Cover Register Report according to Section 28 Pfandbrief Act 4th Quarter 2015

Transcription

1 Cover Register Report according to Section 28 Pfandbrief Act 4th Quarter 2015

2 Contents 2 Page Nominal and net present value and derivatives Maturity structure Cover pool by size Mortgage Pfandbriefe Cover pool by property type and regions and payments in arrears Public Pfandbriefe Cover pool by type of borrowers and regions and payments in arrears Further cover assets Mortgage Pfandbriefe Key figures Public Pfandbriefe Key figures

3 Nominal and net present value and derivatives (Section 28 para. 1 No. 1 and 3 Pfandbrief Act ( PfandBG )) 3 Mortgage Pfandbriefe (Euro m) Q Q Q Q Q Q Outstanding Pfandbriefe 8, , , , derivatives Cover pool 12, , , , derivatives Overcollateralisation 3, , , , , ,183.3 Overcollateralisation in % of outstanding Public Pfandbriefe Nominal value Nominal value Net present value Net present value Risk-adjusted net present value - Internal model Risk-adjusted net present value - Internal model (Euro m) Q Q Q Q Q Q Outstanding Pfandbriefe 20, , , , derivatives Cover pool 22, , , , derivatives Overcollateralisation 1, , , , , ,497.1 Overcollateralisation in % of outstanding Helaba participates in the vdp-credit quality differentiation model. According to this model there is no need for any adjustments within the cover pool.

4 Maturity structure (Section 28 para. 1 no. 2 PfandBG) 4 Mortgage Pfandbriefe Maturities Q Q (Euro m) 0.5 years Outstanding Cover pool Outstanding Cover pool ,400.0 > 0.5 years 1 year ,185.1 > 1 year 1.5 years > 1,5 year 2 years 2, , > 2 years 3 years 1, , , ,706.1 > 3 years 4 years 2, , , ,498.9 > 4 years 5 years , , ,056.3 > 5 years 10 years 1, , ,752.5 > 10 years , , , ,874.2 Public Pfandbriefe Maturities Q Q (Euro m) 0.5 years Outstanding Cover pool Outstanding Cover pool 3, , , ,871.5 > 0.5 years 1 year , ,213.2 > 1 year 1.5 years 2, , , ,667.4 > 1,5 year 2 years , ,328.2 > 2 years 3 years 2, , , ,113.8 > 3 years 4 years 3, , , ,468.7 > 4 years 5 years 1, , , ,646.8 > 5 years 10 years 4, , , ,952.2 > 10 years 2, , , , , , , ,567.6

5 Cover pool by size (Section 28 para. 2 no. 1 a and para. 3 no. 1 PfandBG)) 5 Mortgage Pfandbriefe Credit volume Q Q Euro m % Euro m % 0.3 Euro m > 0.3 Euro m 1 Euro m > 1 Euro m 10 Euro m 1, , > 10 Euro m 9, , Further cover assets , , Public Pfandbriefe Credit volume Q Q Euro m % Euro m % 10 Euro m 4, , > 10 Euro m 100 Euro m 7, , > 100 Euro m 9, , Further cover assets , ,

6 Mortgage Pfandbriefe - Cover pool by property type and region and payments in arrears (Section 28 para. 2 no. 1 b), c) and no. 2 PfandBG) 6 Mortgage Pfandbriefe Cover pool Property type Residential Appartments Single- and two-family houses Multiplefamily dwellings Buildings under construction Building land Commercial Office buildings Retail buildings Industrial buildings Other commercially used buildings Buildings under construction Building land Payments in arrears > 90 days amount of these claims inasmuch as the respective amount in arrears is at least 5 percent of the claim State Q4 Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Germany , ,2 43,7 55, ,3 0,0 0, , , ,0 220,5 302,1 1,8 5,5 0,0 0, , ,2 45,1 56, ,4 0,0 0, , , ,0 195,0 255,1 0,0 6,6 0,0 0,0 Belgium , ,4 14, , ,4 14, France , ,9 617,7 130, , ,7 452,1 108,2 -- 0, Luxembourg , ,3 71, , ,3 71, Sweden , ,0 30,8 158, , ,7 29,9 154, The Netherlands , ,6 112,4 59, , ,5 204, Austria , , ,4 -- 4, , , , Poland , ,4 177,5 183,2 53, , ,6 134,9 100,0 53, Czech Republic , ,8 111,9 264, ,7 0, , , Great Britain , ,6 255, , ,0 129, United States , ,9 804,0 27, , ,7 207, , ,2 43,7 55, ,3 0,0 0, , , ,0 274,2 306,1 1,8 5,5 0,0 0, , ,2 45,1 56, ,4 0,0 0, , , ,3 248,7 255,5 0,0 6,6 0,0 0,0

7 Public Pfandbriefe Cover pool and payments in arrears by type of borrower and regions (Section 28 para. 3 no. 2 PfandBG) 7 Public Pfandbriefe Cover pool Borrower in the total included claims which are granted for reasons of Sovereign promoting exports Regional Local Other borrowers Payments in arrears > 90 days Sovereign Regional Local Other borrowers amount of these claims inasmuch as the respective amount in arrears is at least 5 percent of the claim Sovereign Regional Local State Q4 Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Euro m Germany ,5 464,3 572, , , ,8 0,5 0, ,5 0, ,7 463,4 682, , , , Denmark ,9 41, , France , , , ,6 22, Great Britain ,1 400,1 400, ,6 308,6 308, Luxembourg ,8 6,8 6, ,3 8,3 8, Austria , , , , Spain , , , , Switzerland , , , , ,6 871,2 979, , , ,9 0,5 0, ,5 0, ,5 822,2 999, , , ,5 0,0 0,0 0,0 0,0 0,0 0,0 0,0 0,0 0,0 0,0 Other borrowers

8 Further cover assets (Section 28 para. 1 no. 4, 5 and 6 PfandBG) 8 Mortgage Pfandbriefe Further cover assets Equalization claims according to section 19 para. 1 no. 1 Claims according to section 19 para. 1 no. 2 Covered Bonds according to Article 129 Regulation (EU) no. 575/2013 State Q4 Euro m Euro m Euro m Euro m Euro m Germany Claims according to section 19 para. 1 no Public Pfandbriefe Further cover assets Equalization claims according to section 20 para. 2 no. 1 Claims according to section 20 para. 2 no. 2 Covered Bonds according to Article 129 Regulation (EU) no. 575/2013 State Q4 Euro m Euro m Euro m Euro m Germany

9 Mortgage Pfandbriefe Key figures (Section 28 para. 1 no. 7, 8, 9, 10, 11 and para. 2 no. 3 PfandBG) 9 Mortgage Pfandbriefe Q Q Outstanding Euro m 8, ,866.8 percentage share of fixed-rate Pfandbriefe (section 28 para. 1 no. 9) % Cover pool Euro m 12, ,874.2 total amount of claimes which exeed the limits laid down in section 13 para. 1 (section 28 para. 1 no. 7) Euro m total amount of the claims which exeed the limits laid down in section 19 para. 1 no. 2 (section 28 para. 1 no. 8) Euro m total amount of the claims which exeed the limits laid down in section 19 para. 1 no. 3 (section 28 para. 1 no. 8) Euro m percentage share of fixed-rate cover assets (section 28 para. 1 no. 9) % net present value Euro m 3, ,239.0 Net present value pursuant to section 6 of the Pfandbrief Net Present Value Regulation for each foreign currency in Euro section 28 para. 1 no. 10 (Net total assets and liabilities) Seasoning - volume-weighted average of the maturity that has passed since the loan was granted (section 28 para. 1 no. 11) Average loan-to-value ratio, weighted using the mortgage lending value (section 28 Abs. 2 Nr. 3) EUR 2, ,834.9 USD GBP CHF JPY DKK SEK years %

10 Public Pfandbriefe Key figures (Section 28 para. 1 no. 8, 9 and 10 PfandBG) 10 Public Pfandbriefe Q Q Outstanding Euro m 20, ,365.3 percentage share of fixed-rate Pfandbriefe (section 28 para. 1 no. 9) % Cover pool Euro m 22, ,567.5 total amount of the claims which exeed the limits laid down in section 20 para. 2 (section 28 para. 1 no. 8) percentage share of fixed-rate cover assets (section 28 para. 1 no. 9) Euro m % net present value Euro m 1, ,523.3 Net present value pursuant to section 6 of the Pfandbrief Net Present Value Regulation for each foreign currency in EURO section 28 para. 1 no. 10 (Net total assets and liabilities) EUR 1, ,091.9 USD GBP CHF JPY DKK SEK -- --