Credit Markets – Covered Bonds/Financials
Transkript
Credit Markets – Covered Bonds/Financials
Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Credit Markets – Covered Bonds/Financials Analyst: Christian Enger, CFA [email protected] CONTENTS Highlights ................................................... 1 Topics of the Week Fitch quarterly report: Transparency improves, key data of programs barely changed ..................................................... 2 Portuguese bank in trouble – Banco Espirito Santo requires support ............................... 5 Moody's once again downgrades OeVAG's issuer rating ............................................... 6 Primary Market Financials ................................................... 7 Covered Bonds .......................................... 8 New Issues – EUR Benchmark Format .... 10 Maturities ................................................. 11 Secondary Market Covered Bond Asset-Swap-Spreads ........ 12 Covered Bond Country Comparison (AT, FR, GE, NL, SW, ES, UK) ........................ 13 Spread Comparison ................................. 20 Additional Information Rating Changes ....................................... 21 Calendar: Earnings Releases ................... 22 Recent Publications ................................. 23 Disclaimer Major Markets & Credit Research Gudrun Egger, CEFA (Head) [email protected] Christian Enger, CFA (Covered Bonds) [email protected] Highlights Fitch quarterly report: Transparency improves, key data of programs barely changed Compared to last quarter's covered bond market analysis, the key metrics have barely changed at Fitch. The agency has upgraded three programs, while one has been downgraded. However, the number of positive outlook designations has declined from eleven to six. Approximately 60% of the programs continue to be assigned an 'AAA' rating by Fitch. The agency is pushing ahead with improving its transparency. It publishes to what extent credit loss, cash flow valuation and asset disposal loss influence the 2 breakeven OC of individual covered bond programs. Even though the potential credit risks of cover pools normally receive the greatest attention, Fitch's quarterly report shows that these aren't the greatest risk covered bond investors face. It is rather asset disposal losses that represent the greatest potential risk in the majority of cases (57%). Portuguese bank in trouble – Banco 7 Espirito Santo requires support Problems within the corporate group of the Espirito Santo family also weigh on Banco Espirito Santo (BES). The bank needs to be supported with government aid. The company is to be split into a “good” and a “bad bank”. The impaired assets remain with BES. The burdens resulting from this are 12 to be borne by shareholders and subordinated creditors. Depositors and other non-subordinated creditors don't have to contribute. The sound business activities are going to be transferred to a newly founded “good bank”, Novo Banco. The bank resolution fund will provide it with the required equity capital of EUR 4.9 bn. 21 For this purpose it will receive a bridging loan from Portugal's government. Moody's once again downgrades OeVAG's issuer rating 25 OeVAG continue to decline. The Support assumptions with respect to support uplift granted by Moody's now stands at four notches (previously: six), which is in line with other systemically relevant banks in Austria. This was the main reason for reducing the institution's issuer rating as well, from 'Ba1' to 'Ba3'. As a result of taking this step, Moody's removes the company's 'watch negative' status. However, due to ongoing pressure on both the stand-alone rating as well as support assumptions due to the BRRD, the outlook remains negative. Indications of past performance are no guarantee of a positive performance in the future! Erste Group Research – Credit Markets – Covered Bonds/Financials Page 1 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Topics of the Week Fitch quarterly report: Transparency improves, key data of programs barely changed Revised CB rating methodology leads to greater resiliency against issuer downgrades In its Q1 2014 report on the covered bond markets, Fitch has taken its revised covered bond rating methodology as well as changes in support assumptions into account for the first time. The assignment of IDR uplifts has resulted in covered bond programs exhibiting greater resiliency against issuer downgrades. Of the 129 programs which Fitch rates on its international scale, 43, resp. 33% of the programs would be affected by a downgrade as of the end of Q2 2014, if the issuer rating were lowered by one notch. In Q4 2013, this would still have affected the ratings of 45% of the programs. Small adjustments to program metrics in quarterly comparison Compared to the last analysis, only small adjustments to the key metrics of the programs have resulted. However, the agency was able to achieve progress in the implementation of its new rating methodology. Two mortgage backed programs from Spain (Laboral Kutxa and Santander) and one from Italy (UniCredit) were upgraded, while the covered bond rating of Bank of Cyprus has been lowered. The number of programs with a positive outlook has however declined from eleven to six. In terms of the rating distribution there is accordingly little change. Approximately 60% of the programs have been assigned an 'AAA' rating by Fitch. Less than 5% are placed in the high yield segment. Trend of ratings at Fitch since 2006 Source: Fitch Improvement of transparency: Fitch publishes components of breakeven OC Apart from taking into account the Bank Recovery and Resolution Directive (BRRD) in its covered bond ratings, Fitch's quarterly report exhibits an improvement in transparency. At the beginning of July 2014, the agency already announced that it would disclose the components of the overcollateralization that secures ratings (breakeven OC). This has now been implemented with respect to 91 programs (70% of Fitch's covered bond rating universe). The breakeven OC is subdivided into three building blocks: Credit loss describes the credit risks of the pool. Essentially it represents the expected losses which result from default probabilities and recovery rates of cover assets. When interpreting this metric, one must consider that it refers to the (maximum) outstanding volume of covered bonds, and not the cover pool. For Erste Group Research – Credit Markets – Covered Bonds/Financials Page 2 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 this reason, credit loss is slightly above the rating loss rate (RLR), which has already been published in the past. The latter refers to the cover pool. Cash flow valuation compares the stressed present value of covered bonds and cover assets. The metric takes risks stemming from swaps, resp. open interest rate and foreign exchange positions, costs owed to third parties (e.g. fees for alternative cover pool management) and stressed prepayments into account. The stressed present value of cover assets can in principle be higher than that of the covered bonds. Thus the factor “cash flow valuation” can also lead to a reduction in overcollateralization requirements. Asset disposal loss expresses the expected losses from maturity mismatches. In order to service covered bonds on a timely basis in the event of an issuer default, it will often be necessary to liquidate cover assets. As it is assumed that this is only possible with haircuts, Fitch expects a risk buffer in the form of overcollateralization to stabilize the covered bond rating in this context as well. Additional information required for interpretation of breakeven OC components The agency examines whether the overcollateralization is sufficient for a recovery rate of more than 51%, 71% or 91%. Since it doesn't refer to a value of 100% in this case, the actual breakeven OC is as a rule below the aggregate of credit loss, cash flow valuation and asset disposal loss. The breakeven OC can also diverge from the aggregate of the three factors if the agency equates them with legally or contractually guaranteed minimum values. Moreover, Fitch reserves the right to deviate from its modeled values, so that for the interpretation of breakeven OC components, additional information must be taken into account. Asset disposal losses represent the greatest potential risk for the majority (57%) of covered bond programs Even though the potential credit risks of cover pools generally receive the most attention, Fitch's quarterly report shows that these do not represent the greatest risk to covered bond investors. Only in 29% of programs are credit losses the major factor contributing to the breakeven OC. Rather, the greatest potential risks emanate from asset disposal losses in the majority of cases (57%). For the remaining 14%, cash flow valuation is the greatest risk factor. Regarding the metrics, there are clear differences depending on covered bond jurisdiction and the underlying type of covered bond (mortgage, public sector, etc.). Unfortunately there aren't yet any data available on the breakeven OC of French covered bond programs. Similarly, for purposes of better comparability, not all programs with a Fitch rating could be taken into account in the following analysis. Thus it contains only 79 of 131 programs overall, which results in a very small sample size in several countries. Erste Group Research – Credit Markets – Covered Bonds/Financials Page 3 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Components of breakeven OC weighted by covered bond volume (selected programs) 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% -10% Australia (Mtg) (5) Belgium (Mtg) (3) Canada (Mtg) (11) Denmark (Mtg) (5) Germany (Mtg) (7) Germany (PS) (7) Ireland (Mtg) (2) Italy (Mtg) (6) Luxembourg (PS) (1) Netherlands (Mtg) (5) New Zealand (Mtg) (5) Norway (Mtg) (2) Norway (PS) (1) Spain (Mtg) (3) Switzerland (Mtg) (2) United Kingdom (Mtg) (13) -20% Credit Loss Credit Loss Cash Flow Valuation Source: Fitch, Erste Group Research Asset encumbrance not a problem for senior unsecured creditors of the majority of covered bond issuers rated by Fitch In the quarterly report Fitch points separately to its analysis of asset encumbrance by covered bonds. Just as was the case in the past, this doesn't represent a problem for the majority of covered bond issuers rated by Fitch. The risks for senior unsecured investors have actually declined recently as a result of the preferential claim of covered bond creditors to parts of an issuer's assets. This structural subordination is even less important in light of low new issuance volumes. Swedish and Danish issuers remain ranked at the top with respect to asset encumbrance, which can be ascribed to the business models of these specialized institutions. Asset encumbrance (only countries with more than two issuers were taken into account in the sample) Source: Fitch, Issuers Erste Group Research – Credit Markets – Covered Bonds/Financials Page 4 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Portuguese bank in trouble – Banco Espirito Santo requires support Problems within the corporate group of the Espirito Santo family affect Banco Espirito Santo – the bank has to be supported with state aid The major shareholder of Portugal's Banco Espirito Santo (BES), which belongs to the corporate group of the Espirito Santo family (Grupo Espirito Santo), already attracted attention with negative headlines several days ago. Hopes that these problems wouldn't represent an existential threat to the financial institution were however quickly shattered. A disorderly insolvency of the institution, which with a balance sheet total of approx. EUR 80 bn. is among the top three banks in the Portuguese market, could have had a material negative impact on Portugal's economy. In order to avert this risk, BES is supported with state aid. Splitting of the company: BES becomes a "bad bank" The restructuring model provides for splitting the company into a “good bank” and a “bad bank”. The impaired assets remain with BES, which consist primarily of claims against other entities of Grupo Espirito Santo, as well as the bank's shareholding in fully consolidated BES Angola. All shareholders as well as subordinated creditors remain in BES, and thus are supposed to bear the losses of the impaired portfolio. The bad bank will subsequently be wound down in orderly fashion. Viable business activities, which comprise the majority of assets, will be transferred to the newly founded “good bank”, which is going to be called “Novo Banco”. Nothing will change for existing customers. The bank resolution fund will provide the required equity capital in the amount of EUR 4.9 bn. to the “good bank”. The fund is essentially financed by member contributions (Portuguese financial institutions) and the bank levy. As the resolution fund has only started to become active in 2012, its funding is however still far from sufficient. It will therefore receive a bridging loan of EUR 4.4 bn. from the Portuguese government. The loan is however only temporary and will be replaced by loans from domestic banks or the proceeds from a possible sale of Novo Banco, resp. of its assets. Transfer of viable business activities to the "good bank" Measures in line with the European commission's rules It is intended to avoid any direct costs to Portugal's tax payers. The European Commission's crisis rules for banks of 10.July 2013 stipulate that “in case of capital shortfalls, bank owners and junior creditors will be required to contribute as a first resort, before banks can ask for public funding.” Thus the approach to BES is in line with EU competition rules. In future bank restructurings, providers of regulatory capital will not be able to benefit from state aid. The rating agencies have already taken this factor into account in their ratings of subordinated liabilities. According the EU's rules on state aid, depositors and other senior creditors do not have to make a contribution. They are also explicitly excluded from burden-sharing in the case of BES. EU commission approves measures The EU commission regards the restructuring aid for Banco Espirito Santo to be in line with the EU's state aid rules and has already approved the procedure. However, the bridge bank's new business will be restricted, in order to keep competitive distortions at a minimum. Erste Group Research – Credit Markets – Covered Bonds/Financials Page 5 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Moody's once again downgrades OeVAG's issuer rating Support assumptions for OeVAG are reduced further, the rating declines from ‚Ba1‘ to ‚Ba3‘ Moody's has already become active at the end of March 2014 and has downgraded the rating of Oesterreichische Volksbanken AG (OeVAG) from 'Baa3' to 'Ba1', based on weaker support assumptions. This week the agency continued in this vein and reduced the rating once again, to 'Ba3'. Once again, the lowering of support assumptions was the main reason. The rating action in Q1 2014 reduced the support uplift from seven to six notches. It now declines further to four notches. Analogous with this, the issuer rating has declined by two notches as well. With this step the uplift has reached a level comparable to that of other systemically relevant banks in Austria. Moody's states explicitly that the support uplift of four notches for the senior unsecured rating also reflects the buffer provided by subordinated liabilities amounting to EUR 557 m. (as of 31. March 2014). These would be affected prior to senior unsecured liabilities in the event of a bail-in. Rating outlook remains negative The bank financial strength rating (BFSR) as a measure of the company's stand-alone rating has been confirmed at 'E'. The baseline credit assessment (BCA), which represents an institution's intrinsic strength on a standard rating scale, remains constant at 'caa1'. As a result of this step, Moody's removes the company's 'watch negative' status. However, the outlook remains negative. The agency justifies this with ongoing pressures on the stand-alone rating as well as on support assumptions due to the Bank Recovery and Resolution Directive (BRRD). Moody's acknowledges that OeVAG's capitalization has improved and that is able to report progress on the winding down of legacy burdens. However, the company's profitability remains weak. Further losses could thus weigh on the equity capital base. This is one of the reasons why Moody's sees a risk that the Volksbanken sector may need to raise additional capital. Apart from this, the agency stresses that some hybrid capital instruments will no longer qualify as capital once the Basel III regulations are fully adopted. Moody's doesn't comment on speculation in Austrian media that the ECB's comprehensive assessment (CA) could reveal a capital shortfall of EUR 500 to 1,000 m. at OeVAG. However, the agency regards it as likely that Austria's Volksbank sector – in combination with deleveraging by OeVAG – is able to cover any potential shortfalls on its own. Erste Group Research – Credit Markets – Covered Bonds/Financials Page 6 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Primary Market Financials Financials: New issues in EUR broken down by debt type 2012-2014 YTD Monthly data since 01/2012 60.000 Banks Sub; 8,4% GGB; 2,0% 50.000 Covered; 40,8% in EUR m 40.000 Banks Senior; 48,8% 30.000 20.000 10.000 11/2013 12/2013 01/2014 02/2014 03/2014 04/2014 05/2014 06/2014 07/2014 08/2014 01/2014 02/2014 03/2014 04/2014 05/2014 06/2014 07/2014 08/2014 10/2013 09/2013 08/2013 12/2013 Banks Senior 07/2013 06/2013 05/2013 04/2013 03/2013 02/2013 01/2013 12/2012 11/2012 Covered 11/2013 GGB 10/2012 09/2012 08/2012 07/2012 06/2012 05/2012 04/2012 03/2012 02/2012 01/2012 0 Banks Sub Source: Bond Radar, Bloomberg, Erste Group Research Financials: New issues in EUR broken down by country 2012-2014 YTD Monthly data since 01/2012 60.000 Australia; 3,5% Austria; 2,7% 40.000 Denmark; 2,0% Sweden; 5,7% Finland; 2,8% Spain; 9,3% France; 21,4% Norway; 3,6% 30.000 20.000 10.000 Benelux France Germany Nordics Italy & Iberia 10/2013 09/2013 08/2013 07/2013 06/2013 05/2013 04/2013 03/2013 02/2013 01/2013 12/2012 11/2012 10/2012 09/2012 08/2012 07/2012 06/2012 05/2012 04/2012 03/2012 Ireland; 2,0% 02/2012 0 Germany; 9,7% 01/2012 Netherlands; 9,0%Italy; 9,4% 50.000 Britain; 5,9% Switzerland; 2,5% in EUR m Other; 10,7% UK & Ireland Other Source: Bond Radar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 7 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Covered Bonds Covered Bonds: Monthly comparison of new issues in EUR since 2012 2012-2014 YTD Monthly data since 01/2012 30.000 Dec; 3.650 Nov; 9.163 25.000 Jan; 22.485 Oct; 6.500 Sep; 9.288 Feb; 9.447 in EUR m 20.000 Aug; 6.400 15.000 10.000 Mar; 10.258 Jul; 5.233 5.000 Jun; 8.150 May; 6.442 Apr; 9.002 0 Jan Feb Mar Apr May 2012 Jun 2013 Jul Aug Sep Oct Nov Dec 2014 Source: Bond Radar, Bloomberg, Erste Group Research Covered Bonds: New issues in EUR broken down by type 2012-2014 YTD Austria Covered; 3,3% UK Covered; Sweden 2,9% Covered; 3,6% Single Cedulas; 8,9% Portugal Covered; 1,4% Canada Covered; France 4,8% Covered Legal; 6,3% France Covered SFH; 12,9% 30.000 25.000 20.000 in EUR m Other Covered; 19,6% Monthly data since 01/2012 Hypotheken pfandbriefe; 11,2% 15.000 10.000 5.000 Benelux Covered France Covered Germany Covered Italy & Iberia Covered UK & Ireland Covered Other Covered 08/2014 07/2014 06/2014 05/2014 04/2014 03/2014 02/2014 01/2014 12/2013 11/2013 10/2013 09/2013 08/2013 07/2013 06/2013 05/2013 04/2013 03/2013 02/2013 01/2013 12/2012 11/2012 10/2012 09/2012 08/2012 07/2012 06/2012 05/2012 04/2012 03/2012 02/2012 Italy Covered; 7,4% Ireland Covered; 2,0% 01/2012 0 Oeffentliche Pfandbriefe; 5,3% Norway Netherlands Covered; Covered; 4,2% 6,1% Nordic Covered Source: iBoxx, Bond Radar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 8 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Covered Bonds: New issues in EUR broken down by investor type 2012-2014 YTD Annual data since 01/2012 50% Other Retail and Corporates; Investors; Insurance 2% 4% and Pension Funds; 13% 45% 40% Asset Manager; 35% Central Banks and Agencies; 13% 35% 30% 25% 20% 15% 10% 5% Banks; 40% 0% Asset Manager Banks Central Banks and Agencies 2012 Insurance and Pension Funds 2013 Retail and Corporates Other Investors 2014 Source: Bond Radar, Bloomberg, Erste Group Research Covered Bonds: New issues in EUR broken down by investors’ location 2012-2014 YTD Annual data since 01/2012 60% 40% CEE; 8% France; 11% 20% 10% 2012 2013 Other Regions UK and Ireland Switzerland Spain and Portugal North America Nordic Countries Middle East Italy Germany and Austria Asia Germany and Austria; 50% France 0% Middle East; 3% Italy; 10% 30% CEE Spain and Portugal; 11% North America; 3% Nordic Countries; 10% 50% Benelux Switzerland; 4% Other Asia; 7% UK and Regions; Ireland; Benelux; 3% 11% 7% 2014 Source: Bond Radar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 9 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 New Issues – EUR Benchmark Format ISIN Issuer IT0005039711 BANCA POPOLARE SONDRIO EFSF DEUTSCHE HYPOTHEKENBANK TORONTO-DOMINION BANK LANDBK HESSENTHUERINGEN TALANX AG KFW DEUTSCHE GENOSSEN-HYPOBK HELLENIC REPUBLIC HSH NORDBANK AG EU000A1G0DB8 DE000DHY4382 Type Launch Tap Volume Currency Coupon Coupon Date (in m) Type Italy Covered 29.07.2014 N 500 EUR 1,375 FIXED Maturity Issue Rating Current Spread Issue Spread Book Volume S&P/Moody's/Fitch (ASW) (Mid) (ASW) (in m) 05.08.2019 NR/NR/Ae 70 75 1.100 Supra Hypothekenpfandbriefe Canada Covered Oeffentliche Pfandbriefe Financial Agency Hypothekenpfandbriefe Sovereign Hypothekenpfandbriefe Muni/Local Gov't Supra Financial Italy Covered 22.07.2014 21.07.2014 N N 4.000 EUR 500 EUR 2,350 0,625 FIXED FIXED 29.07.2044 29.07.2019 NR/Aa1e/AA+ NR/Aa2/NR 25 -2 31 1 6.100 1.400 21.07.2014 N 1.750 EUR 0,625 FIXED 29.07.2019 NR/(P)Aaa/NR 3 7 2.500 17.07.2014 Y 500 EUR 1,125 FIXED 27.05.2021 NR/Aaa/AAA -1 - - 16.07.2014 15.07.2014 14.07.2014 N N N 500 EUR 1.500 EUR 500 EUR 2,500 0,375 0,875 FIXED FIXED FIXED 23.07.2026 22.07.2019 21.07.2021 A-/NR/NR AAA/Aaa/AAA AAA/NR/NR 77 -19 -3 97 -16 - 2.600 1.600 10.07.2014 10.07.2014 N N 1.500 EUR 500 EUR 3,375 0,625 FIXED FIXED 17.07.2017 17.07.2019 B-/Caa3/B NR/Aa3/NR 303 8 11 1.000 LAND BADENWUERTTEMBERG EU000A1G0DA0 EFSF XS1028950290 NN GROUP NV IT0005038283 BANCA MONTE DEI PASCHI S XS1086879167 REPUBLIC OF ICELAND Sovereign 10.07.2014 N 1.250 EUR 1,000 FIXED 18.07.2022 AAA/Aaae/NR -4 -1 1.600 09.07.2014 08.07.2014 08.07.2014 N N N 4.000 EUR 1.000 EUR 1.000 EUR 0,080 4,500 2,875 FIXED 15.07.2015 VARIABLE 15.07.2049 FIXED 16.07.2024 NR/NR/NR NR/Baa3/NR NR/Baa3/A -25 310 155 300 148 1.300 08.07.2014 N 750 EUR 2,500 FIXED NR/Baa3e/BBB 172 175 2.000 DE000RLP0587 08.07.2014 N 1.125 EUR 0,163 FLOATING 15.07.2016 NR/NR/AAA -3 -4 - 08.07.2014 N 1.250 EUR 1,375 FIXED 10.06.2024 AA/NR/NR 3 4 - 07.07.2014 N 546 EUR 2,875 FIXED 17.07.2023 BBB/NR/BBB 150 - - 02.07.2014 N 500 EUR 1,000 FIXED 09.07.2021 NR/Aaa/AAA -4 3 1.100 02.07.2014 01.07.2014 N N 2.000 EUR 1.000 EUR 0,375 0,500 FIXED FIXED 10.07.2017 11.07.2018 AA/Aa3/AA NR/Aa1/AA+ 1 -7 8 - 2.750 1.700 26.06.2014 26.06.2014 26.06.2014 26.06.2014 N N N N 600 700 1.000 500 EUR EUR EUR EUR 3,750 3,875 2,750 0,625 FIXED VARIABLE VARIABLE FIXED 05.07.2021 03.07.2044 08.07.2026 03.07.2019 NR/NR/NR BBB/Baa1/NR BBB+/Baa3/AAA+/Aaa/NR 311 247 175 -6 248 183 8 4.700 1.700 1.800 25.06.2014 Y 500 EUR 1,625 FIXED 15.03.2023 AAA/Aaa/AAA -4 - - 24.06.2014 Y 991 EUR 2,125 FIXED 20.11.2023 NR/Aa1/AAA -5 - - 23.06.2014 N 1.250 EUR 0,329 FLOATING 30.06.2016 NR/Aa1/AA+ 6 12 - 19.06.2014 18.06.2014 N N 500 EUR 1.000 EUR 4,250 1,625 FIXED FIXED 26.06.2018 25.06.2019 CCC+/Caa2/BBBB+/Baa2/A 424 75 95 1.000 2.500 18.06.2014 N 750 EUR 2,250 FIXED 25.06.2029 AAA/Aaa/AAA 21 31 1.500 18.06.2014 N 1.000 EUR 0,750 FIXED 25.06.2019 AAA/Aaa/AAA 1 8 2.000 18.06.2014 N 750 EUR 4,750 FIXED 25.06.2019 B/NR/B- 418 - 2.000 Banks Senior 17.06.2014 N 1.500 EUR 0,662 FLOATING 15.12.2017 A/A1/A 39 45 2.500 Banks Senior 17.06.2014 N 1.250 EUR 1,250 FIXED A/A2/A+ 40 50 2.100 XS1091094448 XS1071847245 DE000TLX2102 XS1087815483 DE000A11QBA6 GR0110029312 DE000HSH4S28 DE0001040970 LAND RHEINLANDPFALZ DE000A1RQB11 LAND HESSEN Muni/Local Gov't Muni/Local Gov't ES0000101644 COMMUNITY OF Muni/Local MADRID SPAI Gov't DE000BLB6H61 BAYERISCHE Oeffentliche LANDESBANK Pfandbriefe XS1085171152 DEXIA CREDIT LOCAL GGB FR0012021632 CAISSE CENT CREDIT Banks Senior IMMOB PTPETUOM0018 PARPUBLICA Agency XS1083986718 AVIVA PLC Financial FR0012018851 BPCE SA Banks Tier2 XS1083955911 NEDER Agency WATERSCHAPSBANK XS1068872925 EUROPEAN Supra INVESTMENT BANK EU000A1U9803 EURO STABILITY Supra MECHANISM FR0012006948 BPIFRANCE FINANCE Agency SA XS1081588086 ERB HELLAS PLC Banks Senior XS1080952960 ROYAL BK SCOTLND Banks Senior GRP PLC XS1081100239 NATIONWIDE BLDG UK Covered SOCIETY XS1081041557 NATIONWIDE BLDG UK Covered SOCIETY XS1081101807 REPUBLIC OF CYPRUS Sovereign XS1079975808 XS1080078428 CREDIT SUISSE LONDON ING BANK NV 15.07.2020 13.12.2019 Source: Bond Radar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 10 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Maturities Financials: EUR bonds maturities broken down by debt type 450.000 400.000 350.000 in EUR m 300.000 250.000 200.000 150.000 100.000 50.000 GGB Covered Banks Senior 2024 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 0 Banks Sub Source: iBoxx, Bond Radar, Bloomberg, Erste Group Research Covered Bonds: EUR bonds maturities broken down by covered type 35.000 30.000 25.000 in EUR m 20.000 15.000 10.000 5.000 Benelux Covered France Covered Germany Covered Nordic Covered Italy & Iberia Covered UK & Ireland Covered 08/2017 07/2017 06/2017 05/2017 04/2017 03/2017 02/2017 01/2017 12/2016 11/2016 10/2016 09/2016 08/2016 07/2016 06/2016 05/2016 04/2016 03/2016 02/2016 01/2016 12/2015 11/2015 10/2015 09/2015 08/2015 07/2015 06/2015 05/2015 04/2015 03/2015 02/2015 01/2015 12/2014 11/2014 10/2014 09/2014 08/2014 0 Other Covered Source: iBoxx, Bond Radar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 11 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Secondary Market Covered Bond Asset-Swap-Spreads 200 150 100 50 0 iBoxx € Austria Covered iBoxx € France Covered Legal iBoxx € France Covered SFH iBoxx € Hypothekenpfandbriefe iBoxx € Oeffentliche Pfandbriefe iBoxx € Netherlands Covered iBoxx € Norway Covered iBoxx € Sweden Covered 06/2014 03/2014 12/2013 09/2013 06/2013 03/2013 12/2012 09/2012 06/2012 03/2012 12/2011 09/2011 06/2011 03/2011 12/2010 09/2010 06/2010 03/2010 12/2009 09/2009 06/2009 03/2009 12/2008 -50 iBoxx € Canada Covered iBoxx € Ireland Covered iBoxx € Italy Covered iBoxx € Portugal Covered iBoxx € Spain Covered Single Cedulas iBoxx € Spain Covered Pooled Cedulas iBoxx € UK Covered iBoxx € US Covered 06/2014 03/2014 12/2013 09/2013 06/2013 03/2013 12/2012 09/2012 06/2012 03/2012 12/2011 09/2011 06/2011 03/2011 12/2010 09/2010 06/2010 03/2010 12/2009 09/2009 06/2009 03/2009 12/2008 1.000 900 800 700 600 500 400 300 200 100 0 -100 Source: iBoxx, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 12 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Covered Bond Country Comparison (AT, FR, GE, NL, SW, ES, UK) Austria iBoxx spread performance (ASW in bp) Spread curve (iBoxx constituents; ASW in bp) 60 250 50 200 40 30 150 20 10 100 0 -10 50 -20 0 -30 iBoxx € Austria Covered 12/2024 06/2024 12/2023 06/2023 12/2022 06/2022 12/2021 06/2021 Poly. (iBoxx € Covered) Austria Covered iBoxx € Covered 12/2020 06/2020 12/2019 06/2019 12/2018 06/2018 12/2017 06/2017 12/2016 06/2016 12/2015 12/2008 03/2009 06/2009 09/2009 12/2009 03/2010 06/2010 09/2010 12/2010 03/2011 06/2011 09/2011 12/2011 03/2012 06/2012 09/2012 12/2012 03/2013 06/2013 09/2013 12/2013 03/2014 06/2014 06/2015 12/2014 -40 -50 Poly. (Austria Covered) EUR bonds –production and redemption EUR benchmark issuers (iBoxx constituents) 7.000 5.000 4.500 6.000 4.000 5.000 in EUR m 3.500 in EUR m 4.000 3.000 3.000 2.500 2.000 1.500 2.000 1.000 1.000 500 Austria Covered - Production Mortgage Public VORHYP RFLBST RFLBNI KA HYNOE ERSTBK BAWAG 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Austria Covered - Redemption BACA 0 0 Other/Mixed Source: iBoxx, BondRadar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 13 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 France iBoxx spread performance (ASW in bp) Spread curve (iBoxx constituents; ASW in bp) 250 60 50 200 40 30 20 150 10 0 100 -10 -20 50 -30 -40 12/2008 03/2009 06/2009 09/2009 12/2009 03/2010 06/2010 09/2010 12/2010 03/2011 06/2011 09/2011 12/2011 03/2012 06/2012 09/2012 12/2012 03/2013 06/2013 09/2013 12/2013 03/2014 06/2014 12/2014 05/2015 10/2015 03/2016 08/2016 01/2017 06/2017 11/2017 04/2018 09/2018 02/2019 07/2019 12/2019 05/2020 10/2020 03/2021 08/2021 01/2022 06/2022 11/2022 04/2023 09/2023 02/2024 07/2024 12/2024 0 iBoxx € Covered iBoxx € France Covered Legal iBoxx € France Covered SFH France Covered Legal France Covered SFH Poly. (iBoxx € Covered) Poly. (France Covered Legal) Poly. (France Covered SFH) EUR bonds – production and redemption EUR benchmark issuers (iBoxx constituents) 60.000 50.000 45.000 50.000 40.000 35.000 in EUR m in EUR m 40.000 30.000 20.000 30.000 25.000 20.000 15.000 10.000 10.000 5.000 France Covered - Production Public SOCSFH LBPSFH SOCSCF CRH HSBC CMARK CMCICB CFF CIFEUR CAFFIL BPCOV BNPSCF Mortgage BPCECB AXASA BNPPCB ACACB 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 France Covered - Redemption ACASCF 0 0 Other/Mixed Source: iBoxx, BondRadar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 14 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Germany iBoxx spread performance (ASW in bp) Spread curve (iBoxx constituents; ASW in bp) 250 60 50 200 40 30 150 20 10 100 0 -10 50 -20 0 -30 12/2014 05/2015 10/2015 03/2016 08/2016 01/2017 06/2017 11/2017 04/2018 09/2018 02/2019 07/2019 12/2019 05/2020 10/2020 03/2021 08/2021 01/2022 06/2022 11/2022 04/2023 09/2023 02/2024 07/2024 12/2024 -40 12/2008 03/2009 06/2009 09/2009 12/2009 03/2010 06/2010 09/2010 12/2010 03/2011 06/2011 09/2011 12/2011 03/2012 06/2012 09/2012 12/2012 03/2013 06/2013 09/2013 12/2013 03/2014 06/2014 -50 iBoxx € Covered iBoxx € Hypothekenpfandbriefe iBoxx € Oeffentliche Pfandbriefe Hypothekenpfandbriefe Oeffentliche Pfandbriefe Poly. (iBoxx € Covered) Poly. (Hypothekenpfandbriefe) Poly. (Oeffentliche Pfandbriefe) EUR bonds – production and redemption EUR benchmark issuers (iBoxx constituents) 80.000 12.000 70.000 10.000 60.000 8.000 in EUR m in EUR m 50.000 40.000 30.000 6.000 4.000 20.000 2.000 10.000 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Germany Covered - Redemption Germany Covered - Production AARB BHH BYLAN CMZB DB DEXGRP DGHYP DHY DKRED DPB HESLAN HSHN HVB HYPFRA INGDIB LBBW MUNHYP NDB PBBGR SPKKB WLBANK 0 0 Mortgage Public Other/Mixed Source: iBoxx, BondRadar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 15 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Netherlands iBoxx spread performance (ASW in bp) Spread curve (iBoxx constituents; ASW in bp) 60 250 50 40 200 30 20 150 10 0 100 -10 -20 50 -30 iBoxx € Netherlands Covered 12/2024 06/2024 12/2023 06/2023 12/2022 06/2022 12/2021 06/2021 Poly. (iBoxx € Covered) Netherlands Covered iBoxx € Covered 12/2020 06/2020 12/2019 06/2019 12/2018 06/2018 12/2017 06/2017 12/2016 06/2016 12/2015 12/2014 12/2008 03/2009 06/2009 09/2009 12/2009 03/2010 06/2010 09/2010 12/2010 03/2011 06/2011 09/2011 12/2011 03/2012 06/2012 09/2012 12/2012 03/2013 06/2013 09/2013 12/2013 03/2014 06/2014 06/2015 -40 0 Poly. (Netherlands Covered) EUR bonds – production and redemption EUR benchmark issuers (iBoxx constituents) 12.000 25.000 10.000 20.000 in EUR m in EUR m 8.000 6.000 15.000 10.000 4.000 5.000 2.000 Netherlands Covered - Production Mortgage Public SNSSNS NIBCAP INTNED 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Netherlands Covered - Redemption ABNANV 0 0 Other/Mixed Source: iBoxx, BondRadar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 16 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Sweden iBoxx spread performance (ASW in bp) Spread curve (iBoxx constituents; ASW in bp) 60 250 50 40 200 30 20 150 10 0 100 -10 -20 50 -30 06/2024 12/2024 Poly. (Norway Covered) 12/2023 06/2023 12/2022 06/2022 12/2021 06/2021 12/2020 06/2020 12/2019 06/2019 12/2018 06/2018 12/2017 06/2017 12/2016 Sweden Covered Poly. (iBoxx € Covered) SWEDA iBoxx € Sweden Covered Norway Covered SHBASS iBoxx € Norway Covered 06/2016 12/2015 12/2014 12/2008 03/2009 06/2009 09/2009 12/2009 03/2010 06/2010 09/2010 12/2010 03/2011 06/2011 09/2011 12/2011 03/2012 06/2012 09/2012 12/2012 03/2013 06/2013 09/2013 12/2013 03/2014 06/2014 iBoxx € Covered 06/2015 -40 0 Poly. (Sweden Covered) EUR bonds – production and redemption EUR benchmark issuers (iBoxx constituents) 14.000 20.000 18.000 12.000 16.000 10.000 in EUR m 14.000 in EUR m 8.000 6.000 12.000 10.000 8.000 6.000 4.000 4.000 2.000 2.000 Sweden Covered - Production Mortgage Public SEB SBAB NDASS LANSBK SVEGNO SPABOL EIKBOL DNBNO SAMBNK POHBK NDASS AKTIA 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Sweden Covered - Redemption DANBNK 0 0 Other/Mixed Source: iBoxx, BondRadar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 17 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Spain iBoxx spread performance (ASW in bp) Spread curve (iBoxx constituents; ASW in bp) 700 250 600 200 500 150 400 100 300 iBoxx € Covered Pooled Cedulas Single Cedulas iBoxx € Spain Covered Single Cedulas Poly. (iBoxx € Covered) Poly. (Pooled Cedulas) iBoxx € Spain Covered Pooled Cedulas Poly. (Single Cedulas) EUR bonds – production and redemption 12/2024 06/2024 12/2023 06/2023 12/2022 06/2022 12/2021 06/2021 12/2020 06/2020 12/2019 06/2019 12/2018 06/2018 12/2017 06/2017 12/2016 06/2016 12/2015 12/2014 12/2013 09/2013 06/2013 12/2012 09/2012 03/2013 -50 06/2012 0 03/2012 0 12/2011 100 06/2015 50 200 EUR benchmark issuers (iBoxx constituents) 60.000 25.000 50.000 20.000 in EUR m in EUR m 40.000 30.000 15.000 10.000 20.000 5.000 10.000 Spain Covered - Production Mortgage Public UCAJLN SANTAN SABSM POPSM NOVAGA KUTXAB CRUNAV CAJARU CABKSM BMARE BKTSM BKIASM 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Spain Covered - Redemption BBVASM 0 0 Other/Mixed Source: iBoxx, BondRadar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 18 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 UK iBoxx spread performance (ASW in bp) Spread curve (iBoxx constituents; ASW in bp) 250 60 50 200 40 30 150 20 10 100 0 -10 50 -20 -30 12/2008 03/2009 06/2009 09/2009 12/2009 03/2010 06/2010 09/2010 12/2010 03/2011 06/2011 09/2011 12/2011 03/2012 06/2012 09/2012 12/2012 03/2013 06/2013 09/2013 12/2013 03/2014 06/2014 0 iBoxx € Covered iBoxx € UK Covered UK Covered EUR bonds – production and redemption Poly. (iBoxx € Covered) 12/2024 06/2024 12/2023 06/2023 12/2022 06/2022 12/2021 06/2021 12/2020 06/2020 12/2019 06/2019 12/2018 06/2018 12/2017 06/2017 12/2016 06/2016 12/2015 06/2015 12/2014 -40 Poly. (UK Covered) EUR benchmark issuers (iBoxx constituents) 25.000 18.000 16.000 20.000 14.000 12.000 in EUR m in EUR m 15.000 10.000 10.000 8.000 6.000 4.000 5.000 2.000 UK Covered - Production Mortgage Public YBS RBS NWIDE NRKLN LLOYDS BRADBI BACR 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 UK Covered - Redemption ABBEY 0 0 Other/Mixed Source: iBoxx, BondRadar, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 19 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Spread Comparison Country Type AUSTRALIA Australia Covered -5,3 3,6 11,4 20,7 18,4 9,4 Banks Senior 11,7 30,9 31,4 38,1 - 24,2 AUSTRIA BELGIUM CANADA DENMARK FINLAND Sovereign NORWAY Total -18,1 -8,1 7,4 -10,3 7,8 14,9 19,8 17,4 12,1 Banks Senior 56,9 84,2 - - - 72,1 -29,0 -24,4 -13,6 7,2 45,3 3,6 Belgium Covered -8,8 -1,0 6,4 14,4 - 3,8 Banks Senior 35,1 59,7 - - - 43,3 -25,4 Sovereign Sovereign - - -25,4 - - Canada Covered - 2,2 9,1 - - 3,6 -26,3 - - - - -26,3 Denm ark Covered -6,0 -2,2 4,4 11,5 - 0,6 Banks Senior 24,3 - - - - 24,3 -29,0 -25,4 -15,1 -5,3 2,3 -13,3 -6,0 -0,4 5,7 - - -1,1 6,2 25,4 35,1 - - 21,3 Sovereign Sovereign Sovereign -28,1 -23,5 -17,4 2,1 38,3 -0,9 France Covered Legal -6,2 -2,3 7,3 17,0 38,1 5,8 France Covered SFH -7,5 -1,6 5,3 14,8 19,8 4,6 - 1,9 - - - 1,9 23,9 42,2 50,3 61,3 67,8 44,0 Sovereign -32,3 -35,6 -34,0 -24,1 -2,0 -24,5 Hypothekenpfandbriefe -8,9 -3,4 -2,1 4,2 8,2 -4,0 Oeffentliche Pfandbriefe -9,8 -4,9 -2,7 -0,8 22,5 -5,6 Other Pfandbriefe 10,8 21,7 - - - 16,3 Banks Senior NETHERLANDS >10Y -27,2 Banks Senior ITALY 7-10Y -0,5 France Covered Structured IRELAND 5-7Y -30,4 Banks Senior GERMANY 3-5Y Austria Covered Finland Covered FRANCE 1-3Y 44,3 40,5 57,7 58,0 88,4 52,6 -29,1 8,3 38,9 90,2 112,6 40,6 Ireland Covered 30,1 36,6 54,8 - - 36,4 Sovereign 21,7 57,3 90,1 138,4 176,7 97,7 Italy Covered 43,9 58,7 69,1 87,8 80,4 62,0 Banks Senior 73,3 93,5 105,1 111,9 - 87,0 -29,0 -26,8 -16,8 -5,3 5,6 -13,5 Sovereign Sovereign Netherlands Covered -5,5 0,6 6,6 8,1 - 2,1 Banks Senior 24,6 44,0 41,7 50,3 58,2 38,1 Norw ay Covered -3,6 0,7 8,7 11,7 - 2,1 Banks Senior 28,0 45,0 46,0 43,1 - 40,9 PORTUGAL Portugal Covered 76,3 103,0 121,9 - - 97,3 SPAIN Sovereign 6,7 45,6 74,4 123,9 168,6 89,7 Pooled Cedulas 66,0 93,9 118,9 150,3 185,6 117,5 Single Cedulas 33,5 72,1 51,5 71,8 92,2 51,4 Banks Senior 41,1 80,6 62,6 - - 53,3 -26,3 -23,0 - - - -24,6 SWEDEN SWITZERLAND UNITED KINGDOM USA BULGARIA Sovereign Sw eden Covered -8,5 -3,6 3,4 - - -3,3 Banks Senior 11,2 31,7 35,1 39,5 - 24,3 Sw itzerland Covered -3,2 1,8 5,8 11,6 - 2,0 Banks Senior 13,3 26,7 41,7 - - 25,2 UK Covered -2,0 1,9 10,0 12,0 21,4 4,0 Banks Senior 21,5 44,9 53,7 62,5 - 39,0 US Covered 12,6 - - - - 12,6 Banks Senior 29,0 52,9 60,6 67,7 82,5 50,3 - - - - 186,0 186,0 Sovereign Source: iBoxx, Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 20 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Additional Information Rating Changes Com pany Nam e Deutsche Bank AG NCG Banco SA Banco Espirito Santo SA Banca Carige SpA Banco Espirito Santo SA Nomura Holdings Inc Banco Santander Totta SA BNP Paribas SA Caja Rural de Navarra Banca Popolare di Milano Scarl SBAB Bank AB Erste Group Bank AG Raiffeisen Bank International AG UniCredit Bank Austria AG Banco Bilbao Vizcaya Argentaria SA Banco Santander SA Bankinter SA BNP Paribas SA Pohjola Bank PLC Banco Bilbao Vizcaya Argentaria SA Banco Santander SA DEPFA Bank PLC KBC Groep NV Deutsche Bank AG Bayerische Landesbank Danske Bank A/S Danske Bank Oyj Banca Popolare di Milano Scarl Caja de Ahorros y Pensiones de Barcelona Date 29.07.2014 29.07.2014 16.07.2014 15.07.2014 11.07.2014 07.07.2014 04.07.2014 03.07.2014 26.06.2014 17.06.2014 11.06.2014 10.06.2014 10.06.2014 10.06.2014 04.06.2014 04.06.2014 04.06.2014 04.06.2014 30.05.2014 29.05.2014 29.05.2014 19.05.2014 08.05.2014 06.05.2014 02.05.2014 29.04.2014 29.04.2014 17.04.2014 14.04.2014 Rating Type Issuer Rating LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit Issuer Rating LT Issuer Default Rating LT Foreign Issuer Credit LT Issuer Default Rating LT Foreign Issuer Credit Issuer Rating LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit LT Issuer Default Rating LT Issuer Default Rating LT Foreign Issuer Credit Issuer Rating Issuer Rating Issuer Rating LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit LT Foreign Issuer Credit Agency Moody's S&P S&P S&P S&P Moody's Fitch S&P Fitch S&P Moody's S&P S&P S&P S&P S&P S&P S&P S&P Fitch Fitch S&P Moody's Moody's Moody's S&P S&P S&P S&P Curr Rtg A3 B B- *BB+ *Baa3 *+ BBB A+ BBB+ B+ A2 A *A *A- *BBB BBB+ BB+ A+ *AAAABBB A3 A2 *A3 A A B+ *BBu *- Last Rtg A2 *B+ B+ *B- *BBBaa3 BBBA+ *BBB B+ *A2 *A A ABBBBBB BB A+ AA- *BBB+ BBB+ BBB *Baa1 A2 Baa1 AABB- *BBu Ctry DE ES PT IT PT JP PT FR ES IT SE AT AT AT ES ES ES FR FI ES ES IE BE DE DE DK FI IT ES Source: Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 21 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Calendar: Earnings Releases Com pany Nam e Pohjola Bank PLC Standard Chartered PLC KBC Groep NV Commerzbank AG Banca Monte dei Paschi di Siena SpA (P) State Bank of India (C) State Bank of India Banca Popolare di Milano Scarl Unione di Banche Italiane SCpA Banco Popolare SC Dexia SA Aareal Bank AG Commonw ealth Bank of Australia SpareBank 1 SMN SpareBank 1 SR Bank ASA (C) Banco do Brasil SA Sparebanken Vest Raiffeisen Bank International AG ABN AMRO Bank NV Royal Bank of Canada Toronto-Dominion Bank/The Pow szechna Kasa Oszczednosci Bank Polski SA Mediobanca SpA Wells Fargo & Co JPMorgan Chase & Co Citigroup Inc Bank of America Corp Morgan Stanley Goldman Sachs Group Inc/The Com pany Ticker Date POH1S FH 06.08.2014 STAN LN 06.08.2014 KBC BB 07.08.2014 CBK GR 07.08.2014 BMPS IM 07.08.2014 SBIN IN 08.08.2014 SBIN IN 08.08.2014 PMI IM 08.08.2014 UBI IM 08.08.2014 BP IM 08.08.2014 DEXB BB 08.08.2014 ARL GR 12.08.2014 CBA AU 13.08.2014 MING NO 13.08.2014 SRBANK NO 13.08.2014 BBAS3 BZ 14.08.2014 SVEG NO 21.08.2014 RBI AV 21.08.2014 3531454Z NA 22.08.2014 RY CN 28.08.2014 TD CN 28.08.2014 PKO PW 01.09.2014 Date Type Tim e C 07:00 C C 07:00 C C C C C C C C C C C C C 12:00 C C C E C C Type ER ER ER ER ER ER ER ER ER ER ER ER ER ER ER ER ER ER ER ER ER ER Period Q2 2014 S1 2014 S1 2014 Q2 2014 S1 2014 Q1 2015 Q1 2015 S1 2014 S1 2014 S1 2014 S1 2014 Q2 2014 Y 2014 Q2 2014 Q2 2014 Q2 2014 Q2 2014 Q2 2014 Q2 2014 Q3 2014 Q3 2014 Q2 2014 MB IM WFC US JPM US C US BAC US MS US GS US C E E E E E E ER ER ER ER ER ER ER Y 2014 Q3 2014 Q3 2014 Q3 2014 Q3 2014 Q3 2014 Q3 2014 17.09.2014 10.10.2014 10.10.2014 15.10.2014 16.10.2014 17.10.2014 17.10.2014 Source: Bloomberg, Erste Group Research Erste Group Research – Credit Markets – Covered Bonds/Financials Page 22 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Recent Publications Credit Markets – Covered Bonds/Financials (30 July 2014) Country ceiling: How company domiciles are capping Moody's covered bond ratings Update: Classification of covered bonds in accordance with the liquidity coverage ratio Overview Primary Market/Secondary Market Credit Markets – Covered Bonds/Financials (23 July 2014) Moody's reaction to the HAA legislative package – sub-sovereigns & agencies Further details on the road map of the comprehensive assessment – results to be published by the end of October 2014 Update: Reporting by Austrian covered bond issuers (Q1 2014) Overview Primary Market/Secondary Market Credit Markets – Covered Bonds/Financials (16 July 2014) Cover pool reporting by Austrian covered bond issuers (Q1 2014) Update: Germany continues to polish its Pfandbrief legislation Overview Primary Market/Secondary Market Credit Markets – Covered Bonds/Financials (09 July 2014) OeNB Financial Stability Report: challenges remain S&P: Covered bond ratings have stabilized – pressures due to methodological adjustments foreseeable Overview Primary Market/Secondary Market Credit Markets – Covered Bonds/Financials (02 July 2014) New EU timetable for definition of Liquidity Coverage Ratio Legislation on HAA wind-down: reaction of rating agencies Overview Primary Market/Secondary Market Credit Markets – Covered Bonds/Financials (18 June 2014) Government get special law for HAA wind-down of the group - S&P issues watch negative on bank ratings, Fitch confirms view Update: classification of covered bonds as LCR level 1B assets likely Overview Primary Market/Secondary Market Credit Markets – Covered Bonds/Financials (11 June 2014) Economic risks in Austria's banking sector are stabilizing – approach to HAA weighs on ratings Legislative changes in France strengthen position of covered bond investors Overview Primary Market/Secondary Market Credit Markets – Covered Bonds/Financials (04 June 2014) Moody's reassesses systemic support Fitch: Methodology adjustment makes covered bonds less sensitive to issuer downgrades Overview Primary Market/Secondary Market Credit Markets – Covered Bonds/Financials (28 May 2014) Moody's keeps negative outlook on Austria's banking sector Update on HAA: Moody's once again downgrades rating of HAA bonds with deficiency guarantees Overview Primary Market/Secondary Market Erste Group Research – Credit Markets – Covered Bonds/Financials Page 23 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. August 2014 Contacts Group Research Head of Group Research Friedrich Mostböck, CEFA Major Markets & Credit Research Head: Gudrun Egger, CEFA Ralf Burchert (Agency Analyst) Hans Engel (Senior Analyst International Equities) Christian Enger, CFA (Covered Bonds) Margarita Grushanina (Economist AT, CHF) Alihan Karadagoglu (Senior Analyst Corporate Bonds) Peter Kaufmann (Corporate Bonds) Stephan Lingnau (International Equities) Rainer Singer (Senior Economist Euro, US) Elena Statelov, CIIA (Corporate Bonds) Gerald Walek, CFA (Economist Euro) Katharina Böhm-Klamt (Quantitative Analyst Euro) Macro/Fixed Income Research CEE Head CEE: Juraj Kotian (Macro/FI) Zoltan Arokszallasi (Fixed income) CEE Equity Research Head: Henning Eßkuchen Chief Analyst: Günther Artner, CFA (CEE Equities) Johannes Dietrich Günter Hohberger (Banks) Franz Hörl, CFA (Basic Resources) Daniel Lion, CIIA (Technology, Ind. Goods&Services) Thomas Unger; CFA (Insurance, Miscellaneous) Vera Sutedja, CFA (Telecom) Vladimira Urbankova, MBA (Pharma) Martina Valenta, MBA (Real Estate) Editor Research CEE Brett Aarons Deniz Gurgen Research Croatia/Serbia Head: Mladen Dodig (Equity) Head: Alen Kovac (Fixed income) Anto Augustinovic (Equity) Ivana Rogic (Fixed income) Milan Deskar-Skrbic (Fixed income) Davor Spoljar, CFA (Equity) Research Czech Republic Head: David Navratil (Fixed income) Petr Bittner (Fixed income) Head: Petr Bartek (Equity) Vaclav Kminek (Media) Jiri Polansky (Fixed income) Katarzyna Rzentarzewska (Fixed income) Martin Krajhanzl (Equity) Lubos Mokras (Fixed income) Jan Sedina (Fixed income) Research Hungary Head: József Miró (Equity) Gergely Gabler (Fixed income) András Nagy (Equity) Orsolya Nyeste (Fixed income) Tamás Pletser, CFA (Oil&Gas) Research Poland Head: Magdalena Komaracka, CFA (Equity) Marek Czachor (Equity) Tomasz Duda (Equity) Adam Rzepecki (Equity) Ludomir Zalewski (Equity) Research Romania Chief Economist, Director: Radu Craciun Head: Mihai Caruntu (Equity) Head: Dumitru Dulgheru (Fixed income) Chief Analyst: Eugen Sinca (Fixed income) Dorina Cobiscan (Fixed Income) Raluca Florea (Equity) Marina Alexandra Spataru (Equity) Research Turkey Head: Can Yurtcan Evrim Dairecioglu (Equity) M. Görkem Göker (Equity) Sezai Saklaroglu (Equity) Nilufer Sezgin (Fixed income) Ilknur Unsal (Equity) +43 (0)5 0100 11902 +43 (0)5 0100 11909 +43 (0)5 0100 16314 +43 (0)5 0100 19835 +43 (0)5 0100 84052 +43 (0)5 0100 11957 +43 (0)5 0100 19633 +43 (0)5 0100 11183 +43 (0)5 0100 16574 +43 (0)5 0100 17331 +43 (0)5 0100 19641 +43 (0)5 0100 16360 +43 (0)5 0100 19632 +43 (0)5 0100 17357 +43 (0)5 0100 18781 +43 (0)5 0100 19634 +43 (0)5 0100 11523 +43 (0)5 0100 11913 +43 (0)5 0100 17354 +43 (0)5 0100 18506 +43 (0)5 0100 17420 +43 (0)5 0100 17344 +43 (0)5 0100 11905 +43 (0)5 0100 17343 +43 (0)5 0100 11913 +420 956 711 014 +90 212 371 2538 +381 11 22 09 178 +385 72 37 1383 +385 72 37 2833 +385 72 37 2419 +385 72 37 1349 +385 72 37 2825 +420 224 995 439 +420 224 995 172 +420 224 995 227 +420 224 995 289 +420 224 995 192 +420 224 995 232 +420 224 995 434 +420 224 995 456 +420 224 995 391 +361 235 5131 +361 373 2830 +361 235 5132 +361 373 2026 +361 235 5135 +48 22 330 6256 +48 22 330 6254 +48 22 330 6253 +48 22 330 6252 +48 22 330 6251 +40 3735 10424 +40 3735 10427 +40 3735 10433 +40 3735 10435 +40 3735 10436 +40 3735 10428 +40 3735 10429 +90 212 371 2540 +90 212 371 2535 +90 212 371 2534 +90 212 371 2533 +90 212 371 2536 +90 212 371 2531 Erste Group Research – Credit Markets – Covered Bonds/Financials Research Slovakia Head: Maria Valachyova, (Fixed income) +421 2 4862 4185 Treasury - Erste Bank Vienna Saving Banks & Sales Retail Head: Thomas Schaufler Equity Retail Sales Head: Kurt Gerhold Fixed Income & Certificate Sales Head: Uwe Kolar Treasury Domestic Sales Head: Markus Kaller Corporate Sales AT Head: Christian Skopek +43 (0)5 0100 84225 +43 (0)5 0100 84232 +43 (0)5 0100 83214 +43 (0)5 0100 84239 +43 (0)5 0100 84146 Fixed Income & Credit Institutional Sales Institutional Sales Head: Manfred Neuwirth Bank and Institutional Sales Head: Jürgen Niemeier Institutional Sales AT, GER, LUX, CH Head: Thomas Almen Bernd Bollhof Rene Klasen Marc Pichler Dirk Seefeld Charles-Henry de Fontenilles Bank and Savingsbanks Sales Head: Marc Friebertshäuser Mathias Gindele Andreas Goll Ulrich Inhofner Sven Kienzle Manfred Meyer Jörg Moritzen Michael Schmotz Bernd Thaler Klaus Vosseler Institutional Sales CEE and International Head: Jaromir Malak Central Bank and International Sales Head: Margit Hraschek Daniel Kihak Na Fiona Chan Christian Kössler Institutional Sales PL and CIS Head Piotr Zagan Pawel Kielek Institutional Sales Slovakia Head: Peter Kniz Sarlota Sipulova Institutional Sales Czech Republic Head: Ondrej Cech Milan Bartos Radek Chupik Pavel Zdichynec Institutional Sales Croatia Head: Antun Buric Natalija Zujic Institutional Sales Hungary Norbert Siklosi Attila Hollo Institutional Sales Romania Head: Ciprian Mitu Ruxandra Carlan Institutional Solutions and PM Head: Zachary Carvell Brigitte Mayr Mikhail Roshal Christopher Lampe-Traupe +43 (0)5 0100 84250 +49 (0)30 8105800 5503 +43 (0)5 0100 84323 +49 (0)30 8105800 5525 +49 (0)30 8105800 5521 +43 (0)5 0100 84118 +49 (0)30 8105800 5523 +43 (0)50100 84115 +49 (0)711 810400 5540 +49 (0)711 810400 5562 +49 (0)711 810400 5561 +43 (0)50100 85544 +49 (0)711 810400 5541 +43 (0)5 0100 83213 +49 (0)30 8105800 5581 +43 (0)5 0100 85542 +43 (0)5 0100 85583 +49 (0)711 810400 5560 +43 (0)50100 84254 +43 (0)5 0100 84117 +852 2105 0392 +852 2105 0396 +43 (0)5 0100 84116 +48 22 544 5612 +48 22 544 5610 +421 2 4862 5624 +421 2 4862 5629 +420 2 2499 5577 +420 2 2499 5562 +420 2 2499 5565 +420 2 2499 5590 +385 (0)7237 2439 +385 (0)7237 1638 +36 1 2355 842 +36 1 2355 846 +40 373 516 532 +40 373 516 531 +43 (0)50100 83308 +43 (0)50100 84781 +43 (0)50100 84787 +49 (0)30 8105800 5507 Page 24 Erste Group Research Credit Markets | Covered Bonds/Financials | Europe 6. 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