for newer issuance jurisdictions (in particular Canada where
issuance volumes have picked up dramatically), we see 2011 levels comparing
favourably to those of 2010. Looking further back to issuance volumes in 2007 as a
representative steady state year (i.e. pre credit crisis), total issuance amounts were
approximately 200bn, showing significant progression in market size since 2007
(potentially by FY2011, +100bn or +50% over four years).
Figure 2: Monthly Covered Bonds issuance, mm Figure 3: Covered bonds outstanding, top 5 jurisdictions, mm
60,000 2,700,000
Germany Spain Denmark France Sweden Other
50,000 2,400,000
2,100,000
40,000
1,800,000
30,000 1,500,000
20,000 1,200,000
900,000
10,000
600,000
0
300,000
Feb-11
Mar-11
May-11
Jul-11
Oct-10
Nov-10
Dec-10
Jan-11
Apr-11
Jun-11
Aug-11
Sep-11
0
2003 2004 2005 2006 2007 2008 2009 2010
Source: Dealogic, J.P. Morgan Covered Bonds Research. Benchmark issuance only Source: ECBC. All issuance
Issuancedigging a little deeper

Breaking the aggregate issuance figures down into 'tiers' of countries, we take as a
starting point the classifications proposed in 2010s Handbook, with the caveat of a
few jurisdictional switches (we redesignate the Peripheral category which
previously contained only smaller issuance markets in 2010, as now including
markets affected by the European sovereign crisis. We switch the smaller countries
into the Outer Core grouping). Our amended classifications are set as follows:
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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 often perceived to be of less importance in these markets owing to the
systemic importance of the product to the respective jurisdiction.
Outer core jurisdictions

This classification includes all other Western European jurisdictions along with
jurisdictions recently joining or about to join the covered bond community, including
Canada, Korea, New Zealand and the US.
Peripheral jurisdictions
We aggregate exposures to those markets most affected by the European sovereign
crisis: Greece, Ireland, Italy, Portugal and Spain.
Figure 4: Issuance volumes by country tier, mm

200,000
Inner core Outer core Periphery
150,000
100,000
50,000
0
2008 2009 2010 2011 YTD
Source: J.P. Morgan Covered Bonds Research. Benchmark issuance only
Traditional issuance Turning first to the Inner core we see that issuance over time has been consistently
jurisdictions have become less increasing out of France, with Danish issuers mostly active on the domestic, non-
prolific issuers
benchmark DKK market (see Figure 5). Significantly, the issuance of public-sector
backed pfandbrief has fallen over timeexacerbating a trend that started pre-2007 and
driving the German contribution to annual issuance down to just 45bn in 2010 vs
102bn in 2008.
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Figure 5: Inner core jurisdictions issuance (all distributed), mm Figure 6: Outer core jurisdictions issuance, mm
120,000 300,000
Denmark France Germany Canada Netherlands Norway Sweden UK Other
100,000 250,000
80,000 200,000
150,000
60,000
100,000
40,000
50,000
20,000
0
0 Retained Distributed Retained Distributed Retained Distributed Retained Distributed
2008 2009 2010 2011 YTD 2008 2008 2009 2009 2010 2010 2011 YTD 2011 YTD
Source: J.P. Morgan Covered Bonds Research. Benchmark issuance only Source: J.P. Morgan Covered Bonds Research. Benchmark issuance only
'Outer core takes a bigger role, Considering next Outer core' issuance volumes, we can see quite dramatic increases
with dislocation in other bank in paper placed with investors over the past few years. Even when stripping out new
funding markets supporting
appetite for the CB product
issuance jurisdictions such as Canada, we can see an increased penetration in markets
such as the UK, the Netherlands and especially Sweden. While dislocation from the
alternate secured funding markets (i.e. securitisation) can be attributed to supporting
covered bond issuance in some countries, in the UK and the Netherlands the
argument appears weaker because of the relative health of the respective
securitisation markets. Rather we suspect that dislocation in other, unsecured bank
funding markets is more directly a driver for the elevated covered bond issuance
volumes out of these two jurisdictions.
Figure 7: Peripheral jurisdictions issuance, mm

60,000
Greece Ireland Italy Portugal Spain
50,000
40,000
30,000
20,000
10,000
0
Retained Distributed Retained Distributed Retained Distributed Retained Distributed
2008 2008 2009 2009 2010 2010 2011 YTD 2011 YTD
Bifurcated experiences for Finally, we turn to Peripheral issuance, seeing some 52bn issued YTD in total,
peripheral countries: Spain and although only Italy and Spain were able to sell bonds on the public market for a
Italy can issue, the rest issue to
Frankfurt
distributed total of 45bn (FY2010: 87bn including retained bonds, 51bn
distributed to investors). Issuers from these two jurisdictions tapped the market quite
aggressively in the first five months of the year, with even small, local lenders taking
advantage of tightening spreads, but issuance almost entirely dried up as sovereign
concerns took over once again during the summer. Unicredit, however, was amongst
the first issuers to re-open the covered bond market in recent weeks, although at a
hefty premium to previous spread levels. Issuance by Greece, Ireland and Portugal
has been overwhelmingly retained by the originators for (potential) use as central
bank repo facilities.
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Pricing patterns: its all in the brand

Inner core jurisdictions look to Launch spreads and origination patterns give a clear indication of the ability of
have market access even in issuers from each jurisdictional tier to access the market. Issuers from the Inner
periods of volatility
core jurisdictions appear able to tap the market at virtually any time, regardless of
periods of broad market volatility (Figure 8). Furthermore, as shown for France,
within-jurisdiction tiering seems to be primarily driven by bond maturity, rather than
by the issuer itself (more akin to a rates perspective).
Outer core jurisdictions offer a more diverse mix. Certain jurisdictions, such as the
Nordics, display a pattern closer to that of Inner core ones, while others, such as the
UK, do not seem to be able to brave the markets on their own and often come to the
market in clusters. Furthermore, in the UK, launch spreads seem to be primarily
driven by issuer name, rather than by maturity: some of the smaller building societies
have to offer wider spreads than those paid by the larger banks, regardless of
maturity (a credit perspective). Interestingly, Santander UK also appears to price
wider than other more domestic' names.
Figure 8: French launch spreads vs MS, bp Figure 9: UK launch spreads vs MS, bp

100 200
<3yrs 3-5yrs 5-7yrs 7-10yrs >10yrs
80 150
60
100
40
50
20
<3yrs 3-5yrs 5-7yrs 7-10yrs >10yrs
0 0
Oct-10
Oct-10
Nov-10
Nov-10
Dec-10
Dec-10
Dec-10
Jan-11
Jan-11
Jun-11
Jun-11
Jun-11
Feb-11
Feb-11
Mar-11
Mar-11
May-11
May-11
Jul-11
Jul-11
Sep-10
Sep-10
Apr-11
Apr-11
Aug-11
Aug-11
Sep-11
May-11
May-11
Oct-10
Oct-10
Nov-10
Nov-10
Dec-10
Dec-10
Dec-10
Jan-11
Jan-11
Jun-11
Jun-11
Jun-11
Feb-11
Feb-11
Mar-11
Mar-11
Jul-11
Jul-11
Sep-10
Sep-10
Apr-11
Apr-11
Aug-11
Aug-11
Sep-11
The most credit-linked The open-closed pattern seen in the UK is even more in evidence in the peripheral
jurisdictions appear to have countries, where issuers are particularly sensitive to the tone of the broader market.
more occasional market access
Both Spanish and Italian issuers have taken advantage of the window of opportunity
offered by the relative calm on the sovereign front earlier in the year and issuers of
all sizes and shapes came to the market. There is also very little differentiation in
terms of maturity, but there is a significant gap between spreads offered by large,
more established financial institutions and smaller, regional lenders. In Spain in
particular, issuers such as BBVA or Santander are able to pay much tighter spreads
on longer maturity bonds than those paid by the savings banks (Figure 11) as an
example.
Figure 10: Italian launch spreads vs MS, bp Figure 11: Spanish launch spreads vs MS, bp
250 350
300
200
250
150 200
100 150
100
50
<3yrs 3-5yrs 5-7yrs 7-10yrs >10yrs 50 <3yrs 3-5yrs 5-7yrs 7-10yrs >10yrs
0 0
May-11
May-11
May-11
May-11
May-11
Oct-10
Oct-10
Nov-10
Nov-10
Dec-10
Dec-10
Dec-10
Oct-10
Oct-10
Nov-10
Nov-10
Nov-10
Dec-10
Dec-10
Jan-11
Jan-11
Jun-11
Jun-11
Jun-11
Jan-11
Jan-11
Jun-11
Jun-11
Feb-11
Feb-11
Mar-11
Mar-11
Jul-11
Jul-11
Feb-11
Feb-11
Mar-11
Mar-11
Jul-11
Jul-11
Sep-10
Sep-10
Apr-11
Apr-11
Aug-11
Aug-11
Sep-10
Sep-10
Apr-11
Apr-11
Aug-11
Aug-11
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How does this compare to the performance of other bank funding instruments?
Covered bonds do well both As we have noted above, covered bond issuance volumes have shown significant
absolutely and relatively progression over the past four years. In Figure 12 below we set out the issuance
volumes of two equally important bank funding instruments to see whether the
absolute success of covered bonds is also observable in relative terms.
Figure 12: ABS, Senior Unsecured, Covered Bonds issuance, mm
350,000
ABS (Not retained) Snr unsec. Cov. Bonds (Not retained)
300,000
250,000
200,000
150,000
100,000
50,000
0
2007 2008 2009 2010 2011 YTD
Uncertainty as to the risk profile Readers can clearly see that while covered bond issuance has gone from strength to
of senior unsecured debt has strength over the period in question, the two largest alternative bank funding sources
translated into additional supply
of covered bonds
have recorded significant declines in issuance. Turning to each separately, we have
seen senior unsecured issuance volumes decline from 264bn in 2007, to 159bn in
2010 (and 127bn YTD 2011). Undoubtedly some of this decline can be attributed to
an investor aversion to specific issuers or jurisdictions, but equally important in our
view has been the uncertainty created by proposed regulatory initiatives surrounding
the senior unsecured product itself. We note that the proposed adoption of explicit
bail-in language for senior unsecured bonds from 2013 has undermined investor
confidence in the risk profile of the instrument. While this uncertainty persists,
investors will naturally demand additional compensation for the perceived additional
risk, making economically feasible senior unsecured issuance out of the reach of
most (European) issuers.
Securitisation markets remain Turning to the securitisation market, we see a dramatic change in issuance volumes
open for Northern European following the onset of the credit crunch, with 325bn of bonds placed with investors
issuers, but regulatory initiatives
have also altered the incentives
in the first eight months of 2007, compared to 51bn over the same period in 2011.
in these markets Furthermore, there has been a significant divergence in the fortunes of individual
issuing jurisdictions, with the UK and the Netherlands (and to a lesser extent, Italy)
able to access the distributed RMBS markets at regular intervals, while other
countries have been frozen out of the market owing to the basis between current asset
spreads and required liability costs. Furthermore, as we noted in last years
Handbook, the regulatory environment for both securitisation issuance and
investment has been tightened since 2007 from a myriad of sources (CRD III, IV,
BIS Liquidity Regime, Solvency II etc). Much as for senior unsecured debt, this has
undoubtedly skewed the landscape in favour of covered bonds.
Regulatory backdrop could put As we noted in our introduction, we remain aware of potential roadbumps in the
too much pressure on the asset medium-term outlook for the asset class (as credit analysts the glass is always half
class
empty), seeing the developing regulatory regime as skewing the incentives in favour
of covered bonds to such a degree, that it is damaging the diversity of alternate bank
funding opportunities, and by derivation, potentially harming the ability of todays
covered product to grow at a more measured and sustainable pace.
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The next twelve monthsMagic 8 ball time

We are either brave or foolish to try and predict the next twelve months, recognising
the close link between sentiment for covered bonds and that for financial and
government risk more broadly. Letting the reader decide which is the more
appropriate interpretation, we set out our thoughts on the next 12 months below:
Who is going to be doing what?

Inner core and colder Outer From the issuer perspective, we expect the Inner core jurisdictions to be relatively
core countries to have almost unaffected by the vagaries of peripheral crisis (barring a significant event). Danish,
uninterrupted access to covered
bond funding
German and French issuers are likely to be able to continue accessing the markets
relatively uninterrupted, albeit with potentially wider access points in particular for
French issuers, where sentiment appears less resilient to continued sovereign crisis
uncertainty.
For 'Outer core' countries, we see a number of subsets in expected ability to access
the markets. For the Scandinavian issuers, we would expect them to be able to access
both the Euro and Dollar markets (largely US, but also AUD) broadly uninterrupted
Wetter Outer core countries to over the course of the next twelve months (assuming the same caveat as above). For
rely more on CB as a the UK and Netherlands, we continue to expect to see a greater reliance on the
replacement for senior covered product less as an alternative to RMBS, which still remains a functioning
unsecured bonds, with
market in both jurisdictions, but more likely as an alternative to senior unsecured
Commonwealth countries
relying more on investors closer issuance. For non-European issuers, including Canadian, New Zealand and (shortly)
to home Australian institutions, we expect to see ever increasing issuance predominantly
targeted at the domestic or quasi-domestic markets.
No market access for those at For peripheral countries, we need to split the group into two: those already in the
the centre of the peripheral epicentre of the sovereign storm (Greece, Ireland and Portugal) and those one or two
storm, occasional access for
those one or two steps away
steps removed (Italy and Spain). Somewhat perversely, the outlook for issuance from
Greece, Ireland and Portugal is easier to communicate, with our hypothesis that we
will see no distributed issuance from any of the three jurisdictions for the foreseeable
future. For Italy and Spain, we can adopt the same approach, seeing 'national
champions' as able to fund over the majority of the year, alongside smaller players
being able to fund only in times of market stability.
More investors expected From the investor perspective, we expect to see a continuation of recent trends with
respect to investor engagement. If we bifurcate the investor base into traditional
'rates' and newer 'credit' investors, we would expect the rates subset to show a larger
appetite in terms of notionals from broadly the same number of accounts, driven
largely by regulatory incentives (particularly Solvency II). In comparison, for credit
investors we would expect both the breadth, in terms of number of accounts, and
depth, in terms of the willingness of these accounts to invest in the covered asset
class, to continue to expand over the course of the next twelve months.
In aggregate, with forecast total benchmark issuance of approximately 300bn for

FY2011, it would not seem outlandish to expect between 325-350bn in FY2012
given continued dislocation in alternative bank funding sources and an expanding
international footprint for the product.
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Secondary Market Outlook

The last twelve monthsVow to thee, my country
Although wider, not as wide as After stabilising in the second half of 2010 and actually seeing some tightening in the
other instruments opening months of 2011 as sovereign concerns initially subsided, covered bond
spreads succumbed to broader financial market deterioration as the peripheral saga
continued to play out in front of the markets eyes. Despite the absolute widening
evident in many jurisdictions, covered bonds as an asset class have significantly
outperformed the broader financials sector (Figure 13), although some of the more
liquid RMBS asset classes, such as UK prime RMBS, have proved to be even more
resilient in price terms.
Figure 13: Cross-asset class spreads comparison, bp Figure 14: Selected Covered Bond spreads, bp
300 iTraxx Europe Senior Fin. 5yrs JPM Maggie CB 3 - 5 Yr France CB 3 - 5 Years Germany CB 3 - 5 Years
350
UK RMBS AAA Euro FL 5 Yr UK CB 3 - 5 Years Spain CB 3 - 5 Yr
250 300
200 250
150 200
150
100
100
50
50
0 0
Jan-10
Jun-10
Oct-10
Nov-10
Dec-10
Jan-11
Jun-11
Feb-10
Mar-10
May-10
Jul-10
Feb-11
Mar-11
May-11
Jul-11
Apr-10
Aug-10
Sep-10
Apr-11
Aug-11
Sep-11
May-10
May-11
Nov-10
Dec-10
Jan-10
Jun-10
Oct-10
Jan-11
Jun-11
Feb-10
Mar-10
Jul-10
Feb-11
Mar-11
Jul-11
Apr-10
Aug-10
Sep-10
Apr-11
Aug-11
Sep-11
Source: J.P. Morgan Covered Bonds Research Source: J.P. Morgan Covered Bonds Research
Tiered price performance for Understandably, not all covered bonds were affected in the same way by the
those jurisdictions with feet sovereign headwinds: while French, German and UK spreads proved relatively
closest to the fire
resilient and widened only modestly during the latest bout of volatility, Spanish
prices have been a lot more sensitive to the mood swings of the wider market. Figure
14 shows how these have spiked initially in May-June 2010, during the first Greek
crisis, then again in December 2010-January 2011, on the back of the Irish crisis and
finally resumed rising in June 2011, when sovereign concerns spread to Spain itself
along with Italy.
The different relationship between covered bond spread performance and trends in
broader market sentiment in the various jurisdictions is perhaps more clear in the
charts below. We compare sovereign CDS, used as a measure of stress on a specific
jurisdiction, with senior unsecured and covered bond spreads from selected issuers in
those countries.
Pfandbrief appear more In Germany (Figure 15), covered bonds are clearly the most resilient of all asset
defensive than even the classes considered, even more so than sovereign CDS, which has gapped wider over
sovereign
the summer months.
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Figure 15: German CDS, Senior unsecured and Covered bond Figure 16: UK CDS, Senior unsecured and Covered bond spreads, bp
spreads, bp 400 BoS CB 2016 Lloyds Snr. Unsec. 2016 UK 5yrs CDS
160 Deutsche Bank CB 2016 Deutsche Bank Snr. Unsec. 2017 350
140 Germany 5yrs CDS 300
120 250
100 200
80 150
60
100
40
50
20
0
May-
May-
0
Nov-10
Dec-10
Feb-10
Mar-10
Feb-11
Mar-11
Apr-10
Jul-10
Aug-10
Sep-10
Oct-10
Apr-11
Jul-11
Aug-11
Jan-10
Jun-10
Jan-11
Jun-11
-20
May-10
May-11
Feb-10
Mar-10
Apr-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Feb-11
Mar-11
Apr-11
Jul-11
Aug-11
Jan-10
Jun-10
Jan-11
Jun-11
Source: Bloomberg
Source: Bloomberg
Similarly, in the UK, covered bond spreads have remained broadly stable (Figure
16), whereas senior unsecured prices have significantly widened whilst even the
sovereign CDS has come under pressure, although by a lesser degree than elsewhere
in Europe.
Close relationship between In Italy and Spain, on the other hand, there is a much closer link between the various
government, bank and covered asset classes, with CDS, senior unsecured and covered spreads moving more or less
debt in peripheral markets
in unison. Interestingly, in Italy and even more so in Spain, the traditionally tight
differential between senior unsecured and covered bonds seems to have widened
significantly over the recent months, perhaps suggesting that investors have started
better appreciating the extra layer of security offered by the cover pool.
Figure 17: Italian CDS, Senior unsecured and Covered bond spreads, Figure 18: Spanish CDS, Senior unsecured and Covered bond
bp spreads, bp
500 Intesa CB 2017 Intes Sen. Unsec. 2017 Italy 5yrs CDS 500 BBVA CB 2016 BBVA Sen. Unsec. 2015 Spain 5yrs CDS
400 400
300 300
200 200
100
100
0
0
May-10
May-11
May-
May-
Feb-10
Mar-10
Apr-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Feb-11
Mar-11
Apr-11
Jul-11
Aug-11
Sep-11
Jan-10
Jun-10
Jan-11
Jun-11
Nov-10
Dec-10
Feb-10
Mar-10
Apr-10
Jul-10
Aug-10
Sep-10
Oct-10
Feb-11
Mar-11
Apr-11
Jul-11
Aug-11
Sep-11
Jan-10
Jun-10
Jan-11
Jun-11
Source: Bloomberg Source: Bloomberg
And another thing

The close links between sovereign, issuer and the covered bond spread are also
reflected in the ratings of the three instruments (see later Rating Agency section for
an explicit explanation of the relationships), which in turn often have a second order
consequence on the pricing of the covered instrument (as in, the lower the rating, the
lower the price). While Figure 19 sets out the average covered bond rating by
jurisdiction according to data from S&P, Figure 20 shows the direct impact that the
rating of the sovereign (and in turn on the domestic banks) can have on the ratings of
outstanding covered bond programmes.
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Figure 19: Average covered bond and issuer rating by country Figure 20: Average unused notches and maximum number of
notches uplift, #
Average covered bond rating 8 Average of uplift (notches) used
19 Average of unused notches
AAA Average issuer credit rating
AA+18 Maximum number of notches uplift (for low ALMM classification)
AA17 6
AA-16
A+15
A 14 4
A- 13
BBB+
12
BBB11 2
BBB-
10
BB+9
0
FRA
ITA
SWE
UK
US
NLD
NOR
LUX
IRE
FIN
CAN
DEN
SPA
GER
POR
ITA
FRA
NLD
NOR
US
UK
IRE
SWE
FIN
LUX
SPA
POR
CAN
GER
DEN
Source: Standard & Poors Source: Standard & Poors
Most visibly, we see that those countries most affected by the sovereign crisis
(Portugal and Ireland in this particular universe) also have the least headroom
between any future potential issuer/sovereign downgrades and a direct, second-order
impact on the rating of covered bonds in the jurisdiction.
The next twelve monthsMore of the same

Who is going to be doing what?
In thinking about likely secondary spread trajectories over the coming months, we
adopt the same caveat we used when thinking about issuance volumesi.e. barring
any significant event in the sovereign space. Assuming this, we actually expect the
current price tiering relationships to remain broadly intact.
By that we mean we would expect to see Inner core jurisdictions along with
Scandinavian paper to remain broadly unchallenged, offering investors liquidity, but
also a less generous pick-up to sovereigns. We would envisage that investors into
these asset classes would therefore remain predominantly made up of the more
traditional investor base, along with those 'credit like' accounts who are perhaps
either new to the asset class and deploying a strategy of slowly building their
experience in the sector, or those seeking refuge from the sovereign crisis. If there
are any areas of potential technical weakness in this category, we could expect to see
French spreads underperform relative to other jurisdictions in this grouping.
For jurisdictions in the middle of the pack in spread terms, we would expect
increased supply (see earlier section) to be broadly offset by increased client
engagement as alternative instruments undershoot in terms of issuance volumes. The
UK would be a prime example of this in our opinion, where both traditional and
new investors participate alongside one another. Similarly, Tier One Spanish and
Italian names are likely to find the same pockets of interest from both sides of the
aisle.
For paper from the distressed jurisdictions of Greece, Ireland and Portugal we would
expect to see faster money continue to focus their attention. While we undoubtedly
see opportunities to add risk in these segments, the potential for further downgrades
(to below investment grade) is likely to mitigate the interest of more 'permanent'
covered bond investors, potentially leaving these instruments as longer term
investments for anyone who adds positions as opposed to trading assets.
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Our covered bond recommendations

Table 1: Selected Covered Bond recommendations by jurisdiction
Sector Outlook Commentary Investment recommendations
Germany Technical Fundamentals Rates perspective Credit perspective
The core jurisdiction in the European CB market. Overwhelmingly a rates buyer market, and owing to the relatively tight levels of Neutral Underweight
pfandbrief will offer little interest to a credit investor unless liquidity (or the perception of liquidity) is the over-arching driver of
investment). Significant redemptions of bonds (particularly public sector backed outstandings) combined with a loyal investor base
will likely support pfandbrief levels, despite our view that investors are not being compensated appropriately for the credit risk
assumed in the underlying pools.
France
The second internationally active market in Europe, with a combination of both legislative and structured (although now also Underweight Underweight
legislative) products available to investors (OF or OH). While supply has been elevated during the past twelve months, spreads
have been relatively resilient. Generically we prefer OH to OF based on our preference for mortgage assets over public sector
exposures, compounded by the typical premium which OH bonds tend to come at in relation to OFs. Furthermore, we would
expect OH bonds to perform better than OF bonds over the next few months, owing to some accounts approaching line limits on
the more frequent OF names.
Scandinavia
Solidly performing covered markets, with few 'credit' concerns with respect to sovereign or issuer strength. Has benefitted in Overweight Neutral
spread terms both from the addition of northern European demand to the domestic investor base, along with the tapping of
overseas dollar markets (US, Australia). Could see some mild spread tightening in EUR as paper diverted to further afield
investors. Positions in these markets offer both liquidity and remain relatively removed from the European sovereign crisis.
Netherlands
The last predominantly rates market. With the current pick-up of senior unsecured paper relative to Dutch covered bonds, we do Neutral Neutral
not expect any significant pricing revisions over the next few months. As hybrid' secured researchers, we see more value in
adding securitisation exposure in the Netherlands however.
UK
We remain overweight UK covered bonds, appreciating the strength of the guarantor structure (as for Netherlands and Italy). Overweight Overweight
Furthermore, owing to the nascent start of a domestic, GBP covered bond market, we also recognise the potential for
performance in the existing largely EUR-denominated UK covered bonds, as both future supply is directed into the GBP market
and continental investors appreciate the pick-up to some of the tighter, northern European markets. For the more adventurous
investors, we also see particular appeal in covered bonds of now state-supported institutions (Bradbi and NRAM) which benefit
from HM Treasury guarantees (Bradbi to runoff, NRAM revocable with 3 months notice).
Italy
While we very much appreciate the SPV structure deployed in OBGs, like the underlying mortgage collateral and the financial Underweight Underweight
health of most Italian households, and see the predominantly domestically funded Italian banks as unlikely to over issue OBGs,
we switch our overweight recommendation to an underweight based on the seemingly significant potential for political backflips
with respect to adopting credible austerity measures to stem sovereign contagion. On a HTM perspective, we would remain
overweight based on technicals, but on a MTM basis, we see the political backdrop as too volatile to justify further investment.
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Sector Outlook Commentary Investment recommendations

Spain Tier 1/Tier 2 Tier 1/Tier 2
Solid cross-over market where both credit and rates buyers can be seen in significant volumes. Despite the ongoing stresses in Overweight/Neutral Overweight/Neutral
the peripheral sovereign crisis and the reorganisation of the caja system, sentiment remains somewhat levelheaded (particularly
for Tier One institutions). While we remain aware of the potential for a further bout of sovereign-inspired weakness over the
coming months, and the more central hypothesis that bond ratings will continue to be challenged over the course of 2011, we also
view cedulas as one of the most defensive types of covered bond, owing to its unique claim on all mortgage assets of the issuing
institution (i.e. substantially subordinating the rights of all other senior investors).
Portugal
Higher yielding cousin to the Spanish market, we remain overweight Portuguese covered bonds based on fundamentals: driven Underweight Overweight
by our view on the underlying mortgage borrowers and the relative health of the Portuguese banking system itself. Sovereign
inspired weakness could challenge the shorter term success of our overweight recommendation however, but at yields close to/in
the double digits, we expect investors with a medium-term investment horizon to benefit any positions. Currently a play for 'faster
money'/high yield type accounts, the shorter term ability to exit any positions will remain constrained (more traditional covered
bond investors have been burned once). Potential for slippage into non-investment grade ratings territory.
Ireland Domestic/Depfa Domestic/Depfa
Covered bonds distressed segment, predominantly considered a 'faster money'/high yield play. Despite the obvious concerns Underweight/Overweight Overweight/Overweight
around the health of the Irish banking system in general, and its housing market in particular, we remain overweight Irish ACS.
This view is largely driven by the level of political and regulatory support that has been evident for the asset class; and reinforced
confirmation that burden sharing will be concentrated in subordinated bonds. Away from domestic issuers, Depfa ACS can also
offer investors comfortable with public sector exposure an interesting play from an institution currently 100% owned by the
German government.
Source: J. P. Morgan Covered Bond Research
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Product overview
Covered Bonds: a bluffers 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 2: 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 Frances OF, Norway); 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 defines
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 ECs 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 (self-originated MBS
receive a waiver from the 10% cap). 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 issuers 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 Sweden. 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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As in last years Handbook, we once again set out below to define the core
characteristics of the covered bond product, despite 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. We update this segment to reflect
changes to legislative frameworks and the rating methodologies of the main agencies.
For more detail on individual jurisdictions, please see the respective country sections
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, Finland, Germany, Greece, Hungary, Portugal 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, and
France (for Obligations Fonciere), Luxembourg and Norway.
The third variation on issuance form tends to have been adopted by the Anglo-Saxon
jurisdictions (Canada, New Zealand, UK and US) along with Italy, the Netherlands
and Switzerland. 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 21).
Figure 21: 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 institution).
Only after issuer default does
Only after an institutions default does the primary source of programme payments
the primary source of investor
cashflows become the cover switch to the cover pool itself. Subsequently, should the pool prove insufficient to
pool 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 (although this has now been
replaced with cash holdings).
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. 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 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 Standards3 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 resources
of the issuing institution are utilised. Second, with the exception of Danish junior
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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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 (notable exceptions to this are UK credit card and UK and
products Dutch 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).
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 investors 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 programmes 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
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.
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Rating Agencies
All agencies use the unsecured
We set out below an overview of the ratings approaches adopted by the four agencies
rating of the issuer as a ratings with respect to covered bonds. All four agencies link the rating of covered bonds to
floor for its covered bonds the rating of the issuing bank, providing further scope for uplift from the issuer rating
based on both collateral and cover pool cashflow characteristics. We have updated
the following overviews to reflect amendments from Fitch, proposed amendments
from S&P, as well as adding DBRS' rating methodology.
DBRS
The following is a synopsis of the methodology used by DBRS to rate covered bonds.
For a complete overview of the Agencys approach, please see Rating European
Covered Bonds, published 29th August 2011.
DBRS sees covered bonds as being akin to senior secured bank debt, therefore
deploying a 'linked approach' to its ratings methodology. The ratings process is built
around three steps: the rating of the issuer, an assessment of the legal & structuring
framework and an assessment of the cover pool. In more detail:
Step 1 utilises the issuer's rating, seeing it as the primary source of the timely
payment and ultimate repayment of a programmes outstanding covered bonds.
Step 2 focuses on the Legal and Structuring Framework ('LSF') under which the
respective covered bond programme operates. This assessment is the most
significant of the three individual Steps, and once completed, determines the
maximum achievable rating for a specific programme. Assigning a LSF grade
requires a review of the respective legislation and the legal environment in the
relevant country. Where legislation does not exist, the analysis is conducted at the
individual programme term level instead. The LSF can be categorised in four
assessments: Very Strong, Strong, Adequate, and Modest
Step 3 focuses on an assessment of the cover pool, following similar collateral
analysis methodologies to those deployed in securitisation analysis. It is
undertaken by incorporating the cover pool analysis along with reviews of
hedging contracts, expected cash flows from the pool and the payment profile of
the programme, as well as cashflow stress analysis.
Fitch Ratings
The following is a synopsis of the methodology used by Fitch Ratings to rate covered
bonds. For a complete overview of the Agencys approach, please see Fitch Ratings
Covered Bond Rating Criteria', published 11th August 2011.
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 programmes
Discontinuity Factor (D-Factor) to calculate a maximum rating on a probability of
default (PD) basis. Second, it tests the programmes 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 five separate attributes, each given a contributory weighting: Asset Segregation
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(45%), Liquidity Gaps (35%), Alternative Management (15%), Oversight (5%) and
Privileged Derivatives (flat adjustment). 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.
Privileged Derivatives considers how vulnerable programmes with privileged
hedging agreements are to the default of the issuer.
Table 3: Maximum achievable rating based on PD (Stage 1)
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.
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Fitch gives credit for over-collateralisation in the following order: contractual

commitments, if legally binding and enforceable; non-contractual public statements
and covenants; and issuers 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).
Table 4: 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
Source: Fitch Ratings
Criteria for CB secured on commercial real estate loans

Fitch believes that the risks inherent in pools, whether wholly or partially backed by
commercial real estate exposures, are significant enough to warrant specific analysis
when rating programmes. These analysis steps form part of its overall covered bond
rating process defined above.
Definitions
Fitch defines loans as commercial real estate exposures if they are secured on
property types which include office, retail or industrial, alongside exposures to multi-
family housing units and more specialised property types such as hotels. Multi-
property (>4 units) buy-to-let loans are also considered under this approach.
Approach
Fitch requires loan level data analysis to be conducted to most accurately capture the
risk of commercial property portfolios. Should loan level data be unavailable, the
Agency will apply the most conservative assumptions when modeling. Calculations
are then conducted on the default likelihood and recovery rate of each exposure, and
rolled up into a total commercial property default and recovery rating.
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Moodys
The following is a synopsis of the methodology used by Moodys to rate covered
bonds. For a complete overview of the Agencys approach, please see Moodys
Rating Approach to Covered Bonds, published 4th March 2010.
Moodys 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 Agencys 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.
Moodys 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. Moodys 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.
Moodys also utilises a metric called the Timely Payment Indicator (or TPI), which is
used in conjunction with the issuers 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
Asset type considerations
Nature of liabilities considerations
Other considerations
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Table 5: 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: Moodys
Standard & Poors

The following is a synopsis of the methodology used by Standard & Poors to rate
covered bonds. For a complete overview of the Agencys approach, please see
Table 6: Scaling factors Revised Methodology And Assumptions For Assessing Asset-Liability Mismatch
Timing of Scaling Risk In Covered Bonds, published 16th December 2009.
mismatch factor
0-1yr 100% Figure 22: S&P covered bond ratings approach
1-2y 95%
2-3y 90% Asset Risk Cashflow Legal Risk Operational & Counterparty
3-4y 85% Risk Administrative Risk
Risk
4-5y 80%
5-6y 75%
6-7y 70% Zero
7-8y 65% 1 ALMM Classification
Low
Moderate
8-9y 60%
High
9-10y 55% Category 1
>10y 50% 2 Programme Categorisation Category 2
Source: Standard & Poors Category 3
Category 1 2 3
Max. # notches
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 Poors
S&Ps ratings methodology uses a five-stage process to calculate a programmes

ultimate rating. First the Agency looks to calculate a programmes maximum ALMM
(asset liability mismatch) 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 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 (net stressed periodic cashflow) is then scaled based on its timing.
The ALMM percentage is then calculated as the maximum cumulative scaled
ALMM amount, divided by the outstanding balance of programme liabilities. Based
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on the calculated percentage, the programme will sit in one of four available
classification buckets.
Table 7: ALMM classifications and potential maximum uplift

ALMM Classification ALMM Percentage Max. Potential Uplift
Zero N/A Unrestricted
Low <15% 5-7 notches
Moderate 15-30% 4-6 notches
High >30% 3-5 notches
Source: Standard & Poors
Rated covered bonds will therefore benefit from a minimum three notch uplift over
the issuers own rating, and a maximum seven notch upgrade. For programmes
without ALMM risk, such as pass-through bonds, a covered bonds rating is
unconstrained by the issuers rating.
Step 2 allocates programmes into one of three categories based primarily on their
jurisdiction of issuance.
Table 8: 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
Step 3 sees the combination of ALMM Classification (Stage 1) and Programme

Categorisation (Stage 2), giving the maximum potential covered bond rating.
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Table 9: Maximum potential ratings uplift from the issuers 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 10: 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 programmes 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/Developing; Positive; and

Negative).
Counterparty criteria
S&P is currently continuing to review the feedback on its proposed update of its
covered bond counterparty and supporting obligations methodology and
assumptions as at 15th August 2011.
The proposals relate specifically to the treatment of derivative obligations in covered

bonds. The treatment of direct support and other support obligations remain the same
as for those implemented in January for other structured finance obligations. Owing
to the existence of multiple counterparties in covered bond programmes and the dual
recourse nature of the product (i.e. the role of the originator/issuer), the proposed
criteria link the rating of covered bonds to both the Issuer ICR and those of the
derivative counterparties.
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In summary, on the assumption that derivative obligations contain a replacement

mechanism, and the derivative counterparties in the programme are third parties, then
the proposed criteria will take into consideration three factors:
The number of derivative counterparties

The weighted-average rating of the derivative counterparties; and
The ICR of the issuer
Simplistically, the lowest rating assigned to a covered bond would be the higher of
the issuers ICR plus one notch; or the lowest rated derivative counterpartys ICR
plus one notch.
Table 11: Adjustments to the maximum covered bond rating
Step 1 Step 2 Step 3

Number of Weighted-Avg CB Issuer
Derivative Rating of Derivative Rating
Counterparties Counterparties
AAA to A A- to BBB-
>10 derivative
Bucket 1 counterparties No adjustment No adjustment AAA to AA-
And
No adjustment Minus 1 notch A+ to A
<30% Single
Counterparty
Minus 1 notch Minus 2 notches A- to BBB-
Concentration
Bucket 2 No adjustment Minus 1 notch AAA to AA-
Minus 1 notch Minus 2 notches A+ to A
Minus 2 notches Minus 3 notches A- to BBB-
Source: Standard and Poors
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Issuer Profiles
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Austrian Covered Bonds
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Austrian Covered Bonds

Legislative snapshot
We set out in Table 12 a snapshot of key covered bond attributes in Austria.
Table 12: Austrian Covered Bond legislative overview

Attribute Commentary
Framework
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).
Types of covered bonds The current framework gives the option to issue two types of covered bonds: Pfandbriefe are issued under
the Mortgage Banking and Mortgage Bond Acts that apply to commercial and public sector banks; Fundierte
Bankschuldverschreibungen (FBS) are issued under the Law of Secured Bank Bonds, which applies to all
other issuers. There are mortgage-backed bonds and public sector-backed bonds.
Structure of Issuer Direct issuance? Yes, the bonds are issued directly off the balance sheet of the issuer.
Comments (if any) The issuer does not necessarily have to be the originator under the Pfandbriefe framework and assets
originated outside the issuer can be included. ABS and MBS are not allowed as collateral.
Bankruptcy remoteness Issuers are required to record assets backing the bonds in the cover register.
Dual claim Yes, pari passu with unsecured creditors.
Bond format Generally fixed rate (although there are small size floating rate issues) bullets.
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 pool
Eligible assets Mortgage The property must be located in Austria, EEA or Switzerland. Residential, commercial and agricultural loans
allowed under Pfandbriefe. The preferential claim of the cover bonds must be recognised by the local laws; if
not, there is a 10% limit on collateral from that jurisdiction.
LTV caps For FBS it s according to the statutes, although in practice this is 60%. For Pfandbriefe it is 60% LTV soft
cap.
Public Sector Exposures to public sector entities located in Austria, other EEA or Switzerland with maximum risk weighting
of 20%. FBS may also include bonds with Mundelgelder (safe bond) status.
Non-performing collateral Not given credit towards OC calculations.
Substitution Assets 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%.
Hedging Derivatives are only allowed for hedging of market, interest and FX risk.
Valuation Individual market values. The issuer monitors the property value and regular audits are undertaken. The
valuation of the property cannot exceed its resale value and valuation guidelines need to be approved by the
regulator.
Other comments (if any)
Requirements
ALM matching Asset coverage Natural matching and stress testing. Pfanbriefe use nominal cover, while FBS uses nominal cover as a min
but can be replaced by NPV cover. Minimum 2% OC has to be maintained.
Interest coverage Interest income from the assets must at least cover interest paid on the bonds.
Other (if any)
Consequence of breach Regulatory or rule-based actions.
Monitoring Periodic reporting required. The cover pool monitor performs audits on the pool, verifies any breach of
coverage test and has reporting duties to the supervisory authority.
Other
Compliance with EU Both types of bonds are UCITS and CRD compliant.
legislation
Source: National legislation, J.P. Morgan Covered Bond Research
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Austrian covered bond & macro backdrop
Figure 23: CB issuance, mm Figure 24: CB outstanding, mm

14,000 30,000
12,000 Mortgage Public Sector 25,000 Mortgage Public Sector
10,000
20,000
8,000
15,000
6,000
10,000
4,000
2,000 5,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Source: ECBC. Latest data available displayed Source: ECBC. Latest data available displayed
Figure 25: Austrian real GDP growth, y-on-y, % Figure 26: Austrian unemployment level, %
6 Real GDP growth 6
4 5
2
4
0
3
-2
-4 2
Unemployment
-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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 27: Austrian CPI and base rate, % Figure 28: Austrian consumer confidence, balance of survey
5 Inflation Base rate
20 Cons. Confidence
4 15
3 10
5
2 0
1 -5
-10
0 -15
-1 -20
-25
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Source: Bloomberg
Source: Bloomberg
Figure 29: Austrian outstanding mortgage stock (mm) and annual Figure 30: Austrian average mortgage rate, %
change, % (RHS) 7 Avg mortgage rate
90,000 Outstanding mortgage stock Annual change in mtge stock (RHS) 30% 6
80,000 5
25%
70,000
4
60,000 20%
50,000 3
15%
40,000 2
30,000 10% 1
20,000
5% 0
10,000
Jul-03
Jul-04
Jul-05
Jul-06
Jul-07
Jul-08
Jul-09
Jul-10
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
0 0%
Dec-02
Jun-03
Dec-03
Jun-04
Dec-04
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Jun-11
Source: ECB
Source: ECB
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BAWAG PSK Table 14: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: BAWAG) Loans 20,697 21,066 22,288
Snapshot Total Assets 41,578 41,225 38,556
Bank fr Arbeit und Wirtshaft (BAWAG) PSK is one of Deposits 22,585 22,674 21,733
Short-term borrowings 3,268 6,811 6,290
the largest banking groups in Austria and is mostly Other short-term
focused on retail finance and deposit-taking. borrowings 3,312 3,017 3,169
Long-term borrowings 10,957 6,371 4,900
Equity 1,326 2,292 2,424
BAWAG and PSK were founded as separate entities; in
Source: Bloomberg
2000 BAWAG acquired PSK, creating the third largest
banking group in Austria at the time and the most
Table 15: Select financial metrics
extensive centrally managed distribution network in the
country. FY 2008 FY 2009 FY 2010
ROA -1.3 0.4 0.3
ROE -37.9 10.8 6.9
In 2004, the Austrian Trade Union acquired the ROC -5.6 1.1 0.9
remaining non-Austrian-owned 46% stake in the bank C:I 318.9 56.6 63.6
from Bayern LB but it was forced to sell in October Source: Bloomberg
2005, following the collapse of Refco, a broker that was

used to hide significant losses in derivatives transactions. Cover pool overview
The bank subsequently received a support package in We set out below some of the key cover pool
order to avoid defaulting. In 2007, the bank was sold to characteristics:
Cerberus and a consortium of lenders and insurers.
Table 16: Covered bond characteristics
In 2009, in exchange for an increase in capital and a As at April 2011
guarantee for certain assets by the Republic of Austria, Ratings S/M/F
the bank agreed to provide lending to SMEs and Covered Bond rating -/Aa1/-
Issuer rating -/Baa2/-
households for a total of 1.7bn over three years.
Cover pool
Financial performance Cover pool size () 3,408,000,000
Bonds outstanding (bn) 2,527,000,000
We set out below some of the key financial performance Nominal OC (%) 28.0
metrics: Mandatory OC (%) 15.5
Currency split (%)

Table 13: Key profit & loss figures, mm EUR 91.0
FY 2008 FY 2009 FY 2010 CHF 9.0
Net interest income 653 564 650
Provisions for loan Debtor distribution (in %)
losses 281 237 200 Municipalities 70.0
NII less provisions 371 328 450 Republic of Austria 25.0
Federal States 5.0
Comm.& fee income 144 155 159
Other operating Ratings split (%)
income 14 30 -4 AAA 54.5
Non-interest expense 684 608 618 AA 32.5
Operating profit -751 230 154 A 9.4
BBB and below 3.6
PBT -804 222 149 Source: Investor report
Taxes -89 57 13
Net profit (loss) -548 165 137
Source: Bloomberg
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Erste Bank Group Table 19: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: ERSTBK) NIM 2.7 2.8 2.9
Snapshot ROA 0.4 0.4 0.5
The Erste Bank Group operates across eight markets in ROE 10.4 8.7 7.7
ROC 1.3 1.3 1.6
Central and Eastern Europe, with over 17 million C:I 66.9 56.3 55.5
customers, of which 95% are EU residents. Through the Core capital 7.2 10.8 11.8
acquisition of 10 local banks between 1997 and 2007 it Source: Bloomberg
has significantly increased its presence in 8 Central and
Eastern European jurisdictions. Cover pool overview
We set out below some of the key cover pool
The group is primarily a savings bank and uses deposits characteristics:
to finance the majority of its lending activities: the bank
relies on deposits for 60% of its funding needs and has a Table 20: Covered bond characteristics
loan-to-deposits ratio of 111%. Public-sector Mortgage
As at June 2011 As at June 2011
Erste issues both mortgage and public-sector-backed Ratings S/M/F S/M/F
Pfandbriefe. Covered Bond rating -/Aaa/- -/Aaa/-
Issuer rating A/A1/A A/A1/A
Financial performance Cover pool

Cover pool size () 3,518,185,014 7,124,153,368
We set out below some of the key financial performance Outstanding CB () 2,826,602,922 5,358,027,905
metrics: Nominal OC (%) 24.5 33.0
Number of loans 6,442 38,067
Table 17: Key profit & loss figures, mm Avg loan size () 2,013,748 226,471
FY 2008 FY 2009 FY 2010 WA original LTV (in %) 50.1

Net interest income 4,892 5,208 5,391 Remaining tenor (yrs) 14.2 17.1
Provisions for loan WA seasoning (yrs) 4.5 6.0
losses 1,071 2,057 2,031 Fixed rate assets (in %) 21.3 10.8
NII less provisions 3,820 3,152 3,360
Geographical split (in %)
Comm.& fee income 2,426 2,320 2,488 Austria Vienna 20.0 32.0
Other operating Austria Lower Austria 20.0 18.0
income 217 185 140 Austria Styria 16.0 16.0
Non-interest expense 4,885 4,856 4,949 Austria Other 37.2 27.2
Operating profit (loss) 1,123 1,288 1,494 Germany 2.0 6.7
Other Europe 0.0 0.1
PBT 576 1,261 1,515
Taxes 177 285 329 Property type (in %)
Net profit (loss) 860 903 1,015 Private housing 36.0
Source: Bloomberg Subsidised tenant 22.0
associations
Commercial housing 16.0
Table 18: Key balance sheet figures, mm Commercial properties 26.0
FY 2008 FY 2009 FY 2010
Borrower type (in %)
Commercial Loans 70,000 70,296 70,526
Municipalities 36.0
Consumer Loans 49,753 51,702 54,364
Provinces 22.0
Other Loans 6,432 7,136 7,839
Guaranteed by Provinces 17.0
Total Assets 201,441 201,710 205,938
G.teed by Municipalities 14.0
Deposits 109,305 112,042 117,016
Short-term borrowings 38,971 27,683 22,304 Source: Investor report
Other ST borrowings 7,940 9,488 12,631
Equity 11,095 16,123 17,129
Source: Bloomberg
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HYPO NOE Gruppe Table 22: Key balance sheet figures, mm

FY 2009 FY 2010
(BBG: NDOLB) Real Estate Loans 1,154 1,217
Snapshot Commercial Loans 2,113 1,565
The HYPO NOE Gruppe is one of Austrias largest state Consumer Loans 5,314 6,096
Other Loans 1,154 1,217
banks and the banks sole owner is the State of Lower Total Assets 11,645 12,004
Austria, rated Aaa by Moodys. The group focuses Deposits 2,461 2,327
mostly on providing public sector and real estate finance Short-term borrowings 3,065 2,624
Long-term borrowings 6,011 5,945
in Lower Austria but is increasingly active in the rest of Equity 404 382
Austria and abroad, particularly in Germany and CEE Source: Annual report 2010
countries.
The HYPONOE group operates along three business
FY 2009 FY 2010
lines: HYPO NOE Landesbank is a universal bank with ROE 5.4 1.8
private and corporate clients in Lower Austria and C:I 57.3 76.4
Vienna. HYPO NOE Real Consult and HYPO NOE Core capital 11.1 11.5
Leasing are regional market leaders in the real estate and Source: Annual report 2010
public finance sectors.

Cover pool overview
Currently 50% of the funding needs of the bank are We set out below some of the key cover pool
satisfied on the debt capital markets, with another 41% characteristics:
coming from customers and credit institutions deposits.
Going forward HYPO NOE expects to rely more Table 24: Covered bond characteristics
significantly on public sector covered bonds for the As at April 2011
funding of its lending activities. Ratings S/M/F
Covered Bond rating -/Aaa/-
Issuer rating A/-/-
Financial performance
We set out below some of the key financial performance Cover pool
Cover pool size () 2,976,864,895
metrics: Bonds outstanding (bn) 1,922,646,234
Nominal OC (%) 51.8
Table 21: Key profit & loss figures, mm
FY 2009 FY 2010 Austria 94.8
Net interest income 139 135 Hungary 5.2
Provisions for loan
losses 34 18 Debtor distribution (in %)
NII less provisions 105 117 Guaranteed by Federal States 60.9
Federal States 17.7
Comm.& fee income 10 10 Municipalities 11.6
Other operating Guaranteed by Municipalities 4.5
income 4 -48 Other 5.3
Non-interest expense 77 82
Source: Investor report
PBT 25 8
Taxes 5 1
Net profit (loss) 20 7
Source: Annual report 2010
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Kommunalkredit Austria AG Table 26: Key balance sheet figures, mm

FY 2009 FY 2010
(BBG: KA) Consumer Loans 2,661 2,698
Snapshot Total Assets 18,283 16,271
The bank was established in 1958 to provide low- Deposits 1,029 1,580
Equity 421 419
interest, long-term funding to Austrian local authorities.
This remains its principal line of business to this day, as
it focuses on local authorities, municipalities, Table 27: Select financial metrics
governments and public institutions. The bank provides a
FY 2009 FY 2010
range of services including municipal and infrastructure
C:I 47.9
project finance, including project consulting, budget Core capital 14.3 15.7
management and asset management consulting, together Source: Annual report 2010
with other financing services. The domestic market
remains the main focus of the bank, but its operations Cover pool overview
extend to Germany, Switzerland and the newest EU We set out below some of the key cover pool
Member States. characteristics:
The core segments of business are energy and Table 28: Covered bond characteristics
environment, social infrastructure and transport. Since
As at
1993 the bank has been in charge of managing the December 2010
environmental support schemes of the Republic of Ratings S/M/F
Austria as well as the Environmental and Water Covered Bond rating -/Aa1/-
Issuer rating -/Baa1/A
Management Fund.
Cover pool
The bank was nationalised in 2009, with the Austrian Cover Pool (bn) 9.3
Government now owning 99.78% of the bank, and the Bonds outstanding (bn) 7.2
OC (in %) 29.0
remaining 0.22% owned by the Association of Austrian
Municipalities. Public-sector-backed covered bonds Geographical split (in %)
make up 29% of its current funding. Austria 67.8
Switzerland 11.0
Germany 7.6
Financial performance Italy 5.2
Others 8.4
We set out below some of the key financial performance
metrics: Rating split (in %)
Aaa 20.5
Table 25: Key profit & loss figures, mm Aa 69.5
A 9.9
FY 2009 FY 2010 Source: Investor report
Net interest income 4.8 47
Provisions for loan
losses 0.7 4
NII less provisions 4.1 43
Comm.& fee income 3.4 14

Other operating
income 1.1 15
Non-interest expense 4.8 44
PBT 3.2 32
Taxes 0.3 7
Net profit (loss) 2.9 25
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UniCredit Bank Austria Table 30: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: BACA) Loans 131,973 123,602 130,093
Bank Austria has been part of the UniCredit Group since Deposits 101,179 97,041 100,284
2005 and is one of the leading banks in the Central and Other short-term
Eastern Europe region, but maintains a strong presence in borrowings 38,701 12,374 6,172
the domestic market as well. Long-term borrowings 34,597 30,789 29,206
Equity 14,237 14,388 17,476
Source: Bloomberg
The bank offers its services through an extensive network
of around 300 branches in Austria. Bank Austria is also
the leader in catering to the corporate world:
89%/41%/35% of all large/medium/small Austrian FY 2008 FY 2009 FY 2010
NIM 3.4 4.3 10.1
corporates and businesses are amongst its customers, as ROA 0.5 0.6 0.4
at the end of June 2011. ROE 8.1 8.3 5.0
ROC 1.4 1.4 1.0
C:I 56.2 77.6 83.1
Bank Austria acts as a sub-holding company of the
Source: Bloomberg
UniCredit Group and is responsible for overseeing the
Group's banking activities in the CEE region. In this
Cover pool overview
position, the bank also has access to the growing Central
and Eastern European markets, where the Group has We set out below some of the key cover pool
close to 4,000 branches in 19 countries, often as one of characteristics:
the leading banking institutions in each jurisdiction.
Unicredit Bank Austria issues public-sector-backed As at June
2011
covered bonds.
Ratings S/M/F
Financial performance Issuer rating A/A1/-
metrics: Cover pool size () 5,771,000,000
Number of loans 3,921
Table 29: Key profit & loss figures, mm Nominal OC (%) 26.0
Avg loan size () 1,441,870
FY 2008 FY 2009 FY 2010
Net interest income 6,261 4,734 4,543 Remaining tenor (yrs) 8.3
Provisions for loan WA seasoning (yrs) 4.4
losses 1,012 0 0 Fixed rate assets (in %) 33.3
NII less provisions 5,249 4,734 4,543 Bullet Loans (in %) 55.0
Other operating Geographical split of guarantors (in %)

income 364 3,049 3,125 Vienna 20.8
Non-interest expense 4,744 4,254 4,857 Republic of Austria 16.3
Operating profit 2,198 1,226 987 Lower Austria 14.2
Other 48.7
PBT 1,505 1,334 1,146
Taxes 222 182 348 Debtor distribution (in %)
Net profit (loss) 1,144 1,152 798 Municipalities 22.7
Source: Bloomberg Guaranteed by Federal States 25.9
Guaranteed by Municipalities 8.1
Federal States 25.0
Guaranteed by the State 12.4
Other 5.9
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Canadian Covered Bonds
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Canadian Covered Bonds

We set out in Table 33 a snapshot of key covered bond attributes in Canada.
Table 33: Canadian Covered Bond legislative overview

Framework
Legislative Framework There is currently 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 and to this purpose published a consultation paper in May 2011. The
consultation period ended in June 2011.
Types of covered bonds So far only mortgage and mortgage+MBS backed bonds. Eligible collateral includes public sector loans,
mortgages, MBS.
Structure of Issuer Direct issuance? Yes and no. The current 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 bonds.
Comments (if any) In the May 2011 consultation paper, the government expressed the intention of keeping the SPV framework
in order to better guarantee asset segregation, rather than switching to a register-based framework.
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.
Dual claim Yes
Bond format Typically fixed. Bonds can be extended by up to 12mths if the issuer fails to repay in full on original maturity.
Supervision Office of the Superintendent of Financial Institutions (OSFI).
Cover pool
Eligible assets Mortgage Existing covered bond programmes are secured on residential mortgages, MBS and home equity lines of
credit (TD Bank programme only). Mortgages can be guaranteed (generally by the CMHC).
LTV caps For the calculation of the LTV-adjusted balance, only the first 80%/90% of non-guaranteed/guaranteed loans
is taken into account.
Public Sector No public sector CB for the moment.
Non-performing collateral 0% weight in calculation of LTV-adjusted balance.
Substitution Assets Not allowed to exceed 10%. Exposure to institutions that qualify for 10% risk weight; exposure to 20% risk
weight institutions limited to 10% of pool.
Hedging Derivatives are allowed to hedge interest and exchange rate risk.
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.
Other comments (if any) The new legislation is looking to restrict mortgage collateral to Canadian properties only. The consultation
paper also proposes to have a uniform valuation system.
Requirements
ALM matching Asset coverage 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. OC depends on the contractual agreement, but the current
issuers generally have a maximum OC of 10%. The consultation paper is looking to impose 10% OC as a
maximum. In Canada, creditors of the insolvent issuer can claim back the extra assets over the ACT limit.
The consultation paper is looking to incorporate this in the legal framework.
Interest coverage n/a
Other (if any) There is also a reserve fund that needs to be funded by the Guarantor upon downgrade of the issuer below a
specified threshold. If hard bullets are issued, these have to be cash collateralised 6 months before maturity.
Consequence of breach If breach of ACT there is an issuer EoD. If a pre-maturity test in case of a hard bullet is breached, then Issuer
EoD.
Monitoring Independent monitor will check ACT. Consultation paper looking to introduce role of registrar.
Other
Compliance with EU Neither UCITS nor CRD compliant.
legislation
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Canadian covered bond & macro backdrop
Figure 31: Mortgage CB Issuance, mm Figure 32: Mortgage CB outstanding, mm

14,000 20,000
12,000
Mortgage Mortgage
10,000 15,000
8,000
10,000
6,000
4,000 5,000
2,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 33: Canada real GDP growth, y-on-y, % Figure 34: Canada unemployment level and mortgage arrears (RHS),
8 Real GDP growth %
6 Unemployment Mortgage arrears (RHS)
10 0.50
4 9 0.45
2 8 0.40
0 7 0.35
-2 6 0.30
-4 5 0.25
-6 4 0.20
-8 3 0.15
-10 2 0.10
1 0.05
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
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
Jan-11
Source: Bloomberg
Source: Bloomberg, Canadian Banker Association
Figure 35: Canada CPI and base rate, % Figure 36: Canada consumer confidence index, #
120 Cons. Confidence
6
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
Mar-11
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Source: Bloomberg
Source: Bloomberg
Figure 37: Canada house price growth, % Figure 38: Canada housing permits issued and housing starts index
(RHS), #
14 House price growth 8,000 Housing permits Housing starts index (RHS) 350
12 7,000 300
10
6,000 250
8
6 5,000
200
4 4,000
2 150
3,000
0 100
2,000
-2
-4 1,000 50
-6 0 0
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
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Bank of Montreal Financial performance

(BBG: BMO) We set out below some of the key financial performance
Snapshot metrics:
BMO Financial Group is a highly diversified financial Table 34: Key profit & loss figures, CADmm
services organisation, catering to more than 11 million
FY 2008 FY 2009 FY 2010
personal, commercial, corporate and institutional
Net interest income 5,072 5,570 6,235
customers in North America and internationally. BMO Provisions for loan
provides a broad range of retail banking, wealth losses 1,330 1,603 1,049
management and investment banking products and NII less provisions 3,742 3,967 5,186
solutions along three business divisions. Comm.& fee income 4,375 4,607 4,683
Other operating
Personal & Commercial Banking offers a broad range of income 447 465 545
Non-interest expense 6,902 7,311 7,590
retail banking products as well as financial advisory and Operating profit 1,973 2,150 3,571
capital markets services in Canada; in the USA, the bank
operates as Harris Bank and M&I Bank, which will PBT 1,981 2,080 3,571
Taxes -71 217 687
become a single brand in 2012. Net profit (loss) 1,978 1,787 2,810
Source: Bloomberg
The Private Client Group, BMOs group of wealth
management businesses, serves a full range of client Table 35: Key balance sheet figures, CADmm
segments, from mainstream to ultra-high net worth, as
FY 2008 FY 2009 FY 2010
well as select institutional markets, with a broad offering Commercial Loans 84,151 68,169 68,338
of wealth management products and solutions. PCG Consumer Loans 95,200 93,922 103,182
operates in both Canada and the United States, as well as Loans 177,604 160,189 169,642
Total Assets 416,050 388,458 411,640
in China and the United Kingdom. Deposits 257,670 236,156 249,251
BMO Capital Markets provides a wide array of products Other short-term
borrowings 23,429 23,578 24,415
and services to corporate, institutional and government Long-term borrowings 5,715 5,386 4,576
clients: equity and debt underwriting, corporate lending Equity 17,904 20,197 21,880
and project financing, mergers and acquisitions advisory Source: Bloomberg
services, merchant banking, securitisation, treasury and
market risk management, foreign exchange, derivatives, Table 36: Select financial metrics
debt and equity research and institutional sales and FY 2008 FY 2009 FY 2010
trading. NIM 1.7 1.8 2.1
ROA 0.5 0.4 0.7
ROE 12.6 9.9 14.5
ROC 2.7 2.3 3.3
C:I 66.4 65.0 60.4
Core Capital 9.8 12.2 13.5
Source: Bloomberg
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Cover pool overview

characteristics:

As at July 2011
Ratings S/M/F
Covered Bond rating AAA/Aaa/AAA
Issuer rating A+/Aa2/AA-
Cover pool
Cover pool size (CAD) 7,263,524,927
Outstanding liabilities (in CAD) 5,065,970,000
Asset percentage (in %) 95.0

Average loan (in CAD) 169,594
WA seasoning (mths) 20
WA LTV (in %) 66.0
Highest regional exposure (in %) Ontario - 40.1
Fixed rate mortgages (in %) 62.2
Owner occupied properties (in %) 85.2
Bureau Score breakdown (in %)

<500 or Unavailable 0.5
500-599 1.7
600-699 19.2
700-799 66.1
>=800 12.5
Current LTV breakdown (in %)

<=50 17.3
50.01-55 5.5
55.01-60 7.4
60.01-65 8.2
65.01-70 8.5
70.01-75 12.8
75.01-80 31.9
>80 8.5
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Caisse Centrale Desjardins du Quebec Financial performance

(BBG: CCDJ) We set out below some of the key financial performance
Snapshot metrics:
Caisse Centrale Desjardins is a cooperative owned by the Table 38: Key profit & loss figures, CADmm
Fdration des caisses Desjardins du Qubec. It offers
FY 2008 FY 2009 FY 2010
financing, banking and international services to
institutional organisations (governments, municipalities, Provisions for loan
school districts, etc.), large and medium-sized businesses losses 21 13 -33
and various Desjardins Group entities. NII less provisions 160 232 269

Caisse Centrale Desjardins acts as treasurer for the Other operating
Desjardins Group and as its financial agent on Canadian income 3 6 2
Non-interest expense 77 101 88
and international markets. Operating profit -9 200 226
As treasurer, Caisse Centrale Desjardins develops and PBT -45 164 187
Taxes -8 37 45
implements liquidities and asset liability management Net profit (loss) -37 127 142
strategies for the Group. Caisse Centrale is also Source: Bloomberg
responsible for meeting the liquidity needs of the Group,
as well as increasing and diversifying its sources of funds Table 39: Key balance sheet figures, CADmm
on national and international markets.
FY 2008 FY 2009 FY 2010
Loans 14,781 13,080 15,946
As the financial agent for Desjardins Group, Caisse Total Assets 25,335 22,597 26,900
Centrale Desjardins represents the caisses within the Deposits 16,310 14,836 18,754
Short-term borrowings 943 1,154 1,565
Canadian Payments Association. On behalf of the Group, Other short-term
Caisse Centrale guarantees and assumes the clearing for borrowings 3,163 2,554 2,930
banking instruments with the Bank of Canada, and for Equity 1,262 1,328 1,647
securities negotiated in Canada with the Canadian Source: Bloomberg
Depository for Securities.
FY 2008 FY 2009 FY 2010
NIM 1.0 1.3 1.1
ROA -0.2 0.5 0.6
ROE -3.2 9.8 9.6
ROC 5.0
C:I 29.9 29.2
Core Capital 15.4 17.6
Source: Bloomberg
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Cover pool overview

characteristics:

As at July 2011
Ratings S/M/F
Covered Bond rating -/Aaa/AAA
Issuer rating AA-/Aa1/AA-
Cover pool
Outstanding liabilities (in CAD) 987,200,000

WA remaining term (mths) 36
WA original LTV (in %) 92.1
WA current LTV (in %) 88.1
Original LTV breakdown (in %)

<20 0.1
20-50 0.3
50-60 0.4
60-65 0.6
65-70 0.6
70-75 1.7
75-80 3.1
80-85 6.0
85-90 12.0
90-95 27.6
95-100 47.6
>100 0.0

<20 0.1
20-50 0.7
50-60 0.9
60-65 1.0
65-70 1.7
70-75 3.6
75-80 5.7
80-85 11.3
85-90 25.3
90-95 27.2
95-100 22.5
>100 0.0
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CIBC Table 43: Key balance sheet figures, CADmm

FY 2008 FY 2009 FY 2010
(BBG: CM) Commercial Loans 39,273 37,343 38,582
Snapshot Consumer Loans 133,648 131,829 140,030
Canadian Imperial Bank of Commerce (CIBC) operates Loans 171,475 167,212 176,892
Total Assets 353,930 335,944 352,040
in two core areas of business: retail banking (CIBC Deposits 232,952 223,117 246,671
Retail Markets) and wholesale banking (CIBC World Short-term borrowings 44,947 43,369 37,893
Markets), both in the Canadian domestic market and Other short-term
borrowings 22,015 22,090 20,256
abroad, catering to almost 11mm customers. Long-term borrowings 7,258 5,757 4,773
Equity 14,016 14,449 15,958
The Retail Markets division comprises CIBC's personal Source: Bloomberg
banking, business banking and wealth management
businesses and operates in Canada and the Caribbean. Table 44: Select financial metrics
The segment also offers investment management services FY 2008 FY 2009 FY 2010
globally to retail and institutional clients in Hong Kong, NIM 1.8 1.9 2.1
Singapore and the Caribbean. ROA -0.6 0.3 0.7
ROE -19.5 9.1 19.2
ROC -3.2 1.8 4.1
CIBC World Markets is the wholesale banking arm of C:I 184.5 66.8 57.9
CIBC. Wholesale Banking provides a wide range of Core Capital 10.5 12.1 13.9
credit, capital markets, investment banking, merchant Source: Bloomberg
banking, and research products and services to
government, institutional, corporate and retail clients in
Canada and in key markets around the world through its
two business segments corporate and investment
banking and capital markets.
metrics:
Table 42: Key profit & loss figures, CADmm

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 773 1,649 1,046
Comm.& fee income 4,219 3,950 4,142

Other operating
income 961 377 676
Operating profit -4,260 1,619 4,012
PBT -3,741 1,619 4,012

Taxes -1,699 424 1,533
Net profit (loss) -2,060 1,174 2,452
Source: Bloomberg
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Cover pool overview

characteristics:

As at July 2011
Ratings S/M/F
Cover pool

Fixed rate mortgages (in %) -

Unavailable 4.0
<500 0.0
500-599 0.9
600-699 19.3
700-799 65.3
>=800 10.5
LTV breakdown (in %)

<=40 18.7
40.01-45 6.2
45.01-50 6.9
50.01-55 8.3
55.01-60 9.7
60.01-65 9.8
65.01-70 7.4
70.01-75 8.4
75.01-80 9.7
>80 15.0
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National Bank of Canada Table 48: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: NACN) NIM 1.8 1.8 1.6
National Bank of Canada (NBC) Group is the sixth ROE 16.6 15.7 16.9
ROC 2.2 2.7 2.9
largest Canadian bank and the leading bank in Quebec. C:I 72.3 64.4 65.3
NBC provides financial services to individual customers, Core Capital 9.4 10.7 14.0
SMEs and large corporations in Canada and offers Source: Bloomberg
specialised services in a number of international markets.
NBC offers products including corporate and investment Cover pool overview
banking, securities brokerage, insurance and wealth We set out below some of the key cover pool
management and mutual funds and retirement plan characteristics:
management.
Half of its revenues (and 45% of its net income) come As at July 2011
from the personal and commercial banking division, 31% Ratings S/M/F
(42% of net income) from its financial markets segment Covered Bond rating -/Aaa/AAA
and the remaining 18% (13% of net income) from its Issuer rating A/Aa2/A+
wealth management business. Cover pool
Financial performance Outstanding liabilities (in CAD) 994,100,000
metrics: Number of loans 13,493
Table 46: Key profit & loss figures, CADmm WA current LTV (in %) 74.7
FY 2008 FY 2009 FY 2010 Highest regional exposure (in %) Quebec - 79.1
Net interest income 1,852 1,966 1,912 Fixed rate mortgages (in %) 52.8
Provisions for loan Owner occupied properties (in %) 95.5
losses 144 305 144
NII less provisions 1,708 1,661 1,768 Bureau Score breakdown (in %)
Unavailable 7.1
Comm.& fee income 1,585 1,753 1,817 <500 0.3
Other operating 500-599 3.9
income 496 387 405 600-699 21.9
Non-interest expense 2,629 2,662 2,794 700-799 57.4
Operating profit 864 1,164 1,340 >=800 9.4
PBT 798 1,164 1,373 Current LTV breakdown (in %)

Taxes 167 252 271 <=40 7.1
Net profit (loss) 776 854 1,034 40.01-45 2.5
45.01-50 3.4
Source: Bloomberg 50.01-55 3.9
55.01-60 4.8
Table 47: Key balance sheet figures, CADmm 60.01-65 5.3
65.01-70 5.2
FY 2008 FY 2009 FY 2010 70.01-75 7.0
Commercial Loans 21,149 20,003 21,469 75.01-80 9.4
Consumer Loans 31,061 33,274 36,355 >80 51.6
Loans 51,741 52,637 57,188
Total Assets 129,332 132,138 145,301
Deposits 76,022 75,170 81,785
Other short-term
borrowings 4,274 5,733 5,946
Equity 7,538 7,674 8,407
Source: Bloomberg
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Royal Bank of Canada Financial performance

(BBG: RY) We set out below some of the key financial performance
Snapshot metrics:
RBC is Canadas largest bank by both assets and market Table 50: Key profit & loss figures, CADmm
capitalisation, and is one of North Americas leading
FY 2008 FY 2009 FY 2010
financial services companies.
Provisions for loan
The bank, through its subsidiaries, offers a broad range losses 1,595 3,413 1,861
of financial products and services, including personal and NII less provisions 7,453 8,128 9,116
commercial banking, wealth management, insurance, Comm.& fee income 8,463 9,307 9,181
corporate and investment banking and transaction Other operating
processing services. It operates mostly in Canada and the income 2,507 891 1,217
USA, but is also present in 51 other countries, catering Operating profit 6,005 6,526 7,084
for a total of nearly 18mm customers through its 5
business segments. PBT 6,005 5,526 6,968
Taxes 1,369 1,568 1,646
Net profit (loss) 4,555 3,858 5,223
Canadian Banking provides personal and business Source: Bloomberg
financial services in Canada. International Banking
comprises banking businesses in the U.S. and Caribbean, Table 51: Key balance sheet figures, CADmm
and global custody and investor services. Wealth
FY 2008 FY 2009 FY 2010
Management businesses serve affluent and high net Real Estate Loans 122,991 122,130 128,832
worth clients around the world and provide asset Commercial Loans 96,300 78,927 73,375
management and estate and trust services directly to Consumer Loans 195,455 205,224 221,828
Loans 289,540 280,963 292,206
clients and through internal partners and third-party Total Assets 723,859 654,989 726,206
distributors. Deposits 438,575 398,304 433,033
Other short-term
The Capital Markets business provide corporate, borrowings 46,974 40,031 36,719
government, and institutional advice, capital, and access Long-term borrowings 9,531 7,856 7,408
to the worlds financial markets and innovative products. Equity 33,129 38,977 41,207
Source: Bloomberg
Finally, the Insurance segment provides Canadian
customers insurance solutions including life, health, Table 52: Select financial metrics
travel, home, auto, and creditor insurance. FY 2008 FY 2009 FY 2010
NIM 1.9 2.3 2.1
ROA 0.7 0.5 0.7
ROE 17.6 12.0 15.0
ROC 4.3 3.5 4.1
C:I 60.7 58.6 60.4
Source: Bloomberg
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Cover pool overview

characteristics:

As at July 2011
Ratings S/M/F
Issuer rating AA-/Aa1/AA
Cover pool

WA authorised LTV (in %) 67.6
WA drawn LTV (in %) 60.5

Unavailable 0.9
<500 1.1
500-599 3.0
600-699 14.3
700-799 54.0
>=800 26.8
Authorised LTV breakdown (in %)

<=40 6.8
40.01-45 2.4
45.01-50 3.1
50.01-55 4.0
55.01-60 6.4
60.01-65 10.5
65.01-70 9.4
70.01-75 24.1
75.01-80 33.4
Drawn LTV breakdown (in %)

<=40 12.8
40.01-45 4.5
45.01-50 5.5
50.01-55 7.0
55.01-60 9.8
60.01-65 13.2
65.01-70 13.3
70.01-75 15.9
75.01-80 18.2
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Scotiabank Financial performance

(BBG: BNS) We set out below some of the key financial performance
Snapshot metrics:
Scotiabank is one of Canadas largest banks, offering a Table 54: Key profit & loss figures, CADmm
wide range of products across 50 countries around the
FY 2008 FY 2009 FY 2010
world to 18.6mm customers. The Group has four core
business lines: Canadian Banking, International Banking, Provisions for loan
Scotia Capital (wholesale banking arm of the Group) and losses 630 1,744 1,239
Global Wealth Management. NII less provisions 6,944 6,584 7,382
Comm.& fee income 3,631 4,323 4,188

The Canadian banking operations provide banking and Other operating
investing services to just under 7.6mm customers; the income 857 788 988
core lines of business are retail and small business Operating profit 3,950 4,794 6,084
lending, wealth management and commercial banking
services to medium and large businesses. PBT 3,950 4,794 6,084
Taxes 691 1,133 1,745
Net profit (loss) 3,140 3,547 4,239
The international operations offer retail and commercial Source: Bloomberg
banking services across the Caribbean, Central and Latin
America and Asia. Table 55: Key balance sheet figures, CADmm
FY 2008 FY 2009 FY 2010
Scotia Capital, the wholesale banking arm of the Commercial Loans 125,503 106,520 103,981
Scotiabank, offers a wide variety of products to Consumer Loans 165,803 162,652 183,030
corporate, government and institutional investor clients. Loans 288,680 266,302 284,224
Total Assets 507,625 496,516 526,657
Scotia Capital is a full-service lender and investment Deposits 346,580 350,419 361,650
dealer in Canada and Mexico, and operates in other parts Short-term borrowings 48,206 51,256 61,805
of Latin America and the US, in addition to providing Other short-term
borrowings 11,969 9,583 7,616
select products and services to niche markets in Europe Long-term borrowings 4,852 6,444 6,439
and Asia. Equity 22,144 25,326 28,210
Source: Bloomberg
The latest addition to the Group, Global Wealth
Management, provides a full range of products and Table 56: Select financial metrics
services to affluent and high net-worth clients in Canada FY 2008 FY 2009 FY 2010
and international locations; it also offers insurance NIM 2.0 1.9 1.9
products to retail customers in Canada and international ROA 0.7 0.7 0.8
ROE 16.9 16.9 18.1
locations such as Mexico, Chile, Peru, El Salvador and ROC 4.6 4.6 4.8
the Caribbean. C:I 59.4 54.8 52.8
Source: Bloomberg
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Cover pool overview

characteristics:

As at July 2011
Ratings S/M/F
Issuer rating AA-/Aa1/AA-
Cover pool

Seasoning (mths) 28

<500 1.8
500-599 4.7
600-699 18.0
700-799 57.1
>=800 18.5

<=50 17.6
50.01-55 5.2
55.01-60 5.9
60.01-65 6.9
65.01-70 7.3
70.01-75 7.4
75.01-80 6.1
>80 43.6
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Toronto Dominion Bank Table 59: Key balance sheet figures, CADmm
FY 2008 FY 2009 FY 2010
(BBG: TD) Commercial Loans 71,160 87,322 91,072
TD Bank Financial Group offers a full range of financial Loans 219,624 253,128 270,020
Total Assets 563,214 557,219 619,545
products and services ranging from personal and Deposits 375,694 391,034 429,971
commercial banking and wealth management to Short-term borrowings 37,172 34,113 49,121
insurance and wholesale banking. The group caters to Other short-term
borrowings 28,761 29,813 37,642
over 19 million customers worldwide. Long-term borrowings 13,330 13,278 12,506
Equity 33,784 40,829 44,377
The Group is structured along four key business lines: Source: Bloomberg
Canadian Personal & Business Banking including TD
Canada Trust, TD Commercial Banking, TD Financing Table 60: Select financial metrics
Services and TD Insurance; Wealth Management FY 2008 FY 2009 FY 2010
including TD Waterhouse, TD Wealth Management, TD NIM 2.2 2.5 2.4
Asset Management and TD Ameritrade; Whole Banking ROA 0.8 0.5 0.8
ROE 14.9 9.1 12.0
and US Personal & Commercial Banking. ROC 4.9 3.7 4.9
C:I 64.4 66.2 62.2
The bank operates mostly in its core markets of Canada Core Capital 9.8 11.3 12.2
and the USA and as of April 2011 it had CDN $630 Source: Bloomberg
billion in assets. TD also ranks among the worlds
leading online financial services firms, with
approximately 7 million online customers.
metrics:
Table 58: Key profit & loss figures, CADmm

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 1,063 2,480 1,625
Comm.& fee income 4,901 5,683 6171

Other operating
income 1,836 603 1,292
Operating profit 4,152 3,555 5,777
PBT 4,413 3,472 6,023

Taxes 537 241 1,273
Net profit (loss) 3,833 3,120 4,644
Source: Bloomberg
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Cover pool overview

characteristics:

As at July 2011
Ratings S/M/F
Issuer rating -/Aaa/-
Cover pool

WA authorised LTV (in %) 68.0
WA drawn LTV (in %) 54.8

Unavailable 0.2
<500 0.1
500-599 0.9
600-699 11.8
700-799 68.7
>=800 18.4
Authorised LTV breakdown (in %)

<=40 6.3
40.01-45 2.3
45.01-50 6.0
50.01-55 2.9
55.01-60 4.6
60.01-65 10.0
65.01-70 6.8
70.01-75 31.3
75.01-80 29.9
Drawn LTV breakdown (in %)

<=40 24.5
40.01-45 5.7
45.01-50 6.9
50.01-55 6.7
55.01-60 7.5
60.01-65 9.5
65.01-70 9.2
70.01-75 13.8
75.01-80 12.8
>80 3.4
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Danish Covered Bonds
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Danish Covered Bonds

We set out in Table 62 a snapshot of key covered bond attributes in the Denmark.
Table 62: Danish Covered Bond legislative overview

Framework
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
Types of covered bonds Two current types and one legacy type of 'standard' covered bond. Current types are 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 or covered
mortgage bonds), while licensed credit institutions, specialist mortgage credit institutions and shipping
finance institutions (Danmarks Skibskredit) can issue SDOs (Saeligt Deakkede Obligationer or covered
bonds). Legacy issues are ROs (RealkreditObligationer), and do not meet the covered bond definitions under
the CRD (grandfathered risk-weights for pre-2008 issuance). Furthermore, Danish covered bond issuers can
issue 'junior' covered bonds to obtain capital for supplementary security to ensure compliance with LTV limits
Structure of Issuer Direct issuance? Yes
Comments (if any) Both specialised mortgage credit institutions (who have restrictions on the scope of their banking activities)
and also licensed credit institutions (essentially commercial banks). Separate capital centres or cover pools
maintained for different types of issues or assets
Bankruptcy remoteness Segregated assets in cover register. No automatic acceleration in case of bankruptcy. Derivatives
counterparties rank pari passu with bondholders
Dual claim Yes. Furthermore, Mortgage bank (i.e. SDRO) investors also have a preferential claim against the assets of
other Capital Centres ahead of other creditors
Bond format Typically, fixed rate and hard bullet, although there are exceptions (for example, Danske has a mix of hard
and soft bullet bonds)
Supervision Danish FSA
Cover pool
Eligible assets Mortgage Mortgages assets from EEA and OECD, Switzerland, USA, Canada, Japan, New Zealand and Australia.
LTV caps Maximum LTV of 80% for residential (with repayment restrictions, otherwise 75%), 70% for agricultural and
60% for commercial properties and holiday homes (or 70% with additional collateral posted)
Public Sector Public sector based in EEA and OECD, Switzerland, USA, Canada, Japan, New Zealand and Australia. For
public sector assets, there is a cap of 20% of the pool for 20% risk-weighted exposures
Non-performing collateral Used to minimise interest rate, currency, credit or other risks
Substitution Assets Substitute collateral can constitute a maximum of 15% of the pool. Derivatives are also allowed into the pool
Hedging Elimination of interest rate and currency risk through hedging
Valuation Individual market value, with annual revaluations for commercial premises and every three years for
residential properties. In case of LTV limit breaches through falling property values, an issuer is required to
infuse supplementary assts into the cover pool on a loan by loan basis, thus maintaining the required
minimum requirement for cover at all times
Requirements
ALM matching Asset coverage 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)
Interest coverage See above
Other (if any) No minimum requirement for over-collateralisation for commercial banks (SDO issuers) but specialist
mortgage banks have to maintain 8% of RWA (SDRO issuers). Danish covered bond issuers can issue
'junior' covered bonds to obtain capital for supplementary security to ensure compliance with LTV limits
Consequence of breach Programme freeze. Potential for removal of the SDO designation. Other regulatory actions by the FSA
Monitoring Danish FSA
Other
Compliance with EU UCITS and CRD compliant. ROs are not compliant
legislation
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Danish covered bond & macro backdrop

160,000 400,000
Mortgage Ships 350,000
140,000 Mortgage Ships
120,000 300,000
100,000 250,000
80,000 200,000
60,000 150,000
40,000 100,000
20,000 50,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 41: Danish real GDP growth, y-on-y, % Figure 42: Danish unemployment level, %
6 Real GDP growth 7
Unemployment
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 43: Danish CPI and base rate, % Figure 44: Danish consumer confidence, balance of survey
5 15
Cons. Confidence
4 10
4 5
3
3 0
2
2 -5
1 -10
1
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-11
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 Mar-11
Figure 45: Danish house price growth, y-on-y, % Figure 46: Danish housing starts, #
30% 40,000
OECD HP nominal growth Housing starts (sum of prev. 12 mths)
25% 35,000
20%
30,000
15%
10% 25,000
5% 20,000
0% 15,000
-5%
-10% 10,000
-15% 5,000
-20% 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
Jan-11
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BRF Kredit AS Table 65: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: BRF) NIM 0.71 0.73 0.73
Snapshot ROA -0.22 -0.26 0.01
BRF Kredit (BRF) is a specialist mortgage lender, ROE -4.67 -6.17 0.10
ROC -0.23 -0.27 n/a
accounting for approximately 10% of the Danish C:I 92.91 42.63 n/a
mortgage market. BRFKredit offers mortgage loans Core capital 12.30 13.30 13.70
secured against owner-occupied homes (44%), Source: Bloomberg
commercial properties (16%) and for private rental
(20%) and cooperative housing (16%). All properties are Cover pool overview
located in Denmark. BRF Kredit is owned by an We set out below some of the key cover pool
independent business foundation, BRFfonden. characteristics:
The lender finances its lending activity using covered Table 66: Covered bond characteristics
bonds and mortgage bonds, depending on the type of As at 31 March 2011
collateral requiring funding. BRF adheres to the general S/M/F
balance principle, with bonds being full recourse Covered Bond rating: Capital Centre E (SDO) -/Aa2/-
obligations on BRF Kredit. Mortgage bonds are Covered Bond rating: Capital Centre B (RO) -/Aa3/-
Covered Bond rating: General Capital Centre (RO) -/Aa3/-
supported by a cover pool of assets, either from a specific Issuer rating -/Baa3/-
capital centre or by the remaining assets of BRF Kredit
(General Capital Centre). Total Cover Pool Balance (DKK bn) 207
WA Loan Balance (DKK) 1,610,444
No. of Loans: 128,536
Financial performance WA LTV (in %):
We set out below some of the key financial performance ARM (in %): 59
metrics: Fixed rate mortgages (in %) 22
Capped mortgages (in %): 10
Table 63: Key profit & loss figures, DKKmm Private housing (in %): 47
Copenhagen concentration (in %): 48
FY 2008 FY 2009 FY 2010
Net interest income 1,554 1,747 1,644 Source: Investor Report
Provisions for loan
losses 647 2,125 471
NII less provisions 907 -378 1,173 Table 67: Collateral pool LTV breakdown
Commissions & fee Current LTV ranges As at 31 March 2011
income 192 266 167
0-<=40% 19
Other operating
>40%-<=60% 22
income 34 8 9
>60%-<=80% 29
Non-interest expense 1,063 1,098 857
>80%-<=100% 20
Operating profit (loss) -576 -852 17
>100% 10
PBT -575 -858 21
Taxes -75 -237 7
Net profit (loss) -500 -621 14 Source: Investor report. All loans
Source: Bloomberg
Table 64: Key balance sheet figures, DKKmm

FY 2008 FY 2009 FY 2010
Loans 213,909 221,025 212,976
Total Assets 233,838 246,829 231,430
Deposits 3,286 3,937 5,448
Equity 10,389 9,730 9,742
Source: Bloomberg
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Danske Bank AS Table 69: Key balance sheet figures, DKKmm

FY 2008 FY 2009 FY 2010
(BBG: DANBNK) Loans 2,019,294 1,815,615 1,848,446
Snapshot Total Assets 3,543,974 3,098,477 3,213,886
Danske Bank Group (Danske) is the largest financial Deposits 874,690 859,580 861,053
group in Denmark and one of the largest in the Nordic Other ST borrowings 930 1,197 858
region. The Group focuses on retail banking, with a Long-term borrowings 1,064,000 1,111,658 1,083,041
product range which includes banking, mortgage lending, Equity 98,247 100,659 104,742
insurance, leasing, real-estate brokerage and asset Source: Bloomberg
management.
Domestically, the group is the market leader with a FY 2008 FY 2009 FY 2010
market share of approximately 25%, serving both retail NIM 1.26 1.57 1.27
ROA 0.03 0.05 0.12
and corporate customers. In Sweden and Norway, the ROE 1.00 1.74 3.57
Group has mid-single-digit market shares (6% and 5% ROC 0.06 0.11 0.24
respectively) through its acquisitions of Ostgota Enskilda C:I 67.84 49.80 58.40
Core capital 9.20 14.10 14.80
Bank & Provinsbankerne and Fokus Bank respectively,
Source: Bloomberg
while also owning Finland's third largest bank (Sampo
Bank. 12% market share). Danske is also currently
Cover pool overview
present in Ireland, Luxembourg, Germany, Poland and
the Baltics. Danske also owns Realkredit Danmark (see We set out below some of the key cover pool
separate issuer profile), the groups mortgage finance characteristics:
arm.
Table 71: Pool I: Covered bond characteristics
Danske issues covered bonds backed by three separate As at 31 March 2011
cover pools: Pool I (International) comprises 49% S/M/F
Swedish and 51% Norwegian mortgages, while Pool D Issuer rating A/A2/A+
(Domestic) is made up of 100% Danish loans. Pool C
(combined) includes both commercial and residential Total Cover Pool Balance (DKK bn) 95.8
Avg Loan Balance (DKK) 823,873
loans from Sweden. No. of Loans: 116,280
WA LTV (in %): 59.0
Financial performance OC at cut-off (in %): 20.8
Substitution collateral (DKK bn) 6.6
We set out below some of the key financial performance Seasoning (in months): 36.0
metrics: Remaining term (in months): 440
Housing cooperatives (in %): 23.8
Country concentration (in %): Nor 51 Swe 49
Table 68: Key profit & loss figures, DKKmm
FY 2008 FY 2009 FY 2010 Source: Investor Report
Provisions for loan Table 72: Pool I: Collateral pool LTV breakdown
losses 12,088 25,677 13,817
NII less provisions 27,458 21,865 22,166 Current LTV ranges As at 31 March 2011
Commissions & fee 0-<=40% 20.9
income 11,046 10,464 11,803 >40%-<=50% 13.6
Other operating >50%-<=60% 15.2
income 7,386 -8,851 -3,121 >60%-<=70% 17.0
Non-interest expense 33,184 33,117 31,125 >70%-<=80% 18.6
Operating profit (loss) 2,012 4,462 5,707 >80% 14.8
PBT 2,229 4,755 6,450 Source: Investor report
Taxes 1,193 3,042 2,786
Net profit (loss) 1,011 1,727 3,661
Source: Bloomberg
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Table 73: Pool D: Covered bond characteristics

As at 31 March 2011
S/M/F
Issuer rating A/A2/A+
Total Cover Pool Balance (DKK bn) 32.8

Avg Loan Balance (DKK) 602,612
WA LTV (in %): 60.0
OC at cut-off (in %): 18.9
Substitution collateral 1.0
Seasoning (in months): 48.0
Remaining term (in months): 309
Copenhagen concentration (in %): 36.3
Source: Investor Report
Table 74: Pool D: Collateral pool LTV breakdown

Current LTV ranges As at 31 March 2011
0-<=40% 18.6
>40%-<=50% 13.8
>50%-<=60% 16.5
>60%-<=70% 17.6
>70%-<=80% 17.9
>80% 15.5
Table 75: Pool C: Covered bond characteristics

As at 31 March 2011
S/M/F

Avg Loan Balance (DKK) 2,539,556
No. of Loans: 3,924
WA LTV (in %): 49.0
OC at cut-off (in %): 29.1
Substitution collateral -
Seasoning (in months): 46.0
Remaining term (in months): 261
Housing cooperatives (in %): 29.5
Table 76: Pool C: Collateral pool LTV breakdown

0-<=40% 37.8
>40%-<=50% 12.6
>50%-<=60% 16.8
>60%-<=70% 13.6
>70%-<=80% 10.5
>80% 8.8
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DLR Kredit AS Table 79: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: LANDBR) NIM 7.93 13.36 n/a
Dansk Landbrugs Realkreditfond (DLR) was founded ROE 8.90 5.50 3.70
ROC 0.34 0.23 n/a
in 1960 to target farmers' needs for long-term capital. C:I 21.25 45.53 46.95
DLR was allowed to grant mortgages with LTVs ranging Core capital 6.60 11.60 12.00
between 45-70% but gave up this exclusive right in 1999, Source: Bloomberg
before being transferred to the Mortgage Credit Act in
2000. In 2001, it acquired its current form as a company Cover pool overview
limited by shares. It is owned by close to one hundred We set out below some of the key cover pool
Danish regional and local banks that are also users of its characteristics:
services. Shares in DLR are redistributed every third year
to reflect the various banks usage of the mortgage Table 80: Covered bond characteristics
lender. As at 31 March 2011
S/M/F
The loan portfolio is heavily skewed towards agricultural Covered Bond rating (SDO, Capital Centre B) -/Aa1/-
and commercial properties, with fixed rate loans and Covered Bond rating (RO, General Capital Centre) -/Aa1/-
Issuer rating -/Baa1/-
short-interest period loans accounting for 19% and 81%
of the total portfolio respectively. ARM loans are by far Total Cover Pool Balance (DKK bn) 106.3
the dominant loan type, with a 66% share of the loan Office and business property loans (in %): 19.0
Multifamily (in %): 14.0
book. Interest-only loans make up 54% of the pool, but Residential loans (in %): 59.0
are mostly concentrated in the private rental and Fixed rate loans (in %): 21.8
cooperative housing sections of the loan portfolio. Interest only loans (in %): 57.9
Source: Moodys
metrics:

FY 2008 FY 2009 FY 2010
Net interest income 963 1,047 857
Provisions for loan
losses -14 159 106
NII less provisions 977 889 750
Commissions & fee
income 66 76 79
Other operating
income 17 18 23
Operating profit (loss) 611 450 336
PBT 611 450 336
Taxes 153 113 85
Net profit (loss) 458 337 251
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Total Assets 137,581 149,330 144,533
Deposits 0 0 2,376
Equity 5,609 6,534 7,112
Source: Bloomberg
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Nordea Kredit AS Table 83: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: NBHSS) NIM 1.48 1.42 1.25
Nordea Kredit (Nordea) grants mortgage lending ROE 15.35 11.55 11.36
ROC 1.56 1.16 1.22
secured by residential, commercial, agricultural and C:I 53.05 49.99 51.96
industrial properties in Denmark. The Nordea Group is a Core capital 7.40 10.20 9.80
well established financial group catering to the Nordic Source: Bloomberg
and Baltic states, where it is consistently one of the
largest by market share, with a small but growing Cover pool overview
presence in new European markets. No geographical We set out below some of the key cover pool
market accounts for more than a quarter of income, out characteristics:
of a customer base of around 10mm households and
corporates. Table 84: Covered bond characteristics
As at 31 March 2011
Nordea Kredit operates two covered bond Capital S/M/F
Centres: mortgage bonds (ROs) are issued out of Capital Covered Bond rating AAA/Aaa/-
Centre I and constitute 31% of the loan pool. Covered Issuer rating (Nordea Bank Danmark) AA-/Aa3/AA-
bonds (SDROs) compliant with UCITS and CRD Total Cover Pool Balance (DKK bn) 318.6
requirements are issued out of Capital Centre II and new Capital Centre 1 (in %): 31.3
issues are almost exclusively out of this CC. Capital Centre 2 (in %): 68.7
WA LTV (in %): 65.0
Financial performance ARM mortgages (in %): 47.7
Interest only mortgages (in %): 56.6
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 3,474 11,065 6,546
Commissions & fee
income 18,879 18,377 22,006
Other operating
income 1,282 782 864
Operating profit (loss) 25,149 22,539 26,608
PBT 25,321 22,897 27,100
Taxes 5,398 5,637 7,268
Net profit (loss) 19,915 17,230 19,787
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 1,973,200 2,101,000 2,341,700
Total Assets 3,529,000 3,776,300 4,329,300
Deposits 1,106,100 1,142,700 1,314,700
Long-term borrowings 872,413 1,024,600 1,187,600
Equity 132,524 166,813 182,627
Source: Bloomberg
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Nykredit Realkredit AS (Nykredit) Table 87: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: NYKRE) NIM 0.72 0.95 0.91
Snapshot ROE -1.33 0.25 7.63
Nykredit is the second largest lender and the largest C:I 93.54 47.56 51.08
Core capital 13.50 n/a 18.50
mortgage provider in Denmark, with a share of 42% of
Source: Bloomberg
the mortgage lending market and 5% of the commercial
banking market. The group also offers insurance, pension
Cover pool overview
and estate agency services and products. Nykredit
Realkredit is wholly owned by Nykredit Holding AS We set out below some of the key cover pool
(majority owned by the Nykredit Foundation (88.61%)). characteristics:
In 2003 Nykredit acquired Totalkredit, which currently
Table 88: Pool D (RO): Covered bond characteristics
operates as a wholly owned subsidiary. Since 2006 the
two have been jointly funded, with Totalkredit covered As at 31 March 2011
S/M/F
bonds originally issued out of Capital Centre D. Since Covered Bond rating AAA/Aaa/-
2007, these are issued out of Capital Centre E with the Issuer rating A+/A2/-
pre-existing series being grandfathered in accordance
with the CRD. Nykredit is the largest issuer of Danish Total Cover Pool Balance (DKK bn) 309.3
Avg Loan Balance: 1,381,640
mortgage bonds, and one of the largest private bond No. of Loans: 223,881
issuers in Europe. WA LTV (in %): 53.8
Fixed rate loans (in %): 36.1
Interest only (in %): 50.8
metrics: Table 89: Pool D (RO): Collateral pool LTV breakdown
Table 85: Key profit & loss figures, DKKmm 0-<=40% 19.0
FY 2008 FY 2009 FY 2010 >40%-<=60% 33.0
Net interest income 7,974 11,294 11,261 >60%-<=70% 18.0
Provisions for loan >70%-<=80% 15.0
losses 1,443 7,919 2,382 >80%-<=90% 8.0
NII less provisions 6,531 3,375 8,879 >90% 7.0
Commissions & fee Source: Investor report
income 1,374 2,026 2,149
Other operating Table 90: Pool E (SDO): Covered bond characteristics
income 1,634 1,686 209
Non-interest expense 7,622 8,977 7,629 As at 31 March 2011
Operating profit (loss) -1,004 305 3,397 S/M/F
PBT -881 179 3,433 Covered Bond rating AAA/Aaa/-
Taxes -186 50 873 Issuer rating A+/A2/-
Net profit (loss) -695 129 4,071
Source: Bloomberg Avg Loan Balance: 1,443,157
WA LTV (in %): 62.9
Table 86: Key balance sheet figures, DKKmm Fixed rate loans (in %): 14.3
FY 2008 FY 2009 FY 2010 Interest only (in %): 63.3
Loans 994,185 1,055,003 1,103,540 Source: Investor Report
Total Assets 1,218,127 1,247,263 1,311,142
Deposits 61,177 64,483 55,369 Table 91: Pool E (SDO): Collateral pool LTV breakdown
Other ST borrowings 72 1,008 160 Current LTV ranges As at 31 March 2011
Long-term borrowings 865,725 949,524 1,018,506 0-<=40% 10.0
Equity 50,377 51,241 55,420 >40%-<=60% 20.0
Source: Bloomberg >60%-<=70% 18.0
>70%-<=80% 34.0
>80%-<=90% 13.0
>90% 5.0
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Realkredit Danmark AS (Realkredit) Cover pool overview

(BBG: RDKRE) We set out below some of the key cover pool
Snapshot characteristics:
Realkredit Danmark (RD) specialises in mortgage Table 95: Covered bond characteristics
lending secured by residential, commercial, agricultural
As at 31 March 2011
and industrial properties. RD dates back to 1851 but it
S/M/F
became a wholly owned subsidiary of the Danske Bank Covered Bond rating AAA/-/-
Group in 2001. Issuer rating (Danske Bank) A/A2/A+

RDs main market is Denmark, where it is the second WA LTV (in %): 66
largest specialist mortgage lender, but also offers loans Seasoning (mths) 35
secured by properties in the UK, Sweden, Faroe Islands Remaining term (mths) 311
Residential loans (in %): 61
and Greenland. Commercial loans (in %): 26
Multifamily loans (in %): 13
Financial performance Fixed rate loans (in %): 12.5

metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 417 1,265 n/a
Commissions & fee
income 454 516 -501
Other operating
income 11 7 168
Non-interest expense 824 1,012 1,873
PBT 3,805 3,333 2,294
Taxes 952 841 573
Net profit (loss) 2,853 2,492 1,721
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 670,320 692,040 705,342
Total Assets 710,871 746,170 757,621
Deposits 0 0 n/a
Other ST borrowings 0 131 n/a
Long-term borrowings 0 2,037 2,061
Equity 38,528 41,020 42,883
Source: Bloomberg

FY 2008 FY 2009 FY 2010
NIM 0.72 0.83 0.69
ROA 0.40 0.33 0.23
ROE 7.60 6.50 4.10
ROC 6.05 4.28 2.42
C:I 19.50 17.20 45.00
Core capital 56.50 44.20 38.80
Source: Bloomberg
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Dutch Covered Bonds
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Dutch Covered Bonds

We set out in Table 96 a snapshot of key covered bond attributes in the Netherlands.
Table 96: Dutch Covered Bond legislative overview

Framework
Legislative Framework Decree of 3 June 2008 amending the Financial Services Act and Decree on Conduct of Business
Supervision of Financial Undertakings
Types of covered bonds 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 framework)
Structure of Issuer Direct issuance? Yes and No. Unsecured bonds are directly issued by the institution, but guaranteed by a third party
vehicle (Covered Bond Company or CBC)
Comments (if any) Dutch CB 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, with the guarantor using the funds to purchase collateral from the
originator. The guarantor agrees to guarantee the Issuers obligations to covered bond investors,
collateralising the guarantee with the purchased loans and securities acquired from the Issuer.
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 formerly transferred to the CBC. No acceleration
on issuer default, only on breach of the Asset Percentage Test
Dual claim Yes
Bond format Typically, fixed rate, hard bullet. However, an ability to extend maturities by up to 12 months following
issuer insolvency
Supervision Netherlands Authority for Financial Markets (AFM) and Dutch Central Bank (DNB)
Cover pool
Eligible assets Mortgage Owing to the (initial) non-statutory nature of the Dutch covered bond framework, originators typically
define their own eligibility criteria. Assets must be governed by the laws of an EU member state, the US,
Canada, Japan, Korea, Hong Kong, Singapore, Australia, NZ or Switzerland. Max size typically set at
1.5mm and for non-NHG loans max 125% LTFV. Both NHG and non-NHG loans accepted.
LTV caps "Soft" (loans above the maximum can be included in the cover pool, with 'credit' given for only the eligible
portion of the asset under the Asset Coverage Test). Dutch legislation determines an 80% eligible
maximum LTV. Loan with LTFV between 125% and 130% must not exceed 5% of total.
Public Sector N/a as of today
Non-performing collateral Can remain in the cover pool, with declining recognition of 90d+ collateral contribution in calculating the
programme tests
Substitution Assets Substitution assets consisting of highly liquid, non-mortgage assets are also eligible for inclusion, up to
certain, pre-defined programme limits. Substitute collateral typically must not exceed 10%, with eligibility
criteria self-imposed by the issuers.
Hedging Used to minimise interest rate, currency, credit or other risks
Valuation Individual market values, indexed
Other comments (if any) All existing programmes are backed by Dutch residential mortgages, with the exception of NIBC's
programme which also includes German residential mortgages.
Requirements
ALM matching Asset coverage Requirements prescribed by the issuers in each programme. No minimum over-collateralisation set.
Nominal value of assets has to be greater than principal amount of o/s bonds. 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
Interest coverage Yes. All programmes require the establishment of a reserve fund sized at between 1-3 months of interest
payments and operating costs to ensure continued payment if the issuer's rating falls below pre-
determined levels
Consequence of breach Programme freeze (no issuance nor asset removal), alternative administration, other regulatory actions
Monitoring Cover pool monitor
Other
Compliance with EU legislation UCITS and CRD compliant for registered covered bonds (see above)
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Dutch covered bond & macro backdrop

16,000 50,000
14,000
Mortgage 40,000 Mortgage
12,000
10,000 30,000
8,000
6,000 20,000
4,000
10,000
2,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 49: Dutch real GDP growth, y-on-y, % Figure 50: Dutch unemployment level, %
6 Real GDP growth 8 Unemployment
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
Mar-11
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Figure 51: Dutch CPI and base rate, % Figure 52: Dutch consumer confidence, balance of survey
5.0 Inflation Base rate 40 Cons. Confidence
4.5 30
4.0 20
3.5 10
3.0 0
2.5
-10
2.0
1.5 -20
1.0 -30
0.5 -40
0.0 -50
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 53: Dutch house price growth, % Figure 54: Dutch outstanding mortgages (mm) and annual growth of
mortgage stock, %
25% House price growth 250,000 Annual owner occ.dwelli ng transactions
20%
200,000
15%
10% 150,000
5% 100,000
0%
50,000
-5%
-10% 0
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-09
Dec-10
Source: Bloomberg Source: ECB
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ABN Amro Bank NV (ABN) Cover pool overview

(BBG: ABNANV) We set out below some of the key cover pool
ABN Amro Bank NV (ABN) is a full service financial Table 99: Covered bond characteristics
institution offering retail, private and commercial
As at 30 June 2011
banking clients a broad range of financial products, from
Ratings
its base in the Netherlands. On 1st July 2010, the legal Covered bond rating AAA/Aaa/AAA
merger between ABN Amro Bank NV and Fortis Bank Issuer rating A/Aa3/A+
(Nederland) NV was completed, creating a combined
Cover pool Jun-11
entity called ABN Amro Bank NV. This institution is Mortgage balance (bn) 31.0
wholly owned by the Dutch government, and will Bonds outstanding (bn) 21.8
eventually be returned to the private sector. Asset percentage 80.7
Credit support (%) 104.0
The ABN covered bond programme is backed by Dutch # mortgages 170,161

residential mortgages, and is registered with the Dutch Avg loan balance 98,151
WA Current LTV (%) 75.0
central bank. WA Current LTFV (%) 88.2
Financial performance WA Indexed LTV (%) 72.2

WA Indexed LTFV (%) 85.0
metrics: WA seasoning (mths) 69.4
Table 97: Key profit & loss figures, mm Top regional concentrations
Zuid-Holland 21.9
FY 2008 FY 2009 FY 2010 Noord-Holland 20.3
Net interest income 4,512 4,268 4,905 Noord-Brabant 15.5
Provisions for loan
losses 0 0 0 Source: Investor Report
Comm.& fee income 1,383 2,400 2,550

Other operating income 273 806 -508
Operating profit (loss) 2,694 1,800 568
PBT 1,918 215 -269

Taxes 158 -59 145
Net profit (loss) 4,819 272 -417
Source: Annual Report
Table 98: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
Total Assets 183,539 386,524 379,599
Equity 7,044 8,955 12,112
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Achmea Hypotheekenbank NV Cover pool overview

('Achmea) We set out below some of the key cover pool
characteristics:
(BBG: ACHMEA)
Snapshot Table 102: Covered bond characteristics
Achmea Hypotheekbank NV was formed in 1995 and As at 31 March 2011
provides mortgage loans to private individuals in the Ratings S/M/F
Netherlands under the Centraal Beheer Achmea, FBTO, Covered bond rating -/Aa2/AAA
Avro Achmea and Woonfonds Hypotheken brands. Issuer rating -/Aaa/A-
Achmea mortgage bank is wholly owned by Achmea Cover pool Mar-11
Holding, which in turn is a wholly owned subsidiary of Mortgage balance (bn) 4.1
the insurance group Eureko BV. Bonds outstanding (bn) 2.9
Asset percentage 71.4
While part of the lending is financed with deposits, # mortgages 47,783

Achmea is active on the wholesale markets: in addition Avg loan balance 85,189
to the 10bn covered bond programme started in 2007,
the bank has had an established RMBS platform since WA seasoning (mths) 79.0
2000 and a 10bn EMTN programme launched in 1996.
Top regional concentrations
Zuid-Holland 18.2
The Achmea covered bond programme is backed by Noord-Holland 16.1
Dutch residential mortgages, and is not currently Noord-Brabant 15.8
registered with the Dutch central bank.
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses n/a n/a n/a
Commissions & fee
income n/a 11 n/a
Other operating income n/a n/a n/a
PBT 38 67 38
Taxes 10 16 10

FY 2008 FY 2009 FY 2010
Total Assets 14,725 14,387 14,725
Deposits 15,672 15,999 15,672
Short-term borrowings 2,335 250 2,335
Other ST borrowings 670 791 670
Long-term borrowings n/a n/a n/a
Equity 11,406 239 11,406
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ING Bank NV (ING) Table 105: Select financial metrics

FY 2008 FY 2009 HY 2010
(BBG: INTNED) NIM 0.9 1.2 1.6
ING Bank NV is the Dutch subsidiary of the ING Group, ROE 3.2 2.6 13.9
ROC 0.2 0.2 1.7
a global financial institution based in the Netherlands. C:I 82.4 69.0 56.9
ING offers a wide range of financial products, including Core capital 9.3 10.2 12.3
banking, insurance, investments and retirement services. Source: Bloomberg
At the end of 2009, ING announced that it will proceed Cover pool overview
with a gradual separation of its banking and insurance We set out below some of the key cover pool
businesses, to be completed by the end of 2013, in order characteristics:
to provide more efficient and agile operations.
The ING covered bond programme is backed by Dutch As at 31 July 2011
residential mortgages, and is registered with the Dutch S/M/F
central bank. Covered Bond rating AAA/Aaa/AAA
Issuer rating A+/Aa3/A+

We set out below some of the key financial performance Number of loans parts 365,681.0
Avg loan parts () 92,506
metrics:
WA original LTMV (in %) 70.41
Table 103: Key profit & loss figures, mm Remaining tenor (yrs) 22.74
WA seasoning (yrs) 6.92
FY 2008 FY 2009 FY 2010
Net interest income 8,900 11,020 14,034 Interest only (in %) 67.17
Provisions for loan WA avg Debt to Income 4.22
losses 1,280 2,973 1,751 WA avg Payment to Income (in %) 20
NII less provisions 7,620 8,047 12,283 Highest regional concentration (in %) Zuid-Holland 21
3,994 3,553 3,556
Other operating income 11,309 10,571 11,047
Non-interest expense 897 1,384 5,922
Operating profit (loss) 533 500 5,523 Table 107: Collateral pool LTV breakdown
-170 -43 948
PBT 772 684 4,495 Current LTV ranges As at 31 July
Taxes 8,900 11,020 14,034 2011
Net profit (loss) 1,280 2,973 1,751 0-<=40% 15.7
>40%-<=50% 8.7
>50%-<=60% 10.7
>60%-<=70% 11.5
Table 104: Key balance sheet figures, mm >70%-<=80% 11.8
>80%-<=100% 41.6
FY 2008 FY 2009 FY 2010
Loans 598,328 551,774 587,448
Total Assets 1,034,689 882,119 933,073
Deposits 537,683 477,602 519,304
Equity 24,121 31,217 35,069
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NIBC Bank NV (NIBC) Table 110: Select financial metrics

FY 2008 FY 2009 HY 2010
(BBG: NIBCAP) NIM 1.3 0.6 n/a
Snapshot ROA 0.3 0.2 n/a
NIBC offers merchant banking and specialised finance in ROE 5.9 2.7 5.0
ROC 0.4 0.2 n/a
sectors such as shipping, oil & gas services, C:I 54.7 53.9 50.0
infrastructure & renewables and real estate. Merchant Core capital 16.6 n/a 14.5
Banking provides end-clients with investment banking Source: Bloomberg
products in the Benelux and Germany, while Specialised
Finance focuses on asset and project financing, along Cover pool overview
with the Group's retail activities including residential We set out below some of the key cover pool
mortgages and retail savings. The bank was founded in characteristics:
1945, and subsequently two Dutch pension funds, ABP
and PGGM, acquired 85% of NIB, creating the NIB Table 111: Covered bond characteristicsDutch assets
Capital brand, while 15% was owned by the Dutch As at 30 June 2011
Government. In 2005, a consortium of financial S/M/F
institutions, led by J.C. Flowers & Co. purchased all Covered Bond rating /A1/AAA
equity interests in the bank, which changed its name to Issuer rating BBB/Baa3/BBB
Cover pool size () 935,548,876
NIBC. The NIBC covered bond programme is backed by % of pool 80.5
both Dutch and German resi mortgages, and is registered
with the Dutch central bank. WA Current LTFV (in %) 90.3
WA Indexed LTFV (in %) 79.9
Seasoning (mths) 75.6
Financial performance Number of loans 5,206
Avg principal balance (borrower) 176,481
We set out below some of the key financial performance Avg principal balance (loan part) 84,221
metrics: Interest only (in %) 63.2
Highest regional concentration (in %) Zuid-Holland 21
Original LTFV distribution (in %)
FY 2008 FY 2009 FY 2010 <=50% 17.1
Net interest income 257 64 132 >50%-<=60% 7.1
NII less provisions 257 64 132 >60%-<=70% 7.3
Comm. & fee income 43 32 26 >70%-<=80% 11.6
Non-interest expense 200 187 221 >80%-<=90% 11.4
Operating profit (loss) 164 165 163 >90%-<=100% 9.3
PBT 94 41 88 >100% 36.0
Taxes 1 -2 8 Source: Investor Report

FY 2008 FY 2009 FY 2010
Loans 8,807 8,933 7,005
Total Assets 28,937 29,189 28,009
Deposits 2,293 4,332 4,781
Long-term borrowings 15,078 16,605 n/a
Equity 1,638 1,696 1,803
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Table 112: Covered bond characteristicsGerman assets

As at 30 June 2011
S/M/F
Covered Bond rating /A1/AAA
Issuer rating BBB/Baa3/BBB

Share of total pool (in %) 19.5
WA Current LTFV (in %) 63.8
WA Indexed LTFV (in %) 63.8
Seasoning (mths) 103.2
Avg principal balance (borrower) 101,532
Avg principal balance (loan part) 45,837
Annuity (in %) 93.8
Highest regional concentration (in %) NRW 29.2
Original LTFV distribution (in %)

<=50% 18.3
>50%-<=60% 23.0
>60%-<=70% 28.3
>70%-<=60% 19.7
>80%-<=90% 7.1
>90%-<=100% 1.6
>100% 2.0
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SNS Bank NV (SNS) Table 115: Select financial metrics

FY 2008 FY 2009 HY 2010
(BBG: SNSSNS) NIM n/a
Snapshot ROA -0.5
SNS Bank NV is the mortgage lender of the SNS Reaal ROE 6.7 -4.6 -20.2
ROC -1.1
Group, whose product range spans mortgage and C:I 62.8 56.6 57.9
property finance, savings and investment products and Core capital 10.5 10.7 n/a
insurance and pensions. SNS Reaal reached its current Source: Bloomberg
form in 1997, after the merger of SNS Groep, which
focused mainly on retail banking, and Reaal Groep, Cover pool overview
whose main business line was insurance. We set out below some of the key cover pool
characteristics:
In addition to the covered bond programme, SNS has at
its disposal a 25bn MTN platform and is also the Table 116: Covered bond characteristics
originator behind one of the longest standing RMBS As at 30 June 2011
platforms in the Dutch market, HERMES. S/M/F
Covered Bond rating -/Aa1/AAA
The SNS covered bond programme is backed by Dutch Issuer rating -/Baa1/BBB+
residential mortgages, and is registered with the Dutch Cover pool size () 6,450,149,852
central bank. Number of loans 37,625
Avg loan () 169,855
Financial performance WA original LTMV (in %) 76.0
We set out below some of the key financial performance WA indexed LTMV (in %) 74.0
Remaining tenor (yrs) 24.5
metrics: WA seasoning (mths) 59.6
Table 113: Key profit & loss figures, mm Interest only (in %) 82.4
Savings mtges (in %) 10.5
FY 2008 FY 2009 FY 2010 National mortgage guarantee (in %) 15.0
Net interest income 773 672 918 Highest regional concentration (in %) Limburg 17.2
Provisions for loan
losses 0
NII less provisions 773 672 918 Source: Investor Report
Commissions & fee
income 152 136 138 Table 117: Collateral pool LTV breakdown
Other operating income 2 1 4
Non-interest expense 773 1,197 622 Current LTV ranges As at 30 June
Operating profit (loss) 418 2011
PBT 183 -99 -532 0-<=40% 4.4
Taxes 36 -1 -101 >40%-<=50% 4.3
Net profit (loss) 147 -98 -431 >50%-<=60% 7.4
>60%-<=70% 12.0
>70%-<=80% 18.7
>80%-<=90% 6.6
>90%-<=100% 9.1
Table 114: Key balance sheet figures, mm >100% 37.6
Loans 68,577 70,194 65,013
Total Assets 76,695 80,289 78,918
Deposits 21,859 24,435 37,880
Other ST borrowings 323
Equity 2,404 2,434 1,836
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Finnish Covered Bonds
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Finnish Covered Bonds

We set out in Table 62 a snapshot of key covered bond attributes in the Finland.
Table 118: Finnish Covered Bond legislative overview

Framework
Legislative Framework Act on Mortgage Credit Banks (1240/1999), as subsequently amended
Types of covered bonds Two. Direct balance sheet issuance from a Deposit Bank or via a specialist banking subsidiary (Mortgage
Credit Bank or MCB)
Structure of Issuer Direct issuance? Yes
Comments (if any)
Bankruptcy remoteness Segregation of assets in a special cover register, with a preferential claim on registered collateral.
Bankruptcy of the Deposit Bank or MCB does not automatically result in acceleration of the covered bonds
(first step is to find a new sponsor for the programme), except where breach of the asset eligibility criteria has
occurred. Here, the cover pool can be sold on instruction of the FSA-appointed attorney directing the
bankruptcy administrator, with all existing bondholders due and payable (pari passu).
Dual claim Yes
Bond format Typically, fixed rate. Mix of hard and soft bullet bonds. Nordea and Aktia issue hard bullet bonds, while Op
and Sampo have the ability to extend maturities by up to 12 months at the discretion of the issuer
Supervision Finnish FSA
Cover pool
Eligible assets Mortgage Residential and commercial mortgages, along with shares in housing companies, 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
LTV caps Up to 70% LTV for residential exposures and 60% LTV for commercial mortgage exposures. CB investors
only benefit from the eligible cover pool element of the mortgage (max 70% LTV for residential mortgages,
60% for commercial)
Public Sector Loans to public authorities can also be included in the cover pool at book value
Non-performing collateral NPLs greater than 90d must be removed from the cover pool calculations
Substitution Assets Substitute assets (limited to a maximum of 20% of the cover pool) can include government or other public
sector exposures, credit institutions and cash
Hedging Elimination of interest rate and currency risk through hedging
Valuation Individual market values for underlying collateral
Requirements
ALM matching Asset coverage Matching by nominal value, currency and duration (average term to maturity of CB is shorter than average
term to maturity of collateral assets). Minimum required over-collateralisation defined as 2% of the Net
Present Value by law and issuer/programme specific levels.
Interest coverage Interest received in a given 12 month period must be greater than interest due on the liabilities
Other (if any)
Consequence of breach Cancelling the license or other regulatory action
Monitoring Monitored on a monthly basis by the FSA
Other
Compliance with EU UCITS and CRD compliant.
legislation
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Finnish covered bond & macro backdrop
Figure 55: CB issuance, m Figure 56: CB outstanding, mm

6,000 12,000
5,000 Mortgage 10,000 Mortgage

4,000 8,000
3,000 6,000
2,000 4,000
1,000 2,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 57: Finnish real GDP growth, y-on-y, % Figure 58: Finnish unemployment level, %
6
4 10
2 8
0
-2 6
-4
-6 4
-8 2
-10
-12 0
Mar-00
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Mar-11
Figure 59: Finnish CPI and base rate, % Figure 60: Finnish consumer confidence, balance of survey
6 Inflation Base rate 25 Cons. Confidence
5 20
4 15
3
10
2
5
1
0 0
-1 -5
-2 -10
Mar-00
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Figure 61: Finnish house price growth, y-on-y, % Figure 62: Finnish construction & production index, #
14% OECD HP nominal growth 160 OECD Construction production index
12% 140
10%
8% 120
6% 100
4%
2% 80
0% 60
-2% 40
-4%
-6% 20
-8% 0
Mar-01
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Aktia Real Estate Mortgage Bank plc Table 120: Key balance sheet figures, mm
FY 2008 FY 2009 FY 2010
(BBG: AKTIA) Loans 5,426 6,061 6,592
Aktia Real Estate Mortgage Bank plc (Aktia MB) is a Deposits 3,098 3,029 3,397
Short-term borrowings 1,917 1,724 960
Finnish credit institution, specialising in mortgage loans. Other ST borrowings 3 19 158
The bank grants loans to both individuals and housing Long-term borrowings 2,366 3,000 3,638
corporations, and is regulated by the Finnish Mortgage Equity 317 466 497
Bank Act. The institution is owned by Aktia Bank plc Source: Bloomberg
(49.9% of equity, 70% voting rights), 31 savings banks
(37.9%, 20%) and 36 local co-operative banks (12.2%, Table 121: Select financial metrics
10%). Aktia Group is the fourth largest banking group in FY 2008 FY 2009 FY 2010
Finland, acting as the central financial institution for NIM 1.28 1.67 1.50
ROA 0.06 0.34 0.51
independent savings and cooperative banks. ROE 1.68 9.45 12.52
ROC 0.14 0.69 1.13
Aktia Real Estate Mortgage Bank plc mortgages are C:I 99.70 66.30 63.90
Core capital 9.30 9.50 10.10
distributed through the branch networks of the co-
Source: Bloomberg
operating banks. Eligible cover pool collateral is
restricted to first-lien Finnish residential mortgages.
Cover pool overview
Furthermore, the originator has committed to a
mandatory over-collateralisation level of 8.5%. The bank We set out below some of the key cover pool
funds its activities predominantly by issuing covered characteristics:
bonds, with short-term funding coming from a credit
facility from Aktia Bank.
As at 30 June 2011
S/M/F
Covered bond rating -/Aa1/-
We set out below some of the key financial performance Issuer rating (Aktia Bank plc) -/A1/-
metrics:
mm
Mortgages 3,532
Table 119: Key profit & loss figures, mm Substitute collateral 163
FY 2008 FY 2009 FY 2010 Collateral pool 3,694
LTV <60% 2,541
Provisions for loan
LTV 60-70% 132
losses 0 1 32
LTV 70-85% G'teed by Republic of Finland 93
WA LTV (%) 56.1
Average loan size () 78,500
Other operating
WA Margin (bp) 78.2
income 37 -30 33
Operating profit (loss) 54 0 47 Source: Investor Report
PBT 66 7 47
Taxes 13 1 13
Source: Bloomberg
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Nordea Bank Finland Oyj Cover pool overview

(BBG: NBHSS) We set out below some of the key cover pool
Nordea Bank Finland (Nordea) is a 100% owned Table 126: Covered bond characteristics
subsidiary of Nordea Bank AB, part of the larger Nordea
As at 31 March 2011
Group, a well established financial group catering to the
S/M/F
Nordic and Baltic states, where it is consistently one of Covered bond rating -/Aaa/-
the largest by market share, with a small but growing Issuer rating (Nordea Finland) -/Aa2/-
presence in new European markets. No geographical
Cover pool size (mm) 9,205
market accounts for more than a quarter of income, out Nominal OC (%) 191.0
of a customer base of around 10mm households and # of loans 157,431
corporates. # of borrowers 128,083
WA loan size () 62,271
Financial performance WA Current LTV (%) 51.6

We set out below some of the key financial performance WA Indexed LTV (%) 56.4
WA seasoning (mths) 44.0
metrics:
Rental properties (%) 48.7
Table 123: Key profit & loss figures, mm Second homes (%) 2.4
FY 2008 FY 2009 FY 2010 Commercial loans (%)] 1.1
Net interest income 180 240 290 Public sector collateral (%) 1.5
Provisions for loan
losses 28 129 104 Source: Investor Report
Table 127: Collateral pool LTV breakdown
Other operating Current LTV ranges As at 31 March 2011
income 410 452 439 0-<=40% 71.8
>70%-<=80% -
PBT 119 265 308 >80%-<=90% -
Taxes 31 71 79 >90% -
Net profit (loss) 88 194 229 Source: Investor report
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 12,279 11,323 12,433
Total Assets 32,448 35,510 36,184
Deposits 3,508 4,133 4,231
Other ST borrowings 2,012 434 455
Equity 1,640 2,267 2,377
Source: Bloomberg

FY 2008 FY 2009 FY 2010
NIM 0.83 0.98 1.10
ROA 0.30 0.57 0.64
ROE 5.02 9.93 9.86
ROC 0.42 0.79 0.90
C:I 76.21 56.56 55.60
Core capital 12.00 11.80 12.50
Source: Bloomberg
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OP Mortgage Bank (OP) Table 130: Select financial metrics

FY 2010
(BBG: POHBK) NIM
Snapshot ROA 0.30
OP Mortgage Bank plc (OP) is the mortgage bank of ROE 7.70
ROC
the OP-Pohjola Group, the largest financial services C:I 43.00
group in Finland. The Group includes OP Mortgage Core capital 13.60
Bank, over 200 member co-operative banks, their central Source: Bloomberg
co-operative, Pohjola Bank as the central bank of the
Group and companies belonging to its member credit Cover pool overview
institutions. The member co-operative banks are We set out below some of the key cover pool
independent, local deposit-taking institutions engaged in characteristics:
retail banking. OP Mortgage Bank is regulated under the
Finnish Mortgage Bank Act, and grants secured housing Table 131: Pool A: Covered bond characteristics
loans. As at 31 March 2011
S/M/F
OP Mortgage Banks purpose is to grant mortgage loans Covered bond rating AAA/Aaa/-
through its member co-operative banks. The Bank Issuer rating (Pohjola Bank plc) AA-/Aa2/AA-
obtains funding through the issuance of mortgage-backed mm
covered bonds, which are direct, unconditional and Mortgages n/a
unsubordinated obligations of OP Mortgage Bank. Substitute collateral n/a
Collateral pool 4,600
Covered bonds in issue 3,250
LTV <60% 4,500
We set out below some of the key financial performance LTV >60% (JPM estimate) 100
metrics:
WA LTV (%) 46.0
Table 128: Key profit & loss figures, mm Average loan size () 48,000
FY 2010
Source: Investor Report. J.P. Morgan estimates
Net interest income 961
Provisions for loan
losses 2 Table 132: Pool B: Covered bond characteristics
NII less provisions 959 As at 31 March 2011
S/M/F
Comm.& fee income 606
Covered bond rating AAA/Aaa/-
Other operating
Issuer rating (Pohjola Bank plc) AA-/Aa2/AA-
income 49
Non-interest expense 1,010
mm
Operating profit (loss) 1,291
Mortgages n/a
Substitute collateral n/a
PBT 1,066
Taxes 268
Covered bonds in issue 1,000
Net profit (loss) 798
Source: Bloomberg LTV <60% 1,760
LTV >60% (JPM estimate) 40
WA LTV (%) 56.0
FY 2010 Average loan size () 66,000
Total Assets 285,409
Deposits 55,552 Source: Investor Report. J.P. Morgan estimates
Short-term borrowings 60,493
Other ST borrowings
Long-term borrowings 21,975
Equity 10,858
Source: Bloomberg
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Sampo Housing Loan Bank Table 135: Sampo Bank plc: Select financial metrics
FY 2008 FY 2009 FY 2010
(BBG: DANBNK) NIM n/a n/a n/a
Sampo Housing Loan Bank plc (SHLB) is a wholly ROE 10.92 10.47 13.38
ROC 9.44 9.08 11.68
owned subsidiary of Sampo Bank plc and is constituted C:I n/a n/a n/a
with the sole purpose of funding mortgages through the Core capital n/a n/a n/a
issuance of covered bonds. Sampo Bank plc is the third Source: Bloomberg
largest bank in Finland and through its Finnish parent,
Sampo Group, is in turn a part of the larger Danske Bank Cover pool overview
Bank, one of the Nordic regions largest banking groups. We set out below some of the key cover pool
characteristics:
Similar to other covered bond issuers in the country,
SHLB is regulated by Finland's Mortgage Bank Act. The Table 136: Covered bond characteristics
bank purchases mortgages from its parent company, and As at 31 December 2010
issues covered bonds under a 5bn EMTN programme. S/M/F
All other functions such as mortgage servicing are Covered bond rating -/Aaa/-
performed by Sampo Bank plc. To date, Sampo Housing Issuer rating (Sampo Bank plc) A/A1/-
Loan Bank has issued two transactions from its shelf, mm
with 2bn of bonds currently outstanding. Mortgages 2,068
Substitute collateral 96
We set out below some of the key financial performance LTV <60% 2,018
LTV > 60% 35
metrics:
WA LTV (%) 36.2
Table 133: Sampo Bank plc: Key profit & loss figures, mm Average loan size () 48,000
FY 2008 FY 2009 FY 2010
Net interest income Source: Investor Report
Provisions for loan
losses
NII less provisions
Comm.& fee income

Other operating
income 23 20 26
Non-interest expense n/a n/a n/a
PBT 870 825 1,321

Taxes 195 184 217
Net profit (loss) 675 641 1,104
Source: Bloomberg
Table 134: Sampo Bank plc: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
Total Assets 21,205 26,635 29,851
Deposits n/a n/a n/a
Short-term borrowings 0 0 0
Other ST borrowings n/a n/a n/a
Equity 4,631 7,613 8,886
Source: Bloomberg
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French Covered Bonds
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French Covered Bonds

We set out in Table 137 a snapshot of key covered bond attributes in France.
Table 137: French Covered Bond legislative overview: OF

Framework
Legislative Framework Art. 515-13 and seq. of the French Monetary and Financial Code; 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
Types of covered bonds One.
Structure of Issuer Direct issuance? No. Bonds are issued by a specialised credit institution (Societe de Credit Foncier, SCF) with authorisation
from the Credit Institution and Investment Companies Committee (CECEI). SCF are limited by law in their
range of business activities.
Comments (if any)
Bankruptcy remoteness Established by law by guaranteeing that the bankruptcy of a company holding shares of the SCF does not
extend to the SCF. Also, upon default, no creditors can be paid until the privileged creditors are repaid in full.
There is no acceleration upon judicial liquidation of an SCF.
Dual claim Yes, all assets of the SCF secure the OFs and other privileged creditors and no creditor can be paid until the
privileged ones are repaid in full.
Bond format Fixed rate. Hard bullet, but docs generally have flexibility to introduce soft bullets.
Supervision French Banking Commission.
Cover pool
Eligible assets Mortgage Residential or commercial mortgages, although only marginal exposure to commercial loans in current pools.
Assets securing the loans have to be based in the EEA or a State qualifying for Step 1 credit quality
assessment by a rating agency recognised by the French banking commission. RMBS bonds rated at least
AAA can also be included in the pool, as long as they are at least 90% backed by eligible collateral.
LTV caps Soft LTV limit of 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 Sector Debt issued or guaranteed by a public entity located in the EEA, Switzerland, Canada, USA, Japan, Australia
and New Zealand or any State that qualifies for a Step 1 credit assessment by a rating agency.
Non-performing collateral Loans in arrears by more than 90 days are removed from the pool.
Substitution Assets Cash equivalent assets. Issuer or guarantor has to be rated at least AA-. Substitution collateral cannot
exceed 15% of the cover pool.
Hedging Derivatives used only used to minimise interest rate, currency or other risks.
Valuation Prescribed standards. Commercial properties must be valued each year if value >450k and loan balance
>360k or every 3yrs if loan balance <360k.
Requirements
ALM matching Asset coverage Asset cover nominal ratio must be at least 1 at all times and must be published at least twice a year. If rating
of the mortgage guarantor or RMBS bond is at least AA-, 100% weight is given to the asset; if rating between
A- and A+, 50% weight; below A- 0% weight. Substitute collateral is given 95% weight, repossessed
properties 50% weight and other eligible assets 100% weight. Post Group EoD, an Amortisation Test is
carried out.
Interest coverage The Pre-maturity Test checks that there is enough liquidity in case of a downgrade; a breach constitutes a
Group EoD but not an issuer EoD.
Other (if any) Minimum OC of 2%
Consequence of breach A breach of the Asset Cover test is not an issuer EoD but a Group EoD and no more issuance is allowed.
Non-compliance with the Amortisation Test is an EoD.
Monitoring A specific controller must be appointed by the SCF with approval of the French Banking Commission. The
controller will check asset and interest coverage, A/L mismatches and the eligibility of the assets. Must file an
annual report to the Commission.
Other
Compliance with EU UCITS- and CRD-compliant
legislation
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Table 138: French Covered Bond legislative overview: OH

Framework
Legislative Framework Art 515-34 and seq. of the French Monetary and Financial Code, art 74 of law 2010-1249
Types of covered bonds One
Structure of Issuer Direct issuance? No. The bonds are issued out of a specialised credit institution (SFH) with a limited purpose.
Comments (if any) The framework was set up in 2010 to allow law-base covered bonds to become UCIT-compliant through their
inclusion in a legal framework. The exclusive legal purpose of the SFH is to grant or finance loans and hold
securities under specific conditions set out in the French Monetary and Financial Code.
Bankruptcy remoteness Art. 515-27 of the French Monetary and Financial Code precludes the extension of any safeguard procedure,
judicial reorganisation or liquidation of the SFH's parent to the SFH. There is no acceleration of the bonds
upon insolvency of the issuer.
Dual claim Yes, but only a residual claim if the cover pool is not enough to redeem the bonds.
Bond format Typically fixed rate, soft bullet with generally a 12 mths extension allowed.
Supervision Autorite de Controle Prudentiel (ACP), French Banking Commission
Cover pool
Eligible assets Mortgage Residential loans secured on a property located in the EEA or a state rated at least AA-. These can also be
in the form of RMBS as long as at least 90% of the underlying pool satisfies the criteria, the securitisation
vehicle is governed by French, EEA, US, Swiss, Canadian, Japanese, Australian or New Zealand law and
the bonds are rated AAA. No limitations on guaranteed home loans.
LTV caps Soft limit of 80%, with generally hard limit of 100%.
Public Sector n/a
Non-performing collateral No loans in arrears can be added to the pool, but no explicit requirement to substitute them after they have
been added to the pool. Loans in arrears by more than 3 months are not given full credit in the calculation of
the Asset Coverage Test.
Substitution Assets Up to 15% of collateral. Can consist of debt guaranteed or issued by institutions rated at least AA-; debt due
within 100 days or guaranteed by a member of the EEA rated at least A-; debt issued or guaranteed by
public sector entities referred to in the French Monetary and Financial Code.
Hedging Only used to minimise interest rate, currency or other risks.
Valuation Individual market values. Carried out on an annual basis by the Specific Controller.
Other comments (if any) Requirement to disclose details of the cover pool on a quarterly basis.
Requirements
ALM matching Asset coverage Minimum nominal OC of 2% has to be maintained, although Asset Percentage in prospectus is often above
min requirement. If breached, there is no event of default, but the license of the issuer as SCH can be
withdrawn. Prior to parent default, an Asset Cover test has to be carried out and assets must be less than
liabilities at all times. If less than 1, then no further issuance is allowed and there is a Borrower EoD but not
an Issuer EoD. There is also a Pre-maturity Test that checks that the originator can provide enough liquidity
in case of a downgrade; a breach constitutes a Borrower EoD. Finally, there is a Liquidity test with a similar
purpose, but a breach does not lead to an EoD.
Interest coverage The issuer has to make sure that liquidity needs for the next 180 days are covered with substitute assets,
liquidity lines granted by eligible counterparties or central banks.
Other (if any) Post default of the parent, an Amortisation test is carried out; if the Amortisation ratio is less than 1, then an
Issuer event of default takes place and the bonds accelerate.
Consequence of breach See above.
Monitoring There are an asset monitor and a specific controller that acts as an independent trustee and by law reports to
the ACP.
Other
Compliance with EU UCITS compliant but not CRD compliant
legislation
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Table 139: French Covered Bond legislative overview: CRH

Framework
Legislative Framework Art. 13 of Law 85-695; sections 313-42 to 313-49 and sections 313-20 to 313-25 of the French Monetary and
Financial Code; Art. 36 of Law 2006-872.
Types of covered bonds One.
Structure of Issuer Direct issuance? The bonds are issued by CRH, a specialist financial institution whose only business purpose is to fund
French banks' loans to individuals.
Comments (if any) CRH was set up in 1985 as a government-guaranteed central agency; now it is a private company owned by
French banks.
Bankruptcy remoteness Achieved by special legal framework superseding general insolvency laws.
Dual claim Yes, but residual claim only. At CRH level, if one of the shareholder banks defaults and the loan portfolio
transferred to CRH is insufficient, then CRH becomes an unsecured creditor of the bank.
Bond format Fixed rate, bullet.
Supervision French Banking Authority
Cover pool
Eligible assets Mortgage Only first ranking or guaranteed French home loans to individuals (in theory loans from other jurisdictions of
the EEA are eligible but only French loans are currently in the pool).
LTV caps Max LTV is 60%, 80% for loans used to finance the purchase or construction of a property, 90% if the
amount of the loan portfolio is 25% above the outstanding bonds, 100% for loans guaranteed by the FGAS.
Public Sector n/a
Non-performing collateral n/a
Substitution Assets No replacement assets are allowed. RMBS and other types of residential assets (such as loan portfolios) are
not permitted.
Hedging No derivatives. Exact matching of assets and liabilities by law.
Valuation Valued annually using a lending value, which cannot exceed the market value. The valuation has to be
conservative, based on lasting, long-term characteristics of the property and normal market and local
conditions.
Requirements
ALM matching Asset coverage Cover pool has to be 125% of liabilities.
Other (if any)
Consequence of breach
Monitoring The French Banking Authority and an independent monitor who audits the cover pool and checks coverage
tests.
Other
Compliance with EU UCITS- and CRD-compliant
legislation
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Table 140: French Covered Bond legislative overview: General law based covered bonds
Framework
Legislative Framework French Monetary and Financial Code
Structure of Issuer Direct issuance? No, bonds are issued by a licensed financial institution whose sole purpose is to provide financing to the
parent bank.
Comments (if any) Unlike other structured covered bond frameworks in Europe (such as the UK, Dutch or Italian ones), the
covered bonds are issued by the SPV.
Bankruptcy remoteness The French Monetary and Financial Code guarantees the bankruptcy remoteness of the Issuer in case of
insolvency of the parent. There is no acceleration upon default of the parent bank.
Dual claim In case of default of the parent, covered bonds holders have recourse to the cover pool and a residual claim
against the parent.
Bond format Typically fixed rate, soft bullet, Bonds can have an extended maturity date, generally a year after the original
maturity date.
Supervision ACP, Autorite de Controle Prudentiel
Cover pool French Banking Commission
Eligible assets Mortgage French residential mortgages, no limits on guaranteed loans.
LTV caps Soft limit of 80% LTV for residential mortgages, with hard 100% LTV limit.
Public Sector n/a
Non-performing collateral No arrears at inclusion, but no specific requirement to substitute non performing loans. These are not
accounted for in the calculation of the Asset Coverage Test.
Substitution Assets Short term (<1yr left) debt securities or long term debt securities where the issuer is rated at least AA-;
government and public entities' securities with a remaining maturity of less than 1yr that are rated AAA; Euro
or other currency, liquid RMBS with mat.<1yr rated at least AA-.
Hedging Derivatives used to hedge interest rate and currency risk.
Valuation Individual market values. If the market value of the property, only 80% of the increase is used for the
indexation; if the value has fallen, the full price change is used to calculate indexed values.
Requirements
ALM matching Asset coverage Minimum Asset percentage of 92.5% has to be maintained. Prior to parent default, an Asset Cover test has
to be carried out and assets must be less than liabilities at all times. If the ratio is less than 1, then no further
issuance is allowed and there is a Borrower EoD but not an Issuer EoD.
Interest coverage There is also a Pre-maturity Test that checks that the originator can provide enough liquidity in case of a
downgrade; a breach constitutes a Borrower EoD.
Other (if any) Post Borrower default, an Amortisation test is carried out to ensure that the collateral is enough to pay future
liabilities. If the test fails, the representative, at its discretion or mandated by the majority of bondholder, can
ask for the acceleration of the bonds.
Monitoring An independent Asset Monitor is appointed.
Other
Compliance with EU Non UCIT- or CRD-compliant
legislation
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French covered bond & macro backdrop

100,000 350,000
Mortgage Public Sector Mixed Assets 300,000 Mortgage Public Sector Mixed Assets
80,000
250,000
60,000 200,000
40,000 150,000
100,000
20,000
50,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 65: French real GDP growth, y-on-y, % Figure 66: French unemployment level, %
5 Real GDP growth 12
4
3 10
2 8
1
0 6
-1
-2 4
Unemployment
-3 2
-4
-5 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 67: French CPI and base rate, % Figure 68: French consumer confidence, balance of survey
5 0
4
-10
3
-20
2
-30
1
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Figure 69: French house price growth, y-on-y, % Figure 70: French dwelling sales, #
20 House price growth 40000 Dwelling 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-11
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Jul-06
Nov-06
Jul-07
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Jul-08
Nov-08
Jul-09
Nov-09
Jul-10
Nov-10
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AXA Bank Europe SCF Cover pool overview

(BBG: AXASA) We set out below some of the key cover pool
As part of a diversification strategy that began in 2007 to Table 143: Covered bond characteristics
complement its insurance products, AXA launched AXA
As at June 2011
Bank in Switzerland in 2009, quickly followed by AXA
Ratings S/M/F
banks in Belgium, the Czech Republic, France, Germany, Covered bond rating AAA/-/AAA
Hungary and Slovakia. Issuer rating A+/-/-
Cover pool
All European banking activities are coordinated by AXA Cover pool size () 1,727,618,673
Bank Europe, formerly known as AXA Bank Belgium. Number of loans 27,733
AXA Bank Europe has a market share of 8% of the Avg loan () 79,931
Belgian mortgage lending market. WA initial LTV (in %) 74.1
AXA Bank Europe SCF was set up using the OF Remaining tenor (mths) 187
structure offered by the French legislative framework. WA DTI (in %) 37.4
The assets of the SCF are AAA-rated RMBS bonds Source: Investor Report
backed by a portfolio of prime Belgian residential loans
originated and serviced by AXA Bank Europe. Table 144: Collateral pool LTV breakdown
Current LTV ranges As at June 2011
Financial performance 0-<=40% 37.6
We set out below some of the key financial performance >40%-<=50% 15.2
>50%-<=60% 14.0
metrics: >60%-<=70% 12.5
>70%-<=80% 10.5
Table 141: Key profit & loss figures AXA Bank Europe, mm >80%-<=90% 6.3
>90%-<=100% 3.8
FY 2009 FY 2010
Net interest income 224 235 Source: Investor Report
8 5
Comm.& fee income 216 229
Other operating
income
Operating profit (loss) 30 40
271 301
PBT 8 53
Taxes
Net profit (loss) -14 -14
Table 142: Key balance sheet figures AXA Bank Europe, mm

FY 2009 FY 2010
Loans 20,345 22,355
Total Assets 26,296 31,377
Deposits 16,865 16,111
Short-term borrowings 972 1,830
Equity 854 851
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Banques Populaires SCF Table 147: Select financial metrics

FY 2009 FY 2010
(BBG: BPCOV) C:I 69 60
Snapshot Core capital 9.1 10.1
Together with Caisse d'pargne, Banques Populaires is Source: Annual report 2010
one of the two brands of the Groupe BPCE. The two
cooperative groups merged in July 2009 to create the Cover pool overview
second largest French banking group, combining two We set out below some of the key cover pool
cooperative banking networks consisting of the twenty characteristics:
Banque Populaire banks and seventeen Caisses
d'pargne. Alongside the central BPCE institution, the Table 148: Covered bond characteristics
group also operates a number of subsidiary businesses, As at June 2011
including the majority owned Natixis, which focuses on Ratings S/M/F
corporate and investment banking activities, as well as Covered bond rating AAA/Aaa/-
Crdit Foncier de France (see separate issuer overview).
Cover pool June-11
The group provides banking, financial and real estate Cover pool size () 11,939,996,724
services to all types of customers, with Caisse dpargne Number of loans 203,612
Avg loan () 58,641
more focused on the retail sector, while Banques
Populaires specialises in services to SMEs, professionals WA current LTV (in %) 68.0
and high net worth individuals. WA current indexed LTV (in %) 64.0
Remaining tenor (mths) 172
Unlike Groupe Caisse d'pargne, BPCOV utilises
obligation foncieres for part of its funding requirements. Owner occupied property (in %) 89.4
Buy-to-let (in %) 8.0
Employed (in %) 54.7
Financial performance Self employed (in %) 13.2
We set out below some of the key financial performance Source: Investor Report
metrics:
Table 145: Key profit & loss figures Groupe BPCE, mm Current LTV ranges As at June 2011
FY 2009 FY 2010 0-<=40% 13.9
>40%-<=50% 9.1
Net interest income 12,752 12,182
>50%-<=60% 10.9
>60%-<=70% 13.3
Comm.& fee income 8,705 9,052
>70%-<=80% 16.2
Other operating
>80%-<=90% 19.2
income 11,804 11,770
>90%-<=100% 17.5
Non-interest expense 16,359 16,057
Operating profit (loss) 723 5,648 Source: Investor Report
PBT -368 5,749

Taxes -293 1,716
Net profit (loss) -75 4,033
Table 146: Key balance sheet figures Groupe BPCE, mm

FY 2009 FY 2010
Loans 309,855 342,994
Total Assets 1,028,802 1,048,442
Deposits 14,941 12,993
Short-term borrowings 77,057 83,944
Equity 47,794 51,365
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BNP Paribas Home Loan SFH Table 151: Key balance sheet figures, mm
FY 2008 FY 2009 FY 2010
(BBG: BNPPCB) Loans 494,401 678,766 684,686
The BNP Paribas Group was created ten years ago Deposits 413,955 604,903 580,913
Short-term borrowings 1,286,572 1,021,434 980,082
through the merger of Banque Nationale de Paris and Other ST borrowings 87,405 77,187 68,974
Paribas. Since then it has continued its expansion by Long-term borrowings 131,295 153,347 148,549
acquiring BNL, the sixth largest Italian bank, and 75% of Equity 58,968 80,344 85,630
Fortis Bank in Belgium and 66% of BGL in Source: Bloomberg
Luxembourg.
The group focuses on retail banking, corporate and FY 2008 FY 2009 FY 2010
investment banking and investment solutions, providing NIM 0.8 1.1 1.3
ROA 0.2 0.3 0.4
services to 13mm customers in its core markets of ROE 6.7 10.6 12.2
Belgium, France, Italy and Luxembourg and a further ROC 0.3 0.5 0.7
5mm in its secondary markets: the Mediterranean basin, C:I 73.1 59.3 61.4
Core capital 7.8 10.1 11.4
Eastern Europe and the USA. Alongside the retail
Source: Bloomberg
banking operations, the group also provides specialised
financial services, including consumer credit and
Cover pool overview
mortgages (BNP Paribas Personal Finance), leasing
(BNP Paribas Leasing Solutions) and corporate vehicle We set out below some of the key cover pool
management (Arval). Significant business lines also exist characteristics:
in Corporate & Investment Banking (BNP Paribas CIB)
and Investment Solutions (Private Banking, Asset
Management, Securities Services and Insurance amongst As at July 2011
others). Ratings S/M/F
Covered bond rating AAA/Aaa/AAA
Issuer rating AA/Aa2/AA-
The bank switched from structured covered bonds to OH
covered bonds in 2011 for part of its funding needs. Cover pool
Cover pool size () 34,200,106,112
Financial performance Avg loan () 98,864
We set out below some of the key financial performance WA current LTV (in %) 68.2
metrics: WA current indexed LTV (in %) 62.0
Remaining tenor (mths) 186.9
Table 150: Key profit & loss figures, mm WA seasoning (mths) 48.7
FY 2008 FY 2009 FY 2010 Owner occupied property (in %) 81.7

Net interest income 13,498 21,021 24,060 Buy-to-let (in %) 13.4
Provisions for loan Employed borrower (in %) 63.5
losses 3,783 7,818 4,201 Self-employed borrower (in %) 13.9
NII less provisions 9,715 13,203 19,859 Unemployed borrower (in %) 5.3
Comm.& fee income 10,713 12,276 13,857
Other operating
income 4,862 5,182 5,773 Table 154: Collateral pool LTV breakdown
Non-interest expense 25,223 28,700 32,489 Current LTV ranges As at July 2011
0-<=40% 14.8
>40%-<=50% 8.2
PBT 3,924 9,000 13,020 >50%-<=60% 10.0
Taxes 472 2,526 3,856 >60%-<=70% 11.9
Net profit (loss) 3,021 5,832 7,843
>70%-<=80% 15.5
>90%-<=100% 19.3
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BNP Paribas Public Sector SCF Cover pool overview

(BBG: BNPSCF) We set out below some of the key cover pool
See earlier profile. Table 158: Covered bond characteristics
As at June 2011
Unlike BNP Paribas Home Loans CB, BNP Paribas
Ratings S/M/F
public sector SCF utilises obligation foncieres for part Covered bond rating AAA/Aaa/AAA
of its funding requirements. Issuer rating AA/Aa2/AA-
Cover pool size (mm) 4,096

We set out below some of the key financial performance Country of guarantor (in %)
France 23
metrics: USA 28
Germany 35
Table 155: Key profit & loss figures, mm UK 14
FY 2008 FY 2009 FY 2010 Country of borrowers (in %)
Net interest income 13,498 21,021 24,060 Australia 14
Provisions for loan China 11
losses 3,783 7,818 4,201 Chile 11
NII less provisions 9,715 13,203 19,859 Ireland 11
Turkey 9
Comm.& fee income 10,713 12,276 13,857 Others 44
Other operating
income 4,862 5,182 5,773 Borrowers by sector (in %)
Non-interest expense 25,223 28,700 32,489 Aviation 76
Operating profit (loss) 3,705 8,569 12,830 Transport 8
Energy 14
PBT 3,924 9,000 13,020 Other 2
Taxes 472 2,526 3,856
Net profit (loss) 3,021 5,832 7,843 Currency split (in %)
Source: Bloomberg USD 61
EUR 25
Table 156: Key balance sheet figures, mm AUD 14
FY 2008 FY 2009 FY 2010 Asset types (in %)

Loans 494,401 678,766 684,686 AAA sovereign backed loans 100
Total Assets 2,075,551 2,057,698 1,998,158 Other 0
Deposits 413,955 604,903 580,913 Source: Investor Report
Short-term borrowings 1,286,572 1,021,434 980,082
Equity 58,968 80,344 85,630
Source: Bloomberg

FY 2008 FY 2009 FY 2010
NIM 0.8 1.1 1.3
ROA 0.2 0.3 0.4
ROE 6.7 10.6 12.2
ROC 0.3 0.5 0.7
C:I 73.1 59.3 61.4
Source: Bloomberg
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BPCE SFH Cover pool overview

(BBG: BPCECB) We set out below some of the key cover pool
BPCE SFH was created in 2011 in order to allow Groupe Table 162: Covered bond characteristics
BPCE (see separate Banques Populaires overview above)
As at June 2011
to tap the newly crated OH market.
Ratings S/M/F
Financial performance Issuer rating A+/Aa3/A+
Table 159: Key profit & loss figures Groupe BPCE, mm Avg loan () 54,991
FY 2009 FY 2010 WA current LTV (in %) 69.4

Net interest income 12,752 12,182 WA current LTV (in %) 64.1
Comm.& fee income 8,705 9,052 WA seasoning (mths) 53
Other operating
income 11,804 11,770 Fixed rate loans (in %) 90.8
Non-interest expense 16,359 16,057 Owner occupied (in %) 88.5
Operating profit (loss) 723 5,648 BTL (in %) 9.3
Self-employed (in %) 14.7
PBT -368 5,749 Source: Investor Report
Taxes -293 1,716
Net profit (loss) -75 4,033
Table 160: Key balance sheet figures Groupe BPCE, mm 0-<=40% 12.6
>40%-<=50% 7.9
FY 2009 FY 2010 >50%-<=60% 10.2
Loans 309,855 342,994 >60%-<=70% 12.6
Total Assets 1,028,802 1,048,442 >70%-<=80% 15.9
Deposits 14,941 12,993 >80%-<=90% 21.1
Short-term borrowings 77,057 83,944 >90%-<=100% 19.7
Long-term borrowings 124,755 136,313 Source: Investor Report
Equity 47,794 51,365

FY 2009 FY 2010
C:I 69 60
Core capital 9.1 10.1
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Caisse de Refinancement de lHabitat Financial performance

(BBG: CRH) We set out below some of the key financial performance
Snapshot metrics:
Caisse de Refinancement de l'Habitat (CRH) is a credit Table 164: Key profit & loss figures, mm
institution whose ownership is split amongst a number of
FY 2008 FY 2009 FY 2010
French banks: Crdit Agricole-Crdit Lyonnaise 40%,
Net interest income 8.0 2.8 2.3
Crdit Mutuel CIC 33%, Socit Gnrale 13%, BNP
Paribas 9%, and BPCE 5% (percentages also reflective of Non-interest expense 1.9 1.8 2.2
the breakdown of CRHs loans). Operating profit (loss) 9.1 0.9 0.2
PBT 9.1 0.9 0.2

CRH was created with the sole purpose of funding Taxes 2.0 0.3 0.1
French mortgages granted by its shareholder credit Net profit (loss) 3.8 0.6 0.1
institutions. It does this by issuing mortgage bonds as per Source: Annual report 2010
its own special legal framework, regulated by law 85-695

of July 1985. CRH bonds were initially backed by a
guarantee from the French government, but this was FY 2008 FY 2009 FY 2010
withdrawn in 1988. From 2006 they have received a Loans 216 145 246
Total Assets 38,525 40,626 42,486
capital risk-weighting of 10%. Other ST borrowings 3,261 6,244 5,091
The underlying mortgage loans remain on the Equity 180 208 208
shareholder banks balance sheets, with promissory notes Source: Annual report 2010
issued to CRH. CRH-issued bonds then mimic the same

features (rate, maturities etc) of these promissory notes. Cover pool overview
By law, CRH must have a minimum over- We set out below some of the key cover pool
collateralisation rate of 25%. In fact, as of December characteristics:
2010, CRH mortgage bonds amount to just over 41bn,
compared to a cover pool of 60bn, for an over- Table 166: Covered bond characteristics
collateralisation level of 44%. No substitution assets are As at December 2010
allowed in the collateral pool, while internal rules Ratings S/M/F
Covered bond rating -/Aaa/AAA
stipulate that no holdings of securitised positions are Issuer rating n.a.
allowed.
Cover Pool
Cover pool size (bn) 59.5
Funds are received by CRH from the shareholder banks Bonds outstanding (bn) 41.3
five business days in advance of payment on its own OC (%) 44.0
bonds. If one of the borrowing banks defaults, CRH Cover pool size excl. non-compliant loans (bn) 53.7
acquires full ownership of the pledged collateral and is OC excl. non-compliant loans (%) 30.0
allowed to sell the portfolio and use the proceeds to buy Source: Investor Report
and cancel the corresponding bonds. Furthermore, CRH

could ask its other 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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CIF Euromortgage SCF Financial performance

(BBG: CIFEUR) We set out below some of the key financial performance
Snapshot metrics:
Crdit Immobilier de France (CIF) is the only Table 167: Key profit & loss figures, mm
independent financial institution in France that is solely
FY 2009 FY 2010
dedicated to mortgage lending to individuals. CIFs 12
Net interest income 10.1 10.4
subsidiaries serve specific geographic markets through
300 branches and 6,000 independent advisors. The sole Operating profit (loss) 4.9
shareholders of CIF are the SACICAPs, whose purpose
PBT 4.8 8.4
is to provide lending to low income individuals. The Taxes 1.6 2.9
SACICAPs undertake a vast programme of building and Net profit (loss) 3.2 5.5
selling housing to promote home ownership and devote Source: Annual report 2010
at least one third of their distributable earnings to
government-designated social programmes. Table 168: Key balance sheet figures, mm
FY 2009 FY 2010
CIF Euromortgage is the SCF of the Crdit Immobilier Total Assets 24,617 25,813
de France (CIF). The funding activity of CIF Long-term borrowings 330 732
Equity 111 113
Euromortgage is organised around CIF's two
securitisation vehicles, CIS Assets (created in 2001 as a
multi-series FCC or SPV) and BPI Master Mortgage
Cover pool overview
(created in 2003 with the sole purpose of purchasing
home loans originated by Banque Patrimoine et
characteristics:
Immobilier). CIF Euromortgages primary 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. As at June 2011
Ratings S/M/F
After an initial build-up period, CIF Euromortgage has Issuer rating n/a
reached an equilibrium, with annual finding needs of
Cover Pool
between 3bn and 5bn. CIF Europmortgage plans to Cover pool size () 24,690,000,000
launch regular public issues at least twice a year. In 2010
CIF issued 2.8bn of covered bonds through a mix of Asset type (in %)
public and private placements; in 2011 YTD, 2.0bn CIF Assets 65.8
Replacement portfolio 12.3
have been issued so far, all publicly sold. CIF also CIF Mortgage promissory notes 8.9
regularly comes to the market through taps of previous BPI Master mortgage 8.1
issues and registered covered bonds (German debt AAA-rated European RMBS 4.9
securities). Source: Investor Report
The bank utilises obligation foncieres for part of its

funding needs.
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Compagnie de Financement Foncier Financial performance

SCF We set out below some of the key financial performance
metrics:
(BBG: CFF)
Snapshot Table 170: Key profit & loss figures, mm
Crdit Foncier de France (CFF) is a credit institution FY 2008 FY 2009 FY 2010
licensed by the French Credit Institutions and Investment Net interest income 174 358 279
Firms Committee as a finance company and a SCF. The
company is a wholly owned subsidiary of Crdit Foncier Comm.& fee income 38 41 45
Other operating
(A/Aa3/A+) and an affiliate of BPCE (A+/Aa3/A+) and income 2 3 2
its only business purpose is to finance the residential and Non-interest expense 120 115 99
public sector lending activities of these two companies. Operating profit (loss) 85 258 214
PBT 84 258 217

CFF was initially founded in 1852, with the task to Taxes 22 83 74
originate mortgage loans and local authority loans and to Net profit (loss) 62 175 143
issue bonds to finance these loans. Compagnie de Source: Annual report 2010
Financement Foncier (CFF) gained its current status as a
SCF in 1999, when old secured loans as well as eligible Table 171: Key balance sheet figures, mm
assets and liabilities were transferred to CFF to make it FY 2008 FY 2009 FY 2010
compliant with the new law on SCF (Act of 25 June Consumer Loans 36,311 37,184 39,709
Other Loans 9,806 12,745 16,493
1999). Total Loans 46,117 49,929 56,202
Total Assets 95,943 98,245 103,827
In April 2010 CFF launched its inaugural issue (followed Deposits 33 5 15
Short-term borrowings 188 242 244
by a second one in September) under the RegS/144A Long-term borrowings 79,960 81,957 88,128
framework targeting the US market, which had been Equity 1,385 1,560 1,612
quasi-inactive since 2007. Furthermore, it set up the Source: Annual report 2010
USMTS programme to issue OF in USD.
Cover pool overview
CFF sold 12.1bn and 12.7bn of covered bonds in 2009 We set out below some of the key cover pool
and 2010 in a number of currencies, including EUR, characteristics:
USD, NOK, HKD and CHF. Year-to-date 2011 issuance
has reached 6.4bn and CFF was able to issue through Table 172: Covered bond characteristics
the months of June, July and August, despite difficult
As at December 2010
market conditions. Ratings S/M/F
The bank utilises obligation foncieres for part of its Issuer rating A/Aa3/A+
funding needs. Cover Pool
Cover pool size (bn) 103.8
Asset type (in %)

Mortgage loans, of which: 33.6
Mortgage loans and related items 20.0
European RMBS 13.6
Public sector exposures, of which: 52.0
Mortgage loans guaranteed by the public sector 9.7
French public sector loans 18.1
International public sector loans 24.2
Other assets, of which: 14.4
Replacement securities 11.4
Other assets 3.0
Coverage ratio as per SCF law 10.8

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Crdit Agricole Home Loans SFH Table 174: Key balance sheet figures CA S.A., mm
FY 2008 FY 2009 FY 2010
(BBG: ACACB) Consumer Loans 349,037 344,515 364,725
Snapshot Loans 349,037 362,348 383,246
The Credit Agricole Group offers retail banking and Total Assets 1,653,220 1,557,342 1,593,529
Deposits 421,411 464,080 501,360
corporate and investment baking products and specialised Short-term borrowings 171,749 341,064 353,872
financial services. The group operates globally through Other ST borrowings 588,921 99,631 67,971
70 countries and catering to 54mm customers worldwide, Long-term borrowings 222,083 378,779 353,875
Equity 47,336 51,964 52,149
although its core markets are France, Italy and Greece.
Source: Bloomberg
Within the group, Credit Agricole S.A. ensures the

cohesion and smooth running of the network and acts as
a representative for the Group in dealing with the FY 2008 FY 2009 FY 2010
NIM 0.9 1.0 1.1
banking authorities. It also acts as a central bank, ROA 0.1 0.1 0.1
ensuring financial unity. Its activities are organised into ROE 2.7 2.8 3.0
three, broad business lines. Retail banking in France and ROC 0.3 0.2 0.2
C:I 81.3 68.7 69.0
abroad; Specialised Business lines including asset Core capital 8.6 9.5 10.6
management, insurance, private banking and consumer Source: Bloomberg
finance, leasing and factoring; and Corporate and
Investment banking. Cover pool overview
The second pillar of the Group is its 39 regional banks, in
characteristics:
which CA S.A. owns a 25% stake. These offer a broad
range of financial products to individuals, SMEs, farmers Table 176: Covered bond characteristics
and local authorities. Finally, the third arm of the Group
As at June 2011
is the Fdration Nationale du Crdit Agricole, the body
Ratings S/M/F
through which the regional banks discuss policies and Covered bond rating AAA/Aaa/AAA
represent themselves. Issuer rating A+/Aa1/AA-
Cover Pool
The bank switched from structured CB to OH for part of Cover pool size () 29,728,482,533
its funding needs. Number of loans 855,908
Avg loan () 34,733
Financial performance WA current LTV (in %) 61.4
We set out below some of the key financial performance WA current indexed LTV (in %) 54.5
metrics: Remaining tenor (mths) 155
Table 173: Key profit & loss figures CA S.A., mm Owner occupied property (in %) 83.0
FY 2008 FY 2009 FY 2010
Employed borrower (in %) 66.3
Net interest income 12,113 14,290 14,894 Self-employed borrower (in %) 18.3
Provisions for loan
losses 2,806 4,526 3,205 Source: Investor Report
Comm.& fee income 9,309 9,798 10,775
Other operating Current LTV ranges As at June 2011
income 8,075 -6,179 -5,108 0-<=40% 18.1
Operating profit (loss) 184 1,093 2,980 >50%-<=60% 14.7
>60%-<=70% 17.3
PBT 1,200 1,657 2,629 >70%-<=80% 16.7
Taxes -66 211 877 >80%-<=90% 12.4
Net profit (loss) 1,024 1,125 1,263 >90%-<=100% 9.4
Source: Bloomberg Source: Investor Report
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Crdit Mutuel Arka Home Loans SFH Table 179: Key balance sheet figures, mm
FY 2008 FY 2009 FY 2010
(BBG: CMACB) Loans 29,356 30,863 35,902
Crdit Mutuel Arka is a cooperative credit union formed Deposits 20,131 21,168 23,657
by the federations of Crdit Mutuel du Bretagne, Crdit Other ST borrowings 1,287 1,493 1,536
Mutuel du Sud-Ouest, Crdit Mutuel du Massif Central Equity 2,818 3,507 3,777
and around 20 other specialised lenders, for a total of Source: Annual report 2010
around 600 local saving banks and branches, serving
3.1mm customers, mostly in the Brittany (24% market Table 180: Select financial metrics
share of deposit-taking and 27% market share in retail FY 2008 FY 2009 FY 2010
loans), South West (7% market share for both deposits ROE 1.1 5.9 8.4
and retail loans) and Massive Central (2% market share Core capital 12.5 11.3
for both deposits and retail lending) regions. Source: Annual report 2010
CM Arkeas loan book is 54% residential loans, 11% Cover pool overview
consumer loans and 20% SME/corporate loans. In order We set out below some of the key cover pool
to expand and further diversify its activities and characteristics:
geographical exposure, CM Arkea has set up subsidiaries
and developed partnerships with a national reach and Table 181: Covered bond characteristics
offering internet deposit-taking services, consumer As at June 2011
lending outside of the core regions and insurance and Ratings S/M/F
Covered bond rating AAA/-/-
asset management services. Issuer rating A+/-/-
The bank has recently moved from structured covered Cover pool
bonds to an SFH programme with a maximum size of Cover pool size () 4,686,365,979
10bn for part of its funding needs. This reduced Avg loan () 68,117
refinancing risk for the issuer and increased credit quality
for investors. WA current LTV (in %) 69.0
WA current indexed LTV (in %) 65.0
Financial performance WA seasoning (mths) 46
We set out below some of the key financial performance Owner occupied property (in %) 85.0
metrics: Buy-to-let (in %) 11.7
Employed borrower (in %) 67.2
Table 178: Key profit & loss figures, mm Self-employed borrower (in %) 14.1
Unemployed borrower (in %) 1.5
Comm.& fee income 474 429 466 Table 182: Collateral pool LTV breakdown
Other operating Current LTV ranges As at June 2011
income 3,588 5,350 4,438 0-<=40% 18.7
Non-interest expense 4,307 971 1,089
>40%-<=50% 9.0
>60%-<=70% 12.3
PBT 78 208 341 >70%-<=80% 14.4
Taxes 27 46 48
>80%-<=90% 17.8
Net profit (loss) 31 161 293 >90%-<=100% 16.9
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Crdit Mutuel-CIC Home Loans SFH Table 184: Key balance sheet figures, mm
FY 2008 FY 2009 FY 2010
(BBG: CMCICB) Real Estate Loans 155,205 159,402 171,483
Snapshot Loans 295,837 304,511 323,065
CM10-CIC is a group of 10 regional Crdit Mutuel (CM) Total Assets 581,709 579,038 591,309
Deposits 196,507 218,431 237,402
regional banks. It is the 5th largest bank by equity and Short-term borrowings 56,349 40,065 28,509
the 3rd largest retail banking franchise in France. At the Other ST borrowings 27,354 16,738 16,619
end of 2009, it had market share of 12% and 17% for Long-term borrowings 191,258 173,301 168,805
Equity 25,036 30,619 33,388
deposits and loans respectively, according to Fitch
Source: Bloomberg
Ratings. CM10-CIC is part of the wider network of 18
CM regional banks, accounting for around 80% of CMs
assets.
FY 2008 FY 2009 FY 2010
NIM 0.8 1.4 1.5
Banque Fdrative du Crdit Mutuel (BFCM) manages ROA 0.1 0.3 0.5
the general interest of the specialised branches of the ROE 1.7 6.7 9.4
group, is involved in the financing of large-scale projects ROC 0.2 0.7 1.3
C:I 78.4 63.7 64.8
and is active in the financial markets. Core capital 9.8 11.8
Source: Bloomberg
CMCIC Home Loans SFH is registered as a limited
liability company and is licensed to act as a credit Cover pool overview
institution with limited purpose. Its sole activity is to
finance residential mortgages for CMCEE-CIC group.
characteristics:
The bank utilises an SFH structure issuing OH for part of Table 186: Covered bond characteristics
its funding needs.
As at July 2011
Ratings S/M/F
Financial performance Covered bond rating AAA/Aaa/AAA
We set out below some of the key financial performance Issuer rating A+/Aa3/AA-
metrics: Cover pool
Cover pool size () 28,636,976,000
Table 183: Key profit & loss figures, mm Number of loans 337,825
Avg loan () 84,769
FY 2008 FY 2009 FY 2010
Net interest income 3,970 7,392 8,183 WA current LTV (in %) 70.0
Provisions for loan WA current indexed LTV (in %) 63.0
losses 1,459 2,089 991 Remaining tenor (mths) 192
NII less provisions 2,511 5,303 7,192 WA seasoning (mths) 53
Comm.& fee income 3,734 4,411 4,683 Fixed rate (in %) 98.3
Other operating Owner occupied property (in %) 80.1
income 1,966 2,253 2,711 Buy-to-let (in %) 16.4
Non-interest expense 7,742 9,718 10,635 Loans with guarantor (in %) 35.4
Operating profit (loss) 362 2,835 4,187 First liens (in %) 64.6
PBT 409 2,742 4,171
Taxes -33 860 1,145
Net profit (loss) 440 1,831 2,916 Table 187: Collateral pool LTV breakdown
Source: Bloomberg Current LTV ranges As at July 2011
0-<=40% 16.9
>40%-<=50% 10.3
>50%-<=60% 13.0
>60%-<=70% 15.5
>70%-<=80% 17.8
>80%-<=90% 18.9
>90%-<=100% 0.1
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Dexia Municipal Agency SCF Financial performance

(BBG: DEXMA) We set out below some of the key financial performance
Snapshot metrics:
Dexia Municipal Agency (DexMA) is the SCF of the Table 188: Key profit & loss figures, mm
Dexia Group, whose sole activity is to finance local
FY 2009 FY 2010
governments in the EEA area, the USA, Canada and
Net interest income 282 256
Japan (although France remains its main market) and
issue covered bonds. It is a wholly owned subsidiary of Non-interest expense 92 96
Dexia Crdit Local, the French public finance arm of the Operating profit (loss) 207 163
Dexia group. PBT 207 163
Taxes 73 54
The Dexia group is active in public and project finance, Net profit (loss) 134 109
personal finance, investment management, insurance and Source: Bloomberg
treasury and financial market.

In the public sector financing market, the group is a FY 2009 FY 2010
leader in Europe and its main markets are Belgium Loans 78,870 85,196
(market share of 80%), France (market share of 42%) and Long-term borrowings 65,933 66,819
Italy (market share of 20%). Dexia also offers a full Equity 990 1,069
range of retail services to customers in Belgium, Source: Bloomberg
Luxembourg and Turkey, where it is amongst the top 6
privately owned banks. Cover pool overview
Dexia Group is also amongst the largest in Europe in the characteristics:
field of asset management, with 86.4bn of assets under
management as at December 2010. Dexia also manages Table 190: Covered bond characteristics
further funds through its joint-venture with Royal Bank As at March 2011
of Canada. Ratings S/M/F
funding needs. Through this platform it issued 5.7bn in Cover pool
2009, 9.0bn in 2010 and 5.6bn in 2011 YTD. Bonds Cover pool size () 78,106,500,000
are denominated in EUR, CHF, NOK and USD. Country split (in %)
France 64.9
Belgium 9.7
Italy 9.7
Switzerland 5.2
Spain 4.1
Luxembourg 2.4
Other 4.0
Collateral type (in %)

Loans to local governments 70.4
Bonds 29.6
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General Electric SCF

(BBG: GESCF)
Snapshot
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.
GE Capital entered the French market through its

acquisition of Crdit de l'Est and Banque Sovac in 1995.
GE Money Bank, formerly known with the name GE
Capital Bank, offers a wide range of consumer lending
products, such as personal loans, credit cards, car loans
and mortgage facilities. The company also provides
leasing and real estate financing.

funding needs.
Cover pool overview

characteristics:

As at June 2011
Ratings S/M/F
Cover pool
Avg loan () 84,060

Owner occupied property (in %) 48.0

Employed (in %) 82.3
Self employed (in %) 13.5

0-<=40% 14.5
>40%-<=50% 9.2
>50%-<=60% 10.9
>60%-<=70% 12.8
>70%-<=80% 17.8
>80%-<=90% 14.2
>90%-<=100% 17.6
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Groupe Caisse dpargne Covered Cover pool overview

Bonds We set out below some of the key cover pool
characteristics:
(BBG: CDEE)
Snapshot Table 196: Covered bond characteristics
Together with Caisse d'pargne, Banques Populaires is As at July 2011
one of the two brands of the Groupe BPCE (see separate Ratings S/M/F
Banques Populaires overview above). Unlike BPCE SFH Covered bond rating AAA/Aaa/-
and Banques Populaires SCF, Groupe Caisse dpargne Issuer rating A+/Aa3/A+
still uses structured covered bonds. Cover pool
Cover pool size () 15,919,449,032
Avg loan () 58,503
metrics: WA current LTV (in %) 68.7
Table 193: Key profit & loss figures Groupe BPCE, mm
FY 2009 FY 2010
Net interest income 12,752 12,182 Fixed rate (in %) 96.5
Comm.& fee income 8,705 9,052 Buy-to-let (in %) 7.2
Other operating Employed (in %) 81.7
income 11,804 11,770 Self employed (in %) 0.2
Non-interest expense 16,359 16,057 Source: Investor Report
Operating profit (loss) 723 5,648
PBT -368 5,749
Taxes -293 1,716 Current LTV ranges As at July 2011
Net profit (loss) -75 4,033 0-<=40% 13.4
Source: Annual report 2010 >40%-<=50% 8.5
>50%-<=60% 10.4
>60%-<=70% 12.6
Table 194: Key balance sheet figures Groupe BPCE, mm
>70%-<=80% 15.9
FY 2009 FY 2010 >80%-<=90% 19.8
Loans 309,855 342,994 >90%-<=100% 19.5
Total Assets 1,028,802 1,048,442 Source: Investor Report
Deposits 14,941 12,993
Equity 47,794 51,365

FY 2009 FY 2010
C:I 69 60
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HSBC France Covered Bonds Table 199: Key balance sheet figures HSBC Group, mm
FY 2008 FY 2009 FY 2010
(BBG: HSBC3) Loans 668,579 625,379 717,018
HSBC France (HBFR) is part of the HSBC Group, one of Deposits 799,346 808,760 918,543
the largest banking groups globally and headquartered in Other ST borrowings 248,661 468,791 350,227
the UK. HSBC France was created by the combination of Long-term borrowings 73,125 65,441 73,181
five banks (CCF, UBP, Banque de Picardie, Banque de Equity 71,833 94,663 115,902
Baecque Beau and the Paris branches of Banque Hervet), Source: Bloomberg
which were rebranded in 2005 under the HSBC logo. It
was initially established as Banque Suisse et Francaise in Table 200: Select financial metrics
1894, later known as CCF until it was absorbed by FY 2008 FY 2009 FY 2010
HSBC in 2000. NIM 2.2 2.2 2.0
ROA 0.2 0.2 0.5
ROE 5.1 5.1 9.5
HSBC France operates through 380 branches offering ROC 1.3 1.5 3.2
global banking and markets, asset management, C:I 53.1 47.5 55.0
insurance and private banking services. HSBC France
Source: Bloomberg
caters mainly to wealthier clients and also focuses on
corporate and investment banking, after reducing its
Cover pool overview
exposure to the retail banking sector through the sale of
seven regional banks to Groupe BPCE in 2009. We set out below some of the key cover pool
characteristics:
The bank utilises structured covered bonds for part of
its funding needs, although looks set to launch OH bonds
imminently. As at June 2011
Ratings S/M/F
Financial performance Issuer rating AA/Aa3/AA
Cover pool
Table 198: Key profit & loss figures HSBC Group, mm Avg loan () 122,274
FY 2008 FY 2009 FY 2010 WA current LTV (in %) 68.9
Net interest income 29,272 29,379 29,876 WA current indexed LTV (in %) 58.9
Provisions for loan Remaining tenor (mths) 167
losses 17,041 19,047 10,604 WA seasoning (mths) 51
Comm.& fee income 16,923 15,390 15,950 Buy-to-let (in %) 18.9
Other operating Employed (in %) 66.6
income 2,010 2,535 1,466 Self employed (in %) 20.6
PBT 6,360 5,090 14,379 Table 202: Collateral pool LTV breakdown
Taxes 1,920 277 3,660
Net profit (loss) 3,914 4,195 9,939 Current LTV ranges As at June 2011
0-<=40% 25.1
>50%-<=60% 13.2
>60%-<=70% 13.8
>70%-<=80% 13.7
>80%-<=90% 11.6
>90%-<=100% 10.3
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Socit Gnrale SCF Table 204: Key balance sheet figures Societe Generale, mm
FY 2008 FY 2009 FY 2010
(BBG: SOCSCF) Loans 383,125 373,399 401,013
Socit Gnrale SCF is the SCF set up by Socit Deposits 282,514 300,054 337,447
Gnrale, one of the largest French financial institutions. Other ST borrowings 57,817 48,800 55,003
The objective of SG SCF is to provide funding for SGs Long-term borrowings 85,663 86,740 92,913
public-sector loan book. The cover pool consists entirely Equity 40,887 46,838 50,975
of loans to French public entities and the bonds issued Source: Bloomberg
are in OF form.
SGs product offer ranges from corporate and investment FY 2008 FY 2009 FY 2010
banking to retail banking, insurance, private finance and NIM 0.8 1.2 1.2
ROA 0.2 0.1 0.4
investment management services. ROE 7.0 2.1 10.4
ROC 0.4 0.2 0.7
On the French retail banking market the bank operates C:I 59.0 47.9 64.7
through three distribution networks: Socit Gnrale,
Source: Bloomberg
Crdit du Nord and Boursorama Banque, an online bank.
Through these networks, the bank offers services to
Cover pool overview
almost 11mm customers. SocGen also offers
international retail banking services in 37 countries, We set out below some of the key cover pool
serving another 12mm customers. characteristics:

Socit Gnrale is also actively present in the private
baking sector, with 84.1bn of assets under management As at March 2011
across 19 countries as at the end of June 2011. Ratings S/M/F
Furthermore, the group has 25% stake in the asset Issuer rating A+/Aa2/A+
manager Amundi.
Cover pool
Cover pool size () 10,751,812,383
Corporate and Investment Banking is the third pillar of Number of loans 1,314
the group, with offices in 33 countries. France (in %) 94.8
Borrower type within France (in %)

Financial performance Regions 12.0
We set out below some of the key financial performance Departments 30.4
metrics: Districts 13.8
Districts groups 12.2
Public health complex 18.0
Table 203: Key profit & loss figures Societe Generale, mm Syndicates 7.8
Other 5.9
FY 2008 FY 2009 FY 2010
Fixed rate loans (in %) 61.2
Provisions for loan Source: Investor Report
losses 4,903 10,860 3,604
Comm.& fee income 10,505 10,445 10,038

Other operating
income 1,267 1,007 1,271
Operating profit (loss) 4,316 827 5,724
PBT 4,008 800 5,844

Taxes 1,235 -308 1,542
Net profit (loss) 2,010 678 3,917
Source: Bloomberg
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Socit Gnrale SFH Cover pool overview

(BBG: SOCSFH) We set out below some of the key cover pool

Socit Gnrale SFH is the SFH set up by Socit
Gnrale, to take advantage of the new legislative As at June 2011
Ratings S/M/F
framework. Unlike the OF bonds of SOCSCF (see profile Covered bond rating AAA/Aaa/AAA
above) OH bonds are collateralised by residential Issuer rating A+/Aa2/A+
mortgages.
Cover pool
Cover pool size () 24,738,832,559
We set out below some of the key financial performance Avg loan () 70,144
Table 207: Key profit & loss figures Societe Generale, mm WA seasoning (mths) 49
FY 2008 FY 2009 FY 2010 Fixed rate loans (in %) 90.2
Net interest income 8,414 11,964 12,288 Owner occupied property (in %) 74.2
Provisions for loan Buy-to-let (in %) 25.6
losses 4,903 10,860 3,604
Comm.& fee income 10,505 10,445 10,038 Table 211: Collateral pool LTV breakdown
Other operating
income 1,267 1,007 1,271
Non-interest expense 16,370 13,387 19,654 0-<=40% 27.1
Operating profit (loss) 4,316 827 5,724 >40%-<=50% 12.3
>50%-<=60% 12.5
PBT 4,008 800 5,844 >60%-<=70% 11.5
Taxes 1,235 -308 1,542 >70%-<=80% 11.3
Net profit (loss) 2,010 678 3,917 >80%-<=90% 11.5
>90%-<=100% 13.9
Source: Bloomberg
Table 208: Key balance sheet figures Societe Generale, mm

FY 2008 FY 2009 FY 2010
Loans 383,125 373,399 401,013
Total Assets 1,130,003 1,023,701 1,132,072
Deposits 282,514 300,054 337,447
Equity 40,887 46,838 50,975
Source: Bloomberg

FY 2008 FY 2009 FY 2010
NIM 0.8 1.2 1.2
ROA 0.2 0.1 0.4
ROE 7.0 2.1 10.4
ROC 0.4 0.2 0.7
C:I 59.0 47.9 64.7
Source: Bloomberg
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German Covered Bonds
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German Covered Bonds

We set out in Table 212 a snapshot of key covered bond attributes in Germany.
Table 212: German Covered Bond legislative overview

Framework
Legislative Framework German Pfandbrief Act (Pfandbriefgesetz of 2005) and Regulations to the Pfandbrief Act (amended in 2009
and 2010); 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).
Types of covered bonds Four. Mortgage, Public sector, Ship and Aircraft covered bonds.
Structure of Issuer Direct issuance? Yes.
Comments (if any) 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.
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.
Dual claim Yes, pari passu with unsecured creditors.
Bond format Fixed rate, hard bullets.
Supervision Federal Financial Supervisory Authority; German Banking Supervisory Authority (BaFin). A cover pool
monitor also supervises the cover pool.
Cover pool
Eligible assets Mortgage Residential or commercial. Land or mortgages on properties under construction are limited at 10% of
collateral value and the asset can only be located in EEA, Switzerland, USA, Canada and Japan. The total
volume of the loans in states for which the preferential right of the Pfandbrief on the cover assets is not
ensured may not exceed 10%.
LTV caps 60% LTV for residential, commercial and agricultural loans. The LTV of the loans can be higher, but only the
first 60% is considered.
Public Sector Loans 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. The total volume of the loans
in states for which the preferential right of the Pfandbrief on the cover assets is not ensured may not exceed
10%.
Ship/Aircraft 60% LTV limit for both. The total volume of the loans in states for which the preferential right of the
Pfandbrief on the cover assets is not ensured may not exceed 20%.
Substitution Assets Up to 10% of the cover pool can be made up of money claims against the ECB, EU central banks or other
suitable institutions. For mortgage covered bonds, another 10% can be made up of assets eligible for public
sector Pfandbriefe.
Hedging Derivatives are allowed for mitigation of market risk.
Valuation Individual market values, with monitoring requirements for commercial property exposures each year, and
every three years for residential properties.
Other comments (if any) Derivatives are also eligible cover assets, up to a maximum of 12% of the pool on an NPV basis.
Requirements
ALM matching Asset coverage Eligible assets must be 102% of liabilities at all times on an NPV basis. Derivatives can be used to help meet
cashflow requirements.
Interest coverage The Pfandbrief issuer is obliged to cover the maximum liquidity gap within the next 180 days.
Other (if any)
Consequence of breach Regulatory or rule-based actions
Monitoring In addition to the regulators, an independent pool monitor performs regular audits, reports to the supervision
authorities, veifies coverage ratios and checks that assets are recorded correctly in the cover register.
Other
Compliance with EU Both UCITS and CRD compliant.
legislation
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German covered bond & macro backdrop

250,000 1,200,000
Mortgage Public Sector Ships Mortgage Public Sector Ships
1,000,000
200,000
800,000
150,000
600,000
100,000
400,000
50,000 200,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 73: German real GDP growth, y-on-y, % Figure 74: German unemployment level, %
4 12
2 10
0 8
-2 6
-4 4 Unemployment
-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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Source: Bloomberg
Source: Bloomberg
Figure 75: German CPI and base rate, % Figure 76: German consumer confidence, balance of survey
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Source: Bloomberg Mar-11

Source: Bloomberg
Figure 77: German nominal house price growth, % Figure 78: German residential construction orders index, #
3.5% Nominal house price growth Residential construction orders index
3.0% 180
2.5% 160
2.0% 140
1.5% 120
1.0% 100
0.5% 80
0.0%
-0.5% 60
-1.0% 40
-1.5% 20
-2.0% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Source: OECD Source: Bloomberg
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Aareal Bank AG Table 214: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: AARB) Loans 24,530 23,176 24,329
The Aareal Bank Group is a specialist in property finance Deposits 20,665 21,361 22,846
and related services. It provides financing, advisory and Long-term borrowings 7,681 9,131 8,887
other services to real estate clients and also offers public Equity 1,452 2,077 1,985
sector finance to both domestic and international clients. Source: Bloomberg
The business model is made up of two segments: Table 215: Select financial metrics
Structured property financing includes the institutions FY 2008 FY 2009 FY 2010
property financing activities as well as advisory and NIM 1.3 1.2 1.3
consulting services to clients in realising real estate ROA 0.1 0.1 0.2
ROE 3.6 3.9 5.7
projects. The Consulting/services unit of the group ROC 0.4 0.4 0.6
provides a range of services to clients in the institutional C:I 69.1 63.0 63.8
housing industry in Germany, including IT systems, Core capital 8.0 11.0 10.5
payment transactions systems and real estate portfolio Source: Bloomberg
management.
Cover pool overview
Aareal Bank operates in 25 countries in Europe, North We set out below some of the key cover pool
America and Asia, although its core market remains characteristics:
Germany, in particular in the public sector financing
business: exposures to German public entities account for Table 216: Public-sector covered bond characteristics
almost three quarters of its public sector cover pool and As at June
for 17% of its mortgage cover pool. 2011
Ratings S/M/F
Covered Bond rating -/-/AAA
Aareal Bank is an established issuer of both public sector Issuer rating -/-/A-
and mortgage Pfandbriefe, which account for the
majority of its long-term funding Cover pool
Overcollateralisation () 330,700,000
We set out below some of the key financial performance German Federal States 59.0
metrics: EU countries 24.0
German Landesbanken 8.0
Table 213: Key profit & loss figures, mm German Federal Government 6.0
Other 3.0
FY 2008 FY 2009 FY 2010
Net interest income 500 460 509 Risk weighting split (in %)
Prov. for loan losses 80 150 105 Solvency 0 95.0
NII less provisions 420 310 404 Solvency 20 5.0
Commission & fee inc. 211 188 187
Other operating inc. 74 30 38
Operating profit 103 88 129
PBT 110 87 134

Taxes 45 20 40
Source: Bloomberg
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Table 217: Mortgage covered bond characteristics

As at June
2011
Ratings S/M/F
Issuer rating -/-/A-
Cover pool
Cover pool size () 10,501,900,000
Over-collateralisation () 1,805,200,000

Western Europe ex. Germany 30.0
Southern Europe 19.0
Germany 17.0
Northern Europe 14.0
North America 11.0
Eastern Europe 8.0
Asia 1.0
Property type (in %)

Office 37.0
Retail 24.0
Hotel 13.0
Logistic 12.0
Residential 12.0
Other 2.0
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Bayerische Landesbank (BayernLB) Table 219: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: BYLAN) Loans 199,128 156,142 152,435
BayernLB is a leading commercial bank for large and Deposits 91,307 92,197 91,734
middle-market corporate customers in Germany and Long-term borrowings 129,300 101,685 83,171
Europe whilst also catering for retail customers. It works Equity 11,265 14,061 13,911
closely with the Sparkassen-Finanzgruppe in Bavaria, Source: Bloomberg
other Bavarian savings banks and the Bavarian State. In
particular, BayernLB's products are sold via other saving Table 220: Select financial metrics
banks, which act as customers, owners and sales partners. FY 2008 FY 2009 FY 2010
The bank aims at increasing its partnership with the NIM 0.7 0.7 0.6
savings banks in the future in order to target the ROA -1.2 -0.7 0.2
ROE -52.1 -23.4 4.3
Mittelstand sector. ROC -2.0 -1.3 0.3
C:I -322.3 70.7 50.4
Long-term commercial financing to residential property Core capital 8.0 12.5 11.0
developers and construction companies both on the Source: Bloomberg
domestic and international markets are its core activities.

The bank also offers real estate investment and M&A Cover pool overview
advisory. We set out below some of the key cover pool
characteristics:
The other area of focus for the bank is the Mittelstand
sector. The bank offers banking and advisory services Table 221: Public-sector covered bond characteristics
and financing solutions to middle-market companies As at June
looking to export their products abroad and is a leader in 2011
the subsidised credit business - particularly in the areas Ratings S/M/F
of sustainable energy production and energy efficiency, Issuer rating -/A1/A+
sustainable mobility and water management.
Cover pool
Cover pool size () 46,105,000,000
Finally, BayernLB also offers retail banking services Overcollateralisation (in %) 45.5
through its Deutsche Kreditbank (DKB) subsidiary. In
addition to internet banking, DKB focuses also on Geographical split (in %)
Germany 90.5
growing markets such as environmental technology, Switzerland 4.3
healthcare and education & research. Other 5.2
Borrowers type (in %)

Financial performance Other public assets 40.0
We set out below some of the key financial performance States 32.0
metrics: Municipalities 20.0
Sovereign 3.0
Additional cover 5.0
FY 2008 FY 2009 FY 2010
Prov. for loan losses 1,656 3,277 696
NII less provisions 1,014 -715 1,246
Commission & fee inc. 1,114 1,040 811

Operating profit -5,089 -2,395 798
PBT -5,167 -2,765 884

Taxes 191 328 294
Net profit (loss) -5,084 -2,619 590
Source: Bloomberg
116
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As at June
2011
Ratings S/M/F
Issuer rating -/A1/A+
Cover pool
Cover pool size () 11,560,000,000
Overcollateralisation (in %) 53.5

Germany 66.7
UK 11.1
France 6.1
Italy 4.8
USA 4.1
Other 7.2

Office 38.0
Retail 25.0
Residential 24.0
Mixed Commercial 7.0
Other 6.0
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Berlin-Hannoversche Hypothekenbank Cover pool overview

(BBG: BHH) We set out below some of the key cover pool
Berlin Hyp is a real estate financing bank and one of the Table 226: Public-sector covered bond characteristics
leading mortgage-lending institutions in Germany. In
As at June
conjunction with its parent company, the Landesbank 2011
Berlin, it offers a wide range of financial services and Ratings S/M/F
products. These span from the financing of large projects Covered Bond rating -/Aaa/AAA
and portfolios to individual residential, commercial and Issuer rating -/-/AA-
mixed use projects. Cover pool
The bank was founded in 1868 and assumed several Overcollateralisation () 1,046,000,000
forms and names before eventually becoming Berlin Hyp Geographical split (in %)
in 1993, fully owned by the State of Berling; it Germany 90.3
subsequently merged with Braunschweig-Hannoversche Austria 3.7
Other 6.0
Hypothekenbank in 1996.
Borrowers type (in %)
Financial performance Federal States 62.0
Public law banks & enterprises 19.0
We set out below some of the key financial performance Foreign debtors 10.0
metrics: Central Government 1.0
Other 8.0
Table 223: Key profit & loss figures, mm Source: Investor report
FY 2008 FY 2009 FY 2010

Net interest income 214 214 215 Table 227: Mortgage covered bond characteristics
Prov. for loan losses 93 0 0 As at June
NII less provisions 121 214 215 2011
Ratings S/M/F
Commission & fee inc. 17 14 24 Covered Bond rating -/Aa1/AA+
Other operating inc. 5 7 21 Issuer rating -/-/AA-
Operating profit 57 78 92 Cover pool
Cover pool size () 13,253,700,000
PBT 57 78 5 Overcollateralisation () 1,573,600,000
Taxes 13 19 1
Net profit (loss) 45 59 2 Geographical split (in %)
Source: Bloomberg Germany 81.0
France 5.9
Table 224: Key balance sheet figures, mm UK 4.4
Other 8.7
FY 2008 FY 2009 FY 2010
Total Assets 41,487 41,291 40,738 Property type (in %)
Short-term borrowings 9,230 11,191 12,805 Office 28.9
Long-term borrowings 27,770 21,090 18,420 Residential 23.3
Equity 720 789 831 Retail 14.3
Source: Bloomberg
Other 3.9
Table 225: Select financial metrics Source: Investor report
FY 2008 FY 2009 FY 2010

ROA 0.1 0.1 0.0
ROE 6.1 7.8 0.2
ROC 0.1 0.2 0.0
C:I 35.1 66.6 64.7
Source: Bloomberg
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Bremer Landesbank Table 230: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: BREMLB) ROA 0.1 0.1 0.1
Snapshot ROE 2.7 4.3 3.7
Bremer Landesbank is the leading regional and ROC 0.1 0.2 0.2
C:I 73.1 69.8 46.9
commercial bank in the North West of Germany and also
Source: Bloomberg
assumes the role of Landesbank, a central bank for the
savings banks. Its two shareholders are the Norddeutsche
Cover pool overview
Landesbank with a 92.5% stake, while the State of
Bremen owns the remaining 7.5%. We set out below some of the key cover pool
characteristics:
The north western region of Germany is the recognised
Table 231: Public-sector covered bond characteristics
business area of the bank. The bank provides financial
solutions and products to its regional and national As at June
2011
customers along four different business lines: Corporate Ratings S/M/F
customers, Private customers, Financial markets and Covered Bond rating -/Aaa/AAA
Special finance. In addition to these business segments, Issuer rating -/Aa2/A
the bank fulfills its role as Landesbank by supporting the
Cover pool
empowerment of the regional economic area. Cover pool size () 4,023,600,000
Over-collateralisation () 586,000,000
The bank has three types of pfandbrief in circulation, Over-collateralisation (in %) 17
with public-sector, mortgage and shipping bonds Borrowers type (in %)
available. Local Authorities 43.9
Regional Authorities 13.6
State -
Financial performance Other 42.6
We set out below some of the key financial performance Source: Investor report
metrics:
As at June
FY 2008 FY 2009 FY 2010 2011
Net interest income 254 312 341 Ratings S/M/F
Prov. for loan losses 22 0 0 Covered Bond rating -/Aaa/AAA
NII less provisions 232 312 341 Issuer rating -/Aa2/A
Commission & fee inc. 74 53 55 Cover pool

Other operating inc. 9 51 44 Cover pool size () 1,035,800,000
Non-interest expense 160 292 211 Over-collateralisation () 258,400,000
Operating profit 28 123 229 Over-collateralisation (in %) 33.2
PBT 35 86 92 Property type (in %)

Taxes 5 38 40 Office 4.5
Net profit (loss) 29 48 48 Residential 54.0
Source: Bloomberg
Retail 2.4
Extra collateral 9.8
FY 2008 FY 2009 FY 2010
Loans 20,106 20,743 21,812
Total Assets 34,308 33,569 34,228
Deposits 9,949 10,202 10,096
Other ST borrowings 362 608 1,035
Equity 936 1,277 1,299
Source: Bloomberg
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Table 233: Ship covered bond characteristics

As at June
2011
Ratings S/M/F
Covered Bond rating n/a
Issuer rating -/Aa2/A
Cover pool
Over-collateralisation (in %) 88.3

Germany 73.1
Marshall Islands 5.3
Greece 3.0
Cyprus 2.7
Malta 2.5
Netherlands 2.3
Other 11.1
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Corealcredit Bank AG Table 236: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: COREAL) NIM 0.2 0.6 0.6
Coreralcredit is a specialist bank for commercial property ROE 1.8 0.4 0.4
ROC 0.1 0.0 0.0
finance and commercial lending, as well as related C:I 100.8 74.3 73.9
advisory services. The bank offers real estate solutions Core capital 12.1 13.5 15.3
for both German and international clients, although its Source: Bloomberg
main market remains the domestic one, as evidenced by
the 60% exposure to Germany in its public sector cover Cover pool overview
pool. We set out below some of the key cover pool
characteristics:
As well as the tried and tested method of refinancing via
Mortgage Pfandbriefe, Corealcredit also makes use of Table 237: Public-sector covered bond characteristics
securitisation and syndication. Business with the public As at June
sector has been discontinued and as such the cover pool 2011
will be run off according to the maturity of the bonds. Ratings S/M/F
Issuer rating -/-/BBB-
metrics: Overcollateralisation () 101,300,000
Table 234: Key profit & loss figures, mm Geographical split (in %)
Germany 60.0
FY 2008 FY 2009 FY 2010 Austria 17.1
Net interest income 37 72 66 Hungary 5.2
Prov. for loan losses 15 24 14 Spain 4.5
NII less provisions 22 48 52 Italy 3.9
Greece 3.2
Commission & fee inc. 12 7 8 Other 6.2
Non-interest expense 69 64 61 Source: Investor report
Operating profit -16 -3 6
PBT -12 -2 9
Taxes -25 -5 -2 As at June
Net profit (loss) 13 3 3 2011
Ratings S/M/F
Source: Bloomberg
Covered Bond rating -/-/AA-
Cover pool
FY 2008 FY 2009 FY 2010
Loans 6,901 5,632 4,968 Overcollateralisation () 590,400,000
Total Assets 15,767 11,375 9,834
Deposits 3,559 2,773 2,689 Property type (in %)
Short-term borrowings 2,732 2,094 2,070 Residential 39.0
Long-term borrowings 7,548 5,604 4,168 Office 26.3
Equity 696 696 694 Mixed Commercial 18.7
Source: Bloomberg Retail 15.3
Industrial 0.7
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DekaBank Deutsche Girozentrale Table 241: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: DEKA) NIM 0.3 0.3 0.3
Snapshot ROA -0.1 0.3 0.5
DekaBank is the German Savings Bank Finance Group's ROE -2.5 11.6 17.0
ROC -0.2 0.6 1.1
(Sparkassen Finanzgruppe) central asset manager. The C:I 77.0 48.9 51.1
German Savings Banks and Giro Association and a group Core capital 10.5 12.7 12.9
of savings banks each own 50% of DekaBank. Source: Bloomberg
With managed fund assets of about 180 billion, more Cover pool overview
than five million customer deposits and group locations We set out below some of the key cover pool
in Luxembourg and Switzerland, the DekaBank Group is characteristics:
one of the largest asset managers in Germany, with the
savings banks and Landesbanken as exclusive sales Table 242: Public-sector covered bond characteristics
partners for its products. As at June
2011
The three main lines of business are: Asset management Ratings S/M/F
this offers products based on property investments and Covered Bond rating AAA/Aaa/-
Issuer rating A/Aa2/-
property finance for private and institutional investors
and is the largest provider of open-ended property funds Cover pool
in Germany; Property finance - this division provides Cover pool size () 19,619,551,433
tailored financial solutions for professional property
investors worldwide; the Corporate& Markets business Geographical split (in %)
acts as a partner to institutional investors through lending Germany 90.7
Mixed America 3.2
and trading and sales. Great Britain 2.3
Other 3.8
We set out below some of the key financial performance Regional authorities 12.1
metrics: Local authorities 3.4
State 2.5
Other 82.0
FY 2008 FY 2009 FY 2010
Prov. for loan losses 292 352 -52 Table 243: Mortgage covered bond characteristics
NII less provisions 98 100 399 As at June
2011
Commission & fee inc. 2,706 2,280 2,443 Ratings S/M/F
Non-interest expense 2,559 2,135 2,245 Covered Bond rating AAA/Aaa/-
Operating profit -49 520 877 Issuer rating A/Aa2/-
PBT -65 498 849 Cover pool
Taxes 51 150 202 Cover pool size () 177,856,258
Net profit (loss) -81 386 648 Over-collateralisation () 132,856,258
Source: Bloomberg
Table 240: Key balance sheet figures, mm Germany 75.7
France 24.3
FY 2008 FY 2009 FY 2010
Loans 29,575 23,489 26,943 Property type (in %)
Total Assets 138,609 133,283 130,222 Office 43.7
Deposits 33,745 23,773 21,370 Retail 20.6
Short-term borrowings 21,787 14,906 18,435 Mixed commercial 8.3
Other ST borrowings 42,224 55,704 49,607 Other collateral 27.4
Long-term borrowings 37,614 35,400 36,702 Source: Investor report
Equity 3,240 3,500 4,108
Source: Bloomberg
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Deutsche Apotheker und Aertzebank Table 246: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: DAA) NIM 1.5 1.6 1.8
Snapshot ROA 0.2 -0.7 0.1
Deutsche Apotheker und Aertzebank (apoBank) was ROE 3.2 -15.6 3.2
ROC 0.3 -1.2 0.2
founded in 1902 as a cooperative bank for the academic C:I 71.9 161.0 68.4
medical professions. As a focused specialist and niche Core capital 12.8 6.2 7.6
player, the bank has a strong market position in the Source: Bloomberg
German healthcare sector; with over 100,000 members,
more than 330,000 customers and a balance sheet total of Cover pool overview
around 40 billion, apoBank is the largest primary We set out below some of the key cover pool
cooperative bank in Germany. characteristics:
apoBank provides a comprehensive range of financial Table 247: Mortgage covered bond characteristics
services and is the market leader within its customer As at June
segment in the areas of lending and payment services. 2011
Financial performance Ratings S/M/F

Covered Bond rating AAA/-/-
We set out below some of the key financial performance Issuer rating A+/A2/A+
metrics:
Cover pool
Table 244: Key profit & loss figures, mm Overcollateralisation (in %) 66.0
FY 2008 FY 2009 FY 2010
Net interest income 559 609 674 Property type (in %)
Prov. for loan losses 125 114 160 Residential 73.4
Multifamily 17.5
Mixed commercial 3.5
Commission & fee inc. 206 192 201 Other collateral 5.7
Other operating inc. 12 16 15 Source: Investor report
Operating profit 37 -279 64
PBT 68 -269 30
Taxes 9 14 -23
Net profit (loss) 60 -283 53
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 24,554 25,600 26,277
Total Assets 41,221 41,231 38,819
Deposits 15,801 16,984 18,191
Equity 2,010 1,621 1,679
Source: Bloomberg
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Deutsche Bank Table 249: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: DB) Real estate loans 52,453 58,673 132,235
Snapshot Commercial loans 94,857 88,785 141,416
Deutsche Bank is a global investment bank operating in Consumer loans 83,376 85,675 167,350
Other loans 92,986 86,988 102,259
72 countries along two main business lines: Corporate & Total Assets 2,202,423 1,500,664 1,905,630
Investment Banking (CIB) and Private Clients & Asset Deposits 395,553 344,220 533,984
Management (PCAM). Other ST borrowings 39,115 42,897 64,990
Short-term borrowings 1,337,537 725,722 859,022
The CIB segment focuses on the origination, sales and Equity 31,914 37,969 50,392
trading of capital markets products including debt, Source: Bloomberg
equity, and other securities, together with corporate
advisory, corporate lending and transaction banking. The Table 250: Select financial metrics
bank has significantly strengthened its investment FY 2008 FY 2009 FY 2010
banking franchise in 2009 and 2010, after having NIM 0.6 0.7 1.0
weathered the financial crisis of 2008 relatively better ROA -0.2 0.3 0.1
ROE -11.3 14.8 5.4
than some of its competitors. ROC -1.1 1.7 0.8
C:I 130.1 73.1 75.8
The PCAM division offers investment management Core capital 10.1 12.6 12.3
solutions to both private and institutional clients, together Source: Bloomberg
with traditional banking activities for private individuals Cover pool overview
and small and medium-sized businesses. Deutsche Bank We set out below some of the key cover pool
has a strong retail base in Europe, with Germany as its characteristics:
core market, where it holds a market-leading position.
The bank has further reinforced its domestic market Table 251: Mortgage covered bond characteristics
position with the acquisition of a stake in Postbank (52% As at June
as at March 2010, with the potential of increasing it to 2011
near full ownership by 2012). The bank also operates Ratings S/M/F
close to 2,900 retail branches across Italy, Spain, Covered Bond rating AAA/Aaa/AAA
Belgium, Portugal, Poland, India and China, of which
1,100 are Postbank branches. Cover pool
Overcollateralisation (in %) 41.9
We set out below some of the key financial performance Fixed rate loans (in %) 88.7
metrics: -denominated loans (in %) 91.3

Table 248: Key profit & loss figures, mm Residential 5.4
Multifamily 28.9
FY 2008 FY 2009 FY 2010
Office 28.7
Net interest income 12,453 12,459 15,583 Retail 17.7
Prov. for loan losses 1,076 2,630 1,274 Industrial 4.8
NII less provisions 11,377 9,829 14,309 Other 14.6
Commission & fee inc. 12,449 11,377 13,652 Geographical split (in %)
Other operating inc. 820 131 165 Germany 89.4
Non-interest expense 20,522 23,095 25,691 UK 7.8
Operating profit -5,202 4,948 5,990 France 1.3
Switzerland 1.2
PBT -5,741 5,202 3,975 Other 0.4
Taxes -1,845 244 1,645
Net profit (loss) -3,835 4,973 2,310 Source: Investor report
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:
(BBG: DGHYP)
Snapshot Table 255: Public-sector covered bond characteristics
DG Hyp was founded in 1921 and is the largest mortgage As at June
bank in the cooperative financial system. Its expertise 2011
lies in commercial real estate finance, with business Ratings S/M/F
originated via three channels: cooperative banking via Covered Bond rating AAA/-/-
Issuer rating A/-/A+
1,100 partner banks, directly with domestic investors and
developers and through participation in syndicates on Cover pool
international markets. Cover pool size () 26,717,380,000
The bank is affiliated to DZ Bank Group and, outside its Geographical split (in %)
German core market, it is represented in the USA, the Germany 63.4
Spain 14.6
UK, France and Poland.
Italy 6.2
Austria 3.7
Pfandbriefe constitute the main funding channel for the Portugal 2.4
lending operations of DG Hyp, which issues both public Other 9.7
sector and mortgage Pfandbriefe. Borrower type (in %)
Central Government 8.8
Financial performance Regional authorities 33.4
Local authorities 33.2
We set out below some of the key financial performance Other 24.6
metrics: Source: Investor report
Table 252: Key profit & loss figures, mm Table 256: Mortgage covered bond characteristics
FY 2008 FY 2009 FY 2010 As at June
Net interest income 163 164 203 2011
Prov. for loan losses 62 125 75 Ratings S/M/F
NII less provisions 102 39 128 Covered Bond rating AAA/-/-
Issuer rating A/-/A+
Other operating inc. 9 14 15 Cover pool
Non-interest expense 157 142 109 Cover pool size () 15,721,510,000
Operating profit -129 -261 -92 Over-collateralisation (in %) 14.3
PBT 0 -127 23 Property type (in %)

Taxes 0 -2 0 Residential 50.4
Net profit (loss) 0 0 0 Office 24.3
Source: Bloomberg, Annual report 2010 Retail 12.5
Industrial 0.7
Other 12.1
FY 2008 FY 2009 FY 2010 Geographical split (in %)
Loans 39,090 37,043 35,807 Germany 83.2
Total Assets 76,016 68,075 64,443 UK 4.6
Deposits 17,000 16,016 15,324 France 4.3
Equity 1,847 1,653 1,407 USA 3.1
Other 4.9
Source: Bloomberg, Annual report 2010
FY 2008 FY 2009 FY 2010
Source: Bloomberg, Annual report 2010
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Deutsche Hypo Hannover (Deutsche Table 259: Select financial metrics

Hypothekenbank) FY 2008 FY 2009 FY 2010
NIM 0.3 0.3 0.5
(BBG: DHY) ROA -0.3 -0.1 0.1
Snapshot ROE -22.8 -6.3 3.9
ROC -0.4 -0.1 0.1
Deutsche Hypo Hannover is a mortgage bank and as such C:I -56.1 64.8 40.8
it focuses on all aspects of financing and consultancy Core capital 7.9 6.8 7.7
associated with real estate. In particular, the bank Source: Bloomberg
specialises in large-scale commercial financing with
professional real estate customers and the construction of Cover pool overview
residential buildings for investment purposes in We set out below the key cover pool characteristics:
Germany, Europe and the USA.
The bank also offers public-sector lending and capital As at June
market transactions with German and foreign clients in 2011
Ratings S/M/F
western Europe, Japan, Canada and the USA. It has been Covered Bond rating -/Aaa/-
part of Nord/LB since 2008, allowing it to achieve an Issuer rating -/A1/-
even stronger position in the field of commercial real
Cover pool
estate financing. Cover pool size () 15,545,500,000
We set out below some of the key financial performance German Central Government 1.2
metrics: German Federal States 28.3
Municipalities, non-profit organizations 6.5
Foreign loans 45.7
Public sector banks 12.9
FY 2008 FY 2009 FY 2010 Public sector companies 2.4
Net interest income 105 118 173 Substitute collateral 2.9
Prov. for loan losses 31 70 79
NII less provisions 74 48 94 Ratings split (in %)
AAA 27.1
Commission & fee inc. 6 17 16 AA 58.2
Other operating inc. 19 3 2 A 14.0
Non-interest expense 48 67 82 BBB 0.8
Operating profit -156 -34 37 Source: Investor report
PBT -156 -34 36

Taxes -59 -1 5
Net profit (loss) -97 -32 31 As at June
Source: Bloomberg 2011
Ratings S/M/F
Table 258: Key balance sheet figures, mm Covered Bond rating -/Aaa/-
FY 2008 FY 2009 FY 2010 Cover pool

Loans 16,049 16,621 18,409 Cover pool size () 8,236,900,000
Total Assets 37,116 34,050 35,998 Over-collateralisation () 961,800,000
Deposits 10,307 10,121 10,041
Short-term borrowings 6,278 5,683 8,296 Geographical split (in %)
Long-term borrowings 18,844 17,354 16,397 Germany 61.7
Equity 373 655 931 USA 11.0
Source: Bloomberg
Great Britain 9.8
Netherlands 9.7
Other Europe 7.8

Residential 23.5
Office 30.8
Retail 30.5
Other 15.2
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Deutsche Postbank Table 263: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: DPB) Real estate loans 54,319 56,561 55,762
Snapshot Loans 103,995 109,402 110,019
Deutsche Postbank Group is one of Germanys major Total Assets 231,219 226,609 214,684
Deposits 117,472 131,988 136,476
financial services providers, catering to over 14 million Short-term borrowings 61,856 37,031 16,479
customers. Its focus is on retail business with private Other ST borrowings 21,687 26,414 30,315
customers; it is also active in the corporate banking Long-term borrowings 23,012 24,516 24,377
Equity 4,952 5,251 5,627
sector, while its transaction banking division performs
Source: Bloomberg
back office services for other financial services
providers.
Postbank offers its retail customers traditional banking FY 2008 FY 2009 FY 2010
NIM 1.2 1.1 1.3
products ranging from deposit banking and lending to ROA -0.4 0.0 0.1
bonds, investment funds, insurance policies and home ROE -17.4 1.5 2.5
savings contracts. In 2006 Postbank acquired the 850 ROC -1.0 0.1 0.2
C:I 123.1 91.7 78.2
largest branches from Deutsche Post AG and created a Core capital 7.2 7.6 8.1
mobile sales team of more than 4,000 consultants Source: Bloomberg
through the acquisition of BHW. It sells its products
through a networked multi-channel platform via the Cover pool overview
Internet, by telephone, in branches. We set out below some of the key cover pool characteristics:
Postbank also offers solutions for payment transactions, Table 265: Public-sector covered bond characteristics
commercial real estate finance and traditional corporate
As at June 2011
finance to SMEs, in addition to leasing, factoring and Ratings S/M/F
extensive investment management services. Covered Bond rating AAA/Aaa/AAA
Postbank has one of the most advanced banking Cover pool
transaction platforms in Europe. In 2004, Postbank Cover pool size () 2,677,200,000
opened its new Transaction Banking business segment, Over-collateralisation (in %) 37.4
offering itself as a service provider to other financial Geographical split (in %)
services companies. Germany 66.4
Netherlands 7.5
In December 2007, Postbank received its Pfandbrief Belgium 7.5
France 7.5
license and issued its first mortgage Pfandbrief in 2008, Austria 7.5
followed by a public sector one in 2009. Italy 3.7

Financial performance Central Government 33.6
Other 49.8
metrics:
FY 2008 FY 2009 FY 2010
As at June 2011
Prov. for loan losses 498 678 561 Ratings S/M/F
NII less provisions 1,958 1,723 2,187 Covered Bond rating AAA/Aaa/AAA
Commission & fee inc. 1,683 1,614 1,586 Issuer rating A/A1/A+
Non-interest expense 3,324 3,280 3,374 Cover pool
Operating profit -1,075 -407 306 Cover pool size () 8,038,400,000
PBT -1,064 -398 315 Over-collateralisation (in %) 19.7
Taxes -179 -475 176
Net profit (loss) -886 76 138 Property type (in %): Residential 100.0
Geographical split (in %): Germany 100.0
Source: Bloomberg
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Source: Investor report Table 269: Select financial metrics

Deutsche Schiffsbank FY 2008 FY 2009 FY 2010
(BBG: DSB) ROE 4.1 0.6
C:I 19.4 16.1
Deutsche Schiffsbank is one of the leading ship finance Source: Annual report 2010
banks in the world, with joint headquarters in Bremen
and Hamburg. Through its long history - the bank was Cover pool overview
founded in 1918 - it has acquired significant expertise in We set out below some of the key cover pool
the sector and currently has an extensive global client characteristics:
base. The shareholders are Commerzbank and
Bayerische Hypo- und Vereinsbank, which indirectly Table 270: Public-sector covered bond characteristics
hold 92% and 8% respectively. As at June
2011
The bank offers maritime and public finance services in Ratings S/M/F
all the main currencies for both new builds and second- Covered Bond rating n/a
Issuer rating -/A3/-
hand tonnage. Deutsche Schiffsbank also offers related
services, such as construction finance and preliminary Cover pool
equity finance. Cover pool size () 1,558,500,000
Most of the lending takes the form of long-term ship Geographical split (in %)
mortgage loans and Pfandbriefe are used to fund these Germany 80.4
Italy 5.5
activities. The ship loans are mostly granted in US Austria 5.5
dollars. Poland 2.6
Other 6.1
We set out below some of the key financial performance Central Government 11.6
metrics: Regional authorities 46.0
Other 42.4
FY 2008 FY 2009 FY 2010 Table 271: Ship covered bond characteristics

As at June
Other operating inc. 5 12 Ratings S/M/F
Non-interest expense 31 29 Covered Bond rating n/a
Operating profit 23 6 Issuer rating -/A3/-
PBT 22 6 Cover pool

Taxes 22 0 Cover pool size () 5,392,700,000
Net profit (loss) 0.3 0 Overcollateralisation () 1,447,100,000
Germany 41.3
Table 268: Key balance sheet figures, mm Greece 9.1
FY 2008 FY 2009 FY 2010 Marshall Islands 9.0
Loans 12,467 12,113 Malta 6.5
Total Assets 16,311 15,742 Cyprus 5.4
Short-term borrowings 3,927 3,123 Liberia 5.3
Equity 7,445 8,040 Hong Kong 4.5
Bahamas 4.2
Source: Annual report 2010 Other 14.8
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Dexia Kommunalbank Deutschland Table 274: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: DEXGRP) C:I 43.4 46.4
Dexia Kommunalbank Deutschland, a 100% subsidiary Source: Annual report 2010
of the Dexia Group, focuses predominantly on the public
finance line of business, both in Germany and abroad. It Cover pool overview
provides a wide range of products and services in the We set out below some of the key cover pool
management of PPP/PFI and project finance as well as characteristics:
export finance, particularly to the
infrastructure/transportation, energy and Table 275: Public-sector covered bond characteristics
telecommunications sectors. As at June
2011
The German operations form part of Dexia Credit Local Ratings S/M/F
and Dexia Kommunalbanks special role within the Issuer rating (Dexia KB) A/A3/A+
Dexia Group is the funding of the group's public finance
activities. Eligible assets are generally transferred from Cover pool
the various entities within the Dexia Group into Dexia Cover pool size () 37,601,740,000
Kommunalbank and funded via the issuance of AAA-
rated Pfandbriefe (S&P). Geographical split (in %)
Germany 66.6
Italy 8.9
While maintaining predominantly German assets in its Austria 5.4
cover pool (currently 66.6%), the bank's objective is to Spain 4.5
increase its international base of cover assets. Belgium 5.2
Other 9.4
Financial performance Borrowers type (in %)

We set out below some of the key financial performance Regional Authorities 47.6
Local Authorities 22.9
Other 21.1
FY 2008 FY 2009 FY 2010
NII less provisions 45 42
Commission & fee inc. 2 2

Other operating inc. 0 2
PBT 1 1
Taxes 0 0

FY 2008 FY 2009 FY 2010
Loans 20,855 20,893
Deposits 7,828 7,289
Short-term borrowings 309 2,686
Equity 344 532
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Duesseldorfer Hypothekenbank Cover pool overview

(BBG: DUSHYP) We set out below some of the key cover pool
DHBs main line of business is public-sector lending, Table 279: Public-sector covered bond characteristics
although property finance has gradually become the
As at June
second pillar of the institutions business model, 2011
accounting for almost 10% of the aggregate lending Ratings S/M/F
volume and roughly 20% of the banks operating income. Covered Bond rating -/-/AAA
Loans to central, regional and local authorities and to Issuer rating -/-/BBB-
public-sector banks dominate the portfolio. The bank has Cover pool
no retail business at all. Cover pool size () 7,033,000,000
The banks operations are for the most part funded Ratings split (in %)
through public-sector Pfandbriefe, with mortgage AAA 32.4
Pfandbriefe and unsecured bonds playing a much smaller AA 27.2
A 26.8
role. DHB remains predominantly owned (94%) by the BBB 2.2
Bundesverband deutscher Einlagensicherungsfonds Below BBB and NR 11.5
(Association of German Bank Deposit Protection Funds).
Germany 51.7
Financial performance Austria 15.8
We set out below some of the key financial performance Spain 10.2
Italy 9.1
metrics: Czech Republic 2.4
Other 10.9
FY 2008 FY 2009 FY 2010 Central Government 15.1
Net interest income 29 55 6 Regional authorities 35.8
Prov. for loan losses 88 9 21 Local authorities 4.9
NII less provisions -59 46 -15 Other 44.2
Non-interest expense 32 49 29 Table 280: Mortgage covered bond characteristics
Operating profit -215 2 -21
As at June
2011
PBT -215 2 -20
Taxes 0 0 0 Ratings S/M/F
Net profit (loss) -215 2 -20 Covered Bond rating n/a
Cover pool
Table 277: Key balance sheet figures, mm Cover pool size () 853,000,000
FY 2008 FY 2009 FY 2010
Loans 4,501 3,635 3,206 Property type (in %)
Total Assets 24,466 24,170 20,642 Residential 15.0
Deposits 7,589 7,358 237 Office 63.0
Short-term borrowings 8,352 8,384 9,098 Retail 16.0
Long-term borrowings 8,056 8,094 4,440 Other 6.0
Equity 307 251 251
Source: Annual report 2010 Geographical split (in %)
Germany 59.0
USA 10.3
Netherlands 2.5
FY 2008 FY 2009 FY 2010 UK 2.1
ROE 0.5 -2.8 Switzerland 1.2
C:I 75.1 -276.0 France 0.8
Core capital 7.0 17.0 Other 9.1
Source: Annual report 2010 Source: Investor report
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Eurohypo Table 283: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: EURHYP) NIM 0.5 0.5 0.6
Snapshot ROA -0.5 -0.3 -0.4
Eurohypo AG is a leading international specialist bank ROE -25.8 -22.6 -23.0
ROC -0.6 -0.4 -0.5
for real estate and public finance. The bank currently C:I 35.0 38.6
forms part of the Commerzbank Group, but is expected Source: Bloomberg
to be spun out of the institution by 2014 as a condition
for approval of State Aid. Cover pool overview
The core real estate division of the company comprises
characteristics:
portfolio and development loans for commercial and
residential projects. While the residential lending activity Table 284: Public-sector covered bond characteristics
is mostly restricted to the domestic German market, on
As at June
the commercial lending front, the bank is active in 2011
several EU jurisdictions, Russia, Turkey, the UK and the Ratings S/M/F
USA. Eurohypo targets professional real estate investors Covered Bond rating AAA/Aaa/AAA
and developers with a particular need for frequent Issuer rating A-/A3/A-
financing and in need of complex financial solutions. Cover pool
Cover pool size () 41,666,000,000
The public finance division offers conventional public Over-collateralisation () 2,713,000,000
sector lending, financing and consulting to PPP projects Geographical split (in %)
and Pfandbrief refinancing and cover pool management. Germany 67.2
Its core domestic market makes up two thirds of the Austria 5.4
USA 3.4
cover pool. Switzerland 2.8
Italy 2.7
Financial performance Spain 2.4
Other 16.2
metrics: Borrower type (in %)
Regional authorities 67.8
FY 2008 FY 2009 FY 2010 Other 8.6
Net interest income 1,146 1,288 1,338 Source: Investor report
Prov. for loan losses 858 1,174 1,407
NII less provisions 288 114 -69

Other operating inc. 58 5 -34
Operating profit -1,401 -369 -764
PBT -1,409 -515 -785

Taxes -169 387 72
Net profit (loss) -1,240 -902 -857
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 150,263 129,695 116,299
Total Assets 291,600 256,061 229,010
Deposits 36,867 34,630 32,287
Equity 4,022 3,952 3,515
Source: Bloomberg
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As at June
2011
Ratings S/M/F
Issuer rating A-/A3/A-
Cover pool
Cover pool size () 51,332,000,000

Residential 39.1
Office 25.6
Retail 22.3
Industrial 5.2
Other 7.9

Germany 68.1
UK 7.5
Spain 5.5
France 4.1
Portugal 3.4
Italy 2.4
Other 9.1
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HSH Nordbank Table 288: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: HSHN) NIM 1.0 1.1 0.9
Snapshot ROA -1.4 -0.4 -0.0
HSH Nordbank is one of the major providers of real ROE -90.0 -23.0 -0.1
ROC -2.1 -0.6 0.1
estate finance in Germany, but also offers private C:I 903.5 25.7 64.2
banking services to high net-worth clients and financing Core capital 5.1 9.5 15.4
to the regionally dominant industries of shipping, Source: Bloomberg
transportation and energy. The institution is the result of
the 2003 merger between Hamburgische Landesbank and Cover pool overview
Landesbank Schleswig-Holstein (LB Kiel). Ownership is We set out below some of the key cover pool
currently (at least until 2013) centred around the City characteristics:
State of Hamburg and the State of Schleswig-Holstein,
which own a combined 85.5% of the institution. Table 289: Public-sector covered bond characteristics
As at June
Internationally, its focus is on transportation and real 2011
estate finance and it is a major player in the sectors of Ratings S/M/F
infrastructure, aviation, renewable energy and shipping, Covered Bond rating -/Aaa/-
Issuer rating -/A3/A-
where it is the largest lender in the world.
Cover pool
In private banking, the bank focuses on wealthy private Cover pool size () 7,374,500,000
clients and foundations. The savings banks division
offers integrated solutions for business conducted by Geographical split (in %)
savings banks as well as debt and liquidity management Germany 76.6
Austria 8.3
for public-sector clients. Other 15.1
Financial performance Borrower type (in %)

metrics: Local authorities 8.4
Other 11.8
FY 2008 FY 2009 FY 2010

Prov. for loan losses 1,888 2,794 129 As at June
NII less provisions 163 -673 1,373 2011
Ratings S/M/F
Commission & fee inc. 398 303 302 Covered Bond rating -/A2/-
Other operating inc. -44 -22 -139 Issuer rating -/A3/A-
Non-interest expense 1,149 870 874
Operating profit -2,796 -548 311 Cover pool
PBT -2,617 -1,325 17 Over-collateralisation (in %) 38.7
Taxes 227 -423 -31
Net profit (loss) -2,809 -734 -3 Geographical split (in %)
Source: Bloomberg Germany 72.2
Liberia 6.6
Table 287: Key balance sheet figures, mm Marshall Islands 5.9
Other 15.3
FY 2008 FY 2009 FY 2010 Source: Investor report
Loans 115,269 105,839 98,235
Total Assets 208,370 174,484 150,930
Deposits 52,469 49,803 50,446
Equity 2,005 4,442 5,094
Source: Bloomberg
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As at June
2011
Ratings S/M/F
Cover pool

Residential 24.0
Office 46.1
Retail 12.5
Other 17.4

Germany 59.0
France 14.7
Netherlands 14.1
Other 12.3
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ING DiBa Cover pool overview

(BBG: INGDIB) characteristics:
Snapshot
ING DiBa, fully owned by the Dutch ING Groep, is the Table 295: Mortgage covered bond characteristics
biggest direct bank in Germany, with over 7mm As at June
customers. The core businesses are savings accounts, 2011
Ratings S/M/F
mortgages, securities, consumer loans and current Covered Bond rating -/Aaa/-
accounts for private clients. Issuer rating -/Aa3/-
Cover pool
The bank issued its first mortgage Pfandbrief in June Cover pool size () 837,440,000
2011. Over-collateralisation () 337,440,000
Financial performance Property type (in %)

Single family 70.5
We set out below some of the key financial performance Multifamily 5.6
metrics: Flats 23.9
FY 2008 FY 2009 FY 2010
Operating profit -657 -566
PBT 280 494

Taxes 78 149
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Equity 4,499 4,831
Source: Bloomberg

FY 2008 FY 2009 FY 2010
ROE 7.4
ROC 15.0
Source: Bloomberg
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Landesbank Baden Wrttemberg Table 298: Select financial metrics

(LBBW) FY 2008 FY 2009 FY 2010
NIM 0.5 0.7 0.6
ROA -0.5 -0.3 -0.1
(BBG: LBBW) ROE -25.5 -17.9 -3.4
Snapshot ROC -0.7 -0.5 -0.2
C:I 336.4 66.2 75.1
LBBW is a regionally-linked universal bank and together Core capital 6.9 9.8 11.4
with its regional retail banks (Baden-Wrttembergische Source: Bloomberg
Bank, Rheinland-Pfalz Bank, and Sachsen Bank), it
offers a wide spectrum of financial products throughout Cover pool overview
Germany. BW-Bank acts as a savings bank for LBBW in
the area of Stuttgart, the state capital of Baden-
characteristics:
Wrttemberg.
The bank was formed in 1999 after the merger of the
As at June
three regional banks and is now one of Germanys largest 2011
banks: LBBW is the largest bank in the southwest of Ratings S/M/F
Germany, ranking among the five largest German banks Covered Bond rating -/Aaa/AAA
and among the 50 largest credit institutions worldwide. Issuer rating -/Aa2/A+
The largest three shareholders remain the local savings Cover pool
banks (40.5%) along with the State of Baden- Cover pool size () 58,811,000,000
Wrttemberg (19.6%) and the City of Stuttgart (18.9%). Over-collateralisation () 13,166,000,000

Through its international network, LBBW is able to offer Germany 96.0
banking services to local corporate clients willing to Other 4.0
access the global markets. Borrower type (in %)
Net interest income 2,294 2,778 2,163 2011
Prov. for loan losses 883 1,527 471 Ratings S/M/F
NII less provisions 1,411 1,251 1,692 Covered Bond rating -/Aaa/-
Issuer rating -/Aa2/A+
Other operating inc. 717 386 127 Cover pool
Non-interest expense 2,576 2,900 1,963 Cover pool size () 10,004,000,000
Operating profit -2,566 -203 113 Over-collateralisation () 5,320,000,000
PBT -2,662 -1,214 -318 Property type (in %)

Taxes -550 268 30 Residential 53.4
Net profit (loss) -2,088 -1,483 -348 Office 12.8
Industrial 0.9
Other Commercial 24.4
FY 2008 FY 2009 FY 2010 Geographical split (in %)
Loans 147,329 145,729 128,592 Germany 96.7
Total Assets 447,738 411,694 374,413 USA 1.6
Deposits 103,232 105,212 87,931 Other 1.7
Short-term borrowings 130,215 109,352 79,328 Source: Investor report
Equity 6,060 10,506 9,960
Source: Bloomberg
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Landesbank Berlin Table 302: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: LBBER) Real estate loans 16,908 17,629 18,486
Snapshot Loans 46,217 47,476 45,410
Landesbank Berlin Girozentrale was founded as a bank Total Assets 145,388 143,835 131,477
Deposits 32,720 35,129 36,092
subject to public law on 1 October 1990. At the same Short-term borrowings 52,381 49,873 39,014
time, the city's savings banks that had been separated into Other ST borrowings 31,760 33,408 32,865
east and west were transferred to Landesbank Berlin and Long-term borrowings 26,532 22,698 20,769
Equity 1,962 2,712 2,722
since then have formed the joint Berliner Sparkasse. As
Source: Bloomberg
at 1 January 2006, Landesbank was transformed into a
stock corporation in accordance with the Berlin Savings
Bank Act of summer 2005. At the same time, the State of
Berlin made Landesbank Berlin AG the parent company FY 2008 FY 2009 FY 2010
NIM 0.9 0.6 0.5
of the public-law Berliner Sparkasse. Berliner Sparkasse ROA 0.0 0.2 0.2
is now operated as a branch of Landesbank Berlin AG. ROE 1.5 11.5 10.1
ROC 0.1 0.3 0.4
C:I 85.3 62.3 67.7
LBBER operates along four business segments. Retail Core capital 11.0 8.5 15.2
banking leverages off the extensive sales network of Source: Bloomberg
Berliner Sparkasse to offer traditional banking products,
investment and pension products and more complex asset Cover pool overview
management services. In Regional Corporate banking
LBBER has a leading position as a partner to SMEs and
characteristics:
corporates in its regional catchment area. The Real Estate
Financing division caters mainly to institutional and Table 304: Public-sector covered bond characteristics
professional real estate investors in Germany and
As at June
selected European jurisdictions. Finally, the Capital 2011
Markets business provides market access to institutional Ratings S/M/F
and private investors. Covered Bond rating -/Aaa/AAA
Issuer rating -/A1/AA-
We set out below some of the key financial performance Cover pool size () 4,368,621,227
metrics:
Table 301: Key profit & loss figures, mm Germany 98.2
FY 2008 FY 2009 FY 2010 Borrower type (in %)
Net interest income 1,248 861 714 Central Government 7.4
Prov. for loan losses 63 185 105 Regional authorities 51.9
NII less provisions 1,185 676 609 Local authorities 2.5
Other 38.2
PBT 9 339 317

Taxes -35 67 52
Source: Bloomberg
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As at June
2011
Ratings S/M/F
Issuer rating S/M/F -/A1/AA-
Cover pool

Germany 89.8
France 9.8
Poland 0.4

Residential 39.4
Office 32.5
Retail 12.4
Industrial 7.3
Other 8.4
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Landesbank Hessen-Thueringen Table 308: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: HESLAN) NIM 0.6 0.6 0.6
The Helaba Group is one of Germanys leading ROE -0.9 6.8 5.9
ROC -0.1 0.4 0.4
Landesbanken, with a strong domestic and international C:I 100.6 56.4 61.3
foothold. The bank is owned by the savings banks (85%) Core capital 8.3 8.8 9.6
and the states of Hesse (10%) and Thuringia (5%). Source: Bloomberg
The bank is focused on three areas: the Multinational Cover pool overview
Corporate Business division offers financial services to We set out below some of the key cover pool
corporations, banks and institutional investors. The characteristics:
Private Customers & SME Business unit provides the
Sparkassen in Hesse and Thueringen with financial Table 309: Public-sector covered bond characteristics
products and services; through the Frankfurter Sparkasse, As at June
Helaba is regions market leader in retail banking. 2011
Finally, its Public Development & Infrastructure business Ratings S/M/F
finances development programmes in the states of Hesse Covered Bond rating AAA/Aaa/AAA
Issuer rating A/Aa2/A+
and Thueringen.
Cover pool
Pfandbriefe play an important funding role for both the Cover pool size () 20,911,500,000
retail and public sector lending business.
Financial performance Central Government 3.6
We set out below some of the key financial performance Local authorities 39.1
metrics: Other 39.2

Table 306: Key profit & loss figures, mm Germany 92.6
FY 2008 FY 2009 FY 2010 Spain 6.6
Net interest income 1,047 1,029 1,017 Other 0.8
Prov. for loan losses 66 487 285 Source: Investor report
Other operating inc. 373 234 357 As at June
Non-interest expense 1,197 1,171 1,223 2011
Operating profit -72 323 388 Ratings S/M/F
PBT -54 343 398 Issuer rating A/Aa2/A+
Taxes -11 80 100
Net profit (loss) -45 324 299 Cover pool
Source: Bloomberg Cover pool size () 8,823,600,000
Table 307: Key balance sheet figures, mm Geographical split (in %)
FY 2008 FY 2009 FY 2010 Germany 95.2
Loans 89,917 86,280 86,445 Netherlands 1.7
Total Assets 184,572 169,901 166,244 Other 3.1
Deposits 41,884 41,891 40,896
Short-term borrowings 33,965 33,214 Property type (in %)
Equity 4,675 4,898 5,203 Office 47.6
Retail 25.3
Source: Bloomberg
Industrial 2.1
Other 4.3
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Landesbank Saar Table 313: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: SAARLB) NIM 0.6 0.6 0.6
Landesbank Saar (SaarLB) is the largest financial ROE -23.1 3.0 5.3
ROC -0.5 0.1 0.2
institution in the Saarland region and has positioned itself C:I 149.4 43.4 58.2
as the leading Franco-German SME bank. The Banks Core capital 8.4 11.7 10.0
core markets are the German state of Saarland and the Source: Bloomberg
neighbouring regions of France, particularly the
countrys northeast. Cover pool overview
SaarLBs activities are geared toward small and medium- characteristics:
sized enterprises, high net worth individuals and
customers seeking commercial real estate financing. Table 314: Public-sector covered bond characteristics
SaarLB also provides financing for mainly regional As at June
public-sector budgets and for renewable energy projects. 2011
As the central bank to the Saarland savings banks, Ratings S/M/F
SaarLB conducts syndicate business with the regional Covered Bond rating n/a
Issuer rating -/A1/A
savings banks. It is also a regional centre of competence
in corporate finance, securities transactions and Cover pool
international commercial business. Cover pool size () 2,479,000,000
Owners include BayernLB (49.9%), Saarland (35.2%) Borrower type (in %)

and the Sparkassenverband Saar (14.9%). Regional authorities 15.7
Other 67.8
Financial performance Source: Investor report
metrics: Table 315: Mortgage covered bond characteristics
As at June
Table 311: Key profit & loss figures, mm 2011
FY 2008 FY 2009 FY 2010 Ratings S/M/F
Issuer rating -/A1/A
Cover pool
Operating profit -71 17 29
Germany 46.9
PBT -89 14 31
France 53.1
Taxes -9 4 10
Net profit (loss) -80 10 22
Source: Bloomberg Residential 9.7
Office 38.6
Table 312: Key balance sheet figures, mm Retail 26.4
Industrial 0.8
FY 2008 FY 2009 FY 2010 Other 24.4
Real estate loans 2,787 2,934 2,986 Source: Investor report
Loans 7,360 6,995 7,392
Total Assets 20,608 18,668 19,049
Deposits 4,684 4,806 5,136
Equity 290 371 449
Source: Bloomberg
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Muenchener Hypothekenbank Table 318: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: MUNHYP) C:I 62.5 64
Mnchener Hypothekenbank is active in the public sector Source: Bloomberg
lending business as well as in mortgage lending. As an
independent mortgage bank no other large bank holds a Cover pool overview
majority share in MnchenerHyp the banks owners We set out below some of the key cover pool
primarily consist of cooperative banks, cooperative characteristics:
central banks and individual members/shareholders, often
customers of the bank itself.The bank operates along two Table 319: Public-sector covered bond characteristics
main business lines: the Private customer unit conducts As at June
its business through the Volksbanken, the 2011
Raiffeisenbanken and the regional offices of the bank. Ratings S/M/F
Issuer rating -/A1/-
The Commercial lending division is centrally managed
from the Munich office and has offices in other main Cover pool
German cities; internationally, it operates through a Cover pool size () 10,149,365,000
Overcollateralisation () 1,349,287,000
network of partners based in London, Madrid, New
York, Paris and Vienna. Geographical split (in %)
Germany 80.5
Austria 4.5
Financial performance Belgium 2.3
We set out below some of the key financial performance Switzerland 2.1
Other 10.6
metrics:
Table 316: Key profit & loss figures, mm Central Government 10.4
FY 2008 FY 2009 FY 2010 Local authorities 13.2
Net interest income 117 124 Other 24.6
Prov. for loan losses 24 18
NII less provisions 92 107 Source: Investor report
Commission & fee inc. 9 10 Table 320: Mortgage covered bond characteristics
Other operating inc. 3 2
Non-interest expense 100 100 As at June
Ratings S/M/F
PBT 13 17 Covered Bond rating -/Aaa/-
Taxes 2 5 Issuer rating -/A1/-
Cover pool
Source: Bloomberg
Cover pool size () 17,440,875,000
Overcollateralisation () 1,927,940,000
FY 2008 FY 2009 FY 2010 Germany 72.8
Loans 22,678 24,493 Switzerland 13.8
Total Assets 35,733 35,196 USA 9.4
Deposits 9,282 9,341 Other 4.0
Other ST borrowings 99 99 Property type (in %)
Long-term borrowings 178 187 Residential 76.2
Equity 772 789 Office 14.8
Industrial 0.4
Other 3.9
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Norddeutsche Landesbank Table 323: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: NDB) NIM 0.7 0.6 0.7
Snapshot ROA 0.1 -0.1 0.1
NORD/LB is the leading universal bank in North ROE 2.6 -2.7 3.8
ROC 0.1 -0.1 0.1
Germany, where it is the Landesbank for the federal C:I 85.9 60.7 65.1
states Lower Saxony and Saxony Anhalt. It also acts as Core capital 8.1 8.7 9.2
the central bank for 62 savings banks in Lower Saxony, Source: Bloomberg
Saxony-Anhalt and Mecklenburg-Western Pomerania. Cover pool overview
As a commercial bank, NordLB offers financial services
characteristics:
to private, corporate and institutional clients. The bank is
also involved in ship and aircraft financing and in Table 324: Public-sector covered bond characteristics
international infrastructure, energy and real estate
As at June
projects. 2011
Ratings S/M/F
As a central bank for the local savings bank, NordLB Covered Bond rating -/Aaa/AAA
provides a variety of services to the local savings banks Issuer rating -/Aa2/A
but also to individual ones beyond the three home states. Cover pool
Cover pool size () 25,745,000,000
As part of its development business, the bank also offers Overcollateralisation (in %) 22.6
consulting services to individual state governments. Geographical split (in %)
Germany 96.3
Other 2.5
metrics: Borrower type (in %)
Table 321: Key profit & loss figures, mm Local authorities 18.7
FY 2008 FY 2009 FY 2010 Other 53.3
Net interest income 1,500 1,366 1,650 Source: Investor report
Prov. for loan losses 266 1,042 657
NII less provisions 1,234 324 993 Table 325: Mortgage covered bond characteristics
Commission & fee inc. 284 277 351 As at June
Other operating inc. 909 936 883 2011
Non-interest expense 1,815 1,878 2,046 Ratings S/M/F
Operating profit 16 108 364 Covered Bond rating -/Aaa/-
Issuer rating -/Aa2/A
PBT 22 -92 236
Taxes -129 49 0 Cover pool
Net profit (loss) 150 -152 218 Cover pool size () 2,269,000,000
Source: Bloomberg Overcollateralisation (in %) 189.0

Table 322: Key balance sheet figures, mm Germany 87.0
FY 2008 FY 2009 FY 2010 Luxembourg 5.3
Loans 110,968 110,294 111,587 Netherlands 1.8
Deposits 61,998 61,306 60,742
Short-term borrowings 69,862 62,152 60,962 Property type (in %)
Equity 5,631 5,842 5,890 Office 26.2
Other 27.5
Source: Bloomberg
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As at June
2011
Ratings S/M/F
Issuer rating A-/Aa2/A
Cover pool

Germany 77.4
Cyprus 22.6
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pbb (Deutsche Pfandbriefbank) Table 328: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: HYPORE) Loans 219,771 194,446 206,944
pbb Deutsche Pfandbriefbank is part of the HRE group, Deposits 15,936 13,259 43,216
which is 100% owned by the German government Long-term borrowings 150,759 112,895 99,449
through the SoFFin, with the expectation that it will be Equity - 1,508 3,566 6,616
returned to the private sector by the middle of the decade. Source: Bloomberg
The bank is present in about a dozen national and
international locations and was created in mid-2009 by Table 329: Select financial metrics
the merger of Hypo Real Estate Bank AG and DEPFA FY 2008 FY 2009 FY 2010
Deutsche Pfandbriefbank AG. NIM 0.4 0.4 0.3
ROA -1.3 -0.6 -0.3
ROE -17.9
In October 2010, HRE underwent a significant balance ROC -1.6 -0.7 -0.3
sheet restructuring by transferring around 173bn C:I -117.6 124.6 298.6
(nominal value) of assets to FMW Wertmanagement; Core capital 6.2 9.4 34.7
furthermore, 124bn of SoFFin-guaranteed bonds issued Source: Bloomberg
by HRE have also been transferred to the FMS

Wertmanagement. Cover pool overview
Going forward, HRE aims to be a specialist bank for real characteristics:
estate and public finance; it will also concentrate its
activities in regional terms, focusing on Germany and Table 330: Public-sector covered bond characteristics
Europe. Depending on the particular area of activity, it As at June
will also be active in other international markets. The 2011
focus will always be on the eligibility of business for Ratings S/M/F
Covered Bond rating AA+/Aaa/AAA
Pfandbrief funding. Issuer rating BBB/A3/A-

Cover pool size () 41,993,800,000
We set out below some of the key financial performance Over-collateralisation () 4,071,200,000
metrics:
Germany 44.3
Table 327: Key profit & loss figures, mm Austria 15.4
FY 2008 FY 2009 FY 2010 Italy 10.1
Net interest income 1,633 1,396 840 France 8.5
Prov. for loan losses 1,656 2,091 445 Spain 5.7
NII less provisions -23 -695 395 Portugal 3.5
Other 12.5
Other operating inc. 120 14 100 Borrower type (in %)
Non-interest expense 811 1,397 1,056 Central Government 32.4
Operating profit -2,846 -2,213 -872 Regional authorities 40.7
PBT -5,375 -2,221 -859 Other 23.0
Taxes 86 15 51 Source: Investor report
Net profit (loss) -5,461 -2,236 -910
Source: Bloomberg
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As at June
2011
Ratings S/M/F
Covered Bond rating AA+/Aa1/AA+
Issuer rating BBB/A3/A-
Cover pool
Cover pool size () 20,961,600,000

Residential 24.0
Office 38.4
Retail 24.1
Industrial 2.4
Mixed commercial 9.0
Other 2.1

Germany 57.3
UK 10.1
France 6.9
US 5.3
Other 20.4
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SEB AG Cover pool overview

(BBG: SEBAG) We set out below some of the key cover pool
SEB AG became the German subsidiary of the Swedish Table 335: Public-sector covered bond characteristics
bank SEB in 2000. The core businesses are banking and
As at June
financial and insurance services for companies, 2011
institutions and real estate clients, as well as for retail Ratings S/M/F
customers. Covered Bond rating -/Aa1/-
Issuer rating A-/Baa1/-
In 2005 it was the first German commercial bank to be Cover pool
granted license to issue Pfandbriefe by BaFin. In 2010 Cover pool size () 5,903,200,000
Santander, the Spanish banking group, acquired the retail Over-collateralisation () 640,500,000
network from SEB, which counted 174 branches and Geographical split (in %)
catered to around 1mm customers. The existing covered Germany 91.4
bonds however remained an obligation of SEB AG, Austria 4.4
Other 4.2
which will retain its merchant banking and wealth
management operations. Borrower type (in %)
Net interest income 388 360 252 2011
NII less provisions 388 360 237 Ratings S/M/F
Covered Bond rating -/Aa1/-
Commission & fee inc. 311 257 133 Issuer rating A-/Baa1/-
Non-interest expense 502 504 252 Cover pool
Operating profit 211 89 71 Cover pool size () 4,550,000,000
PBT 171 -16 62
Taxes 64 -1 23 Geographical split (in %)
Net profit (loss) 108 -89 -80 Germany 85.9
Sweden 6.2
Other 7.9
Table 333: Key balance sheet figures, mm Property type (in %)

FY 2008 FY 2009 FY 2010 Residential 43.8
Office 25.7
Consumer loans 29,306 26,393 17,514
Retail 25.7
Loans 29,306 26,393 17,514
Other 4.8
Total Assets 60,137 52,743 49,090
Deposits 26,236 22,057 16,707 Source: Investor report
Equity 2,444 2,385 2,199

FY 2008 FY 2009 FY 2010
C:I 66.0 82.6 107.0
Core capital 8.6
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Unicredit Bank AG (HypoVereinsbank) Cover pool overview

(BBG: HVB) characteristics:
Snapshot
HypoVereinsbank (HVB) is a member of UniCredit Table 340: Public-sector covered bond characteristics
Group, which occupies the leading position in the As at June
economic area comprising Italy, Germany, Austria, and 2011
Ratings S/M/F
central and eastern Europe, with over 10,000 branches in Covered Bond rating AAA/Aaa/AAA
22 countries. Issuer rating A/A1/A+
Cover pool
HVB operates predominantly in Germany, where it offers Cover pool size () 9,197,000,000
retail and corporate banking services, as well as real Over-collateralisation () 1,673,600,000
estate financing, private banking and corporate and
investment banking services. Geographical split (in %)
Germany 97.5
Austria 2.2
We set out below some of the key financial performance Borrower type (in %)
Table 337: Key profit & loss figures, mm Local authorities 48.0
Other 18.3
FY 2008 FY 2009 FY 2010 Source: Investor report
Prov. for loan losses 760 1,601 632
NII less provisions 3,501 2,920 3,616 Table 341: Mortgage covered bond characteristics
As at June
Commission & fee inc. 2,535 2,160 1,312 2011
Other operating inc. 147 399 239 Ratings S/M/F
Non-interest expense 4,577 4,693 3,433 Covered Bond rating -/Aa1/AAA
Operating profit -561 1,580 2,361 Issuer rating A/A1/A+
PBT -595 1,266 1,882 Cover pool
Taxes 54 382 154 Cover pool size () 31,489,700,000
Net profit (loss) -671 819 1,703 Over-collateralisation () 5,519,000,000
Source: Bloomberg
Table 338: Key balance sheet figures, mm Residential 71.0
Office 12.6
FY 2008 FY 2009 FY 2010 Retail 10.1
Real estate loans 62,723 56,012 50,062 Industrial 1.9
Loans 175,518 145,919 139,351 Other 4.4
Total Assets 458,602 363,420 371,909
Deposits 114,962 96,490 108,494 Geographical split (in %)
Short-term borrowings 83,867 50,704 51,887 Germany 100.0
Other ST borrowings 171,716 130,127 136,683 Source: Investor report
Equity 23,024 23,638 23,670
Source: Bloomberg

FY 2008 FY 2009 FY 2010
ROA -0.2 0.2 0.5
ROE -3.0 3.6 7.4
ROC -0.4 0.6 1.3
C:I 94.6 53.9 53.4
Source: Bloomberg
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Westdeutsche Immobilienbank Table 344: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: WESTIB) ROE 10.9 9.0 10.2
Snapshot C:I 35.1 37.7 34.7
Westdeutsche Immobilien Bank AG (WestImmo) is a Core capital 8.4 8.2 8.0
100% subsidiary of WestLB AG and the centre of Source: Annual report 2010
competence for all domestic, foreign real estate property

financings and activities for the group. It is a domestic Cover pool overview
leader in real estate financing and also maintains a strong We set out below some of the key cover pool
presence in other European markets as well as in North characteristics:
America and in Asia.
Customers include institutional investors, global As at June
developers, property companies, real estate corporates 2011
Ratings S/M/F
and medium-sized enterprises. The bank finances a wide Covered Bond rating AAA/- /-
range of properties, including office, commercial and Issuer rating BBB+/-/-
residential properties, shopping centres, hotels and
industrial or public buildings. Cover pool
In addition to financing property, at both individual
project or at a portfolio level, the bank also offers Geographical split (in %)
Germany 97.4
customers a range of additional products such as real
estate joint ventures, syndications and interest and Borrower type (in %)
exchange derivatives. Central Government 2.6
We set out below some of the key financial performance Source: Investor report
metrics:
Table 342: Key profit & loss figures, mm As at June
2011
FY 2008 FY 2009 FY 2010
Ratings S/M/F
Covered Bond rating AAA/- /-
Issuer rating BBB+/-/-
Cover pool
Cover pool size () 10,365,900,000
Germany 53.0
PBT 121 85 99
USA 10.8
Taxes 13 3 4
UK 10.6
Other 25.6
Table 343: Key balance sheet figures, mm Residential 32.3
Office 37.3
FY 2008 FY 2009 FY 2010 Retail 15.2
Loans 14,716 16,732 20,080 Other 15.2
Total Assets 26,171 26,889 25,888 Source: Investor report
Deposits 5,756 6,864 6,954
Equity 861 906 855
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WestLB Table 348: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: WESTLB) Real estate loans 7,433 10,808
Snapshot Commercial loans 108,691 93,078 75,713
WestLB AG is a commercial bank with roots in North Consumer loans 3,542 3,819 6,433
Total Assets 288,122 242,311 191,523
Rhine-Westphalia, Germanys largest federal state. It is Deposits 29,722 27,643 23,756
one of Germanys leading financial services providers Short-term borrowings 35,619 36,213 17,873
and the central institution for the savings banks in North Other ST borrowings 73,604 53,697 51,331
Rhine-Westphalia and Brandenburg. Equity 3,821 3,733 4,107
Source: Bloomberg
WestLB works in close partnership with the savings
banks, offering a wide range of products and services but Table 349: Select financial metrics
focusing on lending, structured finance, capital market,
FY 2008 FY 2009 FY 2010
asset management, transaction services and real estate NIM 0.5 0.9 0.8
finance. ROA 0.0 -0.2 -0.1
ROE 0.4 -14.1 -6.1
ROC 0.0 -0.4 -0.2
WestLB is owned by the two savings banks associations C:I 67.5 63.3 82.9
of North Rhine-Westphalia (over 25% stake each), the Core capital 6.4 8.2 11.4
State of North Rhine-Westphalia (18%) and Source: Bloomberg
NRW.BANK (31%), which in turn is owned by the State
of NRW (99%) and two regional associations. In 2008, Cover pool overview
WestLBs owners (NRW Bank, local savings bank We set out below some of the key cover pool
association and the States) approved a risk shield for the characteristics:
Bank. The European authorities have approved this state
aid, on condition that the institution must reduce its Table 350: Public-sector covered bond characteristics
balance sheet and its RWA by 50% respectively. As at June
2011
Financial performance Ratings S/M/F
We set out below some of the key financial performance Issuer rating -/A3/A-
metrics:
Cover pool
Table 347: Key profit & loss figures, mm Cover pool size () 10,078,789,000
FY 2008 FY 2009 FY 2010
Net interest income 1,260 1,919 1,464 Geographical split (in %)
Prov. for loan losses 479 796 242 Germany 80.3
NII less provisions 781 1,123 1,222 Switzerland 5.4
Austria 3.9
Commission & fee inc. 530 512 514 Spain 3.6
Other operating inc. 402 184 775 Other 6.8
Operating profit 167 24 105 Borrower type (in %)
PBT 26 -503 -133 Regional authorities 44.1
Taxes 8 28 107 Local authorities 39.6
Net profit (loss) 18 -531 -240 Other 11.8
Source: Bloomberg
Ratings split (in %)
AAA 39.8
AA 55.5
A 4.3
Below BBB and NR 0.4
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WL Bank Cover pool overview

(BBG: WLBANK) We set out below some of the key cover pool
WL Bank AG is a Pfandbriefbank in the Volksbanken Table 354: Public-sector covered bond characteristics
Raiffeisenbanken cooperative financial services group.
As at June
WL BANK is the largest subsidiary of WGZ Bank, the 2011
cooperative central bank of the Volksbanken and Ratings S/M/F
Raiffeisenbanken (the commercial and agricultural credit Covered Bond rating AAA/-/-
cooperatives) in the Rhineland and in Westphalia. Issuer rating A+/-/A+
Cover pool
As a Pfandbrief bank, WL Bank focuses on public-sector Cover pool size () 23,751,800,000
and real estate lending, both for commercial and Over-collateralisation () 2,293,700,000
residential use. Borrower type (in %)
metrics:
Germany 82.8
Spain 4.2
FY 2008 FY 2009 FY 2010 Austria 4.0
Net interest income 112 106 124 Other 9.0
Prov. for loan losses 34 0 0 Source: Investor report
Other operating inc. 3 3 4 As at June
Non-interest expense 52 59 104 2011
Operating profit 30 51 25 Ratings S/M/F
PBT 30 51 25 Issuer rating A+/-/A+
Taxes 10 25 13
Net profit (loss) 20 26 11 Cover pool
Source: Bloomberg Cover pool size () 10,267,800,000
FY 2008 FY 2009 FY 2010 Residential 85.6
Consumer loans 11,787 13,678 15,082 Office 5.6
Loans 20,656 23,785 26,303 Retail 6.0
Equity 335 356 361
Source: Bloomberg

FY 2008 FY 2009 FY 2010
NIM 0.3 0.3 0.3
ROA 0.0 0.1 0.0
ROE 6.0 7.5 3.1
ROC 0.1 0.1 0.0
C:I 36.5 44.1 76.1
Source: Bloomberg
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Greek Covered Bonds
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Greek Covered Bonds

We set out in Table 356 a snapshot of key covered bond attributes in Greece.
Table 356: Greek Covered Bond legislative overview

Framework
Legislative Framework Article 91 Law 3601/2007 and Act 2598/2.11.2007 of the Bank of Greece
Types of covered bonds Only one benchmark distributed bond (ETEGA 3.875 Jul 2016)
Structure of Issuer Direct issuance? 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 by the SPE, or
vice versa)
Comments (if any) ETEGA bonds are issued directly from NBG's balance sheet
Bankruptcy remoteness Covered bond holders protected by preferential claim by law, with no
automatic acceleration on issuer insolvency. Post issuer insolvency, breach of
the Asset Percentage test (liabilities < 95% assets) results in acceleration of
the programme
Dual claim Yes. Should the cover pool be insufficient to satisfy CB bondholders, a claim
pari passu to other unsecured bondholders within the insolvency estate
exists.
Bond format Fixed rate, soft bullet, with the ability to extend the maturity by up to 12
months at the discretion of the issuer
Supervision Bank of Greece
Cover pool
Eligible assets Mortgage Eligible mortgage collateral includes domestic residential mortgages,
domestic commercial mortgages and ship loans
LTV caps A combination of "Soft" and "Hard". Maximum LTVs for domestic residential
mortgages are 80%, for domestic commercial mortgages of 60%; and ship
loans of 60% LTV. 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.
Public Sector Pools can also include exposures to public sector entities or credit institutions
from the EEA, CH, US, Canada, Australia, New Zealand, OECD as well as
multi-national development banks
Non-performing collateral NPLs greater than 90d must be removed from the cover pool
Substitution Assets Substitute collateral can also be included in the pool to meet over-
collateralisation requirements
Hedging Natural matching preferred but derivatives allowed to hedge risk
Valuation Individual market values. The value of mortgaged property must also be
checked by an independent valuer on a periodic basis (3 years for residential,
annually for commercial)
Requirements
ALM matching Asset coverage Prior to insolvency, the issuer must comply with the nominal value test which
is set at Assets > 95% of Liabilities, or an asset percentage determined by the
rating agencies
Interest coverage Yes. Interest income must exceed interest expense over a 12 month period
Other (if any) NPV test including a parallel 200bp yield curve shift.
Consequence of breach Programme freeze (no issuance nor asset removal). Other regulatory actions
by the CBI
Monitoring An independent Cover Pool Monitor supervises compliance with the
legislative and regulatory provisions
Other
Compliance with EU legislation UCITS and CRD compliant
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Greek macro backdrop
Figure 79: CB Issuance, mm Figure 80: CB outstanding, mm

20,000 25,000
Mortgage 20,000 Mortgage

15,000
15,000
10,000
10,000
5,000
5,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Source: ECBC, latest data available Source: ECBC, latest data available
Figure 81: Greek real GDP growth, y-on-y, % Figure 82: Greek unemployment level, %
6 16
4 14
2 12
0 10
-2 8
-4 6
-6 4
-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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 83: Greek CPI and base rate, % Figure 84: 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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10

Source: Bloomberg
Figure 85: Greek house price growth, % Figure 86: Greek newly built properties, #
25% House price growth (Urban areas) House price growth (Athens) 6,000 Newly built properties
20% 5,000
15%
4,000
10%
3,000
5%
0% 2,000
-5% 1,000
-10% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Jun-00
Jun-01
Jun-02
Jun-03
Jun-04
Jun-05
Jun-06
Jun-07
Jun-08
Jun-09
Jun-10
Source: Bank of Greece Source: Bloomberg
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National Bank of Greece Table 359: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: ETEGA) NIM 4.6 4.3 4.1 3.9
Snapshot ROA 1.8 1.5 0.8 0.3
NBG Group is the oldest commercial bank and largest ROE 18.9 18.7 10.2 3.7
ROC 8.0 6.4 3.1 1.1
financial services group in Greece, with a 25% market C:I 51.4 49.4 49.8 55.0
share in retail banking and 26% share in deposits from its Core capital 9.2 10.0 11.3 13.1
network of 570 branches. As well as its core domestic Source: Bloomberg
market, the institution also focuses on providing banking
services in southeastern Europe and the eastern Cover pool overview
Mediterranean. We set out below some of the key cover pool
characteristics:
The Group provides a wide range of financial products to
private and corporate clients, including investment Table 360: Covered bond characteristics
banking, brokerage, insurance, asset management and As at 30 June
leasing & factoring. It is also present in 12 other 2011
countries through 9 banks and a network of 65 other Covered Bond rating S/M/F -/Ba3/BB-
companies. NBG has a presence in the following Issuer rating S/M/F CCC/B3/B-
countries through acquisitions: Bulgaria, FYROM, Number of loans 45,504
Romania, Turkey and Serbia. Avg loan () 72,073
WA original LTV (in %) 65.0

Financial performance WA indexed LTV (in %) 59.3
We set out below some of the key financial performance Remaining tenor (yrs) 20.6
metrics:
Fixed (in %) 33.9
Table 357: Key profit & loss figures, mm Second homes (in %) 4.4
Self employed (in %) 32.7
FY 2007 FY 2008 FY 2009 FY 2010
Net interest income 3,289 3,591 3,940 4,148 Source: Investor Report
Provisions for loan
losses 330 520 1,295 1,450 Table 361: Collateral pool LTV breakdown
NII less provisions 2,959 3,071 2,645 2,698
Current LTV ranges As at 30 June
Comm.& fee income 859 841 742 710 2011
Other operating income 256 147 22 20 0-<=40% 14.9
Non-interest expense 2,430 2,491 2,585 2,653 >40%-<=50% 10.6
Operating profit (loss) 1,886 1,966 1,252 636 >50%-<=60% 10.9
>60%-<=70% 13.6
PBT 1,903 1,937 1,252 638 >70%-<=80% 24.7
Taxes 259 352 289 197 >80% 25.4
Net profit (loss) 1,625 1,546 923 406 Source: Investor Report
Source: Bloomberg
Table 362: Collateral pool indexed LTV breakdown
Table 358: Key balance sheet figures, mm Current LTV ranges As at 30 June
FY 2007 FY 2008 FY 2009 FY 2010 2011
Loans 54,693 73,076 74,753 77,262 0-<=40% 23.6
Total Assets 90,386 101,839 113,394 120,745 >40%-<=50% 11.8
Deposits 60,530 67,657 71,194 68,010 >50%-<=60% 12.5
Short-term borrowings 10,374 14,840 21,643 29,899 >60%-<=70% 14.1
Other ST borrowings 6,403 6,475 7,187 7,122 >70%-<=80% 15.0
Long-term borrowings 4,013 3,737 3,085 4,432 >80% 22.9
Equity 8,542 8,267 9,828 10,905 Source: Investor Report
Source: Bloomberg
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Hungarian Covered Bonds
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Hungarian Covered Bonds

We set out in Table 363 a snapshot of key covered bond attributes in Hungary.
Table 363: Hungarian Covered Bond legislative overview

Framework
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.
Types of covered bonds Only one, mortgage covered bonds.
Structure of Issuer Direct issuance? Yes.
Comments (if any) Only mortgage banks are allowed to issue covered bonds, with the collateral being kept on their balance
sheet.
Bankruptcy remoteness Assets backing the bonds are recorded on a register.
Dual claim Yes
Bond format Fixed rate, bullet.
Supervision Hungarian Financial Supervisory Authority.
Cover pool
Eligible assets Mortgage Mortgages secured by properties located in the EEA.
LTV caps Max LTV for residential/commercial/agricultural mortgages max is 70/60/60% respectively. Currently pools
only contain residential mortgages.
Public Sector n/a
Non-performing collateral Issuer has to repurchase loans in arrears by more than 90 days.
Substitution Assets Substitute collateral must not exceed 20% of the cover assets and must consist of liquid assets as specified
in the Mortgage Bank Act.
Hedging Derivatives are allowed to hedge interest and exchange rate risk.
Valuation Individual market values. Decree 25/1997 and Decree 54/1997 request the application of the principle of
carefulness in valuing the property.
Requirements
ALM matching Asset coverage Assets must be greater than liabilities at all times.
Interest coverage Interest received must exceed that due on the bonds at any time.
Other (if any)
Consequence of breach Alternative administration.
Monitoring Trustee/cover pool monitor.
Other
Compliance with EU
legislation UCITS and CRD compliant.
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Hungarian covered bond & macro backdrop

3,500 8,000
3,000 7,000
Mortgage Mortgage
2,500 6,000
5,000
2,000
4,000
1,500
3,000
1,000 2,000
500 1,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 89: Hungary real GDP growth, y-on-y, % Figure 90: Hungary unemployment level, %
6 12
4
2 10
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 91: Hungary CPI and base rate, % Figure 92: 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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10

Source: Bloomberg
Figure 93: Hungary house price growth, % Figure 94: Hungary building permits, sum of previous 12mths, #
30% House price growth 30,000 Building permits (of previo us 12mths)
25%
25,000
20%
15% 20,000
10%
15,000
5%
0% 10,000
-5%
5,000
-10%
-15% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Source: FHB Bank Source: Hungarian Central Statistical Office
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FHB Bank Table 366: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: FHBHU) NIM 2.7 2.8 3.4
FHB Land Credit and Mortgage Bank was established in ROE 18.5 11.2 16.5
ROC 1.1 0.9 1.5
1997 by four banks and the Government with the aim of C:I 55.8 41.1 60.2
providing long-term financing, creating opportunities for Source: Bloomberg
long-term investment and promoting the development of
the real estate market. Cover pool overview
The government substantially reduced its stake in 2003
characteristics:
and in 2004 the banks shares started trading on the
Budapest Stock Exchange. The group has since been Table 367: Covered bond characteristics
adding more specialised financial products, such as life
As at March 2011
annuity, consulting, real estate agency and valuation Ratings S/M/F
services to its range of traditional banking services. Covered Bond rating -/Baa3/-
Issuer rating -/Ba1/-
In September 2010, FHB bought Allianz Bank from
Cover pool
Allianz Hungary, increasing the range of banking and Cover pool size (HUF) 491,138,915,107
insurance products available to FHB's customer base. In Outstanding liabilities (HUF) 384,003,167,000
2011 Allianz Bank eventually merged into FHB Bank. Current OC (in %) 27.9
Committed OC (in %) 13.00
Financial performance Residential mortgages (in %) 98.0

Commercial mortgages (in %) 2.0
metrics: Residential pool
Table 364: Key profit & loss figures, HUFmm Average loan (HUF) 3,903,908
FY 2008 FY 2009 FY 2010 WA remaining term (mths) 168
Net interest income 17,152 19,532 27,253 WA current LTV (in %) 49.9
Provisions for loan Floating rate loans (in %) 57.6
losses 805 3,951 5,127 Highest regional exposure (in %) Budapest - 25.3
NII less provisions 16,347 15,580 22,126 Loans in arrears >2mths (in %) 1.9
Comm.& fee income 2,467 1,414 2,168 LTV breakdown (in %)

Other operating <=40 31.0
income 1,975 798 10,272 40-50 14.0
Non-interest expense 14,157 10,830 21,809 50-60 16.0
Operating profit 10,057 6,963 8,918 60-70 37.0
>70 2.0
PBT 10,057 8,251 8,918 Source: Moodys
Taxes 3,375 1,681 -2,279
Net profit (loss) 6,683 6,544 11,198
Source: Bloomberg
Table 365: Key balance sheet figures, HUFmm

FY 2008 FY 2009 FY 2010
Loans 613,747 636,750 647,354
Total Assets 689,512 824,978 873,520
Deposits
Other short-term
borrowings 32,875 n/a 59,691
Equity 40,187 76,501 59,062
Source: Bloomberg
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OTP Bank Table 369: Key balance sheet figures, HUFmm

FY 2008 FY 2009 FY 2010
(BBG: OTPHB) Commercial Loans 2,535,027 2,466,413 2,598,277
Snapshot Consumer Loans 4,256,443 4,152,251 4,486,875
The OTP Group comprises several subsidiaries offering a Other Loans 257,911 288,430 417,179
Loans 6,778,701 6,412,716 6,741,059
wide range of financial products. OTP Bank offers more Total Assets 9,367,724 9,755,132 9,780,946
traditional banking services, while specialised services Deposits 5,258,167 5,688,887 5,821,489
such as car leasing, investment funds and insurance Short-term borrowings 1,048,526 1,199,725 1,098,507
Other short-term
(using strategic collaboration with French insurance borrowings 187,532 260,011 385,744
company, Groupama, which owns an 8% stake in the Long-term borrowings 1,811,688 1,412,674 1,166,277
group) are offered by other group's subsidiaries. Equity 1,048,971 1,191,606 1,308,929
Source: Bloomberg
OTPBank was established in 1949 as a state-owned
institution. It first became a public company in 1990 but Table 370: Select financial metrics
remained government-owned until 1995, when its FY 2008 FY 2009 FY 2010
privatisation began. NIM 5.5 6.7 6.6
ROA 2.7 1.6 1.2
ROE 24.9 13.6 9.5
After becoming private, OTP started expanding its ROC 6.9 3.9 3.2
operations by entering neighbouring markets in the C:I 35.6 27.7 30.5
Central and Eastern Europe region through a number of
Source: Bloomberg
acquisitions and has become a key player in the region.
Outside of its domestic market, it has operations in
Bulgaria, Croatia, Romania, Serbia, Slovakia, Ukraine, Cover pool overview
Montenegro and Russia. We set out below some of the key cover pool
characteristics:
metrics: As at March 2011
Ratings S/M/F
Covered Bond rating BBB-/Baa3/-
Table 368: Key profit & loss figures, HUFmm Issuer rating -/Baa1/-
FY 2008 FY 2009 FY 2010
Cover pool
Cover pool size (HUF) 1,426,375,124,748
Provisions for loan
Outstanding liabilities (HUF) 1,246,124,684,536
losses 111,449 249,278 273,024
Current OC (in %) 14.5
Comm.& fee income 181,765 170,335 177,252
Average loan (HUF) 4,716,002
PBT 274,367 170,482 140,183
Floating rate loans (in %) 67.0
Taxes 33,299 20,276 22,057
Highest regional exposure (in %) Budapest - 24.8
Net profit (loss) 240,472 151,045 117,930
Loans in arrears >2mths (in %) 3.6
Source: Bloomberg
<=40 22.1
40-50 15.1
50-60 13.8
60-70 12.2
70-80 11.0
>80 25.8
Source: Moodys
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Irish Covered Bonds
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Irish Covered Bonds

We set out in Table 372 a snapshot of key covered bond attributes in Ireland.
Table 372: Irish Covered Bond legislative overview

Framework
Legislative Framework Asset Covered Securities (ACS) Act 2001 (as amended), along with regulations from the Central Bank of
Ireland
Types of covered bonds Three. Mortgage ACS; Commercial Mortgage ACS and Public Sector ACS
Structure of Issuer Direct issuance? No
Comments (if any) ACS are issued by Designated Credit Institutions (DCIs), special purpose subsidiaries with restricted
business activities of the main Irish lenders. They are authorised by the Central Bank of Ireland. Typically
called a Mortgage or ACS Bank
Bankruptcy remoteness The claim and cashflows of an ACS are unaffected by the actual or potential insolvency of the DCI or its
parent. In either case, the securities and hedges continue, and do not accelerate. First defense is for the
NTMA to find a new sponsor following issuer insolvency
Dual claim Yes. Should the cover pool be insufficient to satisfy ACS bondholders, a claim pari passu to other
unsecured bondholders within the ACS Bank exists. Should the resources of the ACS Bank be
insufficient, we believe the unlimited liability legal status of the ACS subsidiary will allow the upstreaming
of claims to the ultimate parent bank
Bond format Typically, fixed rate, soft bullet, with the ability to extend maturities by up to 12 months at the discretion of
the issuer
Supervision IFSRA, and CBI
Cover pool
Eligible assets Mortgage 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
portion of the asset). The maximum LTV for residential mortgages is 75%, and for commercial mortgages
60%. The cover pool also benefits from the portion of the loan which is above the maximum threshold (i.e.
loans do not need to be removed if they breach the maximum threshold)
Public Sector Public sector assets are limited to the same jurisdictions as for mortgage assets above, along with debt
from highly-rated multilateral development banks and international organisations
Substitution Assets Substitution assets can also be kept in the cover pool (capped at 15%). Substitution assets include
deposits with eligible financial institutions and tier 1 assets (as defined by the ECB for repo purposes)
Hedging Used to minimise interest rate, currency, credit or other risks. Entered on the asset register and rank pari
passu with ACS holders. Do not accelerate on issuer insolvency
Valuation Prudent market valuation taken on entry into the cover pool for residential assets, and then annually
thereafter. Where house prices are declining according to the Permanent/TSB index, the indexed
valuation should be used. If prices increase, 85% 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
Other comments (if any) DCIs can also keep assets on their balance sheets which are not registered in the cover pool. DCIs can
issue more than one type of ACS (mortgage-backed, public sector backed etc). Within the DCI,
segregation of assets is based on pool-type and must be recorded in separate registers.
Requirements
ALM matching Asset coverage Mandatory 103% over-collateralisation for residential and public sector mortgage assets. For commercial
assets, minimum over-collateralisation of 10% is required. Public commitment by both major institutions to
maintain at 105% for mortgage assets now binding
Interest coverage Yes. Interest income must exceed interest expense over a 12 month period. NPV of changes on the
balance sheet of an ACS issuer from a 100bp shift/twist in the yield curve must not exceed 10% of the
Issuer's own funds
Other (if any) Duration of the cover assets must not be less than that of issued securities. For public-sector backed
bonds, the duration of the assets can be no greater than 3 years longer than the outstanding bonds
Consequence of breach Programme freeze (no issuance nor asset removal). Other regulatory actions by the CBI
Monitoring An independent Cover Asset Monitor supervises compliance with the ACS Acts provisions
Other
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Irish covered bond & macro backdrop
Figure 95: Irish CB issuance, mm Figure 96: Irish CB outstanding, mm

25,000 100,000
Mortgage Public Sector Mortgage Public Sector

20,000 80,000
15,000 60,000
10,000 40,000
5,000 20,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 97: Irish real GDP growth, y-on-y, % Figure 98: Irish unemployment level, %
14 Unemployment
10 12
10
5
8
0 6
4
-5
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Source: Bloomberg
Source: Source: Bloomberg
Figure 99: Irish CPI and base rate, % Figure 100: Irish consumer confidence, balance of survey
6
4 120
2 100
0 80
-2 60
-4 40
-6
20
-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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Source: Bloomberg
Source: Bloomberg
Figure 101: Irish house price growth, % Figure 102: Irish residential planning permissions, #
25 House price growth 8,000 Planning permissions
20 7,000
15 6,000
10
5 5,000
0 4,000
-5 3,000
-10 2,000
-15
-20 1,000
-25 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Source: CSO Source: CSO
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AIB Mortgage Bank (AIBMB) Table 374: Key balance sheet figures, mm
FY 2010
(BBG: AIB) Total Assets 36,983
Snapshot Deposits 27,333
AIB Mortgage Bank (AIBMB) is a DCI under the Irish Short-term borrowings
Other ST borrowings
ACS legislation, and a wholly owned subsidiary of Long-term borrowings
Allied Irish Banks Plc (AIB'). AIBMBs principal Equity 423
purpose is to issue ACS backed by mortgage loans on Source: Annual Report
residential property. These loans may be made directly
by the bank itself (AIB transferred its Irish branch- Cover pool overview
originated residential mortgage business to AIBMB in We set out below some of the key cover pool
2006), sourced from other subsidiaries of AIB Group or characteristics:
third parties.
Most of the banks activities are outsourced to AIB under As at 30 June 2011
an outsourcing and agency agreement, with AIB Ratings
originating residential mortgage loans through its branch Covered bond rating A/Baa3/A
network, servicing the mortgage loans, providing Parent rating BB/Ba2/BBB
Fitch D:factor 70.0%
treasury services and a range of other support services. Moody's TPI Very Improbable
The bank's activities are financed through the issuance of
MCS, a mortgage-backed promissory note facility with Cover pool
Mortgage balance (bn) 20.5
the central bank and Irish FSA, and the balance by AIB Bonds outstanding (bn) 13.3
plc. OC ACS (%) 26.3
OC nominal (%) 54.9
AIB acquired EBS Building Society (now called EBS # mortgages 132,052
Limited) in July 2011, and remains majority owned by Avg loan balance 155,411
the Irish government. WA Unindexed LTV (%) 67.9
WA Indexed LTV (%) 91.8
Indexed LTV>80% 58.0
Financial performance Indexed LTV>90% 49.0
We set out below some of the key financial performance Indexed LTV>100% 38.0
metrics: Asset seasoning 54.3
Table 373: Key profit & loss figures, mm Owner occupied 74.0
Second homes 1.0
FY 2010 BTL 25.0
Net interest income 215 Dublin 36.0
Provisions for loan Other 64.0
losses 344
NII less provisions -129
Comm.& fee income
Other operating income 0
Non-interest expense 144
Operating profit (loss) 72
PBT -316
Taxes -37
Net profit (loss) 277
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Bank of Ireland Mortgage Bank Table 377: Key balance sheet figures, mm
(BoIMB) FY 2008 FY 2009 FY 2010
Loans 19,346 20,505 20,830
(BBG: BKIR) Total Assets 27,475 36,161 36,276
Snapshot Deposits 0 0
Bank of Ireland Mortgage Bank (BoIMB) was Other ST borrowings 26 19 118
established in 2004 as a DCI under the Irish ACS Long-term borrowings 7,224 13,683 12,725
legislation, and is a wholly-owned subsidiary of the Equity 763 794 718
Governor & Company of the Bank of Ireland (BoI). In
June 2004, BoI transferred its Irish residential mortgage
business and substantially all of its Irish residential
mortgage loans to BoIMB, whose main activities are the FY 2009 FY 2010
NIM 1.7 0.6
issuance of residential MCS. Portfolios of mortgages can ROA 0.1 - 0.0
be directly originated, acquired from other parts of the ROE 4.0 - 7.6
BoI group or third parties. ROC 0.1
C:I 13.8 13.3
Core capital
As for AIB, most of the banks activities are outsourced
to BoI under an outsourcing and agency agreement, with
BoI originating residential mortgage loans through its Cover pool overview
branch network, servicing the mortgage loans, providing
treasury services and a range of other support services.
characteristics:
The bank's activities are financed through the issuance of
MCS, a mortgage-backed promissory note facility with Table 379: Covered bond characteristics
the central bank and Irish FSA, and the balance by BoI
As at 30 June 2011
plc.
Ratings
Covered bond rating -/Baa3/-
Bank of Ireland remains in the private sector. Parent rating BB+/Ba2/BBB
Fitch D:factor n/a
Moody's TPI Very Improbable
metrics: Mortgage balance (bn) 15,751,754,017
# mortgages 110,976
Table 376: Key profit & loss figures, mm Avg loan balance 141,938
FY 2008 FY 2009 FY 2010 WA Current LTV 64.5
Net interest income 188 195 199 WA Indexed LTV 88.9
Provisions for loan Indexed LTV>80% 61.7
losses 0 0 153 Indexed LTV>90% 52.0
NII less provisions 188 195 46 Indexed LTV>100% 40.0
Comm.& fee income 0 0 0 Asset seasoning 61.5

Non-interest expense 104 114 14 Fixed rate loans (%) 19.8
Operating profit (loss) 84 81 63 Interest only loans (%) 16.0
Investment properties (%) 22.8
PBT 87 35 -63
Taxes 11 4 -8 Dublin 31.6
Net profit (loss) 76 31 -55 Other 68.4
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Depfa ACS Bank (DACS) Cover pool overview

(BBG: DEPFA) We set out below some of the key cover pool
Depfa ACS Bank (DACS) is a subsidiary of Depfa Table 382: Covered bond characteristics
Bank plc, which in turn is a subsidiary of Deutsche
As at 30 June 2011
Pfandbriefbank AG (formed by the merger of Hypo Real
Ratings
Estate Bank AG and Depfa Deutsche Pfandbriefbank Covered bond rating AA/Aa3/AAA
AG). DACS current business model focuses on the Issuer rating BBB/Baa3/BBB+
financing of public sector assets with ACS. It is the Fitch D:factor 9.5%
Moody's TPI Probable-High
largest ACS issuer, with close to 30bn of bonds
outstanding currently (as at June 2011). The cover pool Collateral pool
backing the remaining bonds was significantly Pool (bn) 32.4
Bonds (bn) 29.6
restructured in October 2010, as part of the broader HRE
transfer of assets to FMS-Wertmanagement (FMS-WM). Borrower classification
PSE 67.5
Local Govt 16.8
Post the merger, the combined Deutsche Pfandbriefbank Sovereign 11.8
is repositioning itself to be a bank specialising in Other 3.9
European real estate and public sector finance, funded
predominantly by the issuance of pfandbrief. Based on Ratings
AAA 40.1
this, we expect DACS to continue in its solvent run-off AA 37.5
for a number of years. A 21.9
BBB 0.5
Financial performance Largest jurisdictions
We set out below some of the key financial performance Germany 28.4
USA 18.0
metrics: Spain 11.6
Italy 6.1
Table 380: Key profit & loss figures, mm France 5.6
FY 2010 Non-EEA 22.9
Net interest income 252
Provisions for loan
losses 2 Source: Investor Report
NII less provisions 250
Comm.& fee income -310

Other operating income -422
Non-interest expense 198
Operating profit (loss) -680
PBT -680
Taxes
Net profit (loss)

FY 2010
Loans 99,000
Total Assets 144,000
Deposits
Other ST borrowings
Long-term borrowings
Equity 4,000
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EBS Mortgage Finance (EBS)

(BBG: EBSBLD)
Snapshot
EBS Mortgage Finance (EBS MF) was established in
November 2008 as a DCI under the Irish ACS
legislation, and a wholly owned subsidiary of the EBS
Building Society. EBS MFs main purpose is to issue
MCS backed by mortgage loans on residential property
under a 6bn ACS programme.
EBS was one of Irelands two building societies (the 6th

largest credit institution in Ireland), with close to one
hundred outlets across the Irish Republic. EBS
traditionally focused its lending business on public sector
workers in Ireland. It accounts for approximately 8% of
the retail savings market.
AIB acquired EBS Building Society (now called EBS

Limited) in July 2011. The newly combined entity
remains majority owned by the Irish government.
metrics for EBS:

As at 30 June 2011
Ratings
Covered bond rating -/Baa3/A-
Issuer rating n/a
Moody's TPI Improbable
Cover pool
Mortgage balance 3,943,112,141
Bonds outstanding 2,350,000,000
OC ACS (%) 43.3
OC nominal (%) 70.2
# mortgages 41,846
Avg loan balance 94,229
WA Original LTV 67.6
WA Indexed LTV 81.0
Asset seasoning 70.0

Fixed rate 17.0
Dublin 39.0
Other 61.0
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Italian Covered Bonds
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Italian Covered Bonds

We set out in Table 384 a snapshot of key covered bond attributes in Italy.
Table 384: Italian Covered Bond legislative overview

Framework
Legislative Framework Law 80 of May 2005, amending Art 7 & 7-bis of Law 130/1999. Also Ministry of Economy and
Finance regulation 310, Dec 2006 and Bank of Italy regulation May 2007 and March 2010
Types of covered bonds One. Obbligazioni Bancarie Garantite (OBG). OBG programmes can be backed by residential
and commercial loans, RMBS bonds and loans to public sector entities
Structure of Issuer Direct issuance? No, bonds are issued via an SPV
Comments (if any) Italian OBG are direct, unconditional, unsecured and unsubordinated of the issuer. Under
the Italian framework, the bank lends funds to an SPE that will in turn use them to purchase
assets from the issuer. The SPE will also guarantee the payments to the bonds in case of
default of the issuer, using the assets as collateral
Bankruptcy remoteness Bankruptcy remoteness is achieved by law through the transfer to the SPE
Dual claim Yes
Bond format Fixed rate. The bonds can be extended (generally for a period of 12mths but this varies by
issuer) if: a) an issuer event of default occurred AND b) the OBG guarantor does not have
sufficient funds to redeem the bond at its initial maturity
Supervision Banca d'Italia
Cover pool
Eligible assets Mortgage No specific requirements by law, except that the mortgaged properties have to be located in
the EEA and Switzerland
LTV caps Residential mortgages with LTV<80% and commercial mortgages with LTV<60%
Public Sector Can be both loans to public sector entities or bonds issued or guaranteed by such institutions.
Requirements include: location in EEA or Switzerland with max risk weight of 20% (RSA); or
outside EEA or Switzerland and with 0-20% risk weight (RSA)
Non-performing collateral At least 95% of underlying assets represented by eligible mortgage receivables. Risk
weighting not greater than 20% under standardised approach. If ABS makes up more than
10% of the cover pool, than the mortgages backing ABS must be originated by the issuing
bank and the issuer must retain the first loss piece
Substitution Assets Highly liquid assets up to 15% of the cover pool
Hedging Derivatives allowed to hedge risk
Valuation Individual market values; the valuation approach needs to approved by the Bank of Italy and
is independently audited
Other comments (if any) Intesa uses own-originated RMBS as collateral
Requirements
ALM matching Asset coverage Prior to insolvency, the issuer must make sure that the nominal value of the CB is less than
that of the cover pool. Also, the NPV of the bonds and all related transaction costs, must be
less than the NPV of the assets. OC is based on each issuer contractual agreement, no legal
requirement. Post issuer default, an amortisation test is also carried out to check that the
assets, adjusted by their current status (e.g. arrears or defaults) are enough to cover the
liabilities
Interest coverage Yes. Interest income must exceed interest expense
Other (if any) Issuer can only issue if they have consolidated regulatory capital of at least 500m, a total
capital ratio of at least 9% and Tier 1 ratio greater than 6%. If their total capital ratio (TCR) is
>11% and Tier 1>7%, then they can issue liabilities up to 100% of eligible assets; if TCR>10&
and Tier 1>6.5%, then they can issue up to 60%; if TCR>9% and Tier 1>6%, then they can
issue up to 25% of eligible assets
Consequence of breach If a breach of any pre-default tests occurs and is not cured, the OBG guarantee activates and
the cashflows from the assets are used to pay the bonds. If the Amortisation Test fails, all
bonds become due and payable
Monitoring An independent Cover Pool Monitor supervises compliance
Other
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16,000 40,000
12,000 30,000
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 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 105: Italian real GDP growth, y-on-y, % Figure 106: 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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 107: Italian CPI and base rate, % Figure 108: Italian consumer confidence, balance of survey
5 0
4
-5
4
3 -10
3 -15
2 -20
2
-25
1
1 -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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 109: Italian house price growth, % Figure 110: Italian outstanding mortgages (mm) and annual growth of
mortgage stock, %
25% House price growth 400,000 Outstanding mortgages Growth in o/s mortgages 25%
20% 350,000 20%
15% 300,000
250,000 15%
10%
200,000 10%
5%
150,000 5%
0% 100,000
-5% 50,000 0%
-10% 0 -5%
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-09
Dec-10
Jun-03
Jun-04
Jun-05
Jun-06
Jun-07
Jun-08
Jun-09
Jun-10
Jun-11
Source: Bloomberg Source: ECB
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Banca Carige (Carige) Table 387: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: BANCAR) NIM 2.9 3.2 n/a n/a
Snapshot ROA 0.8 0.7 0.6 0.5
The Banca Carige Group is one of the six largest ROE 7.4 6.5 5.6 4.7
ROC 1.7 1.5 1.3 1.0
financial services groups in Italy, with over 1,000 C:I 74.6 62.1 61.8 65.8
branches and agencies throughout the country. The group Core capital 7.8 7.9 7.9 6.7
includes the parent, Banca Carige, four other banks Source: Bloomberg
(Cassa di Risparmio di Savona, Cassa di Risparmio di
Carrara, Banca del Monte di Lucca, and Banca Cesare Cover pool overview
Ponti), an asset management company (Carige Asset We set out below some of the key cover pool
Management Sgr) and two insurance companies (Carige characteristics:
Assicurazioni and Carige Vita Nuova which specialise in
non-life and life insurance respectively). The group is Table 388: Covered bond characteristics
also the majority shareholder of Creditis Servizi As at 30 April
Finanziari SpA, a company specialised in consumer 2011
credit. S/M/F
Ownership is split between a foundation (43%), Frances
Groupe BPCE (15%), Generali (1.5%) and a free float of Cover pool size () 3,292,403,155
40%. Number of loans 35,780
Avg loan () 92,018
Cariges covered bonds are backed by Italian mortgages. WA LTV (in %) 50.1
We set out below some of the key financial performance Residential properties (in %) 96.1
metrics: Commercial properties (in %) 3.9

FY 2007 FY 2008 FY 2009 FY 2010
Net interest income 683 826 740 714 Current LTV ranges As at 30 April
Provisions for loan 2011
losses 75 77 100 114 0-<=40% 32.0
NII less provisions 608 749 641 600 >40%-<=50% 15.0
>50%-<=60% 16.0
Comm.& fee income 289 292 315 16 >60%-<=70% 16.8
Other operating income 773 39 23 16 >70%-<=80% 19.4
Non-interest expense 1,337 703 742 746 >80% 0.8
Operating profit (loss) 368 329 337 256 Source: Investor Report
PBT 370 309 313 262

Taxes 157 96 104 98
Net profit (loss) 205 206 205 177
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
Loans 17,017 20,916 22,786 21,854
Total Assets 27,464 31,986 36,299 40,010
Deposits 11,031 11,713 14,954 14,357
Short-term borrowings 1,780 2,107 1,963 4,961
Other ST borrowings 1,415 1,728 1,528 1,540
Long-term borrowings 7,281 9,579 10,020 9,660
Equity 2,862 3,576 3,853 3,737
Source: Bloomberg
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Banca Monte dei Paschi di Siena Table 392: Select financial metrics
(BMPS) FY 2007 FY 2008 FY 2009 FY 2010
NIM 2.4 2.5 2.0 1.7
(BBG: MONTE) ROA 0.9 0.5 0.1 0.4
Snapshot ROE 17.5 7.9 1.4 5.7
ROC 2.0 1.0 0.2 0.8
Banca Monte dei Paschi di Siena, founded in 1472, is C:I 64.5 77.3 75.7 70.7
considered to be the oldest bank in the world. Through a Core capital 8.9 9.3 7.5 13.0
number of acquisitions, the MPS Group is now the third Source: Bloomberg
largest financial services group in Italy. The group offers
a wide range of products, including retail banking and Cover pool overview
financial advisory, corporate and investment banking We set out below some of the key cover pool
(with a particular focus on SMEs), wealth management, characteristics:
pension fund and life insurance services.
Through a national network of over 3,000 branches, the As at 31 May
group caters to the needs of over 6 million customers; 2011
outside of the domestic market, the Group has branches S/M/F
Covered Bond rating /Aaa/AAA
in the main international financial centres and aims at Issuer rating A-/A2/A-
expanding its presence in emerging markets, in particular
in the Mediterranean basin, in central and eastern Europe Cover pool size () 12,594,657,406
and in Asia. Avg loan () 103,557
BMPS covered bonds are backed by Italian mortgages. WA Current LTV (in %) 61.1
We set out below some of the key financial performance Top three regions (%)
Veneto 16.4
metrics: Toscana 14.8
Lazio 14.3
Floating rate (in %) 89.2
FY 2007 FY 2008 FY 2009 FY 2010 Fixed rate (in %) 10.8
Net interest income 3,485 4,371 3,997 3,819
Provisions for loan
losses 614 1,002 1,453 1,126
Comm.& fee income 1,711 1,664 1,935 2,170
Current LTV ranges As at 31 May
Other operating income 175 334 212 203
2011
Non-interest expense 3,426 4,445 4,462 4,186
Operating profit (loss) 1,161 243 -95 509 0-<=40% 22.1
>40%-<=50% 12.3
PBT 1,270 -92 43 1,327 >50%-<=60% 14.1
Taxes 552 -930 31 342 >60%-<=70% 17.0
Net profit (loss) 1,438 923 220 985 >70%-<=80% 40.3
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
Loans 104,913 145,085 146,976 154,450
Total Assets 162,076 213,796 224,815 244,279
Deposits 56,963 75,935 77,240 79,028
Equity 8,939 15,103 17,456 17,426
Source: Bloomberg
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Banca Popolare di Milano (BPM) Cover pool overview

(BBG: PMIIM) We set out below some of the key cover pool
BPM was founded as a cooperative bank in Milan. The Table 398: Covered bond characteristics
group now offers a range of financial products across
As at 30 June 2011
Italy. It is the eighth largest banking group and the fourth
S/M/F
largest Popolare bank, with a leading position in the Covered Bond rating AAA/Aaa/AAA
north of the country. It operates close to 800 branches Issuer rating A-/A1/A-
across Lombardy, Piedmont, Apulia and Latium.
BPM covered bonds are backed by Italian mortgages. Avg loan () 99,889
WA LTV (in %) 52.15

Financial performance Remaining tenor (mths) 226.9
We set out below some of the key financial performance WA seasoning (mths) 36.16
metrics:
Top three regions (%) Lombardia 73.5
Lazio 12.5
Table 395: Key profit & loss figures, mm Emilia Romagna 4.3
FY 2007 FY 2008 FY 2009 FY 2010 Source: Investor Report
Net interest income 1,216 1,246 1,052 872
Provisions for loan Table 399: Collateral pool LTV breakdown
losses 127 205 337 238
NII less provisions 1,089 1,041 715 633 Current LTV ranges As at 30 June 2011
0-<=40% 27.8
Comm.& fee income 658 591 767 685 >40%-<=50% 15.1
Other operating income 116 111 89 -128 >50%-<=60% 16.1
Operating profit (loss) 555 256 218 -114 >70%-<=80% 22.2
>80%-<=100% 0.4
PBT 546 213 217 -31 Source: Investor Report
Taxes 220 130 114 78
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
Loans 28,665 32,899 32,629 35,385
Total Assets 43,627 45,039 44,281 54,053
Deposits 21,414 20,218 21,804 23,173
Equity 3,598 3,389 4,022 3,984
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
NIM 3.1 3.0 2.5 1.9
ROA 0.8 0.2 0.2 0.2
ROE 9.2 2.2 2.9 2.7
ROC 1.8 0.4 0.5 0.5
C:I 63.0 71.7 70.6 90.9
Core capital 7.2 7.7 8.6 7.8
Source: Bloomberg
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Banco Popolare (Popolare) Table 402: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: BPIM) NIM n/a 2.4 2.2 1.8
Snapshot ROA 0.5 -0.3 0.2 0.2
The group was created in 2007 from the merger of Banco ROE 5.5 -3.3 2.5 2.7
ROC 1.0 -0.4 0.3 0.4
Popolare di Verona e Novara and the Banca Popolare C:I 69.0 77.1 71.0 76.4
Italiana. It is the largest cooperative bank and also fourth Core capital 5.2 6.4 7.7 7.2
largest Italian banking group by assets, focused on Source: Bloomberg
northern and central Italy, with a traditionally strong
presence in the regions of Lombardy, Piedmont, Liguria, Cover pool overview
Tuscany and Emilia Romagna. We set out below some of the key cover pool
characteristics:
The group focuses its businesses on retail banking, while
also offering business banking for small and medium- Table 403: Covered bond characteristics
sized corporates. It operates approximately 2,200 As at 30 June
branches throughout Italy. Subsidiaries also include 2011
Banca Aletti (private & investment banking), Aletti S/M/F
Gestielle (asset management), Popolare Vita (life Covered Bond rating -/Aaa/AAA
Issuer rating A-/A2/BBB+
assurance), Avipop Assicurazioni (non-life Cover pool size () 9,027,689,441
bancassurance) and Banca Italease (leasing). Number of loans 87,363
Avg loan () 103,335
Popolares covered bonds are backed by Italian Est. WA LTV (in %) 51.9
mortgages. Remaining tenor (yrs) 19.0
Financial performance Floating rate (in %) 69.1
We set out below some of the key financial performance Fixed rate (in %) 30.9
metrics:

FY 2007 FY 2008 FY 2009 FY 2010
Net interest income 1,815 2,703 2,492 2,179 Current LTV ranges As at 30 June
Provisions for loan 2011
losses 312 1,140 815 782 0-<=40% 27.9
NII less provisions 1,503 1,563 1,677 1,397 >40%-<=50% 14.9
>50%-<=60% 16.2
Comm.& fee income 1,157 1,411 1,344 1,420 >60%-<=70% 20.2
Operating profit (loss) 797 -197 308 168 Source: Investor Report
PBT 1,077 -557 497 218

Taxes 480 -140 229 -100
Net profit (loss) 617 -333 267 308
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
Loans 84,551 79,846 93,334 92,698
Total Assets 128,393 121,327 135,709 135,156
Deposits 48,419 42,980 46,083 41,625
Equity 11,075 10,188 12,112 11,940
Source: Bloomberg
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Credito Emiliano (Credem) Table 407: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: CRDEM) NIM 3.3 4.0 2.4 1.9
Snapshot ROA 1.0 0.6 0.3 0.3
Credito Emiliano was founded in 1910 and has strong ROE 17.1 9.5 4.9 4.3
ROC 2.0 1.1 0.7 0.6
ties to the Emilia Romagna region. Through acquisitions C:I 64.3 74.0 71.7 76.1
in both the banking and broader financial services Core capital 8.1 9.6 11.1 11.3
sectors, the CREDEM group now counts over 600 Source: Bloomberg
banking and financial advisor branches in 16 Italian
regions. Cover pool overview
The Group offers banking services to individuals and characteristics:
SMEs, financial advisory and private banking services.
The bank has two subsidiaries in Switzerland (Banca Table 408: Covered bond characteristics
Euromobiliare SA) and in Luxembourg (Credem As at 30 June
International SA). Over three quarters of the Groups 2011
shares are in the hands of CREDEM Holding, whose S/M/F
main shareholders include the Max Mara fashion group Covered Bond rating /Aaa/AAA
Issuer rating A/-A2/A
(14%) and Pictet (5%).
Credems covered bonds are backed by Italian Number of loans 25,449
Avg loan () 80,764
mortgages.
WA Current LTV (in %) 43.8
metrics: Top three regions (%)
Emilia Romagna 26.8
Lombardia 15.6
Table 405: Key profit & loss figures, mm Sicilia 11.1
FY 2007 FY 2008 FY 2009 FY 2010
Net interest income 798 1,057 632 505 Floating rate (in %) 78.5
Provisions for loan Fixed rate (in %) 21.5
losses 53 59 108 62
NII less provisions 745 998 524 443 Source: Investor Report
Comm.& fee income 470 379 426 476 Table 409: Collateral pool LTV breakdown
Non-interest expense 775 760 779 823 Current LTV ranges As at 30 June
Operating profit (loss) 327 179 165 166 2011
0-<=40% 43.4
PBT 327 181 163 168 >40%-<=50% 19.6
Taxes 78 25 74 90 >50%-<=60% 15.3
Net profit (loss) 249 156 89 78 >60%-<=70% 12.7
Table 406: Key balance sheet figures, mm Source: Investor Report
FY 2007 FY 2008 FY 2009 FY 2010

Loans 13,414 17,618 17,536 18,884
Total Assets 26,233 30,136 26,439 29,998
Deposits 10,505 11,452 12,534 11,821
Equity 1,543 1,753 1,850 1,804
Source: Bloomberg
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Intesa Sanpaolo (Intesa) Table 412: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: ISPIM) NIM 2.1 2.4 2.0 1.9
Snapshot ROA 1.3 0.4 0.4 0.4
Intesa Sanpaolo is a banking group resulting from the ROE 13.5 5.1 5.5 5.1
ROC 2.5 0.9 0.9 0.9
merger between Banca Intesa and Sanpaolo IMI. It is one C:I 66.3 76.7 63.7 65.4
of the leaders in the Italian market as well as having a Core capital 6.5 7.1 8.4 9.4
strong international presence focused on Central-Eastern Source: Bloomberg
Europe and the Mediterranean basin.
Cover pool overview
The Group brings together two major Italian banks and is We set out below some of the key cover pool
a leader in its domestic market across all business areas characteristics:
in which it operates (retail, corporate and wealth
management). Outside of Italy, it operates over 1,800 Table 413: Mortgage (RMBS) covered bond characteristics
branches providing retail and commercial banking As at 31 July
services across thirteen countries. Corporate clients are 2011
further supported across thirty-one countries, including S/M/F
the US, Russia, China and India. Covered Bond rating -/Aaa/-
Intesa Sanpaolo issues both a public-sector backed OBG, Cover pool size () 5,175,360,562
and a mortgage-backed OBG (using RMBS to transfer Number of loans 70,745
Avg loan () 73,155
mortgage risk between group entities).
metrics: Floating rate (in %) 50.6
Fixed rate (in %) 49.4
Table 410: Key profit & loss figures, mm Top three regions (%)
FY 2007 FY 2008 FY 2009 FY 2010 Lombardia 45.1
Net interest income 10,947 13,053 11,716 11,111 Lazio 11.1
Provisions for loan Puglia 7.4
losses 1,043 2,433 3,448 2,818
NII less provisions 9,904 10,620 8,268 8,293 LTV Breakdown
0-<=40% 39.9
Comm.& fee income 7,304 6,543 6,141 6494 >40%-<=50% 21.0
Other operating income -254 843 -153 -39 >50%-<=60% 20.8
Operating profit (loss) 4,677 1,525 2,889 2,936 >70%-<=80% 4.2
PBT 4,860 839 3,455 3,237 Source: Investor Report

Taxes 1,539 -656 686 1,155
Net profit (loss) 7,250 2,553 2,805 2,705
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
Loans 335,273 387,012 363,447 360,693
Total Assets 572,959 636,133 624,844 658,757
Deposits 178,758 202,558 197,632 198,359
Equity 52,349 50,054 53,771 54,600
Source: Bloomberg
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Table 414: Public Sector covered bond characteristics

As at 31 July
2011
S/M/F

Avg loan () 8,606,738

Fixed rate (%) 64.4

Floating rate (%) 35.6
AAA to AA- (%) 46.8

A+ to A- (%) 20.2
BBB+ to BBB- (%) 0.0
Not Rated (%) 33.0
Sovereign (%) 21
Municipality (%) 47
Region (%) 27
Other (%) 5
Sovereign %)
North (%) 42.6
Central (%) 16.2
South (%) 16.4
Spain (%) 2.2
France (%) 2.0
Germany (%) 0.5
Belgium (%) 0.3
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UBI Banca (UBI) Table 417: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: UBIIM) NIM n/a 2.8 2.3 1.9
Snapshot ROA 0.8 0.1 0.2 0.1
UBI Banca is a cooperative group that was created in ROE 8.2 0.6 2.4 1.5
ROC 1.7 0.2 0.5 0.3
2007 from the merger of Banche Popolari Unite and C:I 65.0 77.7 68.5 73.9
Banca Lombarda e Piemontese. While the core markets Core capital 6.9 7.7 8.0 7.5
are the northern regions of Lombardy and Piedmont, the Source: Bloomberg
group also has a significant presence in central and
southern Italy. Cover pool overview
The bank focuses mostly on retail banking, which characteristics:
accounts for 97% of its customer base and 69% of its
revenues, although it also has a strong presence in the Table 418: Covered bond characteristics
SME market (24% of its revenues). UBI Banca is the As at 30 June
parent company of the group, and performs centralised 2011
functions, while supporting the nine network banks along S/M/F
with a wide range of product companies which specialise Covered Bond rating -/Aaa/AAA
Issuer rating A/A1/A
in corporate banking, consumer credit, asset
management, factoring & leasing and life & non-life Cover pool size () 8,590,439,273
bancassurance. Number of loans 122,098
Avg loan () 70,357
UBI Bancas covered bonds are backed by Italian WA Current LTV (in %) 45.3
mortgages. Remaining tenor (mths) 191.8
Financial performance Top three regions (%)

We set out below some of the key financial performance Lombardia 60.3
Lazio 8.4
metrics: Piemonte 6.6
Table 415: Key profit & loss figures, mm Floating rate (in %) 76.9
Fixed rate (in %) 23.1
FY 2007 FY 2008 FY 2009 FY 2010
Provisions for loan
losses 328 559 865 707
NII less provisions 2,327 2,508 1,641 1,464 Table 419: Collateral pool LTV breakdown
Current LTV ranges As at 30 June
Comm.& fee income 1,423 1,388 1,329 1,378
2011
0-<=40% 41.8
>40%-<=50% 15.8
Operating profit (loss) 1,153 271 383 226
>50%-<=60% 14.6
>60%-<=70% 13.7
PBT 1,191 356 519 334
>70%-<=80% 14.1
Taxes 461 193 237 232
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
Loans 91,814 96,365 97,715 101,491
Total Assets 121,492 121,956 122,313 130,559
Deposits 47,807 54,151 47,722 47,654
Equity 12,898 12,264 12,350 11,942
Source: Bloomberg
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Unicredit Group (Unicredit) Table 422: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: UCGIM) NIM 1.5 2.0 1.9 1.9
Snapshot ROA 0.6 0.4 0.2 0.1
The UniCredit Group has its origins in Italy, which, ROE 12.3 7.1 3.0 2.1
ROC 1.6 1.1 0.5 0.4
together with Austria and Germany (through the C:I 64.4 65.8 60.5 66.8
acquisition of HvB), remains one of its key markets. Core capital 6.6 6.7 8.6 9.5
Over the years the group has grown into one of the main Source: Bloomberg
European financial services groups, with a strong
presence in Central and Eastern Europe. The group has a Cover pool overview
presence in 22 countries, with over 9,000 branches We set out below some of the key cover pool
worldwide. characteristics:
The Group offers a wide variety of financial products, Table 423: Covered bond characteristics
ranging from retail to corporate and investment banking, As at 30 April
organised along a number of divisions: Families & SME 2011
(F&SME), Private Banking (PB); Central & Eastern S/M/F
Europe (CEE), and Corporate & Investment Banking. Covered Bond rating AAA/Aaa/AAA
Issuer rating A/Aa3/A
(CIB).
Cover pool size () 13,171,755,547
Unicredits covered bonds are backed by Italian Number of loans 123,034
Avg loan () 107,058
mortgages.
metrics: Top three regions (%)
Lombardia 22.0
Lazio 15.0
Table 420: Key profit & loss figures, mm Piemonte 11.6
FY 2007 FY 2008 FY 2009 FY 2010
Net interest income 13,114 19,710 17,732 16,475 Floating rate (in %) 47.7
Provisions for loan Fixed rate (in %) 38.0
losses 2,141 3,582 8,152 6,708 Other (in %) 14.3
Comm.& fee income 11,354 11,125 9,424 10,210
Other operating income 916 1,021 848 975 Table 424: Collateral pool LTV breakdown
Operating profit (loss) 6,879 5,712 2,885 2,106 Current LTV ranges As at 30 April
2011
PBT 7,300 4,995 2,923 2,175 0-<=40% 14.2
Taxes 2,589 465 888 530 >40%-<=50% 8.9
Net profit (loss) 5,901 4,012 1,702 1,323 >50%-<=60% 11.1
>70%-<=80% 44.3
FY 2007 FY 2008 FY 2009 FY 2010
Loans 552,933 598,923 549,037 546,089
Total Assets 1,021,835 1,045,612 928,760 929,488
Deposits 421,133 424,489 424,811 373,960
Equity 62,434 58,240 62,892 67,703
Source: Bloomberg
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Korean Covered Bonds
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Korean Covered Bonds

A brief description of the two covered bond structures so far has been included in the
respective issuers profile page.
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Korean covered bond & macro backdrop

1,000 2,000
800 Mortgage Mortgage

1,500
600
1,000
400
500
200
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2011 2003 2004 2005 2006 2007 2008 2009 2010 2011
Source: J.P. Morgan Covered Bond Research Source: J.P. Morgan Covered Bond Research
Figure 113: Korean real GDP growth, y-on-y, % Figure 114: Korean unemployment level, %
12
10 5
8 4
6
4 3
2
0 2
-2 1
-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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 115: Korean CPI and base rate, % Figure 116: Korean business survey index, #
160 Business survey 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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10

Source: Bloomberg
Figure 117: Korean house price growth, % Figure 118: Korean loans to households (KRWtn) and annual change
(RHS), %
20% House price growth 800 Credit to HH (stock) Credit to HH (growth) RHS 40%
700 35%
15%
600 30%
10% 500 25%
400 20%
5% 300 15%
200 10%
0%
100 5%
-5% 0 0%
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
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Kookmin Bank Table 426: Key balance sheet figures, KRWmm
(BBG: CITNAT) FY 2008 FY 2009 FY 2010

Snapshot Loans 198,205,056 194,154,608 194,797,999
Total Assets 262,093,168 256,519,760 254,861,755
Kookmin Bank is the largest bank in South Korea by Deposits 158,867,920 170,385,872 182,518,858
assets and market capitalisation. It has a strong domestic Short-term borrowings 19,095,720 13,843,061 11,408,783
presence (18.5% share of the deposits markets) and also a Other short-term
small, but growing international presence in Asia. The borrowings 21,152,812 13,134,672 10,694,467
Long-term borrowings 42,610,592 37,985,060 28,751,037
core business remains lending to individuals and SMEs: Equity 17,314,094 19,342,558 19,360,739
these constitute 57% and 36% of its domestic currency Source: Bloomberg
loan book while residential mortgages account for 44%
of the lending to households. Table 427: Select financial metrics
FY 2008 FY 2009 FY 2010
As there is no specific covered bond legislation in Korea, NIM 3.3 2.7 2.2
the issuer adopted a securitisation-like structure, whereby ROA 0.6 0.2 0.0
ROE 9.1 3.5 0.1
the issuer will make a loan to a guarantor, which will in ROC 2.1 0.8 0.0
turn purchase the assets from the issuer via a trust and C:I 56.2 60.1 72.5
guarantee the bonds in case of default. The bonds are Core Capital 10.9
direct, unconditional, senior obligations of Kookmin and Source: Bloomberg
the bondholders have full dual recourse to the pool and
the bank. The bonds are hard bullets, with no extension Cover pool overview
allowed in the prospectus. The asset percentage (AP) is We set out below some of the key cover pool
set at 85% for mortgages; an amortisation test will be characteristics:
also carried out if there is a non-cured breach of the
ACT. Table 428: Covered bond characteristics
The collateral pool initially included mortgages and Ratings S/M/F

credit card receivables. In December 2010, however, Covered Bond rating AA/Aa1/-
Issuer rating A/A1/-
Kookmin decided to spin-off its credit card business into
a new subsidiary of the group. With the consent of the Cover pool
noteholders, Kookmin repurchased the credit card Cover pool size (KRW) 1,413,314,337,848
Outstanding liabilities (in KRW equivalent) 1,248,500,000,000
receivables from the pool; the bonds are therefore
currently backed by the mortgage assets and cash. Number of loans 15,348
Average loan balance (in KRW) 92,084,593
Financial performance WA remaining term (mths) 275
We set out below some of the key financial performance WA LTV (in %) 45.2
metrics: >90days arrears (in %) 0.2
Table 425: Key profit & loss figures, KRWmm
FY 2008 FY 2009 FY 2010
Net interest income 7,298,904 6,288,439 5,241,222
Provisions for loan
losses 1,776,830 2,207,853 2,567,473
NII less provisions 5,522,074 4,080,586 2,673,749
Comm.& fee income 1,412,415 1,324,506 1,046,735

Other operating
income 138,701 115,527 154,419
Non-interest expense 5,259,183 5,088,616 4,870,546
Operating profit 1,811,443 703,027 -787,931
PBT 2,158,289 660,471 -975,830

Taxes 647,505 24,668 -311,148
Net profit (loss) 1,510,784 635,803 11,200
Source: Bloomberg
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Korea Housing Finance Corporation Table 430: Key balance sheet figures, KRWmm
FY 2008 FY 2009 FY 2010
(BBG: KHFC) Loans 2,795,500
Snapshot Total Assets 3,443,840
KHFC is a quasi-government financial institution Short-term borrowings 260,000
Other short-term
established with the aim of supplying long-term housing borrowings 185,000
finance. KHFC also provides mortgage guarantees to Long-term borrowings 2,039,782
prospective homebuyers and reverse mortgage products. Equity 884,917
The company is a regular issuer of MBS and student loan
ABS and has only issued its first covered bond (called Cover pool overview
mortgage-backed bonds, MBB) in July 2010, as We set out below some of the key cover pool
permitted by Art. 31 of the KHFC Act. In 2010 it characteristics:
announced that it was planning to issue $2bn of covered
bonds annually starting in 2011: so far $500mm of fixed Table 431: Covered bond characteristics
rate bonds and $200mm of floating rate notes have been As at June 2011
issued in 2011. Ratings S/M/F
Covered Bond rating -/Aa3/-
The bonds are direct, unconditional senior, obligations of
the bank and bondholders have full dual recourse to the Cover pool
pool and the KHFC. The underlying collateral is Cover pool size (KRW) 839,804,918,469
Outstanding liabilities (in KRW equivalent using 607,500,000,000
purchased from participating banks (SC First Bank issuance date FX rate)
Korea, Shinhan Bank, Woori Bank, Kookmin Bank,
Korea Exchange Bank, Industrial Bank of Korea and Number of loans 8,359
Average loan balance (in KRW) 100,467,151
Hana Bank, although in this case only SC First Bank, WA seasoning (mths) 26
Shinhan and Woori participated) and is subject to an WA LTV (in %) 47.3
ACT (eligible assets at least equal to liabilities) and a WA indexed LTV (in %) 45.6
portfolio yield test (interest received has to be greater Floating rate loans (in %) 58.0
than liabilities and expenses). While there is no Owner occupied (in %) 100.0
acceleration of the bonds in case of an issuer event of Interest only (in %) 38.6
default, the bonds will accelerate if there is a covered
bond event of default i.e. failure to pay interest and/or 0-40 27.0
principal as due. 40-50 20.7
50-60 52.3
Financial performance Indexed LTV breakdown (in %)
We set out below some of the key financial performance 0-40 32.0
40-50 21.9
metrics: 50-60 32.1
60-70 13.1
Table 429: Key profit & loss figures, KRWmm 70-80 0.8
>80 0.1
FY 2008 FY 2009 FY 2010
Net interest income 51,805 Source: Moodys
Provisions for loan
losses 11,722
NII less provisions 40,083
Comm.& fee income 65,507

Other operating
income 159,877
Non-interest expense 295,470
Operating profit 18,668
PBT 23,245
Taxes -12,501
Net profit (loss) 35,746
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Luxembourgish Covered Bonds
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Luxembourgish Covered Bonds

We set out in Table 432a snapshot of key covered bond attributes in Luxembourg.
Table 432: Luxembourgish Covered Bond legislative overview

Framework
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.
Types of covered bonds Three types of collateral: public sector, mortgage and movable assets (ships, aircraft, railway).
Structure of Issuer Direct issuance? Bonds are issued by a specialised credit institution.
Comments (if any) Covered bonds are issued by a specialised credit institution with a license from the financial services
regulator.
Bankruptcy remoteness The issuer is required to keep a register of the cover pool, with one section for each type of collateral (and
one section each for the three types of movable assets). If the issuer is declared bankrupt the assets in the
cover pool are separated from other assets and do not become part of the estate.
Dual claim Yes. If the assets in the cover pool are not enough to repay the bonds when due, any outstanding claim
ranks pari passu with the senior unsecured creditors of the issuer.
Bond format Fixed or floating rate, hard bullets.
Supervision CSSF (Luxembourgish FSA).
Cover pool
Eligible assets Mortgage Domestic, other EEA, other OECD residential and commercial loans. Senior MBS is also permitted as long
as at least 90% the underlying collateral satisfies the cover pool criteria.
LTV caps 80% for residential loans and 60% for commercial loans. Both are hard caps.
Public Sector Exposures to public sector entities in OECD jurisdictions or to multilateral development banks.
Movable assets Ship loans, aircraft loans, other movable asset loans. Assets have to be registered in an OECD country. LTV
limit is 60% for all types of assets.
Substitution Assets Substitution assets can make up to 20% of the pool and can be cash, loans, or bonds satisfying the
conditions.
Hedging Derivatives can be used to reduce interest rate, currency and other market risks.
Valuation Individual market values.
Requirements
ALM matching Asset coverage 2% OC has to be maintained at all times on a nominal and NPV basis.
Interest coverage Natural matching and stress testing are used.
Other (if any)
Consequence of breach Regulatory or rule-based actions
Monitoring Supervisory Authority, rating agencies and the appointed trustee/cover pool monitor.
Other
Compliance with EU UCITS but not CRD compliant. Issuers can make their LdG CRD compliant by limiting their cover pool
legislation exposures to within the CRD limits.
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Luxembourgish covered bond backdrop

12,000 40,000
Mortgage Public Sector 35,000
10,000 Mortgage Public Sector
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 2010 2003 2004 2005 2006 2007 2008 2009 2010
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Dexia LdG Banque Table 434: Key balance sheet figures,

FY 2008 FY 2009 FY 2010
(BBG: DEXGRP) Loans 1,755,944,715 1,561,162,211 1,343,356,827
Snapshot TotalAssets 5,114,606,302 5,132,240,797 5,581,832,159
Dexia LdG Banque was founded in 2007, when it was Equity 128,282,484 162,344,188 193,807,467
granted a license to operate as an LdG issuer. It is a fully Source: Annual Report 2010
owned subsidiary of Dexia Banque Internationale

Luxembourg SA, part of the Dexia Group.
FY 2008 FY 2009 FY 2010
The Group offers two broad types of services: in C:I 7.8 6.8 4.8
Belgium, Luxembourg and Turkey it provides retail and
Source: Annual Report 2010
commercial banking services; in its core markets of
France and Belgium it is one of the leaders in public and
Cover pool overview
wholesale banking, providing banking and other financial
services to local public finance operators. The group is
characteristics:
also present in Germany, where it has a platform granting
access to the Pfandbriefe market, in Italy and in the
Iberian peninsula.
As at July 2011
Ratings S/M/F
The first LdG was issued out of the 25bn EMTN Covered Bond rating AAA/-/-
programme in September 2007. The cover pool consists Issuer rating (Dexia Banque) A/A3/A+
entirely of public sector assets that are eligible according
Cover Pool
to the Article 12-1 of the Financial Services Act of April Eligible Loans () 3,342,000,000
5, 1993. Eligible countries are those included in the EEA Eligible Debt Securities () 2,007,000,000
and the OECD. Interest and foreign exchange risk are Substitution Assets () 245,000,000
regulated by strict rules and are fully hedged in order to
Country split (in %)
reduce the risk of an asset-liability mismatch to the France 34.7
minimum. Luxembourg 13.1
USA 9.8
Spain 9.0
Financial performance Germany 7.5
We set out below some of the key financial performance Belgium 7.2
Sweden 4.3
metrics: Greece 3.7
Italy 3.0
Table 433: Key profit & loss figures, Poland 2.2
Austria 1.8
FY 2008 FY 2009 FY 2010 Japan 1.5
Net interest income 19,199,623 23,608,834 20,602,112 Ireland 0.9
Provisions for loan Finland 0.8
losses 135,950 135,905 -33,042 Canada 0.3
NII less provisions 19,063,673 23,472,929 20,635,154 Korea 0.2
Other operating Source: Investor report
income 21,000 -36,763 -69,162
Operating profit (loss) 20,895,980 22,552,186 39,484,729
PBT 20,760,030 22,688,091 39,451,687

Taxes 1,072,285 1,690,378 2,642,809
Net profit (loss) 19,687,745 20,997,713 36,808,878
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Erste Europaeische Pfandbrief und Table 438: Key balance sheet figures,
Kommunalbank (EEPK) FY 2008 FY 2009 FY 2010
Loans 2,844,501,741 1,817,250,364 1,801,560,961
(BBG: EEPK) Total Assets 7,724,015,387 6,299,805,316 6,244,314,231
Snapshot Deposits 159,044,860 234,856,293 501,208,948
Short-term
EEPK, part of the Commerzbank Group since 2002, borrowings 392,314,942 426,000,000 480,142,196
focuses mostly on lending to public bodies such as Other ST borrowings 375,000,000 16,533,876 51,000,000
governments, regional assemblies, local authorities and Equity 66,935,480 281,350,509 281,932,570
public corporations throughout the OECD zone. EEPK
benefits from a group letter of comfort from
Commerzbank AG. It is one of Commerbank's two
public-sector covered bond issuing subsidiaries in FY 2008 FY 2009 FY 2010
Luxembourg (the other being Eurohypo Luxembourg).
The bank was established in 1999, when it received the

Cover pool overview
license as a central mortgage bond institution. The first
public covered bond issue was in 2000, but the current We set out below some of the key cover pool
multi-currency 7.5bn ETMN programme was characteristics:
established in 2003. In 2006, the bank issued its first
Luxembourgish mortgage covered bond.
As at July 2011
Ratings S/M/F
Just under half of the cover pool is located in the USA
Covered Bond rating AA+/-/-
and Canada, while just over 50% of the cover pool has an Issuer rating (Commerzbank AG) A/A2/A+
external rating of at least AA/Aa3. FX and interest rate
risk are hedged using derivatives. Cover Pool
In April 2009, S&P lowered the rating of EEPKs LdG to Country split (in %)
AA+ from AAA due to changes in its covered bond USA 33.3
Canada 13.1
rating methodology. Luxembourg 8.0
Switzerland 6.7
Germany 6.3
We set out below some of the key financial performance Hungary 3.9
metrics: UK 2.8
Korea 2.8
Other 19.7
Table 437: Key profit & loss figures,
FY 2008 FY 2009 FY 2010 Rating split (in %)
Net interest income 13,123,532 2,670,771 27,013,846 AAA 12.3
AA (incl. AA+ and AA-) 40.1
Other operating A (incl. A+ and A-) 27.6
income 758,077 8,390,079 561,481 BBB (incl. BBB+ and BBB-) 8.5
Non-interest expense 7,954,395 9,768,101 17,843,448 NR 11.5
PBT 10,085,550 85,283,746 1,847,427
Taxes 407,003 301,225 1,265,366
Net profit (loss) -10,492,553 -41,218,658 582,061
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Eurohypo Luxembourg SA Cover pool overview

(BBG: EURHYP) We set out below some of the key cover pool
Eurohypo Europaische Hypothekenbank (Eurohypo Table 443: Covered bond characteristics
Luxembourg SA) focuses on public lending to EU, EEA
As at June
and OECD countries and is Luxembourgs largest 2011
mortgage bank. Unlike its parent, which operates mainly Ratings S/M/F
with sovereigns and sub-sovereigns in the EEA, Covered Bond rating AAA/-/AAA
Switzerland, Canada and Japan, Eurohypo Luxembourg Issuer rating A-/-/A-
is active on a more international scale, offering public Cover Pool
sector finance to sovereigns and sub-sovereigns in a Cover pool size () 13,154,000,000
wider range of OECD countries. Public debtor debt (in %) 51.0
LdG debt (in %) 43.3
Eurohypo Luxembourg was founded in 1989 and initially
conducted general banking until it received its special Country split (in %)
USA 18.0
purpose banking license in 1999. It has a market share of GBR 15.7
more than 50% in terms of volume of LdG in circulation. Germany 16.6
The assets in the cover pool are largely investment grade Canada 11.7
and mostly independent from any monoline rating. Switzerland 10.4
Spain 6.3
Eurohypo Luxembourg and its parent are today part of Italy 5.4
the Commerzbank Group, and are timetabled to be Other 15.8
divested by 2014 as part of the EU conditions for
Europe 64.4
approval of state aid from the German taxpayer. North America 29.7
Asia 2.4
Financial performance Supra 3.5
We set out below some of the key financial performance Split by guarantee (in %)
metrics: Not wrapped 90.1
MBIA 3.6
XL 0.3
Table 441: Key profit & loss figures, AMBAC 0.5
FY 2008 FY 2009 FY 2010 FGIC 2.7
Net interest income 70,028,000 39,721,000 FSA 2.8
Provisions for loan
losses 2,495,000 -1,613,000 S&P Rating split (in %)
NII less provisions 67,533,000 41,334,000 AAA 24.9
Other operating A (incl. A+ and A-) 18.2
income -877,000 -1,566,000 BBB (incl. BBB+ and BBB-) 1.0
Non-interest expense 7,203,000 7,083,000 Below BBB or NR/Internal rating only 40.3
Operating profit (loss) 72,996,000 26,178,000
Fitch Rating split (in %)
PBT 60,184,000 -37,753,000 AAA 18.5
Taxes -14,493,000 14,959,000 AA (incl. AA+ and AA-) 17.3
Net profit (loss) 45,691,000 -22,794,000 A (incl. A+ and A-) 8.0
BBB (incl. BBB+ and BBB-) 0.8
Below BBB or NR/Internal rating only 55.4
Table 442: Key balance sheet figures,
FY 2008 FY 2009 FY 2010
Commercial Loans 2,329,648,000 3,420,363,000
Consumer Loans 4,216,946,000 4,373,569,000
Loans 6,546,594,000 7,793,932,000
Total Assets 24,902,863,000 25,798,686,000
Deposits 490,517,000 476,699,000
LT borrowings 7,504,934,000 9,450,687,000
Equity 159,393,000 92,955,000
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Hypo Pfandbrief Bank International SA Table 445: Key balance sheet figures,
FY 2008 FY 2009 FY 2010
(BBG: PBINTL) Loans 810,570,779 964,479,076
Total Assets 8,054,395,760 4,639,961,258
Snapshot Deposits 166,054,019 369,140,000
HPBI is part of the Hypo Real Estate Group, which Short-term borrowings 1,582,796,661 1,602,096,661
focuses on real estate and public finance. It is a Long-term borrowings 1,370,097,000 1,597,097,000
Equity 123,787,628 126,100,000
subsidiary of Depfa Bank plc, the Irish subsidiary of
HRE AG. HRE AG is currently owned 100% by the
German state, through SoFFin, the Financial Market Table 446: Select financial metrics
Stabilisation Agency.
FY 2008 FY 2009 FY 2010
In October 2010, HRE underwent a significant balance Source: Annual Report 2010
sheet restructuring by transferring around 173bn
(nominal value) of assets to FMW Wertmanagement; Cover pool overview
furthermore, 124bn of SoFFin-guaranteed bonds issued
by HRE have also been transferred to the FMS
characteristics:
Wertmanagement.
HPBI is a pure Pfandbrief bank, licensed as a Banque
As at June
dEmission de Lettre de Gage by the Luxembourgish 2011
regulators. As for other issuers from this jurisdiction, Ratings S/M/F
HPBI is active in the international public sector lending Covered Bond rating AA/-/-
business. The cover pool is skewed towards Europe, Issuer rating (Hypo Public Finance Bank) BBB/Baa3/BBB+
which accounts for just over 75% of the cover assets, Cover pool
with the single largest country exposure being to Austria Public sector cover pool size () 3,205,000,000
(19%). The vast majority (97%) of the underlying Over-collateralisation () 405,000,000
Nominal OC (%) 14.5
collateral is investment grade and over-collateralisation is
14.5%. Country split (in %)
Austria 19.2
Germany 15.5
Financial performance USA 15.3
We set out below some of the key financial performance Switzerland 11.6
metrics: Spain 9.1
Ireland 7.2
Canada 6.8
Table 444: Key profit & loss figures, Other 15.3
FY 2008 FY 2009 FY 2010
Central Europe 46.3
Net interest income 18,602,066 11,006,344
North America 22.1
Western Europe 13.0
Other operating
Southern Europe 10.7
income 778,072 1,487,630
Eastern Europe 4.2
Non-interest expense 3,980,392 7,904,722
Asia 2.3
Northern Europe 1.5
PBT 2,815,569 2,593,374
Taxes 349,783 328,374
Rating split (in %)
Net profit (loss) 2,465,786 2,265,000
AAA 46.5
Source: Annual Report 2010 AA (incl. AA+ and AA-) 30.5
A (incl. A+ and A-) 13.1
BBB (incl. BBB+ and BBB-) 6.8
NR 3.1
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Nord/LB Covered Finance Bank SA Table 449: Key balance sheet figures,
FY 2008 FY 2009 FY 2010
(BBG: NDB) Loans 2,001,600,000 1,932,400,000
Snapshot Total Assets 5,930,600,000 6,408,500,000
Nord/LB CFB SA is a wholly owned subsidiary of Short-term borrowings 1,960,800,000 2,550,900,000
Other ST borrowings 367,900,000 433,000,000
Nord/LB Luxembourg SA and part of the Nord/LB Equity 64,300,000 67,000,000
Group. It is also in receipt of a direct letter of support Source: Annual Report 2010
from the parent company. The only objective of Nord/LB
CFB is to conduct business as a covered bond bank: as Table 450: Select financial metrics
such, the bank takes on part of the public finance
FY 2008 FY 2009 FY 2010
business generated by Nord/LB Girozentrale and ROE 11.9 10.7
provides funding primarily via the issuance of covered C:I 24.6 28.1
bonds. Nord/LB CFB is the only institution within the Core capital 7.4 8.6
Landesbank framework to provide such a funding Source: Annual Report 2010
platform to its savings bank.

Cover pool overview
The bank actively lends to public sector entities in the We set out below some of the key cover pool
OECD area, but Germany remains its core market and characteristics:
accounts for 30% of the exposures currently in the cover
pool; the cover pool is also skewed towards the USA, Table 451: Covered bond characteristics
which contributes a quarter of its assets, although for the As at June
moment the bank is not planning to increase its exposure 2011
Ratings S/M/F
to this jurisdiction, except for 100% government- Covered Bond rating AAA/-/AAA
guaranteed exposures. The banks portfolio does not Issuer rating A-/-/A
include any exposures to Iceland, Turkey, Mexico,
Greece and the Baltic States and will not invest in them Cover Pool
in the future. The bank will also add no further weight to
its exposures to most Eastern European countries and Country split (in %)
Ireland. Germany 30.2
USA 24.8
Canada 5.0
The pool is mostly investment grade (87%) and evenly Spain 4.5
distributed between the top three investment grade Netherlands 4.4
Other 31.0
ratings (AAA to A).
Rating split (in %)
Financial performance AAA 27.6
We set out below some of the key financial performance A (incl. A+ and A-) 33.9
metrics: BBB (incl. BBB+ and BBB-) 12.9
Table 448: Key profit & loss figures,
FY 2008 FY 2009 FY 2010
Net interest income 8,725,000 8,589,000
Provisions for loan
losses 289,000 1,013,000
NII less provisions 8,436,000 7,576,000
Comm.& fee income 1,175,000 740,000

Other operating
income -2,323,000 -2,296,000
Non-interest expense 2,675,000 2,853,000
PBT 7,955,000 6,714,000

Taxes 1,591,000 482,000
Net profit (loss) 6,364,000 7,197,000
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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
two banks have issued covered bonds so far, we provide a brief overview of the
structure of each programme in the issuer profiles section below.
In October and November 2010 the Reserve Bank of New Zealand opened a
consultation period in order to evaluate the potential introduction of a legislative
framework and a uniform covered bond structure. The first result of the consultation
was the imposition in March 2011 of a 10% limit on the issuance of covered bonds
by locally-incorporated banks.
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New Zealand covered bond & macro backdrop
Figure 121: CB Issuance, mm Figure 122: CN Outstanding, mm

1,400 1,400
1,200 1,200
Mortgage Mortgage
1,000 1,000
800 800
600 600
400 400
200 200
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 123: New Zealand real GDP growth, y-on-y, % Figure 124: 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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 125: New Zealand CPI and base rate, % Figure 126: New Zealand consumer confidence index, #
8
7 120
6 100
5
80
4
3 60
2 40
1 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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10

Source: Bloomberg
Figure 127: New Zealand house price growth, % Figure 128: New Zealand dwelling sales, #
30% House price growth 12,000 Dwelling sales
25%
10,000
20%
15% 8,000
10%
6,000
5%
0% 4,000
-5%
2,000
-10%
-15% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
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Bank of New Zealand Table 453: Key balance sheet figures, NZDmm
FY 2008 FY 2009 FY 2010
(BBG: BZLNZ) Loans 51,975 55,142 54,986
BNZ is a wholly owned subsidiary of National Australia Deposits 25,920 27,233 28,663
Bank. The bank offers a range of financial products to Other short-term
individuals, small businesses and farmers and large borrowings 4,656 8,304 6,421
corporations in New Zealand. Long-term borrowings 1,264 1,280 1,278
Equity 3,933 3,745 4,002
Source: Bloomberg
BNZ issued the first ever covered bond out of New
Zealand in 2010; since there is no special covered bond
law, the deal is governed by New Zealand and English
contract and common law. BNZ will sell the mortgages FY 2008 FY 2009 FY 2010
ROA -0.3 0.9
to a guarantor, which will purchase these using the ROE -5.6 15.0
proceeds of the covered bonds issuance and will then Source: Bloomberg
guarantee the bonds. The bondholder will have dual
recourse to the issuer and the cover pool. This structure Cover pool overview
resembles that used in Canada, the Netherlands and the We set out below some of the key cover pool
UK. characteristics:
The bonds will benefit from a defined cover pool with Table 455: Covered bond characteristics
LTV restrictions, overcollateralisation and asset coverage
As at March
and amortisation tests (only the first 80% LTV will be 2011
taken into account for inclusion in the cover pool and Ratings S/M/F
liabilities may not exceed 97% of the asset value at any Covered Bond rating -/Aaa/AAA
time). Issuer rating AA/Aa3/AA
Cover Pool
Financial performance Cover pool size (NZD) 2,623,000,000
Outstanding liabilities (in NZD) 2,189,000,000
We set out below some of the key financial performance Nominal overcollateralisation (in %) 19.9
metrics: Nominal asset percentage (in %) 83.4
Supporting asset percentage (in %) 86.6
Table 452: Key profit & loss figures, NZDmm
FY 2008 FY 2009 FY 2010 Average loan size (in NZD) 133,045
Net interest income 1,328 1,351 1,281 WA residual maturity (yrs) 23
Provisions for loan WA seasoning (mths) 39
losses 0 0 187 WA LTV (in %) 47.4
NII less provisions 1,328 1,351 1,094 Highest geographic exposure (in %) Auckland - 35.4
Interest only loans (in %) 6.1
Other operating
income 440 397 379 Current LTV breakdown (in %)
Non-interest expense 786 777 818 <40 39.0
Operating profit 1,197 875 824 40-50 15.7
50-60 15.0
PBT 1,126 685 637 60-70 16.4
Taxes 341 866 35 70-80 13.9
Net profit (loss) 785 -181 602 >80 0.1
Source: Bloomberg Source: Fitch Ratings
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Westpac New Zealand Table 458: Select financial metrics (Westpac Group)
FY 2008 FY 2009 FY 2010
(BBG: WSTP) NIM 2.0 2.6 2.2
Westpac New Zealand is part of the Westpac Banking ROE 23.1 13.2 17.4
ROC 2.8 2.0 3.1
Corporation, the Australian financial services group. In C:I 47.7 42.7 43.6
New Zealand the bank offers a range of financial Core Capital 7.8 8.1 9.1
products to individuals, farmers and SMEs and corporate Source: Bloomberg
and institutional clients.
Cover pool overview
As for BNZ, Westpac New Zealand covered bonds use a We set out below some of the key cover pool
securitisation-like structure. The bonds are direct, characteristics:
unconditional and senior obligations of Westpac New
Zealand and the bondholders have full dual recourse to Table 459: Covered bond characteristics
the cover pool and the issuer. Westpac needs to maintain As at July 2011
an asset percentage of 90%, which translates into a Ratings S/M/F
committed OC of 11%. Only the first 75% LTV will be Covered Bond rating -/Aaa/AAA
considered for the asset coverage test. Issuer rating AA/Aa3/AA
Cover Pool
Financial performance Cover pool size (NZD) 2,750,000,000
Outstanding liabilities (in NZD) 1,774,408,732
We set out below some of the key financial performance Asset percenatge (%) 84.5
metrics: Asset coverage ratio (%) 131.8
Table 456: Key profit & loss figures (Westpac Group), AUDmm Number of loans 22,359
Average loan size (in NZD) 117,184
FY 2008 FY 2009 FY 2010 WA residual maturity (mths) 276
Net interest income 7,237 11,667 11,867 WA seasoning (mths) 33
Provisions for loan WA Current LTV Limit (%) 57.2
losses 931 3,238 1,456 WA Current LTV (%) 55.7
Interest only (%) 12.4
Comm.& fee income 2,060 2,637 2,433 Fixed rate loans (%) 67.6
Other operating Largest concentration (%) Auckland - 22.1
income 1,034 1,254 1,699
Non-interest expense 5,313 7,053 7,360 LTV limit breakdown (in %)
Operating profit 4,904 6,222 8,048 0-50 47.7
50-55 5.8
PBT 5,219 6,096 8,038 55-60 6.4
Taxes 1,287 2,579 1,626 60-65 7.0
Net profit (loss) 3,859 3,446 6,346 65-70 7.9
Source: Bloomberg 70-75 9.4
75-80 15.5
>80 0.3
Table 457: Key balance sheet figures (Westpac Group), AUDmm
FY 2008 FY 2009 FY 2010 Current LTV breakdown (in %)
0-50 50.5
Loans 313,545 463,459 477,655
50-55 6.1
Total Assets 439,676 589,587 618,277
55-60 6.0
Deposits 233,730 329,456 337,385
60-65 7.1
65-70 7.8
Other short-term
70-75 9.6
borrowings 19,541 27,252 30,853
75-80 13.0
Equity 19,471 36,571 40,118 Source: Fitch Ratings
Source: Bloomberg
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Norwegian Covered Bonds
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Norwegian Covered Bonds

We set out in Table 460 a snapshot of key covered bond attributes in the Norway.
Table 460: Norwegian Covered Bond legislative overview

Framework
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 Direct issuance? No
Comments (if any) Norwegian covered bonds are issued by specialised mortgage credit institutions ('Boligkreditt'), special
purpose subsidiaries of the main lenders with restricted business activities. They have a license from the
Norwegian FSA (specialist banking principle)
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. If however the Cover Pool
fails to meet the requirements of the Act, the holders of CB benefit from a priority claim over the proceeds of
a sale of the assets in the cover pool. In this case, the CB investors retain the benefit of any shortfall claim
against the issuing institution which ranks pari passu with other senior, unsecured claims
Dual claim Yes. To the special purpose subsidiary only
Bond format Typically, fixed rate, with a mix of hard and soft bullets bonds, with the ability to extend maturities by up to 12
months at the discretion of the issuer
Supervision Kredittilsynet (Norwegian FSA)
Cover pool
Eligible assets Mortgage Loans can be originated by the issuer, by the parent bank or from another bank. Residential mortgages,
commercial mortgages issued in the EEA or OECD can be included in the cover pools
LTV caps "Hard" (loans above the maximum can not be included in the cover pool). Residential (up to 75% LTV) and
commercial (up to 60% LTV) mortgages for inclusion in the cover pool
Public Sector Public sector assets must be granted to or guaranteed by a public body in either the EEA or OECD
Substitution Assets Up to 20% of cover pool can be substitute assets (30% can be temporarily allowed)
Valuation Individual market values. Should LTVs rise above the maximum thresholds set out above through falling
property valuations, the portion of the mortgage loan under these maximum levels may be included in the
cover pool calculations, while bondholders continue to benefit from the collateral amount above these
thresholds
Other comments (if any) All assets must be recorded in a cover pool register
Requirements
ALM matching Asset coverage The nominal value of the cover pool must at all times exceed the aggregate value of claims under the
covered bonds. 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 requirements are not defined by legislation (voluntary over-collateralisation is protected to
the benefit of CB investors)
Interest coverage The CB issuer must ensure that the payment flows from the cover pool enable the mortgage credit institution
to honour its payment obligations towards holders of covered bonds and counterparties to derivative
contracts
Other (if any) No mandatory OC, but voluntary OC is considered bankruptcy remote
Consequence of breach Tests must be complied with
Monitoring 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.
Other
legislation
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Norwegian covered bond & macro backdrop

35,000 80,000
25,000 60,000
50,000
20,000
40,000
15,000
30,000
10,000 20,000
5,000 10,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 131: Norwegian real GDP growth, y-on-y, % Figure 132: Norwegian unemployment level, %
5 5
Real GDP growth Unemployment
4 4
3 4
2 3
3
1
2
0 2
-1 1
-2 1
-3 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 133: Norwegian CPI and base rate, % Figure 134: Norwegian consumer confidence, balance of survey
8 35
Inflation Base rate Consumer confidence
7 30
6 25
5 20
4 15
10
3
5
2 0
1 -5
0 -10
-1 -15
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
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 Mar-11
Figure 135: Norwegian house price growth, y-on-y, % Figure 136: Norwegian building permits, #
20% 120
OECD HP nominal growth OECD Building permits index
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
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DnB NOR Boligkreditt ASA (DNB) Table 463: Select financial metrics
FY 2008 FY 2009 FY 2010
(BBG: DNBNOR) NIM n/a n/a n/a
Snapshot ROA n/a 0.3 0.5
DnB NOR Boligkreditt (DNB) is the covered bond ROE n/a 9.6 16.1
ROC n/a 0.3 0.5
issuer set up by DnB NOR Bank ASA, Norways leading C:I 23.6 41.6 32.9
financial services group. DnB NOR has a 30% market Core capital 6.3 8.0 7.4
share of the retail lending market and accounts for 35% Source: Bloomberg
of corporate lending in Norway. It is 34% owned by the
Norwegian Government. Cover pool overview
The covered bond programme, set up in June 2007, is characteristics:
rated AAA by all three agencies and totals around 40bn.
The pool is entirely backed by Norwegian residential Table 464: Covered bond characteristics
mortgages, originated within DnB NOR Banks As at 31 May 2011
distribution network. Covered Bond rating S/M/F AAA/Aaa/AAA
Parent rating S/M/F (DnB Nor Bank) A+/Aa3/A+
Total Cover Pool Balance: (NOK000) 421,705,396
We set out below some of the key financial performance Substitution assets: 0
metrics: Over-collateralisation 35.1
WA Loan Balance: (NOK) 1,039,346

Table 461: Key profit & loss figures, NOKmm No. of Loans: 405,741
FY 2008 FY 2009 FY 2010 WA Seasoning (in months): 52
Net interest income 958 2,962 2,320 WA Remaining term (in months): 266
Provisions for loan WA Indexed LTV (in %): 55.4
Interest only mortgages (in %): 39.9
losses n/a n/a n/a
NII less provisions 958 2,962 2,320 Fixed rate mortgages (in %) 5.6
Comm.& fee income 28 46 46 Source: Investor Report

Other operating
income n/a n/a 7 Table 465: Collateral pool LTV breakdown
Non-interest expense 443 869 1,336
Operating profit (loss) 1,429 1,214 2,724 Current LTV ranges As at 31 May 2011
0-<=40% 20.6
PBT 1,429 1,217 2,724 >40%-<=50% 11.9
Taxes 398 343 763 >50%-<=60% 17.5
Net profit (loss) 1,031 873 1,961 >60%-<=70% 28.3
>75% 5.9
Table 462: Key balance sheet figures, NOKmm Source: Investor report
FY 2008 FY 2009 FY 2010

Loans 198,482 337,111 397,640
Total Assets 226,347 350,943 410,528
Short-term borrowings 0 0 94,307
Other ST borrowings n/a
2,015 9,106 n/a n/a
Equity 6,527 11,650 12,748
Source: Bloomberg
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Nordea Eiendomskreditt Table 468: Nordea Group: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: NBHSS) NIM 1.48 1.42 1.25
Nordea Eiendomskreditt (NE) is a 100% owned ROE 15.35 11.55 11.36
ROC 1.56 1.16 1.22
subsidiary of Nordea Bank Norge ASA, part of the larger C:I 53.05 49.99 51.96
Nordea Group, a well established financial group Core capital 7.40 10.20 9.80
catering to the Nordic and Baltic states, where it is Source: Bloomberg
consistently one of the largest by market share, with a
small but growing presence in new European markets. Cover pool overview
No geographical market accounts for more than a quarter We set out below some of the key cover pool
of income, out of a customer base of around 10mm characteristics:
households and corporates.
The purpose of the issuer is to acquire and provide As at 31 March 2011
residential mortgage loans and finance its activities Covered Bond rating S/M/F -/Aaa/AAA
mainly through covered bond issuance. Loans in NE are Issuer rating S/M/F (Nordea Bank Norge) AA-/Aa2/AA-
originated by Nordea Bank Norge, and subsequently
Total Cover Pool Balance: (NOK mm) 77,960
transferred to NE. Substitute collateral (NOK mm) 45.4
OC level (%)
WA Loan Balance: (NOK) 1,150,000
We set out below some of the key financial performance No. of Loans: 69,969
metrics: No. of Borrowers 65,758
WA Seasoning (in months): 30
Table 466: Nordea Group: Key profit & loss figures, mm WA Indexed LTV (%) 54.2
FY 2008 FY 2009 FY 2010
Net interest income 41,982 46,156 41,308 Source: Investor Report
Provisions for loan
losses 3,841 12,988 7,038 Table 470: Collateral pool LTV breakdown
Comm.& fee income 20,872 21,570 23,661 0-<=40% 74.3
income 1,418 918 929 >50%-<=60% 8.2
Operating profit (loss) 27,804 26,456 28,609 >70%-<=75% 1.3
>75% 0.0
PBT 27,994 26,876 29,138 Source: Investor report
Taxes 5,968 6,616 7,815
Net profit (loss) 22,018 20,225 21,275
Source: Bloomberg
Table 467: Nordea Group: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
Loans 2,574,800 2,343,000 2,449,400
Total Assets 4,604,900 4,211,300 4,528,100
Deposits 1,443,300 1,274,300 1,375,200
Equity 172,927 186,030 191,024
Source: Bloomberg
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SpareBank 1 Boligkreditt ASA Table 472: Key balance sheet figures, NOKmm
FY 2008 FY 2009 FY 2010
(BBG: SPABOL) Loans 42,494 80,154 94,742
SpareBank 1 Boligkreditt (SpareBank) is a mortgage Deposits 0 0 n/a
company licensed by the Norwegian FSA. It is a separate Other ST borrowings 0 0 n/a
legal entity established in accordance with the Long-term borrowings 500 3,475 97,791
Norwegian covered bonds legislation in order to acquire Equity 1,678 3,683 4,805
mortgages from banks in the SpareBank 1 Alliance and Source: Bloomberg
finance further lending via the issuance of covered
bonds. The Alliance is a combination of 17 Norwegian Table 473: Select financial metrics
local and regional savings banks and two commercial FY 2008 FY 2009 FY 2010
banks owned by these banks. It is the second largest NIM n/a 0.17 n/a
ROA 0.00 0.00 0.08
Norwegian retail mortgage lender, with a market share of ROE 3.76 3.14 1.79
20% of retail loans and 16.1% of corporate lending. The ROC 0.78 0.98 0.14
assets backing SpareBank 1's covered bond programme C:I 32.19 14.20 18.68
Core capital n/a n/a n/a
are 100% Norwegian residential mortgages.
Source: Bloomberg
SpareBank 1 Gruppen AS is owned by Sparebanken

Cover pool overview
Hedmark (9%), SpareBank 1 Nord-Norge (16%),
SpareBank 1 SMN (20%), SpareBank 1 SR-Bank (29%), We set out below some of the key cover pool
and the cooperating savings banks a further 18%. characteristics:
Together, they constitute the countrys second largest
lender.
As at 31 March 2011
Covered Bond rating S/M/F -/Aaa/AAA
Issuer rating S/M/F -/A1/A-
metrics: Total Cover Pool Balance: (NOK000) 82,160,601
Substitute collateral (NOK000) 12,372,175
Table 471: Key profit & loss figures, NOKmm WA Loan Balance: (NOK)
FY 2008 FY 2009 FY 2010 No. of Loans: 75,905
WA Seasoning (in months): 1,082,414
WA Original LTV (in %): 57.0
Provisions for loan
WA Current LTV (in %): 50.1
losses 0 0 n/a
WA Interest Rate (in %): 3.72
n/a n/a n/a
Comm.& fee income n/a n/a n/a Source: Investor Report
Other operating
income -35 29 -7 Table 475: Collateral pool LTV breakdown
Operating profit (loss) 47 117 105 Current LTV ranges As at 31 March 2011
3 0 n/a 0-<=40% 30.1
PBT 44 117 105 >40%-<=50% 14.3
Taxes 12 33 30 >50%-<=60% 18.1
Net profit (loss) 32 84 76 >60%-<=70% 18.6
>75% 0.0
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Sparebanken Vest Boligkreditt AS Table 478: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: SVEG) NIM 1.65 1.59 1.59
Sparebanken Vest Boligkreditt is a mortgage company ROE 4.74 7.82 11.30
ROC 0.47 0.70 1.15
licensed by the Norwegian FSA, established in 2008. It is C:I 63.46 60.35 55.81
a separate legal entity established in accordance with the Core capital 7.73 10.54 10.80
Norwegian covered bonds legislation in order to acquire Source: Bloomberg. Sparebanken Vest data
mortgages from Sparebanken Vest and finance further
lending via the issuance of covered bonds. Sparebanken Cover pool overview
Vest is the third largest savings bank with a significant We set out below some of the key cover pool
focus in western Norway. It is focused on the retail characteristics:
market (approximately 70% of its loan book), alongside
the SME sector. It operates 63 branches, serving close to Table 479: Covered bond characteristics
230,000 customers. As at 30 April 2011
Covered Bond rating S/M/F -/Aaa/AAA
The cover pool of Sparebanken is backed in its entirety Issuer rating S/M/F -/A2/A-
by Norwegian residential mortgages, transferred from
Total Cover Pool Balance: (NOK000) 27,500,000
Sparebanken Vest. Substitute collateral (NOK000) 1,006,905
OC level (%) 22.0
WA Loan Balance: (NOK) 943,000
We set out below some of the key financial performance No. of Loans: 27,595
metrics: WA Seasoning (in months): 32.4
WA Remaining term (%) 271.4
WA Indexed LTV (%) 52.5
Table 476: Key profit & loss figures, NOKmm
Provisions for loan Table 480: Collateral pool LTV breakdown
losses n/a n/a n/a
NII less provisions 1,329 1,465 1,585 Current LTV ranges As at 30 April 2011
0-<=40% 28.0
Comm.& fee income 393 0.04 382 >40%-<=50% 17.5
income 151 0.42 168 >60%-<=70% 19.0
Operating profit (loss) 615 770 969 >75% 6.0
204 270 169 Source: Investor report
PBT 411 500 800
Taxes 204 137 189
Source: Bloomberg. Sparebanken Vest data
Table 477: Key balance sheet figures, NOKmm

FY 2008 FY 2009 FY 2010
Loans 76,235 82,302 88,001
Total Assets 94,893 97,661 105,275
Deposits 40,521 44,881 48,719
Other ST borrowings 1,353 865 770
Equity 4,372 4,885 5,929
Source: Bloomberg. Sparebanken Vest data
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Terra Boligkreditt AS Cover pool overview

(BBG: TERBOL) We set out below some of the key cover pool
Terra Boligkreditt (Terra) is a specialised credit Table 483: Covered bond characteristics
institution, fully owned by Terra Gruppen AS. Terra
As at 30 June 2011
Gruppen itself is owned by 78 local Terra banks (98%
Covered Bond rating S/M/F -/Aa2/-
ownership) and was constituted in order to provide its Issuer rating S/M/F n/a
shareholder banks access to areas that are too small to
make entering their market cost effective. The company Total Cover Pool Balance (mm): 4,003
WA Loan Balance (): 170,801
therefore negotiates on behalf of all the banks to arrange No. of Loans: 23,435
banking solutions that deliver strategic benefits and WA Current LTV (in %): 46.3
economies of scale. The shareholder banks are WA Indexed LYV (in %): 42.2
Cooperative housing (in %): 13.0
committed to using the solutions negotiated for the group Substitute assets (in %): 7.0
in the most important areas. Fixed rate mortgages (in %) 7.2
Terra banks rank as the fourth largest lender to the retail Source: Investor Report
sector, with a market share of 11%, while the focus on
the corporate market is limited. Terra operates Table 484: Collateral pool LTV breakdown
approximately 190 branches across the country. Current LTV ranges As at 30 June 2011
0-<=40% 26.0
>40%-<=50% 13.0
Financial performance >50%-<=60% 61.0
We set out below some of the key financial performance >60%-<=70% 26.0
>70%-<=75% 0.0
metrics: >75% 0.0
Table 481: Key profit & loss figures, NOKmm
FY 2008 FY 2009 FY 2010
Provisions for loan
losses n/a n/a n/a
NII less provisions n/a n/a n/a
n/a n/a n/a
Other operating
income 0 0 0
Operating profit (loss) n/a n/a n/a
n/a n/a n/a
PBT 9 48 36
Taxes 2 13 10
Source: Bloomberg

FY 2008 FY 2009 FY 2010
NIM n/a n/a n/a
ROA n/a n/a n/a
ROE 1.30 5.40 3.39
ROC 0.05 0.16 0.08
C:I 37.08 25.57 20.14
Core capital 16.63 11.25 12.39
Source: Bloomberg
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Portuguese Covered Bonds
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Portuguese Covered Bonds

We set out in Table 485 a snapshot of key covered bond attributes in Portugal.
Table 485: Portuguese Covered Bond legislative overview

Framework
Legislative Framework Decree 59/2006 and Decree 298/1992, Notices 5-8/2006, Reg instrument 13/2006
Types of covered bonds Two. Mortgage CB (Obrigacoes Hipotecarias) and Public Sector CB (Obrigacoes Sobre o Sector Publico):
Structure of Issuer Direct issuance? Yes and No. The originator can either issue CB directly from the institutions balance sheet or can transfer
the assets to a specialised credit institution (Mortgage Credit Institution or MCI) who then issues the bonds
Comments (if any) Portuguese programmes to date have used the direct issuance model
Bankruptcy remoteness No acceleration on issuer insolvency, although a two-thirds majority of bondholders can vote to accelerate
the programme following issuer dissolution
Dual claim Yes. Should the cover pool be insufficient to satisfy CB bondholders, a claim pari passu to other unsecured
bondholders within the insolvency estate exists
Bond format Typically, fixed rate, soft bullet, with the ability to extend maturities by up to 12 months at the discretion of the
issuer. Maturities must be greater than 2 years and less than 50 years
Supervision Bank of Portugal and CMVM
Cover pool
Eligible assets Mortgage European Union first-lien mortgages (or second-lien where the first-lien is also included). Insured or
guaranteed loans can also be included
LTV caps "Hard" (loans above the maximum can not be included in/must be removed from the cover pool). Both
residential (max LTV 80%) and commercial (max LTV 60%) within the EU; the property has to be valued
every three years for residential properties (or annually for exposures >500k) and annually for commercial
ones
Public Sector Loans granted and debt issued or guaranteed by governments or local authorities within the EU
Substitution Assets 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)
Hedging Used to minimise interest rate, currency, credit or other risks. Entered on the asset register and rank pari
passu with CB holders. Must be sourced from an EU or OECD bank rated at least A-. Do not accelerate on
issuer insolvency
Valuation Individual market values. Independent revaluations must occur at least every three years for loans that
exceed 5% of an institution's own funds, 500k for residential property or 1mm for commercial property. The
value of mortgaged property must also be checked by the institution on a periodic basis (3 years for
residential, annually for commercial). Cover pools are monitored by a designated independent supervisor.
Other comments (if any) Bondholders also benefit from the protection of a bondholder representative charged with implementing the
deliberations of the bondholder meetings that may have established early redemption of the programme,
represent bondholders in any legal action etc. Credit facilities can also be used to finance redemption or
interest payments on outstanding CB
Requirements
ALM matching Asset coverage Nominal cover required, with minimum 5.26% OC for mortgage bonds, none required for public sector bonds.
Interest coverage Yes. Interest paid on the mortgage bonds can never exceed interest received from the cover pool
Other (if any) The average maturity of outstanding bonds can not exceed the average life of the mortgage claims. NPV of
assets must exceed NPV of CB. Must also be met for a 200bp parallel shift in the yield curve
Consequence of breach Failure to meet the above requirements requires the issuing institution to either add mortgage or substitution
collateral, or to repurchase outstanding bonds from the secondary market. Other regulatory actions by the
BdP
Monitoring Independent auditor must verify compliance with all legal and regulatory requirements as well as auditing
collateral. Annual reports to the BdP
Other
Compliance with EU UCITS and CRD compliant
legislation
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Portuguese covered bond & macro backdrop
Figure 137: Portuguese CB issuance, mm Figure 138: Portuguese CB outstanding, mm

14,000 35,000
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 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 139: Portuguese real GDP growth, y-on-y, % Figure 140: Portuguese unemployment level, %
4 12
3
2 10
1 8
0
-1 6
-2 4
-3
-4 2
-5 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Source: Source: Bloomberg Source: Bloomberg
Figure 141: Portuguese CPI and base rate, % Figure 142: Portuguese consumer confidence, balance of survey
5 0
4 -10 Cons. Confidence
3
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10

Source: Bloomberg
Figure 143: Portuguese house price growth, % Figure 144: Portuguese outstanding mortgages (mm) and annual
6%
House price growth growth of mortgage stock, %
4%
140,000 Outstanding mortgages Growth in o/s mortgages 18%
2% 16%
120,000
0% 14%
100,000
12%
-2% 80,000 10%
60,000 8%
-4%
6%
40,000
-6% 4%
20,000 2%
-8%
0 0%
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
May-06
May-07
May-08
May-09
May-10
Sep-05
Sep-06
Sep-07
Sep-08
Sep-09
Sep-10
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-09
Dec-10
Jun-03
Jun-04
Jun-05
Jun-06
Jun-07
Jun-08
Jun-09
Jun-10
Jun-11
Source: INE
Source: ECB
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Banco Comercial Portugues Table 488: Select financial metrics

(Millennium bcp) FY 2007 FY 2008 FY 2009 FY 2010
NIM 2.0 2.1 1.5 1.7
(BBG: BCPPL) ROA 0.6 0.2 0.2 0.2
Snapshot ROE 13.8 3.6 4.2 3.5
ROC 1.4 0.6 0.6 0.8
Banco Comercial Portugues was founded in 1985 and in C:I 64.0 64.5 65.5 56.7
2004 was rebranded as Millennium bcp to unite under Core capital 5.5 7.1 9.3 9.2
one name the different brands that made up the groups Source: Bloomberg
retail banking operations.
Cover pool overview
Within Portugal, group activities include the universal We set out below some of the key cover pool
bank (Millenium bcp), mutual fund management characteristics:
company (Millenium bcp gestao de activos), mortgages
(BII), insurance (Millennium bcp Ageas) and private Table 489: Covered bond characteristics
property fund management (Interfundos). After securing As at 31 March 2011
a strong presence in the domestic market, BCP has also Covered Bond rating S/M/F -/Baa3/BBB+
expanded into overseas markets, such as Poland, Greece, Issuer rating S/M/F BBB-/Ba1/BBB-
Turkey, Angola, Mozambique and the USA. In the Current OC (%) 25.7
Iberian market, Millennium bcp and Banco Sabadell
established an agreement according to which Millennium Cover pool size () 9,116,355,643
bcp supports Banco Sabadell's Customers in Portugal and Avg loan () 50,699
Banco Sabadell supports Millennium bcp's customers in
Spain. Fixed rate mortgages (%) 7.9
Second homes (%) 4.5
Financial performance Loans in arrears (%) 1.0
We set out below some of the key financial performance Top Regional concentration (%) Lisbon 28%
metrics: WA LTV (in %) 47.1
FY 2007 FY 2008 FY 2009 FY 2010 Table 490: Covered pool LTV breakdown
Provisions for loan 260 545 560 713
losses 0-<=40% 36.3
NII less provisions 1,305 1,213 777 839 >40%-<=50% 15.4
>50%-<=60% 16.3
Comm.& fee income 926 897 866 34 >60%-<=70% 17.2
Non-interest expense 2,010 1,828 1,674 1,720 Source: Investor Report
Operating profit (loss) 724 376 252 511
PBT 688 342 296 358

Taxes 70 84 46 -3
Net profit (loss) 563 201 225 302
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
Loans 65,650 75,165 75,191 73,905
Total Assets 88,166 94,424 95,550 100,010
Deposits 39,247 44,694 46,066 45,515
Equity 4,899 6,248 7,221 7,247
Source: Bloomberg
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Banco Espirito Santo (BES) Table 493: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: BESPL) NIM 1.7 1.8 1.8 1.8
Snapshot ROA 1.0 0.6 0.7 0.6
Banco Espirito Santo (BES) is Portugals largest listed ROE 13.8 9.4 10.5 8.2
ROC 1.6 1.0 1.1 1.3
bank and the second largest financial institution by net C:I 49.6 53.9 50.2 53.1
assets, with an average market share of 20.3% in the Core capital 7.5 6.6 8.3 8.8
domestic market with 2.1mm clients. The institution has Source: Bloomberg
a free float of 40.5%, with the majority of share capital
held by the core shareholders of EFSG (40%) and Credit Cover pool overview
Agricole (c11%). We set out below some of the key cover pool
characteristics:
As well as a full range of retail and commercial banking
services offered in Portugal, BES also specialises in Table 494: Covered bond characteristics
Private Banking, Corporate Banking and Investment As at 31 March 2011
Banking. BES also operates in overseas markets, Covered Bond rating S/M/F -/Baa3/-
focusing on those with cultural and economic ties to Issuer rating S/M/F BBB-/Ba1/-
Portugal (Angola, Brazil, Spain and the Maghreb). Cover pool size () 4,950,329,942
Avg loan () 53,601
Current OC (%) 19.0
metrics: Fixed rate mortgages (%) 3.1
Table 491: Key profit & loss figures, mm Second homes (%) 9.3
BTL (%) 1.3
FY 2007 FY 2008 FY 2009 FY 2010 Loans in arrears (%) 0.0
Provisions for loan Top Regional concentration (%) Lisbon City 28%
losses 213 274 540 352
NII less provisions 791 904 750 1,005 Source: Investor Report
Comm.& fee income 716 709 786 887

Other operating income 27 0 96 0 Table 495: Covered pool LTV breakdown
Non-interest expense 1,081 1,144 1,243 1,362 Current LTV ranges As at 31 March 2011
Operating profit (loss) 778 611 586 750 0-<=40% 15.8
>40%-<=50% 12.1
PBT 788 511 685 701 >50%-<=60% 18.0
Taxes 153 83 110 44 >60%-<=70% 24.2
Net profit (loss) 607 402 522 511 >70%-<=80% 29.9
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
Loans 42,170 47,049 48,979 50,829
Total Assets 68,355 75,187 82,297 83,655
Deposits 22,348 24,566 24,661 30,383
Equity 5,414 4,653 6,939 7,476
Source: Bloomberg
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Banco Portugues de Investimento Table 498: Select financial metrics

(BPI) FY 2007 FY 2008 FY 2009 FY 2010
NIM 1.8 1.7 1.4 1.4
(BBG: BPIPL) ROA 0.9 0.4 0.4 0.4
Snapshot ROE 23.0 9.6 10.5 11.2
ROC 3.1 1.4 1.7 1.6
The BPI group, headed by Banco BPI, is a financial C:I 52.1 58.5 58.9 65.5
services group offering services to both retail and Core capital 6.2 8.8 8.6 9.1
corporate customers. It is the fourth largest private Source: Bloomberg
financial group with a market share of approximately
11% in deposits and loans and more than seventeen Cover pool overview
percent in asset management. We set out below some of the key cover pool
characteristics:
The group's commercial bank (Banco BPI) serves 1.6mm
individuals, companies and institutions with close to 700 Table 499: Mortgage covered bond characteristics
branches. BPI also provides investment banking services As at 31 March 2011
on the Iberian peninsula and asset management. The Covered Bond rating S/M/F A+/A3/A-
group is also active in Angola, where it has a 20% market Issuer rating S/M/F BBB-/Baa3/BBB-
share in deposits via its controlling stake in Banco de Number of loans 82,891
Fomento. In addition to Angola, BPI also owns a 30% Avg loan () 52,876
stake in Mozambiques BCI.
Current OC (%) 26.9
Financial performance Fixed rate mortgages (%) 0.0

We set out below some of the key financial performance Second homes (%) 2.4
BTL (%) 0.8
metrics: Loans in arrears (%) 0.0
Table 496: Key profit & loss figures, mm Top Regional concentration (%) Lisbon 29%
FY 2007 FY 2008 FY 2009 FY 2010 WA original LTV (in %) 65.6

Net interest income 630 649 589 630 WA current LTV (in %) 55.6
Provisions for loan WA seasoning (mths) 64.3
losses 112 144 166 121
NII less provisions 518 505 423 509 0-<=40% 18.8
>40%-<=50% 14.8
Comm.& fee income 348 315 322 338 >50%-<=60% 18.8
Non-interest expense 647 722 744 786 >70%-<=80% 23.6
PBT 481 229 319 285

Taxes 109 51 45 -6 Table 500: Public Sector covered bond characteristics
Net profit (loss) 355 150 175 185
Source: Bloomberg Covered Bond rating S/M/F BBB/A3/-
Issuer rating S/M/F BBB/A3/BBB-
Table 497: Key balance sheet figures, mm Cover pool size () 499,404,612
Number of loans 959
FY 2007 FY 2008 FY 2009 FY 2010 Avg loan () 516,352
Loans 27,231 29,275 29,956 30,055
Total Assets 40,546 43,025 47,449 45,660 Top 10 borrowers (in %) 52.0
Deposits 19,906 23,611 22,488 23,106 Top 50 borrowers (in %) 84.9
Short-term borrowings 3,759 2,036 7,488 5,979 WA seasoning (mths) 31.2
Other ST borrowings 1,217 2,954 2,637 2,467 WA remaining term (mths) 95.0
Equity 1,905 1,961 2,303 1,964
Source: Bloomberg
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Caixa Economica Montepio Geral Table 503: Select financial metrics

(Montepio) FY 2008 FY 2009 FY 2010
NIM 1.9 1.5
(BBG: MONTPI) ROA 0.3 0.3
Snapshot ROE 4.9 5.2
ROC 0.6 0.7
Founded as a mutual bank, Montepio offers financial C:I 62.4 55.1 58.5
products ranging from savings and retail banking to Core capital 7.9 9.5 9.0
investment management, insurance and leasing. It is the Source: Bloomberg
oldest financial institution in Portugal, and the countrys
sixth largest banking institution. It is one of the largest Cover pool overview
providers of housing and construction mortgage finance We set out below some of the key cover pool
in Portugal. characteristics:
Montepio is fully owned by Montepio Geral Assiciaco Table 504: Covered bond characteristics
Mutualista (MCAM), a private mutual association, a not- As at 30 June 2011
for-profit with the aim of promoting social protection and Covered Bond rating S/M/F -/Baa3/BBB
health benefits. Issuer rating S/M/F -/Ba2/BB
Financial performance Avg loan () 58,273
Current OC (%) 36.9
metrics:
Fixed rate mortgages (%) 0.0
Table 501: Key profit & loss figures, mm Loans in arrears (%) 0.2
FY 2008 FY 2009 FY 2010 WA LTV (in %) 54.6

Net interest income 335 322 271 WA Seasoning (mths) 84.2
Provisions for loan WA remaining term (mths) 296.3
losses 0 0 0 Subsidised loans (in %) 24.1
NII less provisions 335 321 272 Constant amortization loans (in %) 90.4
Comm.& fee income 85 89 89 Source: Investor Report

PBT 34 44 51
Taxes 0 0 0
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 15,010 14,682 14,554
Total Assets 16,852 17,245 18,249
Deposits 8,330 9,181 10,008
Equity 824 986 995
Source: Bloomberg
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Caixa Geral de Depositos (CGD) Table 507: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: CXGD) NIM 2.2 2.2 1.5 1.4
Snapshot ROA 0.9 0.4 0.2 0.2
Caixa Geral de Depositos was founded in 1876 as a ROE 18.7 10.0 5.5 4.1
ROC 3.0 1.4 0.8 0.7
savings bank and is a public limited company, whose C:I 74.4 80.8 76.7 72.5
only shareholder is the Portuguese government. The Core capital 6.7 7.0 8.5 8.9
Bank is the leading universal bank in the Republic Source: Bloomberg
(significant market shares in customer deposits and
mortgage lending), and the dominant financial group. Cover pool overview
The Group has 5mm customers domestically, or We set out below some of the key cover pool
approximately half the population, with a branch network characteristics:
of over 800 branches.
The institution is structured along a number of business As at 30 June 2011
lines including commercial banking, investment banking Covered Bond rating S/M/F -/Baa3/A-
& venture capital, asset management, specialised credit Issuer rating S/M/F BBB-/Ba1/BBB-
(including Leasing & Factoring and consumer credit); Cover pool size () 11,238,126,029
insurance (both life and non-life) and health care. The Avg loan () 42,964
bank also operates outside of Portugal, with the main Current OC (%) 32.8
foreign markets being Brazil and Mexico.
Financial performance WA remaining term (yrs) 23.4
We set out below some of the key financial performance LTV breakdown (in %)
metrics: 0-<=40% 23.9
>40%-<=50% 16.0
Table 505: Key profit & loss figures, mm >50%-<=60% 17.8
>60%-<=70% 20.1
FY 2007 FY 2008 FY 2009 FY 2010 >70%-<=80% 22.2
Provisions for loan Regional breakdown (in%)
losses 249 448 676 51 Lisbon 27.8
NII less provisions 1,783 1,754 965 1,562 Porto 13.9
Setubal 10.3
Comm.& fee income 491 533 592 649 Braga 6.2
Other operating income 2,642 2,751 2,244 1,881 Faro 4.9
Non-interest expense 3,928 4,653 3,622 3,135 Source: Investor Report
Operating profit (loss) 1,072 631 379 1,081
PBT 1,075 662 374 364 Table 509: Public Sector covered bond characteristics
Taxes 178 157 70 65 Current LTV ranges As at 30 June 2011
Net profit (loss) 856 459 279 251
Covered Bond rating S/M/F -/Baa3/BBB
Source: Bloomberg Issuer rating S/M/F BBB-/Ba1/BBB-
Table 506: Key balance sheet figures, mm Number of loans 2,589
Avg loan () 485,149
FY 2007 FY 2008 FY 2009 FY 2010 Current OC (%) 32.6
Loans 66,844 75,311 77,222 81,907
Total Assets 103,554 111,060 120,985 125,862 Top 5 regional exposures (in%)
Deposits 54,039 60,128 64,256 67,680 Lisbon 15.4
Short-term borrowings 8,841 6,952 6,479 14,604 Porto 13.6
Other ST borrowings 2,474 2,784 2,232 1,936 Setubal 8.1
Long-term borrowings 19,675 23,694 29,252 22,839 Santarem 7.4
Equity 5,541 5,484 7,157 7,840 Aveiro 6.7
Source: Bloomberg Source: Investor Report
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Santander Totta (Totta) Cover pool overview

(BBG: SANTAN) We set out below some of the key cover pool
Banco Santander Totta is part of the Santander Group Table 512: Covered bond characteristics
and offers financial services in Portugal and a number of
As at 30 June 2011
other countries. The bank operates over 700 branches
Covered Bond rating S/M/F A+/Aa3/AA
domestically, and is the third largest privately owned Issuer rating S/M/F BBB-/Baa1/AA
bank by assets. It has a market share of between 9 and Cover pool size () 6,353,882,916
10% in loans and deposits. Aside from retail banking, the Number of loans 110,842
Avg loan () 49,021
institution also provides commercial banking, corporate
banking, global banking and markets and asset Current OC (%) 33.8
management services to its Portuguese account base.
The Santander Group is one of the largest financial WA remaining term (yrs) 311.1
groups in the world: the fourth by profits and the eighth
by market capitalisation. The group has a strong 0-<=40% 18.1
international presence, with 91 million customers across >40%-<=50% 14.2
9 core markets in Europe and the Americas. While retail >50%-<=60% 19.4
banking accounts for the largest share of its profits, the >60%-<=70% 25.5
>70%-<=80% 22.3
group offers a wide range of products, including
corporate and investment banking and asset management. Fixed rate mortgages (%) 1.4
Second homes (%) 6.4
Loans in arrears (%) 0.1
We set out below some of the key financial performance Regional breakdown (in%)
Lisbon 39.4
metrics: Porto 28.5
Coimbra 13.5
Table 510: Key profit & loss figures, mm Algarve 7.7
North 4.3
FY 2009 FY 2010
Provisions for loan Source: Moodys
losses
NII less provisions
Comm.& fee income 364 406

Other operating income
Operating profit (loss)
PBT 567 482

Taxes 87 106

FY 2009 FY 2010
Loans
Deposits
Short-term borrowings
Other ST borrowings
Long-term borrowings
Equity 2,731 2,633
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Spanish Covered Bonds
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Spanish Covered Bonds

We set out in Table 513 a snapshot of key covered bond attributes in Spain.
Table 513: Spanish Covered Bond legislative overview: Standalone programmes

Framework
Legislative Framework Special law-based covered bonds. Mortgage Market Law 41/2007, Law 2/1981, Royal Decree
716/2009, Law 22/2003
Types of covered bonds Two. Mortgage Covered Bonds (Cedulas Hipotecarias or CH) and Public Sector Covered Bonds
(Cedulas Territoriales or CT)
Structure of Issuer Direct issuance? Yes. 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
Comments (if any)
Bankruptcy remoteness All assets are recorded on the cover register. No acceleration occurs in case of insolvency of the
issuer
Dual claim Yes. Covered bond holders preferential claim protected by law
Bond format Typically, fixed rate, hard bullet
Supervision Bank of Spain, Ministry of Economy and Commerce, CNMV (Spanish Securities Commission)
Cover pool
Eligible assets Mortgage EU mortgages. Bondholder claims are guaranteed by the entire mortgage book of the issuer
(both residential and commercial mortgage assets, as well as both eligible and ineligible
mortgages) of the lender (excluding any collateral pledged in other transactions such as bonos
hipotecarios)
LTV caps "Hard" (loans above the maximum are not included in the cover pool as 'eligible' collateral).
Residential mortgages (max 80% LTV) and commercial mortgages (max 60% LTV); 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 (they instead form part of the 'ineligible' mortgage book
which still stand to the benefit of CH investors)
Public Sector Public sector exposures 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
Non-performing collateral Remain as part of the 'ineligible' mortgage book
Substitution Assets CH can be backed up to a limit of 5% of issued capital by substitution assets, including EU
government bonds, other cedulas, mortgage bonds, MBS, eligible bank debt and other low risk,
high quality assets
Hedging Used to minimise interest rate or currency risks. Entered on the asset register and rank pari
passu with CB holders. Must be sourced from an EU or OECD bank rated at least A+/A1. Do not
accelerate on issuer insolvency
Valuation Properties are valued by the lender or by a valuation company at origination. If the value of the
property falls by over 20% (and exists for at least 12 months), 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. No indexation of mortgage collateral post-inclusion in the pool occurs
Requirements
ALM matching Asset coverage Minimum OC of 25% for eligible 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
Interest coverage Not applicable
Other (if any) Minimum asset-liability NPV of 102%. The average maturity of outstanding bonds can not exceed
the average life of the mortgage claims
Consequence of breach Failure to meet the above requirements requires the issuing institution to either grant new
mortgages and add to the pool; add substitution collateral, to repurchase outstanding bonds from
the secondary market; or to deposit cash or public funds at the BdE. Other regulatory actions by
the BdE
Monitoring No specific cover pool monitor as collateral pool is backed by the entire mortgage book.
Oversight provided through institutional audit process
Other
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Table 514: Spanish Covered Bond legislative overview: Multi-Cedulas programmes f

Framework
Legislative Framework Mortgage Market Law 41/2007, Royal Decree 716/2009, Law 22/2003
Types of covered bonds One. Multi-Cedulas (MC) are backed by a collection of individually issued CHs and CTs as
described above
Structure of Issuer Direct issuance? Yes. From an SPV
Comments (if any) The FTA (Fondo Titulizacin de Activos, or SPV) is managed by an SGFT (Sociedad
Gestora de Fondo de Titulizacin), which is registered with CNMV (Spanish Securities
Commission)
Bankruptcy remoteness Yes. Underlying CH or CT bonds are aggregated in an FTA, or bankruptcy remote vehicle,
from which a multi-issuer backed covered bond is issued
Dual claim At the underlying CH or CT level. No cross-collateralisation of individual constituent CH or
CT in the MC
Bond format Typically, fixed rate, soft bullet. Extendible maturity to allow the liquidation of the collateral
pool backing the indiviudal CH or CTs backing the MC. Typically extendible to the longest
CH or CT maturity in the pool, plus a work-out period (between three and twenty years)
Supervision Bank of Spain, Ministry of Economy and Commerce, CNMV
Cover pool
Eligible assets Mortgage The collateral backing the multi-cedula are the individually structured covered bonds, which
in turn are backed by the mortgage or public-sector portfolios of the respective contributing
institutions. The collateral used in MC are individual issues of cedulas with a dual claim to
the issuer and the specific underlying assets
LTV caps At the underlying level
Public Sector At the underlying level
Non-performing collateral At the underlying level
Substitution Assets At the underlying level
Hedging 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 MC
Valuation At the underlying level
Requirements
ALM matching Asset coverage Payment terms of the MC typically mirror those of the underlying CH or CT, ensuring no
funding mismatch.
Interest coverage Liquidity lines or reserve funds provide only structural support in terms of covering the
payment of timely interest or expenses upon CH or CT default. The liquidity facilities are
available to scheduled maturity, with MC become akin to pass-throughs if an underlying CH
or CT is not redeemed on its expected maturity
Other (if any) Failure to pay interest on the MC can occur because the issuer of an underlying CH or CT
has defaulted and the liquidity provider has either defaulted itself, or the facility has been
depleted. Failure to pay principal on the MC can occur because the CH or CT issuer has
defaulted and it has not proved possible to liquidate sufficient collateral in the underlying
pool by the legal final maturity of the MC (either due to asset insufficiency or timing).
Consequence of breach n/a
Monitoring Trustee
Other
Compliance with EU legislation Non UCITS and Non CRD compliant
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Spanish covered bond & macro backdrop

80,000 400,000
Mortgage CB Public Sector CB Mortgage CB Public Sector CB
70,000 350,000
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 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 147: Spanish real GDP growth, y-on-y, % Figure 148: 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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 149: Spanish CPI and base rate, % Figure 150: Spanish consumer confidence, balance of survey
10 Cons. Confidence
5
4 0
3
-10
2
1 -20
0 -30
-1
-40
-2
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
-50
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10

Source: Bloomberg
Figure 151: Spanish house price growth, % Figure 152: Spanish mortgage approvals, #
20% 140,000
House price growth Mortgage approvals
15% 120,000
100,000
10%
80,000
5%
60,000
0% 40,000
-5% 20,000
0
-10%
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Sep-03
Sep-04
Sep-05
Sep-06
Sep-07
Sep-08
Sep-09
Sep-10
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
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Standalone programmes: Financial performance

Banco Bilbao Vizcaya Argentina metrics:
(BBVA)
(BBG: BBVASM) Table 515: Key profit & loss figures, mm
Snapshot FY 2008 FY 2009 FY 2010
Banco Bilbao Vizcaya Argentaria (BBVA) is the Net interest income 12,133 14,325 13,849
Provisions for loan
second largest Spanish financial institution with a strong losses 2,797 5,199 4,718
international presence. The Group counts 35 million NII less provisions 9,336 9,126 9,131
individual and corporate customers in over 32 countries
Comm.& fee income 5,539 5,305 5,382
and offers a wide range of financial services and Other operating
products. income 3,559 3,400 3,543
In Spain and Portugal, BBVA focuses on commercial
and retail banking, consumer finance and insurance, as PBT 6,926 5,736 6,422
well as business development for SMEs and other Taxes 1,541 1,141 1,427
Net profit (loss) 5,020 4,210 4,606
companies and institutions.
Source: Bloomberg
The other main business line is Wholesale Banking &

Asset Management. This division offers asset
management, investment banking and global markets and FY 2008 FY 2009 FY 2010
Real Estate Loans 145,522 148,874 150,782
product management throughout Europe, the Americas Commercial Loans 107,686 51,021 90,408
and Asia. BBVA targets Mexico and the Latin American Consumer Loans 127,890 126,488 135,868
markets in particular, where it offers pension, insurance Other Loans 105,745 112,864 120,934
Total Assets 542,650 535,065 552,738
and private banking products and services. Deposits 239,007 242,582 275,789
BBVA issued cdulas hipotecarias and territoriales. Other short-term
So far in 2011, it has issued 5.5bn in mortgage covered borrowings 46,252 36,044 38,819
bonds and 2.1bn in public sector covered bonds. Equity 26,705 30,763 37,475
Source: Bloomberg

FY 2008 FY 2009 FY 2010
NIM 2.5 2.9 2.8
ROA 1.0 0.8 0.8
ROE 19.0 15.3 14.1
ROC 2.2 1.9 2.2
C:I 59.6 50.5 53.3
Source: Bloomberg
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Cover pool overview

characteristics:
Table 518: Mortgage Covered bond characteristics

As at March
2011
Ratings S/M/F
Cover pool
Cover pool size () 78,992,233,000
Outstanding liabilities (in ) 27,153,284,000
Required OC for current rating (in %) 13.0
Residential properties (in %) 69.5

Commercial properties (in %) 30.5
Residential pool overview

<80% LTV 84.1
Second homes (in %) 10.1
Highest regional exposure (in %) Catalonia - 18.9
Commercial pool overview

WA remaining term (mths) 172.9
<80% LTV (in %) 93.9
Largest 10 borrowers (in %) 3.5
Highest regional exposure (in %) Andalusia - 19.6
Property type
Real estate developers 73.4
Source: Moodys
Table 519: Public sector Covered bond characteristics

As at March
2011
Ratings S/M/F
Cover pool
Cover pool size () 26,184,006,922
Number of borrowers 3,328

Average exposure (in ) 7,867,791
Exposure to 10 largest borrowers (in %) 30.7
Borrower type
Direct claim against region/municipality 72.2
Claim with guarantee of region/municipality 27.8
Source: Moodys
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Banco CAM Table 522: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: CAJAME) NIM 1.8 2.1 1.3
Banco CAM was created as part of the reorganisation of ROE 12.3 9.4 9.9
ROC 1.5 1.0 0.9
the cajas system in Spain. Initially, CAM was originally C:I 63.4 n/a 64.4
to merge with Cajastur, Caja Santander y Cantabria and Core Capital 8.5 n/a n/a
Caja Extremadura to form the new Banco Base, but the Source: Bloomberg
merger failed. Subsequently, the government injected
capital but required the caja to restructure as a Cover pool overview
commercial bank, as part of a set of conditions for We set out below some of the key cover pool
receiving public funds. characteristics:
Before becoming Banco CAM, CAM was the fourth- Table 523: Mortgage covered bond characteristics
largest savings bank in Spain by assets and was itself the As at March
product of the merger, over the years, of over 30 smaller 2011
cajas from the Valencia and Alicante provinces, which Ratings S/M/F
remain its core markets. Its core business remains Covered Bond rating -/Baa1/-
Issuer rating -/Ba1/BB+
offering banking services to individuals and SMEs.
CAMs role will be to manage social welfare projects Cover pool
financed through dividends paid by Banco CAM and act Cover pool size () 32,961,970,736
as holding company. Estimated eligible collateral (in ) 21,107,992,220
We set out below some of the key financial performance Commercial properties (in %) 58.8
metrics:
Pool balance (in ) 13,593,540,437
Table 520: Key profit & loss figures, mm Average loan (in ) 81,289
Net interest income 1,292 1,456 909 Highest regional exposure (in %) Valencia - 44.1
Provisions for loan
losses 982 71 134 LTV breakdown
NII less provisions 311 1,385 774 0-40% LTV 21.1
41-50% LTV 11.1
Comm.& fee income 231 232 199 51-60% LTV 14.0
Other operating 61-70% LTV 15.2
income 742 178 90 71-80% LTV 16.9
Non-interest expense 1,415 756 787 >80% LTV 21.7
Operating profit -185 1,226 284
PBT 387 274 201 Pool balance (in ) 19,368,430,299
Taxes -45 -2 -43 Average loan (in ) 157,324
Net profit (loss) 390 277 244 WA seasoning (mths) 36
Source: Bloomberg
Highest regional exposure (in %) Valencia - 40.4
Table 521: Key balance sheet figures, mm LTV breakdown

0-40% LTV 23.8
FY 2008 FY 2009 FY 2010 41-50% LTV 12.3
Real Estate Loans 42,288 39,150 36,171 51-60% LTV 13.5
Loans 58,495 52,429 50,850 61-70% LTV 16.5
Total Assets 75,473 71,442 70,667 71-80% LTV 17.3
Deposits 41,397 44,440 43,299 >80% LTV 16.6
Source: Moodys
Other short-term
borrowings 578 417 390
Equity 3,576 2,907 2,012
Source: Bloomberg
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As at 31 Mar
2010
Ratings S/M/F
Covered Bond rating -/A3/-
Cover pool
Outstanding liabilities (in ) 400,000,000
Average exposure (in ) 739,186

Borrower type
Direct claim against region/municipality/federal state 88.6
Other 11.4
Source: Moodys
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Banco Espanol de Credito (Banesto) Table 527: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: BANEST) NIM 1.6 1.6 1.6
Banco Espanol de Credito (Banesto) was founded in ROE 16.0 10.6 8.5
ROC 1.2 0.9 0.7
Madrid in 1902 with French capital but is currently 97% C:I 45.7 48.8 40.8
owned by the Santander Group. Core Capital 7.7 8.7 n/a
Source: Bloomberg
Banestos main activity in Spain is commercial banking,
particularly retail banking to individuals and SMEs. It Cover pool overview
also offers private and personal banking products to We set out below some of the key cover pool
wealthy individuals. The bank also offers wholesale characteristics:
banking services, including corporate banking, treasury,
capital markets, stock market brokerage and international Table 528: Covered bond characteristics
business. As at June
2011
Banesto issues cdulas hipotecarias. So far this year it Ratings S/M/F
has issued 1.5bn of mortgage covered bonds, paying up Covered Bond rating -/Aaa/AA
Issuer rating AA/A2/AA
to MS+190bp for a 4 years maturity bond.
Cover pool
We set out below some of the key financial performance Estimated eligible collateral (in ) 24,156,002,808
metrics: Current OC (in %) 72.9
Table 525: Key profit & loss figures, mm Residential properties (in %) 78.8
FY 2008 FY 2009 FY 2010 Commercial properties (in %) 21.2
Provisions for loan Residential pool overview
losses 300 452 811 Pool balance (in ) 23,668,377,045
NII less provisions 1,475 1,389 955 Number of loans 222,152
Average loan (in ) 106,541
Comm.& fee income 706 662 667 Estimated WA current LTV (in %) 57.4
Other operating Highest regional exposure (in %) Andalusia - 22.5
income 162 129 281 Second homes (in %) 1.6
Operating profit 1,137 954 784 LTV breakdown
0-40% LTV 20.5
PBT 1,081 779 608 41-50% LTV 11.7
Taxes 306 221 151 51-60% LTV 14.7
Net profit (loss) 780 560 460 61-70% LTV 20.8
71-80% LTV 17.8
Source: Bloomberg >80% LTV 14.5
Table 526: Key balance sheet figures, mm Commercial pool overview

Pool balance (in ) 6,353,022,309
FY 2008 FY 2009 FY 2010 Number of loans 8,754
Real Estate Loans 37,615 37,716 38,163 Average loan (in ) 725,728
Loans 72,899 72,220 70,789 WA remaining term (mths) 123
Total Assets 120,479 126,221 120,620 Estimated WA current LTV (in %) 56.0
Deposits 41,919 40,961 47,071 Largest 10 borrowers (in %) 18.2
Short-term borrowings 12,407 14,028 7,551 Highest regional exposure (in %) Madrid - 33.6
Other short-term
borrowings 7,751 9,215 8,293 LTV breakdown
Long-term borrowings 30,552 32,258 31,719 0-40% LTV 25.3
Equity 5,154 5,473 5,477 41-50% LTV 10.5
Source: Bloomberg 51-60% LTV 15.7
61-70% LTV 15.3
71-80% LTV 14.3
>80% LTV 18.8
Source: Moodys
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Banco Pastor Financial performance

(BBG: PASSM) We set out below some of the key financial performance
Snapshot metrics:
Banco Pastor is the seventh largest banking group in Table 529: Key profit & loss figures, mm
Spain and the leader in Galicia, where it has a market
FY 2008 FY 2009 FY 2010
share of loans and deposits of over 10% in 2010. Despite
its strong ties with the domestic region, 62% of its Provisions for loan
branches are located outside of Galicia. losses 229 588 283
NII less provisions 297 -49 190
The bank focuses on deposit-taking and lending to Comm.& fee income 187 178 161
individuals and SMEs but also offers investment Other operating
management and pension funds products. It operates a income 70 69 65
network of over 600 branches throughout Spain and has a Operating profit 264 113 95
small international presence, with 10 branches in Europe
and the Americas. PBT 199 125 13
Taxes 57 26 -12
The largest shareholder is the Fundacion Pedro Burrie de Source: Bloomberg
la Maza (a private foundation devoted to promoting the
development of Galicia), which holds approximately Table 530: Key balance sheet figures, mm
42% of the institutions share capital. The other largest
FY 2008 FY 2009 FY 2010
single shareholders are Nocaixagalicia (5.4%), Ponte Real Estate Loans 11,746 13,447 13,939
Gadea group (5.1%) and Casagrande Cartagena (3.9%), Loans 20,788 20,385 21,652
while 24% and 19% are in the hands of retail and Total Assets 27,121 32,325 31,135
Deposits 13,247 13,659 15,025
institutional investors respectively. Short-term borrowings 3,186 7,303 6,699
Other short-term
Banco Pastor issues cdulas hipotecarias. borrowings 1,459 1,078 637
Equity 1,507 1,610 1,606
Source: Bloomberg

FY 2008 FY 2009 FY 2010
NIM 2.1 1.9 1.6
ROA 0.6 0.3 0.2
ROE 11.0 6.9 4.3
ROC 1.4 0.7 0.4
C:I 46.2 36.7 52.1
Source: Bloomberg
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Cover pool overview

characteristics:

As at March
2011
Ratings S/M/F
Covered Bond rating -/Baa1/-
Cover pool
Cover pool size () 13,179,568,062
Estimated eligible collateral (in ) 8,751,272,400


LTV breakdown
0-40% LTV 21.9
41-50% LTV 10.7
51-60% LTV 14.0
61-70% LTV 18.9
71-80% LTV 31.2
>80% LTV 3.3

WA remaining term (mths) 155.9
Largest 10 loans (in %) 7.8
Highest regional exposure (in %) Galicia - 27.6
LTV breakdown
0-40% LTV 44.8
41-50% LTV 12.1
51-60% LTV 12.9
61-70% LTV 12.8
71-80% LTV 10.4
>80% LTV 7.0
Source: Moodys
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Banco Popular Espanol Table 534: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: POPSM) Real Estate Loans 48,420 47,782 48,896
Snapshot Loans 89,780 94,956 96,032
Banco Popular Espanol is currently the third largest Total Assets 110,376 129,290 130,140
Deposits 44,973 52,908 59,324
commercial financial group in Spain, although much Short-term borrowings 14,264 23,900 12,650
smaller than the two institutions in front of it, Santander Other short-term
and BBVA, and set to be overtaken by Bankia once the borrowings 2,396 2,107 2,138
integration of the underlying lenders is finalised. The Equity 8,346 8,448 8,252
group focuses exclusively on the domestic retail and Source: Bloomberg
commercial banking businesses, with a network of over
2,300 branches and a market share of around 5% (and Table 535: Select financial metrics
around 10% in a number of SME-related lines of
FY 2008 FY 2009 FY 2010
business). NIM 2.5 2.5 2.0
ROA 1.0 0.6 0.5
In 2010, Banco Popular entered into a JV with Credit ROE 16.2 11.0 7.7
ROC 1.8 1.2 0.9
Mutuel to create a new bank in Spain, to which the group C:I 37.7 33.6 42.3
will contribute 2bn of loans and 1.7bn of AUM. In Core Capital 8.1 9.1 9.6
2011, BPE joined forces with Allianz, combining its Source: Bloomberg
asset management operations with the insurer's pensions
and insurance businesses.
Banco Popular issues cdulas hipotecarias.
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 905 1,520 1,106
Comm.& fee income 1,016 885 867.915

Other operating
income 132 60 319
PBT 1,461 1,073 833

Taxes 390 293 228
Net profit (loss) 1,052 766 590
Source: Bloomberg
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Cover pool overview

characteristics:

As at June
2011
Ratings S/M/F
Covered Bond rating AAA/Aaa/AA+
Cover pool
Cover pool size () 35,617,095,287
Eligible collateral (in ) 24,603,673,600


Pool balance (in ) 13,687,771,111
Holiday homes 16.9
LTV breakdown
0-40% LTV 22.0
41-50% LTV 11.7
51-60% LTV 14.7
61-70% LTV 18.6
71-80% LTV 18.4
>80% LTV 14.7

Pool balance (in ) 21,367,592,178
LTV breakdown
0-40% LTV 33.8
41-50% LTV 12.8
51-60% LTV 14.1
61-70% LTV 15.1
71-80% LTV 8.7
>80% LTV 15.5
Property type
Retail 23.6
Land 22.0
Real estate developments 21.7
Office 18.5
Industrial 12.3
Other 2.0
Source: Moodys
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Banco Sabadell Table 538: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: SABSM) Real Estate Loans 35,677 36,280 40,016
Snapshot Loans 63,006 63,233 73,981
Banco Sabadell is Spains sixth largest banking group, Total Assets 80,378 82,823 97,099
Deposits 36,442 37,407 48,843
and offers a wide range of financial products throughout Short-term borrowings 8,722 9,577 10,334
the country via different brands and names. The group Other short-term
also operates in Africa, Asia and the Americas via a borrowings 1,513 2,701 2,743
number of branches, representative offices and Equity 4,448 5,297 5,689
subsidiaries or part-owned companies. Source: Bloomberg
Banco Sabadell is structured along five business lines: Table 539: Select financial metrics
Commercial Banking; Corporate Banking & Global
FY 2008 FY 2009 FY 2010
Operations; Markets & Private Banking, BS America and NIM 2.0 2.1 1.8
Bancassurance. The group's largest business line is ROA 0.9 0.6 0.4
Commercial Banking, which provides a range of ROE 14.9 10.8 7.0
ROC 1.7 1.3 0.9
financial products and services for large and medium- C:I 52.7 49.6 54.2
sized companies, SMEs, other small businesses, Core Capital 7.3 9.1 9.4
individuals and administrations. Source: Bloomberg
The Corporate Banking & Global Operations department

deals with the banks largest customers, who require
unique features and complexity; it offers Structured
Finance, Treasury and Capital Markets and Corporate
Finance services.
Banco Sabadell issues cdulas hipotecarias
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 571 226 396
NII less provisions 889 1,390 1,079

Other operating
income 87 64 72
Operating profit 480 1,028 670
PBT 260 571 464

Taxes 12 45 81
Source: Bloomberg
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Cover pool overview

characteristics:

As at March
2011
Ratings S/M/F
Issuer rating A/A3/A-
Cover pool
Cover pool size () 22,152,304,607


LTV breakdown
0-40% LTV 23.7
41-50% LTV 13.2
51-60% LTV 16.4
61-70% LTV 19.5
71-80% LTV 17.6
>80% LTV 9.6

Property type
Land 26.5
Industrial 9.4
Retail 8.2
Office 5.4
Hotel 5.4
Other 18.2
LTV breakdown
0-40% LTV 31.3
41-50% LTV 16.9
51-60% LTV 19.3
61-70% LTV 18.0
71-80% LTV 9.4
>80% LTV 5.1
Source: Moodys
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Banco Santander Table 542: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: SANTAN) Real Estate Loans 351,609 411,778 430
Snapshot Commercial Loans 178,364 186,693 207,371
The Santander Group is the fourth largest bank in the Consumer Loans 347,201 379,297 395,622
Other Loans 113,789 134,433 140,858
world by profits and the eighth by market capitalisation. Total Assets 1,049,632 1,110,529 1,212,017
Deposits 378,749 468,283 575,360
The group has a strong international presence, with 91 Short-term borrowings 141,395 149,535 99,137
Other short-term
million customers across 9 core markets in Europe and borrowings 115,879 91,112 121,180
the Americas. Long-term borrowings 266,516 243,295 226,116
Equity 60,001 73,871 80,914
The groups core activity, and the largest source of its Source: Bloomberg
profits, is traditional retail banking. In continental
Europe, it operates in Spain, Portugal and Germany, Table 543: Select financial metrics
offering retail and wholesale banking, asset management FY 2008 FY 2009 FY 2010
and insurance products. In the UK it focuses mostly on NIM 2.0 2.7 2.8
ROA 0.9 0.8 0.7
retail banking. Outside of Europe, Santander has ROE 15.7 14.2 11.4
branches and subsidiaries in Latin America, mainly in ROC 1.8 1.9 1.9
Brazil, Mexico, Chile and Argentina and in the US, C:I 50.0 46.6 47.6
where it operates under the name Sovereign Bank.
Source: Bloomberg
The banks secondary focus is on commercial banking,

insurance, asset management and global private banking.
Banco Santander issues both cdulas hipotecarias and

territoriales.
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 5,897 11,088 10,267
Comm.& fee income 9,741 10,726 11,680

Other operating
income 1,302 1,155 1,411
PBT 10,849 10,588 12,052

Taxes 1,836 1,207 2,923
Net profit (loss) 8,876 8,943 8,181
Source: Bloomberg
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Cover pool overview

characteristics:
Table 544: Mortgage Covered bond characteristics

As at March
2011
Ratings S/M/F
Issuer rating AA/Aa2/AA
Cover pool
Cover pool size () 54,507,420,570


Highest regional exposure (in %) Madrid - 21.3
LTV breakdown
0-40% 26.3
41-60% 23.8
61-80% 24.7
>80% 25.2

Estimated WA current LTV (in %) 56.1
LTV breakdown
0-40% 29.2
41-60% 24.4
61-80% 23.6
>80% 22.8
Source: Moodys

As at June
2011
Ratings S/M/F
Issuer rating AA/Aa2/AA
Cover pool

Borrower type
Source: Moodys
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Bankia Table 547: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: BKIASM) Loans 196,283
Snapshot Total Assets 292,188
Bankia, the result of the institutional protection scheme Deposits 144,715
(SIP) combining Caja Madrid, Bancaja, Caixa Layetana, Other short-term
Caja Avila, Caja Segovia, Caja Rioja and Caja Insular de borrowings 15,735
Canarias, is one of the largest financial groups in Spain, Long-term borrowings 64,186
Equity 13,413
with pro forma total assets of 292bn at the end of 2010.
Source: Bloomberg
The individual savings banks will be responsible for the
management of social welfare projects financed with the
dividends paid by Bankia.
FY 2008 FY 2009 FY 2010
C:I 52.7
There is still very little information on the breakdown of
Source: Bloomberg
the groups assets, but according to Moody's, as of March
2011 loans to individuals contributed to 69% of the loans
Cover pool overview
book, followed by loans to corporates (28%).
We set out below the latest key cover pool characteristics
The group will have a market share of above 20% in 8 available for the two largest contributors to Bankias
Spanish provinces and of 12-13% in the national market cover pool, Caja Madrid and Bancaja.
for a number of key retail banking products, according to
Table 549: Caja Madrid Mortgage Covered bond characteristics
Moody's, although this is likely to be reduced somewhat
as a number of branches will be closed as part of the As at March
2011
integration process. Cover pool
Cover pool size () 68,412,875,072
The international presence of the bank is limited, with Outstanding liabilities (in ) 32,835,750,000
Current OC (in %) 46,790,943,750
only Caja Madrid operating outside of the core domestic
market. Residential properties (in %) 73.9
We set out below some of the key financial performance Average loan (in ) 99,050
Table 546: Key profit & loss figures, mm LTV breakdown
FY 2008 FY 2009 FY 2010 0-40% LTV 16.0
Net interest income 3,289 41-50% LTV 11.0
Provisions for loan 51-60% LTV 14.7
losses 33 61-70% LTV 18.8
NII less provisions 3,256 71-80% LTV 25.0
>80% LTV 14.5
Comm.& fee income 150
Other operating Commercial pool overview
income 150 WA current LTV (in %) 64.5
Non-interest expense 2,915 Highest regional exposure (in %) Madrid - 37.8
Operating profit 2,587 Real estate developments 76.0
PBT 359 LTV breakdown

Taxes 3 0-40% LTV 17.6
Net profit (loss) 357 41-50% LTV 9.1
51-60% LTV 17.1
71-80% LTV 18.2
>80% LTV 16.7
Source: Moodys
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Table 550: Bancaja Mortgage Covered bond characteristics Table 551: Caja Madrid Public sector Covered bond
As at September
characteristics
2010 As at March
Cover pool 2011
Cover pool size () 31,270,373,785 Cover pool
Outstanding liabilities (in ) 7,828,920,000 Cover pool size () 3,028,033,252
Estimated eligible collateral (in ) 14,326,923,600 Outstanding liabilities (in ) 1,825,000,000
Current OC (in %) 299.4 Current OC (in %) 65.9
Residential properties (in %) 36.8 Exposure to 10 largest borrowers (in %) 40.9
Commercial properties (in %) 63.2 Highest regional exposure (in %) Madrid - 47.8
Residential pool overview Borrower type

Number of loans 114,131 Direct claim against region/municipality/federal state 68.8
Average loan (in ) 100,738 Claim with guarantee of region/municipality 31.2
Source: Moodys
Prior ranks (in %) 3.3
LTV breakdown
0-40% LTV 12.4
41-50% LTV 9.2
51-60% LTV 13.3
61-70% LTV 19.5
71-80% LTV 28.4
>80% LTV 17.2

Property type
Real estate developers 38.5
Land 36.2
Office 20.1
Industrial 5.2
LTV breakdown
0-40% LTV 22.5
41-50% LTV 11.8
51-60% LTV 16.2
61-70% LTV 26.3
71-80% LTV 14.8
>80% LTV 8.6
Source: Moodys
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Bankinter Table 553: Key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: BKTSM) Real Estate Loans 29,300 29,153 32,396
Snapshot Loans 40,897 39,877 41,679
Bankinter was founded in 1962 as a JV between Total Assets 53,470 54,467 54,152
Deposits 17,294 16,601 19,215
Santander and Bank of America. Initially, it was set up as Short-term borrowings 11,256 7,583 5,764
an industrial bank, but it was transformed into a Other short-term
commercial bank for its listing on the Madrid stock borrowings 1,598 1,900 2,114
exchange in 1972. Equity 1,965 2,583 2,580
Source: Bloomberg
It is currently amongst the top 6 Spanish financial
institutions and provides a range of banking and financial Table 554: Select financial metrics
services to individuals, SMEs and corporates in its core
FY 2008 FY 2009 FY 2010
domestic market. NIM 1.4 1.5 1.1
ROA 0.5 0.5 0.3
The bank was one of the first to embrace the new ways to ROE 13.6 11.2 5.8
ROC 0.8 0.7 0.5
reach clients and do banking in the modern age: more C:I 54.1 62.2 60.9
than 60% of its retail banking transactions are now Core Capital 7.4 7.4 7.3
performed through remote channels, such as telephone Source: Bloomberg
and the internet, which alone contributes for 46% of all
transactions.
Bankinter has maintained relatively tight underwriting

standards, despite growing through the years, and as a
consequence it has one of the best performing mortgage
books amongst Spanish financial institutions.
More than 20% of the bank is owned by Frances Credit

Agricole. Bankinter issues cdulas hipotecarias.
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 186 219 216
Comm.& fee income 303 271 261.479

Other operating
income 29 470 234
Non-interest expense 639 1,037 745
PBT 337 346 205

Taxes 85 92 54
Source: Bloomberg
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Cover pool overview

characteristics:

As at June
2011
Ratings S/M/F
Cover pool
Cover pool size () 17,638,034,450


Pool balance (in ) 10,563,599,110
LTV breakdown
0-40% LTV 22.8
41-50% LTV 13.2
51-60% LTV 16.3
61-70% LTV 17.8
71-80% LTV 20.3
>80% LTV 9.6

Property type
Retail 19.7
Land 11.0
Office 1.6
Other 56.8
LTV breakdown
0-40% LTV 26.8
41-50% LTV 14.8
51-60% LTV 15.0
61-70% LTV 14.2
71-80% LTV 7.7
>80% LTV 21.5
Source: Moodys
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Bilbao Bizkaia Kutxa (BBK) Table 557: Key balance sheet figures, mm
FY 2008 FY 2009 FY 2010
(BBG: BILBIZ) Real Estate Loans 14,866 15,515 16,139
Snapshot Loans 20,978 21,178 21,601
Caja de Ahorros de Bilbao y Vizcaya (BBK) is a savings Total Assets 29,667 29,806 29,112
Deposits 17,095 16,884 17,133
bank based in the Basque Country, where most of its Short-term borrowings 2,074 4,332 4,606
client base is located. The bank is the product of the Other short-term
merger of Caja de Ahorros Municipal de Bilbao and the borrowings 90 191 144
Long-term borrowings 2,512 1,263 812
Bizkaiko Aurrezki Kutxa-Caja de Ahorros Vizcana. Equity 3,914 4,123 3,978
According to Moody's, the bank has leading market Source: Bloomberg
shares in the Basque Country provinces: 42% and 28% of
deposits and lending respectively. Table 558: Select financial metrics
FY 2008 FY 2009 FY 2010
In 2010, BBK won a bid for Cajasur, the Cordoba-based NIM 2.0 1.8 1.9
caja that was put into administration earlier in the year. ROA 1.2 1.0 0.9
The acquisition became effective as of January 2011, ROE 7.8 7.3 6.4
ROC 2.9 2.5 2.3
when all assets and liabilities of Cajasur were transferred C:I 56.7 61.6 50.9
to BBK. Core Capital n/a 14.6 16.7
Source: Bloomberg
In 2011, BBK signed an agreement with the other two
Basque savings banks, Kutxa and Vital Kutxa, which will
lead to the creation of Kutxa Bank in January 2012,
although the three banks will keep their own brand
names in their traditional territories. The three cajas will
transfer assets and liabilities to the new entity but will
continue to manage social welfare projects separately.
BBK will be the largest contributor to Kutxa Bank with

57%, followed by Kutxa (32%) and Vital Kutxa (11%).
The bank issues cdulas hipotecarias.
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 145 158 113

Other operating
income 209 162 171
PBT 327 275 234

Taxes -15 -18 -29
Source: Bloomberg
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Cover pool overview

characteristics:

As at June
2011
Ratings S/M/F
Issuer rating A/Baa3/A
Cover pool
Cover pool size () 13,833,918,424


Pool balance (in ) 11,190,810,150
Highest regional exposure (in %) Basque Country
- 50.6
LTV breakdown
0-40% LTV 18.2
41-50% LTV 11.8
51-60% LTV 13.1
61-70% LTV 13.9
71-80% LTV 20.9
>80% LTV 22.1

- 67.4
Property type
RED 41.7
Retail 19.9
Land 9.8
Industrial 9.1
Office 3.3
Other 13.8
LTV breakdown
0-40% LTV 43.7
41-50% LTV 13.0
51-60% LTV 12.4
61-70% LTV 11.8
71-80% LTV 9.0
>80% LTV 10.3
Source: Moodys
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Caixa dEstalvis de Catalunya, Table 561: Key balance sheet figures, mm

Tarragona i Manresa (CatalunyaCaixa) FY 2008 FY 2009 FY 2010
(BBG: CAIXAC) Loans 50,011 44,381 51,689
Deposits 26,828 25,859 38,451
CatalunyaCaixa Group was formed in July 2010, the Short-term borrowings 9,884 26,319 25,219
outcome of the merger of Caixa Catalunya, Caixa Other short-term
Tarragona and Caixa Manresa, three institutions closely borrowings 772 1,437 1,790
linked to the Catalunya region. The merger took place Equity 2,765 2,835 2,106
under the framework of the FROB and the wider process Source: Bloomberg
of the restructuring of the Spanish cajas system.
The new institution has more than 81 billion in FY 2008 FY 2009 FY 2010
consolidated assets and offers local retail banking and NIM n/a n/a 0.5
personal financial advisory services and products through ROA 0.3 0.1 0.0
ROE 6.3 2.9 0.7
1,200 branches.
ROC 0.5 0.2 0.1
C:I 53.5 77.5 92.6
The largest of the three underlying cajas is Caxia Core Capital 6.3 6.1 7.4
dEstalvis de Catalunya, a Barcelona-based savings bank Source: Bloomberg
with strong ties to the region, where it was the second
largest savings bank in terms of market share.
Caixa Catalunya issues CH and CT.
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 771 33 3

Other operating
income 12 1,344 277
Non-interest expense 735 2,091 764
Operating profit -131 563 56
PBT 205 75 12
Taxes 20 -2 -6
Source: Bloomberg
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Cover pool overview Table 564: Public sector Covered bond characteristics
We set out below some of the key characteristics of As at June
Caixa Catalunyas cover pool: 2011
Ratings S/M/F
Table 563: Mortgage Covered bond characteristics Issuer rating -/Ba1/-
As at June
2011 Cover pool
Ratings S/M/F
Outstanding liabilities (in ) 665,000,000
Covered Bond rating -/Baa1/-
Cover pool
Cover pool size () 28,710,071,581
Borrower type
Required OC for current rating (in % 23.0 Source: Moodys


LTV breakdown
0-40% LTV 16.6
41-50% LTV 8.1
51-60% LTV 10.9
61-70% LTV 15.3
71-80% LTV 20.8
>80% LTV 28.3

Property type
RED 61.3
Retail 4.4
Office 1.1
Other 33.3
LTV breakdown
0-40% LTV 22.9
41-50% LTV 10.4
51-60% LTV 16.5
61-70% LTV 19.3
71-80% LTV 20.7
>80% LTV 9.9
Source: Moodys
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CaixaBank Table 566: La Caixa key balance sheet figures, mm

FY 2008 FY 2009 FY 2010
(BBG: CABKSM) Loans 172,492 166,811 180,876
CaixaBank is a financial group offering banking, Deposits 136,284 130,847 142,072
insurance and investment products. It is a leader in retail Other short-term
banking in Spain and has a small, but growing borrowings 8,862 10,544 12,126
international presence. Long-term borrowings 50,149 48,421 60,404
Equity 21,921 26,301 21,980
Source: Bloomberg
Caja de Ahorros y Pensiones de Barcelona (La Caixa)
and Caixa Girona merged to form CaixaBank in January
Table 567: La Caixa select financial metrics
2011, as part of the restructuring of the Spanish banking
system. FY 2008 FY 2009 FY 2010
ROA 0.7 0.6 0.5
ROE 10.7 8.7 7.0
CaixaBank leverages off of La Caixa's position of ROC 2.2 1.9 1.6
strength in the market and offers retail and corporate C:I 63.8 57.5 59.7
Core Capital 10.1 10.4 n/a
banking services as well as investing directly in company
Source: Bloomberg
holdings. In fact, via its vehicle Criteria CaixaCorp, the
bank has a large portfolio of industrial holdings in
companies involved in the infrastructure, energy and
communications sectors, among others.
La Caixa, whose assets make up 95% of the mortgage

cover pool, issues CH and CT.
metrics:
Table 565: La Caixa key profit & loss figures, mm

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 796 1,840 2,115
Comm.& fee income 1,497 1,530 1,629

Other operating
income 1,100 777 1,185
Operating profit 1,526 942 488
PBT 2,074 1,868 1,440

Taxes 11 35 -247
Net profit (loss) 1,802 1,510 1,307
Source: Bloomberg
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Cover pool overview Table 569: La Caixa Public sector Covered bond characteristics
We set out below some of the key characteristics of La As at March
Caixas cover pool: 2011
Cover pool
Cover pool size () 12,140,855,621
Table 568: La Caixa Mortgage Covered bond characteristics Outstanding liabilities (in ) 2,700,000,000
As at Current OC (in %) 349.7
December 2010
Cover pool
Cover pool size () 106,177,819,307
Borrower type
Required OC for current rating (in % 11.0
Commercial properties (in %) 30.9 Source: Moodys

Pool balance (in ) 69,124,959,981
Average loan (in ) 81,249 C
LTV breakdown
0-40% LTV 15.8
41-50% LTV 10.5
51-60% LTV 14.9
61-70% LTV 21.8
71-80% LTV 23.6
>80% LTV 13.4

Pool balance (in ) 32,776,408,031
Highest regional exposure (in %) Madrid-24.6
Land 16.2
Mixed use 10.7
Retail 7.8
Industrial 4.1
Hotel 3.6
Office 2.8
Other 7.0
LTV breakdown
0-40% LTV 17.9
41-50% LTV 13.1
51-60% LTV 18.7
61-70% LTV 26.0
71-80% LTV 14.3
>80% LTV 10.0
Source: Moodys
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Caja de Ahorros y Monte de Piedad de Cover pool overview

Guipzcoa y San Sebastin (Kutxa) We set out below some of the key characteristics of the
cover pool:
(BBG: KUTXA)
Snapshot Table 572: Mortgage Covered bond characteristics
Kutxa is one of three Basque savings banks. As of As at March
January 2012, it will join forces with the other two (BBK 2011
and Caja Vital Kutxa) to form Kutxa Bank. See BBK and Ratings S/M/F
Caja Vital Kutxa profiles for further details. According to Covered Bond rating AAA/-/-
Issuer rating A/-/A-
Fitch, at this point it will rank as the 14th largest caja in
Spain once the integration process is complete. While Cover pool
based in its home province of Gipuzkoa, 209 of Kutxas Cover pool size () 8,626,500,000
347 branches at end H1 2010 were situated outside Eligible collateral (in ) 5,606,500,000
Gipuzkoa and mostly opened in the 2003-2007 expansion Current OC (in %) 145.1
plan. Its activities are predominantly retail in nature, with
the bank focused on deposit-taking and retail lending.
Kutxa is mainly funded by a large deposit base which Residential pool overview
accounted for 75% of lending at end H1 2010. Wholesale Pool balance (in ) 6,843,600,000
funding is mainly through mortgage-covered bonds. WA seasoning (mths) 47.8
Financial performance Highest regional exposure (in %) Basque Country
We set out below some of the key financial performance Commercial pool overview
metrics: Pool balance (in ) 1,782,900,000
Table 570: Key profit & loss figures, mm WA current LTV (in %) 39.7
FY 2008 FY 2009 FY 2010 Highest regional exposure (in %) Basque Country
Net interest income 311 327 279 Source: Moodys
Provisions for loan
losses -32 139 97

Other operating
income 44 83 66
PBT 60 12 4
Taxes -51 -38 -21
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 16,062 15,711 15,683
Total Assets 21,266 21,095 20,851
Deposits 17,058 15,532 15,470
Equity 2,175 2,310 2,188
Source: Bloomberg
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Caja Vital Kutxa Cover pool overview

(BBG: VITAL) We set out below some of the key characteristics of the
Snapshot cover pool:
Caja Vital Kutxa (full name Caja de Ahorros de Vitoria y Table 576: Mortgage Covered bond characteristics
lava Araba eta Gasteizko Aurrezki Kutxa) was formed
As at March
in 1990 through the merger of the Caja Provincial de 2011
Ahorros de lava and Caja de Ahorros y Monte de Ratings S/M/F
Piedad de Vitoria Gasteizko Aurrezki Kutxa. Covered Bond rating -/Aaa/-
It offers retail banking products in its domestic Basque Cover pool
Country region. From January 2012, it will join forces Cover pool size () 4,887,501,555
with the other two Basque savings banks, BBK and Outstanding liabilities (in ) 1,372,000,000
Kutxa, to form Kutxa Bank (see BBK profile for details). Current OC (in %) 256.2
We set out below some of the key financial performance Commercial properties (in %) 35.8
metrics:
FY 2008 FY 2009 FY 2010 WA seasoning (mths) 54
Net interest income 144 130 92 WA current LTV (in %) 62.2
Provisions for loan Highest regional exposure (in %) Basque Country
losses 28 6 43 - 61.5
NII less provisions 117 123 49 Second homes (in %) 5.5
Comm.& fee income 42 42 43 LTV breakdown

Other operating 0-40% LTV 18.2
income 16 24 23 41-50% LTV 10.8
Non-interest expense 115 105 122 51-60% LTV 13.7
Operating profit 91 112 -2 61-70% LTV 16.3
71-80% LTV 21.5
PBT 88 76 36 >80% LTV 19.5
Taxes 12 7 -2
Net profit (loss) 75 68 38 Commercial pool overview
Source: Bloomberg
Table 574: Key balance sheet figures, mm WA current LTV (in %) 64.7
FY 2008 FY 2009 FY 2010 - 56.1
Loans 6,505 6,556 6,529
Total Assets 8,726 9,252 8,644 Property type
Deposits 5,764 6,040 6,421 Land 45.8
Short-term borrowings 379 415 246 RED 15.9
Other short-term Industrial 13.6
borrowings 39 34 33 Retail 10.2
Long-term borrowings 918 1,129 1,004 Other 14.5
Equity 802 854 844
Source: Bloomberg LTV breakdown
0-40% LTV 15.0
Table 575: Select financial metrics 41-50% LTV 9.6
51-60% LTV 12.0
FY 2008 FY 2009 FY 2010 61-70% LTV 16.5
NIM 2 2 1 71-80% LTV 26.0
ROA 1 1 0 >80% LTV 20.9
ROE 10 8 5 Source: Moodys
ROC 3 2 2
C:I 49 46 75
Source: Bloomberg
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Cajamar Caja Rural Table 579: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: CAJAMA) NIM 2.2 1.6
Snapshot ROA 0.2 0.1
Cajamar is the result of the fusion of the Rural Savings ROE 3.3 1.6
ROC 1.0 0.4
banks of Almera and Mlaga, Caja Rural del Duero and C:I 53.6 64.7
the incorporation of the co-operatives Campo de Source: Bloomberg
Cartagena and Grumeco. Finally, in 2010, Caja Rural de
Baleares merged with Cajamar.
It is the largest bank in the Grupo Cooperativo Cajamar,

which provides banking services across Spain. It is the
19th largest bank in Spain, reaching over 2.5mm
customers via a thousand branches in 14 autonomous
regions.
Cajamar issues cdulas hipotecarias.
metrics:

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 12 200 n/a

Other operating
income 15 36 51
PBT 134 70 32
Taxes 8 5 0
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 23,319 24,188 24,982
Total Assets 25,154 27,679 29,809
Deposits 18,052 20,314 21,541
Other short-term
borrowings 18 6 31
Equity 1,826 2,212 2,324
Source: Bloomberg
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Cover pool overview

characteristics:

As at June
2011
Ratings S/M/F
Issuer rating -/Baa3/A
Cover pool
Cover pool size () 13,523,108,689


LTV breakdown
0-40% LTV 18.3
41-50% LTV 11.0
51-60% LTV 14.4
61-70% LTV 19.2
71-80% LTV 27.0
>80% LTV 10.1

Property type
Real Estate Developers 41.6
Land 24.6
Retail 19.2
Other 14.5
LTV breakdown
0-40% LTV 33.5
41-50% LTV 13.4
51-60% LTV 15.5
61-70% LTV 14.7
71-80% LTV 8.4
>80% LTV 14.5
Source: Moodys
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Ibercaja Cover pool overview

(BBG: CAZAR) We set out below some of the key cover pool
Caja de Ahorros y Monte de Piedad de Zaragoza, Aragon Table 584: Covered bond characteristics
y Rioja (Ibercaja) is based in the Aragon region. Ibercaja
As at June
offers traditional retail banking products to individuals 2011
and SMEs. Despite enjoying a strong position in the Ratings S/M/F
northern regions that constitute its core markets (19% Covered Bond rating AAA/Aa1/-
market share in lending and 32% in deposits in 2010, Issuer rating A/Baa1/-
according to Moodys), it only has a 2.1% share of the Cover pool
Spanish lending and deposits markets. Cover pool size () 22,219,652,885
Financial performance Current OC (in %) 264.0
We set out below some of the key financial performance Required OC for current rating (in %) 35.5
metrics:
FY 2008 FY 2009 FY 2010
Pool balance (in ) 15,369,760,418
Net interest income 668 694 548 Average loan (in ) 84,253
Provisions for loan WA seasoning (mths) 45
losses 154 174 104 WA current LTV (in %) 59.3
NII less provisions 514 520 444 Highest regional exposure (in %) Madrid - 27.5
Other operating LTV breakdown
income 1,034 38 42 0-40% LTV 17.7
Non-interest expense 1,627 563 572 41-50% LTV 10.9
Operating profit 196 292 204 51-60% LTV 15.4
61-70% LTV 19.6
PBT 274 182 134 71-80% LTV 28.4
Taxes 54 39 32 >80% LTV 8.0
Source: Bloomberg Commercial pool overview
Table 582: Key balance sheet figures, mm Average loan (in ) 242,354
Real Estate Loans 27,352 27,268 Highest regional exposure (in %) Aragon - 22.2
Loans 33,984 33,356 33,016
Total Assets 44,066 44,691 44,989 Property type
Deposits 28,409 28,205 28,123 RED 39.1
Short-term borrowings 1,306 1,579 2,329 Land 23.2
Other short-term Retail 6.7
borrowings 7,355 144 220 Industrial 3.9
Long-term borrowings 842 7,207 6,370 Other 27.1
Equity 2,520 2,704 2,730
Source: Bloomberg LTV breakdown
0-40% LTV 19.1
41-50% LTV 11.2
FY 2008 FY 2009 FY 2010 61-70% LTV 18.9
71-80% LTV 23.9
NIM 1.3
>80% LTV 11.3
ROA 0.5 0.3 0.2
ROE 8.5 5.5 3.8 Source: Moodys
ROC 4.3 1.7 0.8
C:I 82.1 54.1 64.5
Core Capital 8.8 9.7
Source: Bloomberg
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Santander Consumer Finance Cover pool overview

(BBG: SANTAN) We set out below some of the key cover pool
Santander Consumer Finance is a leading consumer Table 587: Covered bond characteristics
finance company present in 17 countries: Austria,
As at June
Belgium, the Czech Republic, Denmark, Finland, 2010
Germany, Italy, Netherlands, Norway, Poland, Portugal, Ratings S/M/F
Russia, the Slovak Republic, Spain, Sweden, UK and Covered Bond rating -/Aa1/-
USA. Issuer rating (Santander Group) AA/Aa2/AA
Cover pool
The company is part of the Santander Group, one of the Cover pool size () 2,641,048,731
largest financial groups in the world (see separate Outstanding liabilities (in ) 1,350,000,000
profile), and offers its products mainly though point of Required OC for current rating (in %) 26.0
sales but also branches, internet and telemarketing
platforms. Residential properties (in %) 97.4
Santander Consumer Finance issues cdulas Residential pool overview

hipotecarias. Pool balance (in ) 2,572,289,079
Financial performance WA current LTV (in %) 66.3
We set out below some of the key financial performance Highest regional exposure (in %) Andalusia - 35.6
metrics:
LTV breakdown
Table 585: Key profit & loss figures, mm 0-40% LTV 13.8
41-50% LTV 8.9
FY 2008 FY 2009 FY 2010 51-60% LTV 10.5
Net interest income 214 106 61-70% LTV 16.7
Provisions for loan 71-80% LTV 22.8
losses -1 7 >80% LTV 27.3
NII less provisions 215 99
Source: Moodys
Comm.& fee income 43 39.528
Other operating
income 5 0
Operating profit 397 417
PBT 484 434

Taxes 10 20
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 21,625 21,922
Equity 6,377 7,380
Source: Bloomberg
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Unicaja Cover pool overview

(BBG: UNICAJ) We set out below some of the key cover pool
Montes de Piedad y Caja de Ahorros de Ronda, Cdiz, Table 591: Covered bond characteristics
Almera, Mlaga y Antequera (Unicaja) is a Malaga-
As at June
based savings bank with a strong regional presence in 2011
Andalusia. In 2010, as part of the Spanish saving banks Ratings S/M/F
system restructuring, Caja Provincial de Ahorros de Jaen Covered Bond rating -/Aaa/-
became the latest addition to the group. Issuer rating -/A1/A
Cover pool
Unicaja has a network of 935 branches in around Cover pool size () 17,077,087,276
eighteen Spanish provinces and international offices in Outstanding liabilities (in ) 9,499,100,000
Brussels, London and Frankfurt. Furthermore, Unicaja's Current OC (in %) 79.8
international presence is widened through CECAs Required OC for current rating (in %) 32.5
network of representative offices and 2,000 foreign
corresponding banks. Commercial properties (in %) 29.8
Financial performance Residential pool overview

Pool balance (in ) 11,984,660,862
We set out below some of the key financial performance Average loan (in ) 73,158
metrics: WA seasoning (mths) 59
Table 588: Key profit & loss figures, mm Highest regional exposure (in %) Andalusia - 93.3
FY 2008 FY 2009 FY 2010
Net interest income 714 801 698 LTV breakdown
Prov. for loan losses 260 342 206 0-40% LTV 18.6
NII less provisions 455 459 492 41-50% LTV 12.2
51-60% LTV 15.5
Comm.& fee income 160 150 146 61-70% LTV 20.6
Other operating inc. 61 50 54 71-80% LTV 26.2
Non-interest expense 507 504 539 >80% LTV 6.9
PBT 338 231 156 Commercial pool overview
Taxes 52 26 5 Pool balance (in ) 5,092,426,414
Net profit (loss) 286 205 151 Average loan (in ) 203,779
Source: Bloomberg
Property type
FY 2008 FY 2009 FY 2010
RED 36.5
Loans 24,396 23,955 25
Land 18.5
Total Assets 32,156 34,185 34
Retail 11.0
Deposits 24,422 21,969 25 Industrial 5.9
Short-term borrowings 1,022 1,591 2 Office 2.1
Other short-term
Other 26.0
borrowings 44 81 0
Long-term borrowings 3,360 5,033 4 LTV breakdown
Equity 2,724 2,908 3 0-40% LTV 28.1
51-60% LTV 15.6
71-80% LTV 9.5
FY 2008 FY 2009 FY 2010 >80% LTV 15.7
ROA 1 1 1 Source: Moodys
ROE 10 7 10
ROC 4 2 3
C:I 45 42 52
Source: Bloomberg
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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) 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
different pool of underlying CH, with each CH being a Programmes
full-recourse obligation of the individual issuer. The There are 7 multi-cedulas programmes, although one (IM
underlying CH, as if directly holding a single-issue Cedulas GBP) is entirely made up of collateral from
cedula, are backed by the issuing banks entire mortgage Grupo Banco Popular companies.
pool. In the ABS world, there are also multi-seller
Spanish RMBS backed by partial collateral pools Of the remaining six programmes, only one is a public
contributed by a similarly small number of institutions. sector multi-cedula (AyT Cedulas Territoriales), while
In fact there is a high degree of overlap between multi- the remaining five are backed by mortgage collateral.
cedula issuers and multi-seller RMBS participants.
Overall, outstanding bonds (for which we could find a
Despite their ostensible similarities, there are, however, collateral split by lender) total 132bn, of which only
some differences between multi-cedulas and RMBS. In a 1.6bn are multi-cedulas-territoriales (in addition, the
multi-cedula transaction, investors are backed by a GBP platform account for another 6.4bn). The largest
portfolio of CH that remains static throughout the life of programme is AyT Cedulas Cajas Global with an
the transaction, (although the underlying collateral outstanding amount of 46.5bn, followed by AyT
backing these CH bonds changes over time). Cedulas Cajas (28.5bn) and Cedulas TDA (26.4bn).
Where the two secured funding forms diverge however is

in the revolving nature of the underlying pools. Under a
multi-cedula, the static CH in the transaction are each
backed by a dynamic pool of mortgage collateral on
each individual issuer's balance sheet. In a multi-seller
RMBS, the initial contributed collateral pools from each
institution are static.
Furthermore, multi-cedulas are of a bullet nature and,

being a covered bond, are full-recourse obligations of the
issuer, collateralised by a pool of mortgages or loans. As
in other securitisations, Spanish RMBS are not an
obligation of the originator, but rather of the issuing
vehicle (typically an SPV). Should the collateral pool
prove insufficient to redeem outstanding bonds, then
junior bondholders (in reverse order up the capital stack)
will incur principal losses. Should underlying mortgages
in the covered bond collateral pool default, however, the
obligation remains on the issuing institution to repay the
bond in full, with credit risk on the collateral pool only
passing to investors on default of the issuing institution.
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Table 592: Multi-cedula contributors by post-merger institution (Banca Civica to Caja Espana-Duero), % of collateral
% mm
Caixa Ontinyent
Caixa Pollenca
BES (Portugal)
Banco Popular
Banco Gallego
Banco Pastor
Caja Espaa-
Banca Civica
Banca March
BBK Bank
Bankpime
Bankinter
Banco de
Total O/S
Valencia
Espanol
CajaSur
Bankia
Duero
BASE
AyT Cedulas Cajas III 10.3 4.1 15.9 4.6 4.0 3,500
AyT Cedulas Cajas IV 19.3 9.2 9.5 9.2 3,800
AyT Cedulas Cajas V 19.5 5.2 12.9 4.8 1.3 3.2 3,100
AyT Cedulas Cajas VI 26.4 19.4 9.1 12.1 0.9 3,300
AyT Cedulas Cajas VII 8.6 7.1 32.9 11.4 1,750
AyT Cedulas Cajas VIII 1.8 13.0 14.6 14.6 0.2 4.8 4,100
AyT Cedulas Cajas IX 13.7 8.7 16.0 4.0 0.5 8.0 5,000
AyT Cedulas Cajas X 6.4 9.9 12.8 7.7 10.3 3,900
CEDULAS TDA 2 3.0 9.3 7.5 10.0 2,000

CEDULAS TDA 3 7.5 3.0 15.3 15.0 2,000
CEDULAS TDA 5 6.0 7.0 28.3 1,500
CEDULAS TDA 6 2.3 22.8 20.0 3,000
CEDULAS TDA 7 1.5 17.3 8.8 5.0 2,000
CEDULAS TDA 13 2.3 23.4 29.4 4.7 1.9 23.4 2,140
CEDULAS TDA 15 9.7 1.5 2.7 1.2 0.5 4.8 2,070
CEDULAS TDA 17 15.4 15.4 1,950
CEDULAS TDA 18 16.9 2.8 16.9 28.2 4.0 1,770
CEDULAS TDA 19 33.3 33.3 33.3 4,500
CEDULAS TDA 21 21.7 29.0 3,450
IM Cedulas 2 16.9 27.1 10.2 1,475

IM Cedulas 3 4.7 9.4 7.5 1,060
IM Cedulas 4 8.4 24.1 9.6 24.1 7.2 2,075
IM Cedulas 5 20.0 8.0 12.0 1,250
IM Cedulas M1 6.3 6.0 6.0 1,655
IM Cedulas 7 22.0 20.0 1,250
IM Cedulas 9 19.6 7.8 3.9 5.9 1,275
IM Cedulas 10 11.5 19.2 7.7 1,300
IM Cedulas 14 41.7 1,200
Ayt Cedulas Territoriales Cajas 2 7.5 25.6 7.5 665

Ayt Cedulas Territoriales Cajas 4 32.6 2.1 10.4 25.9 965
IM CEDULAS 1 BANCO POPULAR 100.0 2,000

CEDULAS GBP 3 100.0 2,000
CEDULAS GBP 5 100.0 2,350
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% mm
Caixa Ontinyent
Caixa Pollenca
BES (Portugal)
Banco Popular
Banco Gallego
Banco Pastor
Caja Espaa-
Banca Civica
Banca March
BBK Bank
Bankpime
Bankinter
Banco de
Total O/S
Valencia
Espanol
CajaSur
Bankia
Duero
BASE
AyT Cedulas Cajas Global - Series 1 11.1 9.0 16.5 8.4 3.4 2,640
AyT Cedulas Cajas Global - Series 4 15.1 13.0 16.7 1,195
AyT Cedulas Cajas Global - Series 6 20.0 16.7 20.0 1.7 1,500
AyT Cedulas Cajas Global - Series 7 5.0 10.0 1,000
AyT Cedulas Cajas Global - Series 14 11.8 425
AyT Cedulas Cajas Global - Series 18 26.7 13.3 26.7 13.3 750
AyT Cedulas Cajas Global - Series 25 15.4 23.0 30.8 500
AyT Cedulas Cajas Global - Series 26 990
Programa Cedulas TDA - Class A1 9.5 1.6 18.9 1,585

Programa Cedulas TDA - Class A5 15.3 22.9 26.7 7.6 1,310
Programa Cedulas TDA - Class A6 11.8 19.7 14.5 13.1 3,805
Source: J.P. Morgan Covered Bond Research, Investor reports
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Table 593: Multi-cedula contributors by post-merger institution (Caja Laboral to UNNIM), % of collateral
% mm
NovaCaixaGalicia
Catalunya Caixa
Sabadell Group
MareNostrum
Caja Laboral
Ipar Kutxa
Caja Tres
Caja Vital
Total O/S
La Caixa
Cajamar
Ibercaja
Unicaja
UNNIM
Kutxa
CAM
AyT Cedulas Cajas III 5.3 4.3 8.6 8.6 16.0 4.4 14.0 3,500
AyT Cedulas Cajas IV 1.6 1.6 7.9 1.3 9.2 17.6 6.6 7.0 3,800
AyT Cedulas Cajas V 3.2 7.3 4.8 2.4 6.5 16.0 0.8 12.1 3,100
AyT Cedulas Cajas VI 3.0 3.0 7.6 3.0 9.1 6.4 3,300
AyT Cedulas Cajas VII 8.6 5.7 5.7 14.3 5.7 1,750
AyT Cedulas Cajas VIII 2.2 12.2 7.3 3.0 14.4 2.4 5.6 3.7 4,100
AyT Cedulas Cajas IX 4.0 8.0 2.0 13.1 8.0 4.0 10.0 5,000
AyT Cedulas Cajas X 6.8 10.3 9.0 20.5 3.8 2.6 3,900
CEDULAS TDA 2 15.0 18.8 5.0 10.0 10.0 11.5 2,000

CEDULAS TDA 3 15.0 3.8 3.8 15.0 3.0 12.5 6.3 2,000
CEDULAS TDA 5 6.7 4.7 20.0 14.0 13.3 1,500
CEDULAS TDA 6 4.0 16.7 8.3 6.7 13.3 5.8 3,000
CEDULAS TDA 7 20.0 5.0 30.0 7.5 5.0 2,000
CEDULAS TDA 13 14.0 0.9 2,140
CEDULAS TDA 15 12.1 19.3 24.2 12.1 2.4 9.7 2,070
CEDULAS TDA 17 25.6 25.6 2.6 15.4 1,950
CEDULAS TDA 18 25.4 5.6 1,770
CEDULAS TDA 19 4,500
CEDULAS TDA 21 14.5 17.4 2.9 14.5 3,450
IM Cedulas 2 33.9 11.9 1,475

IM Cedulas 3 18.9 47.2 12.3 1,060
IM Cedulas 4 9.6 4.8 4.8 7.2 2,075
IM Cedulas 5 40.0 4.0 8.0 8.0 1,250
IM Cedulas M1 30.2 30.2 21.1 1,655
IM Cedulas 7 42.0 8.0 8.0 1,250
IM Cedulas 9 23.5 39.2 1,275
IM Cedulas 10 15.4 7.7 23.1 15.4 1,300
IM Cedulas 14 33.3 25.0 1,200
Ayt Cedulas Territoriales Cajas 2 22.6 14.3 22.6 665

Ayt Cedulas Territoriales Cajas 4 10.4 4.1 5.2 9.3 965
IM CEDULAS 1 BANCO POPULAR 2,000

CEDULAS GBP 3 2,000
CEDULAS GBP 5 2,350
256
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% mm
NovaCaixaGalicia
Catalunya Caixa
Sabadell Group
MareNostrum
Caja Laboral
Ipar Kutxa
Caja Tres
Caja Vital
Total O/S
La Caixa
Cajamar
Ibercaja
Unicaja
UNNIM
Kutxa
CAM
AyT Cedulas Cajas Global - Series 1 1.1 0.8 7.4 3.6 10.8 16.5 2.8 8.7 2,640
AyT Cedulas Cajas Global - Series 2 2.2 0.3 4.2 7.9 1.3 17.2 7.9 3.2 9.1 3,600
AyT Cedulas Cajas Global - Series 3 1.4 6.8 1.3 2.3 9.3 9.3 3.7 5.2 1,400
AyT Cedulas Cajas Global - Series 4 4.2 6.3 8.4 8.4 19.7 8.4 1,195
AyT Cedulas Cajas Global - Series 7 5.0 10.0 15.0 5.0 20.0 20.0 10.0 1,000
AyT Cedulas Cajas Global - Series 14 5.9 11.8 47.1 23.5 425
AyT Cedulas Cajas Global - Series 18 6.7 13.3 750
AyT Cedulas Cajas Global - Series 25 30.8 500
AyT Cedulas Cajas Global - Series 26 9.1 15.2 25.3 40.4 10.1 990
Programa Cedulas TDA - Class A1 18.9 12.6 12.6 15.8 10.1 1,585
Programa Cedulas TDA - Class A5 7.6 19.8 1,310
Source: J.P. Morgan Covered Bond Research, Investor reports
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Swedish Covered Bonds
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Swedish Covered Bonds

We set out in Table 594 a snapshot of key covered bond attributes in Sweden.
Table 594: Swedish Covered Bond legislative overview

Framework
Legislative Framework Covered Bond (Issuance) Act, 2004, as amended in 2010
Structure of Issuer Direct issuance? Yes. On balance sheet issuance by a universal credit institution with a special license granted by the
Swedish FSA
Comments (if any) 2010 amendment gave the bankruptcy administrator an express mandate to take out liquidity loans and enter
into other agreements for the purpose of maintaining matching between the cover pool, covered bonds and
derivative contracts following issuer insolvency. The administrator now has an extensive mandate to enter
into agreements, not only to achieve a liquidity balance but also to achieve a balance in respect of
currencies, interest rates and interest periods
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 as long as compliance with the Covered Bond
Act broadly and specifically the asset-liability matching requirements are maintained. If the Cover Pool fails to
meet the requirements of the Act, the holders of CB would instead benefit from a priority claim over the
proceeds of a sale of the assets in the cover pool. In this case, the CB investors retain the benefit of any
shortfall claim against the institution which ranks pari passu with other senior, unsecured claims
Dual claim Yes. Should the cover pool be insufficient to satisfy CB bondholders, a claim pari passu to other unsecured
bondholders within the insolvency estate exists
Bond format Typically, fixed rate, hard bullet
Supervision Swedish FSA monitors that the issuing institution complies with the Covered Bond Act and associated
regulations
Cover pool
Eligible assets Mortgage Eligible collateral from the EEA for mortgage assets. Commercial property exposures are limited to a
maximum of 10% of assets.
LTV caps "Hard" (loans above the maximum can not be included in the cover pool). Maximum LTV for residential
mortgages (75%), agricultural properties (70%), commercial properties (60% LTV and 10% of the collateral
pool)
Public Sector EEA and OECD for public sector assets
Substitution Assets Maximum 20% substitute assets (30% can be temporarily allowed). Can consist of cash, investments in
sovereign and sub-sovereign assets
Valuation Individual market values with regular revaluations of mortgage collateral required. Should LTVs rise above
the maximum thresholds set out above through falling property valuations, the portion of the mortgage loan
under these maximum levels may be included in the cover pool calculations
Other comments (if any) All assets and eligible derivative contracts must be entered into a special register
Requirements
ALM matching Asset coverage The nominal value of the cover pool must at all times exceed the aggregate value of claims under the
covered bonds. Same requirement on an NPV basis. The cover pool must also be matched in terms of
currency, interest rate and maturity profile. Over-collateralisation requirements are not defined by legislation
Interest coverage The issuing institution must ensure that the flow of payments regarding assets in the cover pool, derivative
agreements and covered bonds are such that the institution is at all times able to fulfill its payment
obligations
Other (if any)
Monitoring 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
Other
legislation
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Swedish covered bond & macro backdrop

100,000 200,000
80,000 Mortgage Mortgage

150,000
60,000
100,000
40,000
50,000
20,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 155: Swedish real GDP growth, y-on-y, % Figure 156: Swedish unemployment level, %
8 9
6 8
4 7
2 6
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 157: Swedish CPI and base rate, % Figure 158: Swedish consumer confidence, balance of survey
5 30
4
20
3
2 10
1 0
0
-10
-1
-2 -20
-3 -30
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 159: Swedish house price growth, y-on-y, % Figure 160: Swedish residential building permits, #
16% OECD HP nominal growth 14000 Residential build ing permits (sum of prev. 12 mths)
14%
12000
12%
10% 10000
8% 8000
6%
4% 6000
2% 4000
0%
-2% 2000
-4% 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
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Landshypotek AB Table 597: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: LANHYP) NIM n/a 0.57 0.78
Landshypotek is a cooperative credit institution ROE n/a 3.89 8.11
ROC n/a 0.24 0.45
specialising in the financing of Swedish agriculture and C:I 94.39 56.09 37.20
forestry industries. Customers are members of the Core capital n/a n/a n/a
association that owns and operates the business, and are Source: Bloomberg
required to be farm or forestry landowners.
Landshypotek provides a wide array of financial products Cover pool overview
to its members, including both banking and insurance We set out below some of the key cover pool
services. characteristics:
The mainstay of Landshypoteks product range is first- Table 598: Covered bond characteristics
lien mortgages, with supplemental bank and insurance As at July 2011
services offered in partnership with other providers. Due Covered bond rating AAA/-/-
to its cooperative structure, all members receive refunds Issuer rating A-/A3/A+
on their interest payments when the institution makes a
SEK mm
profit. The overwhelming majority of cover pool assets is Cover pool 49,849
secured on agricultural properties. Substitute assets 21,930
Covered bonds 53,529
Financial performance Over-collateralisation 14.60%
We set out below some of the key financial performance Average LTV (%) 39.7
metrics: Number of loans 133,984
Average loan size (SEK) 372,054
Agricultural properties (%) 98.8
Table 595: Key profit & loss figures, SEKmm Residential properties (%) 1.2
FY 2008 FY 2009 FY 2010
Net interest income 345 304 472 Source: Investor Report
Provisions for loan
losses n/a n/a n/a
Commissions & fee
income n/a n/a -9
Other operating
income 58 39 96
PBT 13 172 351
Taxes 1 43 77
Source: Bloomberg
Table 596: Key balance sheet figures, SEKmm

FY 2008 FY 2009 FY 2010
Loans 41,301 46,456 51,773
Total Assets 51,254 59,796 64,161
Deposits 32 45 105
Equity 3,318 3,320 3,429
Source: Bloomberg
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Lnsfrskringar Hypotek AB Table 600: Key balance sheet figures, SEKmm

FY 2008 FY 2009 FY 2010
(BBG: LANSBK) Loans 39,831 44,311 43,438
Twenty-three regional insurance companies own Deposits 23,327 26,936 28,306
Lnsfrskringar AB, and its subsidiaries, including both Other ST borrowings 280 n/a n/a
Lnsfrskringar Bank AB, and its mortgage subsidiary Long-term borrowings 14,789 12,411 11,732
Lnsfrskringar Hypotek AB. The Group offers Equity 2,961 3,636 3,751
insurance, pensions and banking services to its Source: Bloomberg
customers.
Lnsfrskringar Bank is the fifth largest retail bank in FY 2008 FY 2009 FY 2010
Sweden, focusing primarily on private individuals and NIM 2.28 2.06 2.15
ROA 0.88 0.82 1.07
farmers. Banking services are conducted at the 125 ROE 13.45 12.04 14.79
branches of the regional insurance companies, along with ROC 1.97 1.78 2.47
more modern distribution channels, including telephone C:I 46.36 48.02 44.85
Core capital 9.12 11.55 11.88
and internet banking.
Source: Bloomberg
Lnsfrskringar Hypotek is one of the largest retail

Cover pool overview
mortgage institutions in Sweden, with lending of some
SEK82bn as at March 2011, predominantly funded We set out below some of the key cover pool
through the issuance of covered bonds. 81% of its characteristics:
lending is to private individuals, primarily in the form of
mortgages.
As at 31 March 2011
Issuer rating(Lnsfrskringar Bank) A/A2/-
metrics: Cover pool (SEK bn) 99
Substitute assets (SEKbn) 16
Over-collateralisation 21.0
Table 599: Key profit & loss figures, SEKmm
FY 2008 FY 2009 FY 2010 Average LTV (%) 59.0
Net interest income 965 985 1,055
Average loan size (SEK) 385,000
Provisions for loan
Single family houses 79.0
losses 76 100 37
Tenant-owned apartments 20.0
NII less provisions 889 885 1,018
Leisure homes 1.0
Commissions & fee
income 200 188 197
Other operating Source: Investor Report
income 27 34 42
Non-interest expense 585 653 659 Table 603: Collateral pool LTV breakdown
PBT 561 569 729 Current LTV ranges As at 31 March 2011
Taxes 166 162 184 0-<=40% 14.0
Net profit (loss) 395 407 546 >40%-<=50% 10.0
>50%-<=60% 16.0
>70%-<=75% 31.0
>75% 0.0
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Nordea Hypotek AB Table 606: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: NHBSS) NIM 1.48 1.29 1.03
Nordea Hypotek is a wholly owned subsidiary of Nordea ROE 15.35 11.55 11.36
ROC 1.56 1.16 1.22
Bank AB, the Nordic regions largest financial C:I 53.05 49.99 51.96
institution. Nordea Hypotek is the third largest mortgage Core capital 7.40 11.40 11.40
lender in Sweden, granting loans to Swedish households, Source: Bloomberg
municipalities, municipal housing companies and
corporates. Cover pool overview
The purpose of the lending is primarily to finance characteristics:
properties, agriculture and municipal activities, with a
central emphasis on housing finance. Collateral consists Table 607: Covered bond characteristics
predominantly of mortgages on residential property, As at July 2011
tenant-owned apartments or municipal guarantees. Covered bond rating AAA/Aaa/-
Nordea also issues covered bonds through its Danish Issuer rating AA-/Aa2/AA-
subsidiary (Nordea Realkredit), alongside its Norwegian
Cover pool (SEK bn) 403.8
and Finnish operations (Nordea Eiendomskreditt and Substitute assets (SEKbn) 11.3
Nordea Bank Finland Oyj). Over-collateralisation 25.8%

Financial performance WA Indexed LTV (%) 53.2
metrics: Average loan size (SEK) 511,000
Table 604: Key profit & loss figures, SEKmm Tenant owned units 19.2
Multi family houses 16.0
FY 2008 FY 2009 FY 2010 Other houses, agricultural, commercial, public 19.3
Net interest income 49,055 56,096 49,223 sector
Provisions for loan
losses 4,488 15,785 8,387
NII less provisions 44,567 40,311 40,836 Source: Investor Report
Commissions & fee
income 24,388 26,215 28,194 Table 608: Collateral pool LTV breakdown
Other operating
income 1,657 1,115 1,107 Current LTV ranges As at 31 March 2011
Non-interest expense 48,025 56,159 53,573 0-<=40% 69.2
PBT 32,710 32,663 34,720 >50%-<=60% 9.5
Taxes 6,974 8,041 9,312 >60%-<=70% 6.8
Net profit (loss) 25,727 24,580 25,351 >70%-<=75% 2.4
>75% 0.0
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 2,905,450 2,896,371 2,824,328
Total Assets 5,196,220 5,205,288 5,220,950
Deposits 1,628,673 1,575,061 1,585,505
Equity 195,135 229,936 220,563
Source: Bloomberg
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Skandinaviska Enskilda Banken AB Table 611: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: SEB) NIM 0.89 0.84 0.84
Skandinaviska Enskilda Banken AB, or SEB, is one of ROE 12.55 1.22 6.79
ROC 0.94 0.11 0.73
Northern Europes leading financial groups, and the C:I 61.17 60.45 62.77
second largest bank in Sweden after Nordea. The group Core capital 10.10 13.90 14.20
is predominantly focused on banking activities (although Source: Bloomberg
it also carries out life insurance business in selected
markets) and is a leading universal bank in Sweden and Cover pool overview
the Baltic states. We set out below some of the key cover pool
characteristics:
In other Nordic countries, SEBs operations focus on
wholesale and investment banking, along with wealth Table 612: Covered bond characteristics
management. The group also offers banking services in As at July 2011
Germany, focusing on wholesale banking, commercial Covered bond rating -/Aaa/-
real estate finance, asset management and retail banking. Issuer rating A/A1/A+
Total Cover Pool Balance: (SEKbn) 306.0

Financial performance OC (%) 46.0
WA Loan Balance: (SEK) 591,460
metrics: No. of Loans: 517,424
No. of Borrowers: 335,419
Table 609: Key profit & loss figures, SEKmm No. of Properties: 221,108
FY 2008 FY 2009 FY 2010 Single family properties (%) 61.0
Net interest income 18,832 18,154 16,173 Rental properties (%) 24.0
Provisions for loan Multifamily (%) 15.0
losses 3,268 12,030 1,837
Floating rate loans (%) 61.0
3,444 4,646 3,226
WA Legal Maturity (in months): 508
Comm.& fee income 19,877 17,995 18,671
WA LTV (in %): 45.0
Other operating
WA Interest Rate on Floating rate Loans (in %): 3.21
income 4,007 5,714 3,380
WA Interest Rate on Fixed rate Loans (in %): 3.46
391 151 810 Source: Investor Report
PBT 12,471 4,351 11,105
Taxes 2,421 2,482 2,521 Table 613: Collateral pool LTV breakdown
Net profit (loss) 10,041 1,114 6,745
Source: Bloomberg
0-<=40% 46%
>40%-<=50% 14%
Table 610: Key balance sheet figures, SEKmm >50%-<=60% 12%
FY 2008 FY 2009 FY 2010 >60%-<=70% 11%
>70%-<=75% 17%
Loans 1,296,777 1,187,837 1,074,879
Total Assets 2,510,702 2,308,227 2,179,821
Equity 83,729 99,669 99,543
Source: Bloomberg
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Stadshypotek Mortgage AB Table 616: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: SHBASS) NIM n/a 0.90 0.72
Stadshypotek AB is a wholly-owned domestic mortgage ROE n/a 20.33 16.20
ROC n/a 0.63
subsidiary of Svenska Handelsbanken AB. C:I 5.03 3.57 4.30
Handelsbanken is a universal bank offering both retail Core capital 5.90 28.40 36.80
and commercial banking services in Sweden, along with Source: Bloomberg
operations in the other Nordic countries, as well as the
UK. Its 461-strong branch network is organised along Cover pool overview
twelve regional banks, 6 of which are in Sweden, one We set out below some of the key cover pool
each in Denmark, Finland and Norway and three in the characteristics:
UK.
Stadshypotek issues covered bonds in accordance with As at 30 June 2011
the Swedish Covered Bond Act, with both a domestic Covered bond rating -/Aaa/-
and international programme available to investors. The Issuer rating (Stadshypotek AB) AA-/-/AA-
bonds are backed by a pool of Swedish mortgages.
Cover pool (SEKbn) 661.6
Substitute assets 5.0
Financial performance Covered bonds (SEKbn) 437.1
Over-collateralisation (%) 10.0
metrics: Average LTV 48.4
Table 614: Key profit & loss figures, SEKmm Average loan size () 584,100
FY 2008 FY 2009 FY 2010 Multi family houses 19.9
Net interest income 3,900 6,067 5,501 Other houses, commercial, agricultural 43.0
Provisions for loan
losses -75 -31 -38 Source: Investor Report
Comm.& fee income 12 10 10 Table 618: Collateral pool LTV breakdown

Other operating Current LTV ranges As at 30 June 2011
income n/a n/a n/a 0-<=40% 82.4
>60%-<=70% 0.1
PBT 3,682 5,761 5,408 >70%-<=75% 0.0
Taxes 1,027 1,521 1,423
Net profit (loss) 2,655 4,240 3,895
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 615,263 684,920 758,855
Total Assets 659,498 722,790 796,681
Equity 20,018 21,692 24,431
Source: Bloomberg
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Swedbank Mortgage AB Table 621: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: SPNTAB) NIM 1.37 1.24 1.01
Snapshot ROA 0.64 -0.58 0.42
Swedbank Mortgage is the largest mortgage institution in ROE 14.12 -11.95 8.07
ROC 1.10 -0.99 0.75
Sweden. It has more than 1 million customers, financing C:I 51.79 52.62 57.99
more than one third of all the houses in Sweden. Core capital 10.60 13.50 15.20
Swedbank Mortgage is a fully owned subsidiary of Source: Bloomberg
Swedbank, with its products primarily sold through the
branch network of Swedbank and the savings banks Cover pool overview
(approximately 680 branches). Swedbank Mortgage We set out below some of the key cover pool
lends only domestically. Its parent company focuses on characteristics:
the provision of banking services to private customers
and small-and-medium-sized enterprises in Sweden and Table 622: Covered bond characteristics
the Baltic states. As at July 2011
Swedbank Mortgage funds itself on both the Swedish and Issuer rating A/A2/A
international capital markets, issuing covered bonds
Cover pool (SEKbn) 642.9
under its domestic bond programme, its EMTN Covered bonds (SEKbn) 506.1
programme as well as its Swedish MTN programme. The Over-collateralisation (%) 27.0
covered bonds are backed by a pool of Swedish
Average LTV 56.0
mortgages. Number of loans 1,535,061
Average loan size () 418,774
Financial performance Single family houses 62.1
Multi family houses 28.8
We set out below some of the key financial performance Other houses, commercial, agricultural 9.1
metrics:
Table 619: Key profit & loss figures, SEKmm
FY 2008 FY 2009 FY 2010
Provisions for loan
losses 3,156 24,641 2,810
NII less provisions 18,546 -3,876 13,519
2,351 2,770 2,400
Comm.& fee income 12,241 11,397 13,099
Other operating
income 4,179 2,556 2,166
Operating profit (loss) 14,710 -8,573 9,968
891 888 13
PBT 13,819 -9,461 9,955
Taxes 2,880 981 2,472
Net profit (loss) 10,887 -10,511 7,444
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 1,287,424 1,290,667 1,187,226
Total Assets 1,811,690 1,794,687 1,715,681
Deposits 508,456 504,424 534,237
Equity 86,462 89,974 95,035
Source: Bloomberg
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Swedish Covered Bond Corporation Table 625: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: SCBCC) NIM n/a n/a n/a
Snapshot ROA n/a n/a n/a
The Swedish Covered Bond Corporation (SCBC) is a ROE 6.70 13.80 7.50
ROC n/a n/a n/a
wholly-owned subsidiary of the Swedish Housing C:I n/a n/a n/a
Finance Corporation (SBAB), which in turn is owned in Core capital 7.60 7.40 8.70
its entirety by the Kingdom of Sweden. SBAB offers Source: Bloomberg
loans and savings products, with a 100% domestic
mortgage portfolio. SCBC does not engage in any Cover pool overview
lending activities itself, instead acquiring loans from We set out below some of the key cover pool
SBAB as required. characteristics:
SCBC's business activities are predominantly focused on Table 626: Covered bond characteristics
issuing covered bonds, both domestically and on the As at July 2011
international capital markets (accounting for 36% and S/M/F
22% of its funding requirements respectively). The bonds Covered bond rating AAA/Aaa/-
are backed by Swedish residential mortgages. Issuer rating (SBAB Bank AB) A+/A1/-
Mortgage certificate (SEK bn) 147.7

Financial performance Pledges (SEK bn) 45.6
Municipal & govt g'tee (SEK bn) 4.9
We set out below some of the key financial performance KFA-Municipal g'tee (SEK bn) 0.3
metrics: BKN-Public sector g'tee (SEK bn) 0.4
Direct loans to municipalities (SEK bn) 0.6
Table 623: Key profit & loss figures, SEKmm Other (SEK bn) -
FY 2008 FY 2009 FY 2010 WA LTV mortgages 56.1

Net interest income 1,141 1,519 1,762 WA LTV pledges 63.9
Provisions for loan
losses n/a n/a n/a Source: Investor Report
NII less provisions n/a n/a n/a
Comm.& fee income n/a 44 50 Table 627: Collateral pool LTV breakdown
Other operating Current LTV ranges As at 30 June 2011
income -14 6 0 0-<=40% 19.9
Operating profit (loss) 585 1,289 785 >50%-<=60% 18.5
>60%-<=70% 14.1
PBT n/a n/a n/a >70%-<=75% 37.3
Taxes 161 338 208
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans
Total Assets 253,294 294,075 316,925
Deposits 3,542 4,653 6,083
Short-term borrowings n/a n/a n/a
Long-term borrowings n/a n/a n/a
Equity 6,432 7,377 8,014
Source: Bloomberg
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Swiss Covered Bonds
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Swiss Covered Bonds

We set out in Table 628 a snapshot of key covered bond attributes in Switzerland.
Table 628: Swiss Covered Bond legislative overview

Framework
Legislative Framework Issuance of Swiss Pfandbriefe is limited to just two institutions by law (Pfandbriefgesetz).One is used by
cantonal banks and the other by non-cantonal banks. Bonds are issued in Swiss Francs only.
Types of covered bonds Swiss Pfandbriefe and the structured covered bonds issued by the large universal banks.
Structure of Issuer Direct issuance? 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 banks balance
sheets, but PBB and PBZ receive a lien on the eligible cover assets.
Bonds issued in the international capital markets by the two universal banks (Credit Suisse and UBS) have
used a UK-style structured covered bond technology. The covered bonds are direct, senior unsecured and
unconditional obligations of the issuer but guaranteed by a third party SPV that receives security over the
cover pool upon issuer default.
Comments (if any) UBS and CS CB - Under the Swiss law concept of Pre-funding, the issuer has to pre-fund all of the
guarantor's payment obligations to the bond holders and other transaction parties. The cover pool effectively
collateralises these payments after the issuer has defaulted: if the issuer fails to make such payments, the
guarantor can then use cashflows from the assets. No acceleration upon issuer default; only upon guarantor
or Pfandbrief institute default.
Bankruptcy remoteness PfG upon 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 and CS, bankruptcy will result in the transfer of the security over the cover pool to the Guarantor. As
mentioned above, the security will be perfected only if the issuer fails to meet its pre-funding obligations.
Dual claim Yes in both case. In case of PfG, the bondholder does not have direct recourse to the member bank, but only
to the Pfandbrief institute. The institute, however, has direct recourse to the member banks. For UBS and CS
covered bonds, immediate claim pari passu with unsecured bondholders and recourse to the cover pool.
Bond format UBS and CS covered bonds are fixed rate; the docs allow for the issuance of both hard and soft bullets.
Supervision Swiss Banking Regulator (Finma), along with external, third-party audits.
Cover pool
Eligible assets Mortgage Only Swiss prime mortgages residential mortgages.
LTV caps 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. UBS has a hard cap of 100%. CS has
soft cap of 70% but hard cap of 100% LTV.
Public Sector n/a
Non-performing collateral UBS and CS do not have to substitute loans in arrears but less credit is given to them in the calculation of the
coverage ratio.
Substitution Assets PfG: Substitute assets are defined as cash or Swiss marketable securities. There is no explicit cap on the
level of substitute assets. UBS and CS allow up to 15% substitute collateral.
Hedging Permitted under UBS and CS to reduce risk. Natural matching under PfG and no derivatives allowed.
Valuation Market values.
Requirements
ALM matching Asset coverage UBS and CS have committed to at least 11% OC or 90% asset percentage. Asset Coverage tests are
designed to ensure that pool collateral is sufficient to meet future interest and principal cashflows on the
outstanding covered bonds. Under the PfG, OC of at least 8%.
Interest coverage Interest Coverage test to ensure interest from the cover pool after hedges always exceeds payments due on
the covered bonds.
Other (if any) UBS and CS have a pre-maturity test to ensure liquidity if the issuer is downgraded. They also need ot
maintain a reserve fund for liquidity reasons.
Consequence of breach For UBS and CS, a breach of the ACT and ICT can lead to issuer EoD.
Monitoring For PfG, there are the two Pfandbrief institutes. For UBS and CS, the are nominated trustee/cover pool
monitors.
Other
Compliance with EU PfG is compliant with both UCITS and CRD; UBS and CS are not/
legislation
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Swiss covered bond backdrop

16,000 70,000
14,000 Mortgage Structured 60,000 Mortgage Structured
12,000
50,000
10,000
40,000
8,000
30,000
6,000
4,000 20,000
2,000 10,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
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Credit Suisse Group AG Table 630: Key balance sheet figures, CHFmm
FY 2008 FY 2009 FY 2010
(BBG: CS) Commercial Loans 114,754 112,929 139,298
CS is a global financial services firm, headquartered in Other Loans 15,655 16,836 31,245
Total Assets 1,170,350 1,031,427 1,032,005
Zurich. The firm has a strong global presence with over Deposits 296,986 286,694 287,564
400 offices in 55 countries. It is the sixth largest bank Short-term borrowings 69,147 43,859 59,176
globally by assets and market capitalisation and the Other ST borrowings 360,253 299,406 297,968
fourth largest by assets under management, totaling just Equity 47,221 50,416 45,151
under CHF 1.3trn. The bank operates along three main Source: Bloomberg
business lines: private banking, investment banking and
asset management and also provides retail banking Table 631: Select financial metrics
services in Switzerland.
FY 2008 FY 2009 FY 2010
NIM 0.9 0.9 0.8
Private banking offers wealth management and banking ROA -0.6 0.6 0.5
services to individuals, high net-worth clients, SMEs and ROE -21.8 18.7 13.6
ROC -1.9 1.3 1.3
corporates. Assets under management total CHF 933bn C:I 300.0 72.9 75.2
and the bank can count over two million private banking Core capital 13.3 16.3 17.2
clients worldwide, in addition to over 100,000 corporates Source: Bloomberg
and institutions, mostly located in Switzerland.
Cover pool overview
Through its investment banking business, the group We set out below some of the key cover pool
offers global securities sales, trading and execution, characteristics:
prime brokerage and capital raising and advisory
services, as well as comprehensive investment research Table 632: Covered bond characteristics
to institutional clients around the world. As at July 2011
Ratings S/M/F
Asset management offers institutional and individual Covered bond rating -/Aaa/AAA
clients a range of products, both traditional and Issuer rating A/Aa2/AA-
alternative. Clients are reached through the private and Cover pool
investment banking networks, a separate asset Cover pool size (CHF) 7,703,982,578
management distribution network and third-party Number of properties 14,892
Number of contracts 22,148
channels Average loan balance (CHF) 347,841
Available over-collateralisation (in %) 211
Financial performance Excess over-collateralisation (in %) 162
We set out below some of the key financial performance WA remaining term of loans (yrs) 3.0
metrics: WA LTV (%) 68.7
Fixed rate assets (in %) 79.4
Highest regional concentration (in %) Zurich - 23
Table 629: Key profit & loss figures, CHFmm
FY 2008 FY 2009 FY 2010
Provisions for loan
losses 813 506 -79 Current LTV ranges As at July 2011
NII less provisions 7,723 6,385 6,620 0-<=40% 6.4
>40%-<=50% 7.1
Comm.& fee income 14,812 13,750 14,078 >50%-<=60% 11.3
income 385 619 397 >70%-<=80% 26.5
Non-interest expense 23,297 24,711 23,978 >80% 23.9
Operating profit (loss) -14,816 7,933 7,278
PBT -14,902 8,077 7,487
Taxes -4,596 1,835 1,548
Net profit (loss) -8,218 6,724 5,098
Source: Bloomberg
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UBS AG Table 635: Key balance sheet figures, CHFmm

FY 2008 FY 2009 FY 2010
(BBG: UBS) Loans 340,308 306,827 262,676
Headquartered in Zurich and Basel, UBS is a global Deposits 465,741 410,475 332,301
financial services firm, offering wealth management, Long-term borrowings 187,181 192,426 174,990
asset management and investment banking services in Equity 40,533 48,633 51,863
over 50 countries. The bank is by far the largest by assets Source: Bloomberg
under management (CHF 2.3trn) and focuses on the
provision of financial services to private, corporate and Table 636: Select financial metrics
institutional clients across a four-division structure. FY 2008 FY 2009 FY 2010
NIM 0.4 0.7 0.7
Wealth Management & Swiss Bank focuses on HNW ROA -1.0 -0.2 0.6
ROE -61.4 -7.4 17.2
individuals (with the exception of clients in the ROC -2.7 -0.4 1.9
Americas, who are served by Wealth Management C:I 485.1 107.9 78.5
Americas) and retail and corporate banking business in Core capital 11.0 15.4 17.8
Switzerland. The division reaches clients in over 40 Source: Bloomberg
countries but maintains a strong foothold in the domestic

market, where it maintains a leading position. Cover pool overview
The two other divisions are Global Asset Management characteristics:
and the institution's Investment Bank.
The firm operates mostly out of the Americas and As at July 2011
Switzerland, which together account for 74% of the Ratings S/M/F
group's workforce, while 16% is located in other Covered bond rating -/Aaa/AAA
European countries and 10% in Asia.
Cover pool
UBS has a 20% mortgage market share in Switzerland, Cover pool size (CHF) 14,196,519,368
despite the strong competition from local cantonal banks, Average loan balance (CHF) 391,758
and 28% of its funding comes from customer deposits. Available over-collateralisation (in %) 45.5
Excess over-collateralisation (in %) 22.6
Financial performance WA remaining term of loans (yrs) 3.3
We set out below some of the key financial performance WA LTV (%) 55.4
metrics: Fixed rate assets (in %) 82.2
Highest regional concentration (in %) Lake Geneva Area - 33
Table 634: Key profit & loss figures, CHFmm
FY 2008 FY 2009 FY 2010 Table 638: Collateral pool LTV breakdown
Provisions for loan Current LTV ranges As at July 2011
losses 2,996 1,832 66 0-<=40% 17.4
NII less provisions 2,997 4,613 6,150 >40%-<=50% 17.2
>50%-<=60% 23.4
Comm.& fee income 26,677 20,827 19,216 >60%-<=70% 21.2
income 269 707 834 >80% 1.7
Non-interest expense 31,962 27,155 26,597 Source: Investor Report
Operating profit (loss) -25,394 -3,594 6,658
PBT -27,758 -2,562 7,455

Taxes -6,837 -443 -381
Net profit (loss) -21,292 -2,736 7,534
Source: Bloomberg
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UK Covered Bonds
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UK Covered Bonds
We set out in Table 639 a snapshot of key covered bond attributes in the UK.
Table 639: UK Covered Bond legislative overview

Framework
Legislative Framework Yes. The Regulated Covered Bonds (RCB) Regulations 2008 (as subsequently amended). Previously a
contract-law based covered bond regime
Types of covered bonds RCBs and non-RCBs
Structure of Issuer Direct issuance? Yes and No. Unsecured bonds are directly issued by the institution, but guaranteed by a third party vehicle
Comments (if any) 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 (LLP) SPV), with the LLP using the
funds to purchase collateral from the originator. Under this structure, the LLP agrees to guarantee the
Issuers 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.
Bankruptcy remoteness Similar to the Netherlands, in case of insolvency of the originator, the issuer exercises the financial
guarantee over the pledged assets; if the issuer is insolvent, assets are formerly transferred to the SPV. No
acceleration on issuer default, only on breach of the Asset Percentage Test
Dual claim Yes
Bond format Typically, fixed rate, hard bullet. However, an ability to extend maturities by up to 12 months following issuer
insolvency
Supervision Financial Services Authority
Cover pool
Eligible assets Mortgage 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 Scotlands Social Housing CB programme being the exception
portion of the asset under the Asset Coverage Test). RCB legislation says an 80% maximum LTV, most
programmes use 75% maximum. BoS Social Housing CB uses 60%
Public Sector N/a as of today
Non-performing collateral Can remain in the cover pool, with declining recognition of 90d+ collateral contribution in calculating the
programme tests
Substitution Assets Substitution assets consisting of highly liquid, non-mortgage assets are also eligible for inclusion, up to
certain, pre-defined programme limits
Valuation Individual market values. Partial indexation occurs on any increases in asset values, full indexation occurs on
declines in asset values
Requirements
ALM matching Asset coverage Exact requirements prescribed by the issuers. Asset Coverage Test (ACT) is designed to ensure that pool
collateral is sufficient to meet future interest and principal cashflows on the outstanding covered bonds. Pre-
maturity tests 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 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 (nominal value of assets
has to be greater than principal amount of o/s bonds, plus the costs associated with running the programme).
Other (if any) Shelves must also comply with any other programme requirements. The RCB framework is proposed to be
tightened following a FSA consultation which ended in July 2011. Changes are expected to be adopted from
2013. Main developments are expected to include introduction of a formalised third party asset monitor,
additional disclosure requirements, the ability to designate a programme as being single-asset, and the
removal of eligibility of own-firm AAA securitisation bonds.
Consequence of breach Failure to rectify breach of ACT within a pre-defined period results in issuer insolvency. Breach of the
Amortisation Test following issuer insolvency results in programme acceleration
Monitoring By issuer
Other
Compliance with EU Dependant on programme, but generally UCITS and CRD compliant for RCBs
legislation
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UK covered bond & macro backdrop

140,000 250,000
120,000 Mortgage Public Sector Mortgage Public Sector
200,000
100,000
80,000 150,000
60,000 100,000
40,000
50,000
20,000
0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010
Figure 165: UK real GDP growth, y-on-y, % Figure 166: UK unemployment level, %
6 Real GDP growth 9
4 8
7
2
6
0 5
-2 4
-4 3
Unemployment
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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 167: UK CPI and base rate, % Figure 168: UK consumer confidence, balance of survey
6 5
0
5 -5
4 -10
-15
3 -20
2 -25
-30
1 -35
0 -40
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 169: UK house price growth, y-on-y, % Figure 170: UK mortgage loan approvals, #
30 Nationwide house price growth 100000 BBA Mortgage loan approvals
25 90000
20 80000
15 70000
10 60000
5 50000
0 40000
-5 30000
-10 20000
-15 10000
-20 0
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
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Barclays Bank PLC (Barclays) Table 642: Select financial metrics

FY 2008 FY 2009 FY 2010
(BBG: BACR) NIM 1.2 1.3 1.5
Barclays is one of the worlds largest financial services ROE 14.6 22.4 7.3
ROC 1.1 2.0 0.9
companies, with operations in over 50 countries. Its C:I 63.2 57.3 63.6
businesses currently include retail and commercial Core capital 8.6 13.0 13.5
banking, credit cards, investment banking, wealth Source: Bloomberg
management and investment management services.
Cover pool overview
The Group is constructed around two clusters: Retail We set out below some of the key cover pool
and Business Banking; and Corporate and Investment characteristics:
Banking and Wealth Management. Retail and Business
Banking is focused on international financial services Table 643: Select covered bond terms
and includes its UK Retail and Business Banking, Terms
Barclaycard, Africa Retail and Business Banking and Asset Coverage Test (ACT)
Europe Retail and Business Banking operations. The <3m in arrears 0.75
second cluster includes Barclays Capital, its investment 3m+ true balance & LTV<75% 0.4
3m+ true balance & LTV>75% 0.25
banking arm, Barclays Corporate, its large corporate
banking division and Barclays Wealth, its global wealth Asset percentage 94.00%
manager. Max. subs assets n/a
Reps & warranties

Barclays Bank PLC has been approved for issuance of Min. current payments 1
Regulated Covered Bonds in the UK. Min. margin n/a
Max. balance 1,500,000
Max. term (yr) 50
Financial performance BTL eligible? Y
metrics: Source: J.P. Morgan Covered Bond Research, Offering Circulars

FY 2008 FY 2009 FY 2010
Provisions for loan
losses 5,419 8,071 5,672
Comm.& fee income 7,573 9,946 1,255

Other operating
income 1,220 1,730 1,255
PBT 5,136 4,585 6,065

Taxes 453 1,074 1,516
Net profit (loss) 4,382 9,393 3,564
Source: Bloomberg

FY 2008 FY 2009 FY 2010
Loans 461,815 420,224 427,942
Total Assets 2,052,980 1,378,929 1,489,645
Deposits 335,505 322,429 345,788
Equity 47,411 58,478 62,262
Source: Bloomberg
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As at July 2011
Ratings S/M/F
Moody's TPI Probable
Cover pool Jul-11

Total pool 14,007,522,766
Asset type:
Mortgages 14,007,522,766
Cash n/a
# mortgages 105,413
WA Indexed LTV 60.8
Indexed LTV>80% 9.9
Indexed LTV>90% 5.3
Indexed LTV>100% -
Interest only (%) 46.4

Fixed rate mtges (%) 34.3
Asset seasoning (mths) 35.7
Current asset percentage (%) 74.9
Amt of credit support n/a
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Bradford & Bingley PLC (Bradbi) Table 647: Select financial metrics
FY 2007 FY 2008 FY 2009 FY 2010
(BBG: BRADBI) NIM 1.2 1.5 1.3 1.4
Snapshot ROA 0.2 0.0 -0.2 1.7
Bradford & Bingley Plc (Bradbi) was the UKs largest ROE 7.1 1.5 -7.7 45.5
ROC 0.4 0.1 -0.4 4.3
specialist Buy-to-Let mortgage lender, before its C:I 49.0 31.2 31.9 19.9
nationalisation in September 2008. In a two-part Core capital 8.6 8.9 n/a n/a
transaction, the savings arm and branch network of Source: Bloomberg
Bradbi were transferred to Santander (see Santander UK
plc profile), while the rest of the group's operations, Cover pool overview
including the mortgage business, were transferred to We set out below some of the key cover pool
public ownership. The covered bonds remain an characteristics:
obligation of the publicly-owned institution.
Table 648: Select covered bond terms
Approval of State Aid support was received from the EC Terms
on 25th January 2010. This extends the HM Treasury Asset Coverage Test (ACT)
guarantee on Bradbi's covered bonds until institutional <3m in arrears 0.75
run-off is complete. Bradford & Bingley operations sit 3m+ true balance & LTV<75% 0.4
alongside those of Northern Rock (Asset Management)
plc, the run-off institution of Northern Rock, under a Asset percentage 91.00%
single holding company called UK Asset Resolution Max. subs assets 10.00%
(UKAR). The companies remain separate legal entities,
with their own balance sheets, liabilities and government Reps & warranties
Min. current payments 2
support arrangements. Min. margin
Financial performance Max. term (yr) 50
BTL eligible? Y
metrics: Source: J.P. Morgan Covered Bond Research, Offering Circulars
Table 645: Key profit & loss figures, mm Table 649: Covered bond characteristics
FY 2007 FY 2008 FY 2009 FY 2010 As at July 2011
Net interest income 548 737 612 608 Ratings S/M/F
Provisions for loan Covered bond rating AAA/Aa1/AAA
losses 117 699 687 262 Issuer rating -/Aa3/A+
NII less provisions 431 38 -75 346 Fitch D:factor Not disclosed
Comm.& fee income 82 63 53 21
Other operating income -64 206 45 6
Cover pool Jul-11
Total pool 9,652,130,114
Operating profit (loss) 175 -90 -209 284
Asset type:
Mortgages 9,651,077,323
PBT 126 134 -196 1,082
Cash 1,052,791
Taxes 33 116 -98 262
Net profit (loss) 93 18 -98 819
Source: Bloomberg # mortgages 85,388
Table 646: Key balance sheet figures, mm WA Indexed LTV 85.1
FY 2007 FY 2008 FY 2009 FY 2010 Indexed LTV>90% 47.4
Loans 40,445 41,826 38,986 36,402 Indexed LTV>100% 21.8
Total Assets 51,985 55,923 49,395 45,359
Deposits 24,153 828 458 n/a Asset seasoning (mths) 65.3
Other ST borrowings 658 22,067 27,776 27,794
Long-term borrowings 17,576 20,657 11,200 10,132 Current asset percentage 71.0
Equity 1,211 1,158 1,394 2,207 Amt of credit support 3,816,558,422
Source: Bloomberg
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Coventry Building Society (Coventry) Cover pool overview

(BBG: COVBS) We set out below some of the key cover pool
The Coventry Building Society (Coventry) was formed Table 653: Select covered bond terms
in 1884, as a small localised financial institution in the
Terms
English midlands. Over time, and through a number of
Asset Coverage Test (ACT)
mergers, including the most recent with the Stroud & <3m in arrears 0.75
Swindon Building Society in 2010, the Coventry now sits 3m+ true balance & LTV<75% 0.4
as the UKs third largest society with some 22bn of 3m+ true balance & LTV>75% 0.25
assets. Asset percentage 90.00%
Max. subs assets 10.00%
Coventry has been approved for issuance of Regulated
Reps & warranties
Covered Bonds in the UK. Min. current payments 2
Min. margin 0.40%
Financial performance Max. balance 1,000,000
Max. term (yr) 50
We set out below some of the key financial performance BTL eligible? N/A
metrics:
Source: J.P. Morgan Covered Bond Research, Offering Circulars
FY 2009 FY 2010
Net interest income 125 146 As at July 2011
Provisions for loan Ratings S/M/F
losses n/a 0 Covered bond rating -/Aaa/AAA
NII less provisions 125 146 Issuer rating -/A3/A
Fitch D:factor 15.7
Comm.& fee income 17 16 Moody's TPI Probable
Other operating income 1 0
Non-interest expense 66 77 Cover pool Jul-11
Operating profit (loss) 77 85 Total pool 3,418,853,341
Asset type:
PBT 56 101 Mortgages 3,357,161,114
Taxes 13 16 Substitution assets 1,012,112
Net profit (loss) 44 85 Bonds outstanding 2,200,000,000
Source: Bloomberg
# mortgages 32,856
Avg loan balance
WA Indexed LTV 53.3
FY 2009 FY 2010 Indexed LTV>80% 0.2
Loans 14,075 17,574 Indexed LTV>90% -
Total Assets 18,402 22,302 Indexed LTV>100% -
Other ST borrowings n/a n/a Asset seasoning (mths) 34.6
Equity 13,803 18,485 Current asset percentage n/a
Amt of credit support 133,066,550
Source: Bloomberg

FY 2007 FY 2008 FY 2009 FY 2010
NIM n/a 0.8
ROA n/a 0.4
ROE n/a 0.5
ROC n/a 0.4
C:I 45.5 47.0
Core capital n/a n/a
Source: Bloomberg
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HSBC Bank PLC (HSBC) Table 657: Select financial metrics

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: HSBC) NIM 2.2 2.2 2.0
HSBC Bank plc (HSBC) is a wholly owned subsidiary ROE 5.1 5.1 9.5
ROC 1.3 1.5 3.2
of HSBC Group, one of the worlds largest financial C:I 53.1 47.5 55.0
institutions. Headquartered in London, the Group Core capital 8.3 10.8 12.1
operates in five regions: Europe, Hong Kong, the rest of Source: Bloomberg
Asia Pacific including the Middle East and Africa, North
America and South America. The Group provides a Cover pool overview
range of financial services to personal, commercial, We set out below some of the key cover pool
corporate, institutional and investment, and private characteristics:
banking clients.
HSBC Bank plc has established positions in UK Retail Terms
Banking and Wealth Management, Commercial Banking, Asset Coverage Test (ACT)
Global Private Banking and Global Banking and <3m in arrears 0.75
Markets; with UK operations accounting for the majority 3m+ true balance & LTV<75% 0.4
of the European PBT in 2010 (56%).
Asset percentage 92.50%
HSBC has been approved for issuance of Regulated Max. subs assets
Covered Bonds in the UK.
Reps & warranties
Financial performance Min. margin
We set out below some of the key financial performance Max. balance 1,000,000
metrics: Max. term (yr) 2056
BTL eligible? Y

FY 2008 FY 2009 FY 2010
Net interest income 23,373 26,194 25,609 Table 659: Covered bond characteristics
Provisions for loan
losses 13,607 16,982 9,090 As at July 2011
NII less provisions 9,766 9,212 16,519 Ratings S/M/F
Comm.& fee income 13,513 13,722 13,672 Issuer rating AA/Aa2/AA
Other operating income 1,605 2,260 1,257 Fitch D:factor 19.00
Non-interest expense 23,614 24,449 26,837 Moody's TPI Probable
Cover pool Jul-11
PBT 5,078 4,539 12,326 Total pool
Taxes 1,533 247 3,138 Asset type: 11,147,765,216
Net profit (loss) 3,126 3,740 8,520 Mortgages 11,147,765,216
Source: Bloomberg Bonds outstanding 2,350,684,133
# mortgages 117,781
Table 656: Key balance sheet figures, mm Avg loan balance 94,648
FY 2008 FY 2009 FY 2010 WA Indexed LTV 47.2
Loans 640,047 555,011 614,692 Indexed LTV>80% -
Total Assets 1,734,110 1,464,238 1,574,427 Indexed LTV>90% -
Deposits 765,233 717,757 787,458 Indexed LTV>100% -
Other ST borrowings 238,049 416,042 300,246 Asset seasoning (mths) 45.9
Equity 68,768 84,011 99,362 Current asset percentage 78.2
Source: Bloomberg Amt of credit support 7,109,715,459
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Leeds Building Society (Leeds) Cover pool overview

(BBG: LEED) We set out below some of the key cover pool
The Leeds Building Society (Leeds) was established in Table 663: Select covered bond terms
1875, and has grown since to become the UKs fifth
Terms
largest building society by assets (9.5bn of assets at the
end of 2010, of which 6.5bn related to residential <3m in arrears 0.75
mortgages) with a branch network of 65 sites and some 3m+ true balance & LTV<75% 0.4
684k customers. The society remains committed to its 3m+ true balance & LTV>75% 0.25
mutual status, being owned by its members. Asset percentage 93.50%
Leeds has been approved for issuance of Regulated
Reps & warranties
Covered Bonds in the UK. Min. current payments 1
Min. margin 0.15%
Financial performance Max. balance 1,000,000
Max. term (yr) 50
We set out below some of the key financial performance BTL eligible? Y (<15%)
metrics:
FY 2008 FY 2009 FY 2010
Net interest income 93 110 109 As at June 2011
Provisions for loan Ratings S/M/F
losses n/a 53 44 Covered bond rating -/Aaa/AAA
NII less provisions 93 57 65 Issuer rating -/A2/A
Fitch D:factor 15.0
Comm.& fee income 20 19 19.7 Moody's TPI Probable
Other operating income 1 n/a 2
Non-interest expense 46 42 41 Cover pool Jun-11
Operating profit (loss) 68 35 45 Total pool 1,276,695,029
Asset type:
PBT 20 32 42 Mortgages 1,276,695,029
Taxes 6 9 11 Bonds outstanding 586,200,000
Source: Bloomberg # mortgages 14,729
WA Indexed LTV 73.5
FY 2008 FY 2009 FY 2010 Indexed LTV>90% 27.2
Loans 7,479 7,334 7,314 Indexed LTV>100% 12.0
Total Assets 10,137 9,545 9,503
Deposits 739 710 439 Asset seasoning (mths) 51.1
Short-term borrowings 689 539 483 BTL (%) 14.6
Long-term borrowings 1,285 715 761 Current asset percentage 75.6
Equity 461 478 505 Amt of credit support n/a
Source: Bloomberg
FY 2008 FY 2009 FY 2010
NIM n/a n/a n/a
ROA n/a 0.2 0.3
ROE n/a 4.8 6.3
ROC n/a 1.1 1.8
C:I 40.3 32.5 31.5
Core capital n/a n/a n/a
Source: Bloomberg
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Lloyds Banking Group PLC (Lloyds) Table 667: Select financial metrics
FY 2007 FY 2008 FY 2009 FY2010
(BBG: LLOYDS) NIM 1.9 2.2 1.4 1.4
Snapshot ROA 0.9 0.2 0.4 -0.0
Following the acquisition of HBoS PLC, Lloyds TSB ROE 28.2 7.2 10.7 -0.7
ROC 2.9 0.6 1.0 -0.1
Group PLC was renamed Lloyds Banking Group PLC C:I 52.0 154.7 52.2 44.4
(LBG), becoming at the same time the largest retail Core capital 9.5 8.0 9.6 11.6
bank in the UK. Away from banking, LBG also owns Source: Bloomberg
Scottish Widows and Clerical Medical, which specialise
in Pensions, Investments and Insurance. The Group is Cover pool overview
currently 41% owned by the UK government. We set out below some of the key cover pool
characteristics:
Bank of Scotland has two distributed covered bond
programmes, one backed by residential mortgages (BoS Table 668: Select covered bond terms
Resi) and another backed by social housing (BoS SH) Terms BoS SH BoS Resi L Resi
collateral. Lloyds TSB also has its own CB programme, Asset Coverage Test (ACT)
backed by residential mortgages (L Resi). <3m in arrears n/a 0.6 0.75
3m+ true balance & LTV<75% n/a 0.6 0.4
3m+ true balance & LTV>75% n/a 0.6 0.25
LBG has been approved for issuance of Regulated
Covered Bonds in the UK for the BoS Resi and L Resi Asset percentage 100.00% 92.50% 93.00%
programmes. Max. subs assets 25.00% 10.00% 10.00%
Reps & warranties

Min. current payments n/a 2 1
We set out below some of the key financial performance Min. margin n/a
metrics: Max. balance n/a 1,000,000 1,000,000
Max. term (yr) n/a 50
BTL eligible? n/a Y
FY 2007 FY 2008 FY 2009 FY2010 Source: J.P. Morgan Covered Bond Research, Offering Circulars
Provisions for loan
losses 1,796 3,012 16,673 10,952
NII less provisions 4,303 4,706 -7,647 1,594 BoS SH BoS Resi L Resi
Ratings S/M/F S/M/F S/M/F
Comm.& fee income 3,224 3,231 4,254 4,415 Covered bond rating AAA/Aaa/AAA AAA/Aaa/AAA -/Aaa/AAA
Other operating income -1,145 8,780 -7,680 -6,047 Issuer rating A/A1/AA- A/A1/AA- A/A1/AA-
Non-interest expense 6,167 15,957 13,670 12,774 Fitch D:factor 6.90% 18.40% 14.10%
Operating profit (loss) 3,343 -8,407 -5,548 2,912 Moody's TPI Probable-High Probable Probable
PBT 4,000 760 1,042 281 Cover pool Jun-11 Jun-11 Jun-11
Taxes 679 -38 -1,911 539 Total pool 4,114,150,227 45,709,111,804 18,829,517,368
Net profit (loss) 3,289 772 2,827 -320 Asset type:
Source: Bloomberg Mortgages 3,411,989,120 39,243,270,568 14,641,547,552
Cash 702,161,107 6,465,841,235 4,187,969,816
Bonds outstanding 2,400,000,000 28,687,138,595 10,498,836,033
FY 2007 FY 2008 FY 2009 FY2010 # mortgages 68 407,590 144,005
Loans 209,814 240,344 626,969 592,597 Avg loan balance 50,176,311 96,281 101,674
Total Assets 353,346 436,033 1,027,255 991,574 WA Indexed LTV n/a 71 59
Deposits 156,555 170,938 406,741 393,633 Indexed LTV>80% n/a 40 13
Short-term borrowings 74,948 125,040 188,108 148,907 Indexed LTV>90% n/a 24 2
Other ST borrowings 78,444 93,915 223,754 233,376 Indexed LTV>100% n/a 11 0
Long-term borrowings 27,673 34,440 162,573 166,554 Seasoning (mths) n/a 66 45
Equity 12,425 9,699 44,107 46,902 Current asset % 86 70 80
Amt of credit support 61,353,981 1,083,345,123 3,894,380,698
Source: Bloomberg
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Nationwide Building Society Table 671: Key balance sheet figures, mm

(Nationwide) FY 2007 FY 2008 FY 2009 FY 2010
Loans 115,938 142,804 155,469 152,429
(BBG: NWIDE) Total Assets 137,379 179,027 202,353 191,397
Snapshot Deposits 86,795 113,816 128,292 120,943
Nationwide Building Society (Nationwide) is the Other ST borrowings 3,373 1,940 6,947 5,619
worlds largest building society with assets of around Long-term borrowings 12,716 18,403 21,877 27,461
190bn, and is the UKs third largest mortgage lender Equity 6,510 7,253 4,278 5,716
Source: Bloomberg
and savings provider. It operates 700 branches
throughout the UK, with fifteen million members.
Following an earlier merger with the Portman Building
Society in 2007, Nationwide merged with two smaller FY 2007 FY 2008 FY 2009 FY 2010
NIM 1.2 1.2 n/a n/a
societies since the start of the financial crisis (Derbyshire ROA 0.4 0.3 0.1 0.1
BS and Cheshire BS), as well as acquiring the assets and ROE 8.8 8.6 2.8 5.3
liabilities of the Dumfermline BS. ROC 1.0 0.9 0.2 0.4
C:I 59.3 61.2 73.9 59.2
Core capital 8.7 9.7 15.1 15.3
As a mutual organisation, Nationwide has no
Source: Bloomberg
shareholders and is ultimately owned by its retail savings
and residential mortgage customers. As such, bottom-line Cover pool overview
profitability is not the primary driver of activity, with
some of the value generated by the business being given
characteristics:
back to members through more competitive pricing.
Nationwide has been approved for issuance of Regulated
Terms
Covered Bonds in the UK.
<3m in arrears 0.75
Financial performance 3m+ true balance & LTV<75% 0.4
metrics: Asset percentage 93.00%
Max. subs assets 10%
Reps & warranties
FY 2007 FY 2008 FY 2009 FY 2010 Min. current payments 2
Net interest income 1,502 1,821 1,774 1,715 Min. margin 0.15%
Provisions for loan Max. balance 1,000,000
losses 134 106 394 549 Max. term (yr) 50
NII less provisions 1,369 1,715 1,380 1,166 BTL eligible? Y
Comm.& fee income 335 334 359 378 Source: J.P. Morgan Covered Bond Research, Offering Circulars
PBT 652 686 190 341

Taxes 188 191 44 77
Net profit (loss) 464 495 146 264
Source: Bloomberg
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As at June 2011
Ratings S/M/F
Cover pool Jun-11

Total pool 34,165,849,182
Asset type:
Mortgages 33,647,697,875
Cash 518,151,307
# mortgages 411,249
Avg loan balance 81,818.3
WA Indexed LTV 54.3
LTV>80% 15.4
LTV>90% 5.3
LTV>100% 1.0
Current asset percentage 76.3

Amt of credit support 1,613,847,814
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Northern Rock Asset Management Table 676: Key balance sheet figures, mm
(NRAM) FY 2007 FY 2008 FY 2009 FY 2010
Loans 98,835 74,424 65,400 48,298
(BBG: NRKLN) Total Assets 109,321 104,346 87,446 66,277
Snapshot Deposits 11,563 20,723 20,608 n/a
Northern Rock (AM) plc ('NRAM') is the UK Other ST borrowings 2,017 2,555 322 253
government-owned run-off vehicle (formerly referred to Long-term borrowings 12,709 13,389 57,224 58,527
as AssetCo), created by the nationalisation, and Equity 1,664 -402 1,055 1,318
Source: Bloomberg
subsequent split of Northern Rock plc into two separate
legal entities (the other, successor institution retaining the
original name of the pre-nationalisation entity).
FY 2007 FY 2008 FY 2009 FY 2010
NIM 0.7 0.1 1.6 2.0
The outstanding covered bonds remain obligations of ROA -0.2 -1.3 -0.3 0.5
NRAM, and are currently beneficiaries of a guarantee ROE -13.1 n/a n/a 34.5
from HM Treasury. Unlike the guarantee on Bradford & ROC -0.2 -1.5 -0.4 0.6
C:I 42.1 119.2 55.7 41.6
Bingleys existing covered bonds however, this
Core capital 7.7 -0.4 n/a n/a
guarantee can be terminated with no less than three
Source: Bloomberg
months notice. The terms of the guarantee for NRAM's
covered bonds remain under review with the objective of Cover pool overview
sustaining the programme's credit rating. NRAM
operations sit alongside those of Bradford & Bingley plc,
characteristics:
under a single holding company called UK Asset
Resolution (UKAR). The companies remain separate Table 678: Select covered bond terms
legal entities, with their own balance sheets, liabilities
Terms
and government support arrangements.
<3m in arrears 0.75
metrics: Asset percentage 90.00%
FY 2007 FY 2008 FY 2009 FY 2010 Reps & warranties
Net interest income 761 51 1,259 1,260 Min. current payments 1
Provisions for loan Min. margin 0.15%
losses 240 894 1,045 813 Max. balance 1,000,000
NII less provisions 522 -844 214 447 Max. term (yr) 50
BTL eligible? Y
Other operating income 25 53 13 7 Source: J.P. Morgan Covered Bond Research, Offering Circulars
Operating profit (loss) 179 -943 -507 -71
PBT -168 -1,356 -258 401

Taxes 31 -46 19 -9
Net profit (loss) -199 -1,378 -277 410
Source: Bloomberg
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As at June 2011
Ratings S/M/F
Issuer rating A/Aa3/A+
Cover pool Jun-11

Total pool 18,916,703,298
Asset type:
Mortgages 11,006,708,489
Cash 2,136,411,116
# mortgages 80,426
WA Indexed LTV 95.2
LTV>80% 70.6
LTV>90% 24.9
LTV>100% 1.8

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Royal Bank of Scotland PLC (RBS) Table 681: Key balance sheet figures, mm
FY 2008 FY 2009 FY 2010
(BBG: RBS) Loans 874,722 728,393 555,260
Royal Bank of Scotland Group (RBS) is one of Deposits 581,369 545,849 428,599
Europe's largest financial groups. It is structured around Other ST borrowings 225,849 97,962 368,335
six business lines: UK Personal which includes its retail, Long-term borrowings 120,659 113,518 97,268
corporate and commercial banking and wealth Equity 80,498 94,631 76,851
management services; UK Corporate which serves UK Source: Annual Report
corporate customers; RBS Insurance which includes the
brands Direct Line, Churchill and Privilege; US Retail Table 682: Select financial metrics
and Commercial Banking provided through the Group's FY 2008 FY 2009 FY 2010
Citizen Financial Group; European & Middle East Retail NIM 1.4 1.1 1.4
ROA -1.1 -0.2 -0.1
& Commercial Banking and its Global Banking & ROE -43.4 -5.3 -1.5
Markets division. ROC -4.3 -0.3 -0.3
C:I 101.9 67.9 68.1
The Group remains majority owned by the UK
Source: Bloomberg
government, with the ultimate goal of returning the
institution to the private sector once restructuring is
Cover pool overview
completed. RBS introduced its covered bond programme
and issued its inaugural bond in 2010. RBS PLC has We set out below some of the key cover pool
been approved for issuance of Regulated Covered Bonds characteristics:
in the UK.
Financial performance Terms
We set out below some of the key financial performance <3m in arrears 75%
metrics: >3m in arrears 40%
Table 680: Key profit & loss figures, mm Asset percentage 90%
Max. subs assets 15%
FY 2008 FY 2009 FY 2010
Net interest income 18,675 13,388 14,209 Reps & warranties
Provisions for loan Min. current payments 1m
losses 8,072 13,899 9,256 Min. margin n/a
NII less provisions 10,603 -511 4,953 Max. balance 2,600,000
Max. term (yr) n/a
Comm.& fee income 9,831 8,738 8,193 BTL eligible? n/a
Other operating income <3m in arrears 75%
3,113 1,872 1,544
Non-interest expense 23,881 19,844 20,429 Source: J.P. Morgan Covered Bond Research, Offering Circulars
Operating profit (loss) -8,469 -5,822 -726
PBT -40,836 -2,647 -399

Taxes -2,323 -429 634
Net profit (loss) -23,710 -2,672 -1,001
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As at July 2011
Ratings S/M/F
Issuer rating A/A1/AA-
Cover pool Jul-11

Total pool 12,675,836,123
Asset type:
Mortgages 12,675,836,123
Cash n/a
Bonds outstanding () 6,596,782,977
# mortgages 96,208
WA Indexed LTV 64.1
Indexed LTV>90% 4.1

Amt of credit support 2,539,405,599
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Santander UK plc (Santander) Table 686: Key balance sheet figures, mm

FY 2007 FY 2008 FY 2009 FY 2010
(BBG: ABBEY) Loans 112,147 180,176 186,804 195,132
Snapshot Total Assets 199,623 297,310 285,291 302,860
Santander UK (Santander), is the umbrella name for the Deposits 69,650 130,245 143,893 152,643
broader Santander Groups UK operations, and includes Other ST borrowings 75,091 77,081 72,161 53,644
the businesses of Abbey (since 2004), alongside its other Long-term borrowings 40,444 68,231 53,510 46,701
UK brands, including Alliance & Leicester (full Equity 3,442 6,697 7,222 12,274
acquisition) and Bradford & Bingley (deposits & Source: Bloomberg
branches only) both acquired during the financial crisis.
In August 2010, Santander UK also agreed to purchase Table 687: Select financial metrics
the parts of the banking businesses of RBS which are FY 2007 FY 2008 FY 2009 FY 2010
carried out through its RBS branches in England and NIM 0.8 0.9 1.5 1.9
ROA 0.4 0.3 0.4 0.5
Wales, as well as its NatWest branches in Scotland. ROE 21.2 17.4 19.1 16.5
Operating across 1,400 branches, the UK entity is ROC 1.4 1.2 1.6 n/a
organised into four main divisions: retail banking, C:I 56.6 52.0 46.1 41.0
Core capital 5.4 6.2 6.8 11.5
corporate banking, global banking & markets and private
Source: Bloomberg
banking.
Cover pool overview
Abbey National Treasury Services Plc (ANTS) is a
wholly owned subsidiary of Santander UK and is the We set out below some of the key cover pool
issuing entity for its UKCB programme. characteristics:

Santander has been approved for issuance of Regulated
Covered Bonds in the UK. Terms
<3m in arrears 0.75
We set out below some of the key financial performance 3m+ true balance & LTV>75% 0.25
metrics:
Asset percentage 91.00%
Reps & warranties
FY 2007 FY 2008 FY 2009 FY 2010
Min. margin 0.50%
Provisions for loan
losses 344 348 842 712
Max. term (yr) 50
BTL eligible? Y
Comm.& fee income 785 768 986 902
Other operating income n/a n/a n/a n/a Source: J.P. Morgan Covered Bond Research, Offering Circulars
Operating profit (loss) 864 1,094 1,690 2,125
PBT 864 1,094 1,690 2,125

Taxes 179 275 445 542
Net profit (loss) 685 811 1,190 1,583
Source: Bloomberg
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As at June 2011
Ratings S/M/F
Cover pool Jun-11

Total pool 30,153,385,785
Asset type:
Mortgages 29,153,385,785
Cash 1,000,000,000
# mortgages
WA Indexed LTV 67.7
LTV>80% 19.1
LTV>90% 1.8
LTV>100% 0.2

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Yorkshire Building Society (Yorkshire) Table 692: Select financial metrics

FY 2007 FY 2008 FY 2009 HY 2010
(BBG: YBS) NIM n/a n/a n/a
Yorkshire Building Society (YBS) is the UKs second ROE 4.2 0.9 -0.4
ROC 0.6 0.1 0.0
largest building society, and started in 1864. Following C:I 71.0 77.1 70.1
its recent merger (2010) with Chelsea BS, the institution Core capital n/a n/a n/a
has assets of over 30bn, with close to three million Source: Bloomberg
members and a branch network of more than 175 sites.
YBS continues to be a mutual organisation owned by its Cover pool overview
depositors and mortgage borrowers. We set out below some of the key cover pool
characteristics:
YBS is currently in the process of merging with the
Norwich & Peterborough BS, as well as acquiring the Table 693: Select covered bond terms
mortgage and savings businesses of Egg Banking PLC. Terms
Yorkshire has been approved for issuance of Regulated <3m in arrears 0.75
Covered Bonds in the UK. 3m+ true balance & LTV<75% 0.4
Financial performance Asset percentage 93.50%

metrics: Reps & warranties
Table 690: Key profit & loss figures, mm Min. margin 0.75
FY 2007 FY 2008 FY 2009 HY 2010 Max. term (yr) 50
Net interest income 188 165 148 112 BTL eligible? N
Provisions for loan
losses n/a n/a 0 0
NII less provisions 188 165 148 112
As at June 2011
Non-interest expense 170 157 141 84 Ratings S/M/F
Operating profit (loss) 67 45 57 40 Covered bond rating -/Aa1/AAA
Issuer rating A-/Baa1/A-
PBT 55 8 -13 65 Fitch D:factor 14.00%
Taxes 15 -1 -9 12 Moody's TPI Probable
Net profit (loss) 39 9 -3 54
Cover pool Jun-11
Source: Bloomberg
Total pool 7,322,724,781
Asset type:
Table 691: Key balance sheet figures, mm Mortgages 4,634,187,816
Cash 2,688,536,965
FY 2007 FY 2008 FY 2009 HY 2010
Loans 15,362 16,292 14,979 23,221
Total Assets 20,498 23,032 22,722 31,103
# mortgages 46,441
Deposits 12,448 13,683 13,793 22,699
WA Indexed LTV 62.3
Other ST borrowings 160 748 553 779
Equity 954 909 900 1,282
Source: Bloomberg

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US Covered Bond
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US Covered Bonds
We set out in Table 695 a snapshot of key covered bond attributes in the USA.
Table 695: US Covered Bond legislative overview

Framework
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.
Types of covered bonds n/a
Structure of Issuer Direct issuance? 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 SPVs sole
purpose is to purchase these bonds using the funds from the issuance of covered bonds.
Comments (if any) A covered bond legislative framework is being discussed by Congress. The main issue remains the role of
the FDIC in case of default and whether this may reduce the claim of covered bonds holders on the assets.
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 covered bonds.
Dual claim Yes
Bond format Fixed, bullet.
Supervision Current issuers are regulated by the Office of the Comptroller of the Currency, part of the US Department of
Treasury.
Cover pool
Eligible assets Mortgage Current issuers allow inclusions of first and second lien loans and home equity lines (JPM).
LTV caps n/a
Public Sector n/a
Non-performing collateral n/a
Substitution Assets 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.
Hedging Derivatives are allowed to manage mismatches.
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.
Requirements
ALM matching Asset coverage The individual programmes 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.
Other (if any)
Consequence of breach If after breach of coverage test no new collateral is added to ensure that ACT is passed, then there is an
issuer EoD.
Monitoring Trustee/cover pool monitor.
Other
Compliance with EU
legislation Non UCITS and Non CRD compliant
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US covered bond & macro backdrop

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
Source: J.P. Morgan Covered Bond Research Source: J.P. Morgan Covered Bond Research
Figure 173: USA real GDP growth, y-on-y, % Figure 174: 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-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Figure 175: USA CPI and base rate, % Figure 176: USA consumer confidence index, #
6
5 120
4 100
3
80
2
1 60
0 40
-1 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
Sep-10
Mar-11
Mar-00
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Source: Bloomberg
Source: Bloomberg
Figure 177: USA house price growth, % Figure 178: USA existing home sales (mm), and housing starts index
(RHS), 000s
14% House price growth 8 Existing home sales New home sales (RHS) 1600
12% 7 1400
10%
8% 6 1200
6% 5 1000
4%
2% 4 800
0% 3 600
-2% 2 400
-4%
-6% 1 200
-8% 0 0
Mar-01
Mar-02
Mar-03
Mar-04
Mar-05
Mar-06
Mar-07
Mar-08
Mar-09
Mar-10
Mar-11
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
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Bank of America Table 697: Key balance sheet figures, $mm

FY 2008 FY 2009 FY 2010
(BBG: BAC) Real Estate Loans 485,228 475,556 458,455
Snapshot Commercial Loans 359,913 344,220 324,455
Bank of America is one of the leading global financial Consumer Loans 571,533 555,908 615,985
Loans 908,375 862,928 898,555
institutions and the largest American bank by assets, Total Assets 1,817,943 2,230,232 2,264,909
since its acquisition of both Countrywide Financial and Deposits 882,997 991,611 1,010,430
Merrill Lynch in 2008. Short-term borrowings 464,823 489,285 466,557
Other short-term
borrowings 30,709 178,515 200,494
Through its banking and non-banking subsidiaries in Long-term borrowings 225,410 339,377 359,180
over 40 countries, BAC operates along six distinct Equity 177,052 231,444 228,248
business lines: Deposits, Global Card Services, through Source: Bloomberg
which it offers traditional retail banking services to 57
million customers in the domestic US market. Home Table 698: Select financial metrics
Loans & Insurance products are sold in the USA through FY 2008 FY 2009 FY 2010
a network of over 5,900 branches, independent mortgage NIM 3.2 3.1 3.1
ROA 0.1 -0.1 -0.2
loan officers and a sales force offering online and ROE 1.8 -1.3 -1.8
telephone access. Global Commercial Banking provides ROC 0.5 0.7 -0.2
a range of lending related products and services, C:I 54.9 49.7 61.3
integrated working capital management and treasury
Source: Bloomberg
solutions to middle market companies, commercial real
estate firms and governments.
Cover pool overview
Global Banking & Markets offers financial products, We set out below some of the key cover pool
advisory services, financing, securities clearing, characteristics:
settlement and custody services globally to its
institutional investor clients in support of their investing
and trading activities. The bank also provides debt and As at March
2011
equity underwriting and distribution capabilities, merger-
Ratings S/M/F
related and other advisory services, and risk management Covered Bond rating AA/Aa2/AAA
products. Global Wealth & Investment Management Issuer rating (Bank of America Corp) A/A2/A+
focuses on wealthy individuals and offers tailored
Cover pool
financial solutions. Cover pool size ($) 9,733,000,000
Outstanding liabilities (in $) 7,342,000,000
Financial performance Nominal asset percentage (in %) 75.4
Supporting asset percentage (in %) 78
metrics: Number of loans 14,130.0
Average loan balance ($) 688,836
Table 696: Key profit & loss figures, $mm
Highest geographic exposure (in %) California - 41.1
FY 2008 FY 2009 FY 2010 Source: Fitch Ratings
Provisions for loan
losses 26,825 48,570 28,435
NII less provisions 18,535 -1,461 23,088
Comm.& fee income 36,785 48,412 39440

Other operating
income -5,115 -14 2,384
PBT 4,428 4,360 -1,323

Taxes 420 -1,916 915
Net profit (loss) 4,008 6,276 -2,238
Source: Bloomberg
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J.P. Morgan Chase Financial performance

(BBG: JPM) We set out below some of the key financial performance
Snapshot metrics:
J.P. Morgan Chase is a leading global financial services Table 700: Key profit & loss figures, $mm
firm with over $2.1tr in assets and operating in over 60
FY 2008 FY 2009 FY 2010
countries. The bank is organised along six business units
and two core brands: Chase, which offers consumer and Provisions for loan
commercial banking in the US, and J.P. Morgan, which losses 20,979 32,015 16,639
offers investment banking, asset management, treasury NII less provisions 17,800 19,137 34,362
and private banking services globally. Comm.& fee income 35,443 37,460 35,790
Other operating
The retail business offers traditional financial products to income 2,169 916 2,044
customers in 23 different US states through branches, Operating profit 3,652 18,323 30,751
auto dealerships and universities. Chase credit cards met
$313bn of customers spending needs in 2010. PBT 2,773 16,067 24,859
Taxes -926 4,415 7,489
Net profit (loss) 5,605 11,728 17,370
Asset Management (AM) clients include institutions, Source: Bloomberg
retail investors and high-net-worth individuals in markets
throughout the world. AM also provides trust and estate, Table 701: Key balance sheet figures, $mm
banking and brokerage services to high-net-worth clients,
FY 2008 FY 2009 FY 2010
and retirement services for corporations and individuals. Real Estate Loans 275,163 244,347 298,862
The majority of AMs client assets are in actively Commercial Loans 262,044 204,175 227,633
managed portfolios. Consumer Loans 482,854 429,283 465,294
Loans 721,734 601,856 660,661
Total Assets 2,175,052 2,031,989 2,117,605
The Investment Bank offers corporations, financial Deposits 1,009,277 938,367 930,369
institutions, governments and institutional investors a Short-term borrowings 444,091 460,968 492,141
Other short-term
range of investment banking products and services in all borrowings 121,604 60,125 69,219
major capital markets, including advising on corporate Long-term borrowings 245,218 244,468 279,440
strategy and structure, capital-raising in equity and debt Equity 166,884 165,365 176,106
markets, sophisticated risk management, market-making Source: Bloomberg
in cash securities and derivative instruments, prime
brokerage, and research. Table 702: Select financial metrics
FY 2008 FY 2009 FY 2010
J.P. Morgan Chase assumed stewardship of the WaMu NIM 2.4 2.8 2.8
ROA 0.3 0.4 0.8
covered bond programme after it took over the bank in ROE 3.8 6.4 10.3
2008. ROC 0.7 1.4 1.9
C:I 62.8 49.7 53.6
Source: Bloomberg
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Cover pool overview

characteristics:

As at Jul 2011
Ratings S/M/F
Covered Bond rating AA/-/AA
Issuer rating (J.P. Morgan Chase Bank NA) AA-/Aa1/AA-
Cover pool
Cover pool size ($) 11,625,581,494
Outstanding liabilities (in $) 7,784,300,000
Excess credit support by asset coverage test (in %) 0.3
Excess credit support by total loan balance (in %) 49.4
WA LTV (in %) 64.8
Highest geographic exposure (in %) California - 53.1
Interest only loans (in %) 60.2
Primary residence (in %) 80.3
Single family residential property (in %) 87.3
Full documentation (in %) 32.0
WA FICO score 734.0
Loan purpose distribution (in %)

Purchase 32.8
Construction 2.7
Improvement 0.5
Cash out refi 36.8
Non-cash out refi 27.2
FICO Score breakdown (in %)

<600 2.2
600-700 25.7
700-800 58.7
>=800 13.5

<=50 17.4
50.01-60 17.0
60.01-65 11.3
65.01-70 12.6
70.01-75 13.8
75.01-80 16.6
>80 11.4
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Analyst Certification: The research analyst(s) denoted by an AC on the cover of this report certifies (or, where multiple research
analysts are primarily responsible for this report, the research analyst denoted by an AC on the cover or within the document
individually certifies, with respect to each security or issuer that the research analyst covers in this research) that: (1) all of the views
expressed in this report accurately reflect his or her personal views about any and all of the subject securities or issuers; and (2) no part of
any of the research analyst's compensation was, is, or will be directly or indirectly related to the specific recommendations or views
expressed by the research analyst(s) in this report.
Important Disclosures
Explanation of Credit Research Ratings:

Ratings System: J.P. Morgan uses the following sector/issuer portfolio weightings: Overweight (over the next three months, the
recommended risk position is expected to outperform the relevant index, sector, or benchmark), Neutral (over the next three months, the
recommended risk position is expected to perform in line with the relevant index, sector, or benchmark), and Underweight (over the next
three months, the recommended risk position is expected to underperform the relevant index, sector, or benchmark). J.P. Morgan's
Emerging Market research uses a rating of Marketweight, which is equivalent to a Neutral rating.
Valuation & Methodology: In J.P. Morgan's credit research, we assign a rating to each issuer (Overweight, Underweight or Neutral)
based on our credit view of the issuer and the relative value of its securities, taking into account the ratings assigned to the issuer by credit
rating agencies and the market prices for the issuer's securities. Our credit view of an issuer is based upon our opinion as to whether the
issuer will be able service its debt obligations when they become due and payable. We assess this by analyzing, among other things, the
issuer's credit position using standard credit ratios such as cash flow to debt and fixed charge coverage (including and excluding capital
investment). We also analyze the issuer's ability to generate cash flow by reviewing standard operational measures for comparable
companies in the sector, such as revenue and earnings growth rates, margins, and the composition of the issuer's balance sheet relative to
the operational leverage in its business.
J.P. Morgan Credit Research Ratings Distribution, as of June 30, 2011

Overweight Neutral Underweight
EMEA Credit Research Universe 30% 49% 21%
IB clients* 53% 63% 49%
Represents Ratings on the most liquid bond or 5-year CDS for all companies under coverage.
*Percentage of investment banking clients in each rating category.
Analysts' Compensation: The research analysts responsible for the preparation of this report receive compensation based upon various
factors, including the quality and accuracy of research, client feedback, competitive factors, and overall firm revenues, which include
revenues from, among other business units, Institutional Equities, Fixed Income, and Investment Banking.
Other Disclosures
J.P. Morgan ("JPM") is the global brand name for J.P. Morgan Securities LLC ("JPMS") and its affiliates worldwide. J.P. Morgan Cazenove is a marketing
name for the U.K. investment banking businesses and EMEA cash equities and equity research businesses of JPMorgan Chase & Co. and its subsidiaries.
QIB Only
Options related research: If the information contained herein regards options related research, such information is available only to persons who have
received the proper option risk disclosure documents. For a copy of the Option Clearing Corporation's Characteristics and Risks of Standardized Options,
please contact your J.P. Morgan Representative or visit the OCC's website at http://www.optionsclearing.com/publications/risks/riskstoc.pdf
Legal Entities Disclosures

U.S.: JPMS is a member of NYSE, FINRA,SIPC and the NFA. JPMorgan Chase Bank, N.A. is a member of FDIC and is authorized and regulated in the
UK by the Financial Services Authority. U.K.: J.P. Morgan Securities Ltd. (JPMSL) is a member of the London Stock Exchange and is authorized and
regulated by the Financial Services Authority. Registered in England & Wales No. 2711006. Registered Office 125 London Wall, London EC2Y 5AJ.
South Africa: J.P. Morgan Equities Limited is a member of the Johannesburg Securities Exchange and is regulated by the FSB. Hong Kong: J.P. Morgan
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(Thailand) Limited is a member of the Stock Exchange of Thailand and is regulated by the Ministry of Finance and the Securities and Exchange
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Commission. Indonesia: PT J.P. Morgan Securities Indonesia is a member of the Indonesia Stock Exchange and is regulated by the BAPEPAM LK.
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by the National Banking and Securities Exchange Commission. Singapore: This material is issued and distributed in Singapore by J.P. Morgan Securities
Singapore Private Limited (JPMSS) [MICA (P) 025/01/2011 and Co. Reg. No.: 199405335R] which is a member of the Singapore Exchange Securities
Trading Limited and is regulated by the Monetary Authority of Singapore (MAS) and/or JPMorgan Chase Bank, N.A., Singapore branch (JPMCB
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"Other Disclosures" last revised June 13, 2011.

Copyright 2011 JPMorgan Chase & Co. All rights reserved. This report or any portion hereof may not be reprinted, sold or
redistributed without the written consent of J.P. Morgan. #$J&098$#*P
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EuropeCredit Research

The J.P. Morgan Covered Bond

European ABS & CB Research

This is an even greater achievement when considering the broad market

That being said however, we remain aware of potential roadbumps in the

As usual, we split the Handbook into two discrete sections, first

Hard copies of this publication are available by contacting the analysts.

See page 302 for analyst certification and important disclosures.

Flavio Marco Rusconi

Flavio Marco Rusconi

Flavio Marco Rusconi

Nordea Kredit AS..................................................................................................66

Flavio Marco Rusconi

Corealcredit Bank AG......................................................................................... 121

Flavio Marco Rusconi

Banca Carige (Carige) ...................................................................................... 172

Flavio Marco Rusconi

Spanish covered bond & macro backdrop ............................................................ 222

Flavio Marco Rusconi

Lloyds Banking Group PLC (Lloyds)................................................................ 284

Flavio Marco Rusconi

Primary Market Outlook

Figure 1: Covered Bonds issuance, mm

Issuancedigging a little deeper

Flavio Marco Rusconi

Inner core jurisdictions

Outer core jurisdictions

Figure 4: Issuance volumes by country tier, mm

Flavio Marco Rusconi

Figure 7: Peripheral jurisdictions issuance, mm

Flavio Marco Rusconi

Pricing patterns: its all in the brand

Figure 8: French launch spreads vs MS, bp Figure 9: UK launch spreads vs MS, bp

Flavio Marco Rusconi

Flavio Marco Rusconi

The next twelve monthsMagic 8 ball time

Who is going to be doing what?

In aggregate, with forecast total benchmark issuance of approximately 300bn for

Flavio Marco Rusconi

Secondary Market Outlook

Flavio Marco Rusconi

Source: Bloomberg Source: Bloomberg

And another thing

Flavio Marco Rusconi

The next twelve monthsMore of the same

Flavio Marco Rusconi

Our covered bond recommendations

Flavio Marco Rusconi

Sector Outlook Commentary Investment recommendations

Flavio Marco Rusconi

Table 2: Covered bond cheat-sheet

Flavio Marco Rusconi

What exactly is a covered bond?

Figure 21: Example UK covered bond structure

Bank ABC Loans & related ABC CB LLP Swaps

Repayment of Interco loan

Source: J.P. Morgan Covered Bond Research

Flavio Marco Rusconi

Recourse & seniority

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

Flavio Marco Rusconi

Covered bonds vs. RMBS

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