Covered Bond & SSA View - NORD/LB · 2018-06-22 · 141.1; +7.5% yoy). The ongoing shortage of...

Please see important disclosure on the last pages.

2

Agenda Page

Market overview 2

Property prices increase significantly once again 4

Sale of Propertize B.V. 6

ECB tracker 7

Charts & Graphs 12

Publication overview 18

Contacts 19

Find us on Bloomberg: NRDR <GO>

Issue volume – Covereds Issue volume – SSA

0

5

10

15

20

25

30

09

/15

10

/15

11

/15

12

/15

01

/16

02

/16

03

/16

04

/16

05

/16

06

/16

07

/16

08

/16

EU

Rbn

AUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR

0

5

10

15

20

25

30

35

09

/15

10

/15

11

/15

12

/15

01

/16

02

/16

03

/16

04

/16

05

/16

06

/16

07

/16

08

/16

EU

Rb

n

Other

ES

AT

NL

FR

GE

SNAT

Source: Bloomberg, NORD/LB Fixed Income Research Source: Bloomberg, NORD/LB Fixed Income Research

Fixed Income Research

Covered Bond & SSA View 17 August 2016 32/2016

Distribution: 17.08.2016 14:49

bbg://screens/NRDR

Covered Bond & SSA View 17 August 2016

NORD/LB Fixed Income Research

of 23

Covered Bonds Market overview

Analyst:

Matthias Melms, CIIA, CCrA

Primary market defined by

summer break

The primary market is currently still in the middle of the summer break. The

most recent EUR benchmark issue dates back to 20 July and was placed by

the Commonwealth Bank of Australia. However, issuing activity did include

some individual euro taps as well as bonds in currencies other than the euro.

Commerzbank topped up its CMZB 0.05 07/11/24 by EUR 250m to bring the

new outstanding volume to EUR 1.0bn. While the original issue had been

placed at a reoffer spread of ms -4bp, the tap was placed at ms -16bp in the

wake of a considerable decline in spreads in the meantime. The pleasing

demand that was reflected by an order book of around EUR 800m resulted

in a tightening of 3bp from ms -13bp area during the marketing phase. With

a coupon of 0.05% and a mid-swap yield of around 9bp for a maturity of

eight years, a negative yield of -0.07% was generated at a reoffer spread of

ms -16bp. The pick-up of approximately 35bp over Bunds enticed foreign

investors to participate in the tap, with around 50% being placed outside

Germany. Australian Suncorp-Metway issued a ten year covered bond with

a volume of AUD 350m at ms +135bp. Since its inaugural bond in 2012, the

issuer has so far only been active in its domestic currency. We still do not

anticipate an increase in primary market activity over the coming trading

days, despite there being sufficient investor interest even with the current

summer break, as is reflected in the placement by Commerzbank.

Further narrowing in the

secondary market

The summer break is also having a clear impact on the secondary market.

While trading can be considered quiet overall, the fact that the order books

are relatively empty has caused spreads to narrow considerably. Over the

past five trading days, many jurisdictions saw narrowing of up to one basis

point in conjunction with slow trading. In the last four weeks, in particular,

supply was spread extremely thinly in the face of demand, as a result of

which all jurisdictions narrowed noticeably, above all covered bonds from the

periphery, with Spanish Multi Cédulas (-21bp) and Single Cédulas (-19bp)

benefiting most.

Trader’s comment Market activity continues to be shaped by the summer break, with only very

sparse flows in the market. In this quiet period, real money investors are

preferentially seeking maturities of between two and five years from French

and Scandinavian but also Canadian issuers. By comparison, interest has

been rather restrained in the longer maturity segments of six to eight years,

although some sales were recorded. It is now becoming increasingly difficult

to find paper with maturities of more than nine years in the market as inves-

tors are seeking positive yields.



of 23

SSA Market overview

Analysts:

Mario Gruppe, CIIA

Norman Rudschuck, CIIA

Development banks

increasingly focus on climate

change projects

The trend towards a greater focus of the multilateral development banks on

climate change related projects continued last year. The six biggest devel-

opment banks (ADB, AfDB, EBRD, EIB, IDBG and WBG) recently reported

in their joint Climate Finance Report that a total of USD 81bn was made

available last year for climate change related measures. A total of USD 25bn

was made available by the development banks and a further USD 56bn was

brought in by other lenders. Last year, all major multilateral development

banks announced, some following the UN climate conference in Paris, that

they intended to expand their respective shares of climate protection financ-

ing on a sustained basis.

Rentenbank records

downward trend in new

business

In the first half of 2016, Rentenbank faced a considerable decline in new

business. Declining demand for development loans was very noticeable in

the agricultural sector, for example. In this segment, new business was

down 7% on the same period in the previous year to EUR 3.4bn. Renten-

bank cited low commodity prices in the agricultural segment, for example for

milk, as a cause for the slump. In addition, the number of agricultural busi-

nesses has continued to decrease. However, a marked reduction was also

evident in general development loans. In this respect, loans totalling EUR

1.1bn were extended, which represents a 57% decrease compared with the

first half of 2015. Accordingly, the funding requirement was lower in the capi-

tal market. In the first six months of 2016, Rentenbank’s funding amounted

to EUR 7.4bn (HY1 2015: EUR 8.4bn). The bank has already raised almost

70% of the total issuance volume of EUR 11bn planned for 2016.

Primary market Rhineland-Palatinate launched a new benchmark bond issue in the market

last week. The Land raised EUR 750m for ten years at ms -15bp. Otherwise,

the primary market segment of German Länder bonds remained relatively

quiet. However, the issuance volume is likely to increase in the coming

weeks, including in benchmark format. The latest EIB activity was to in-

crease a tap issue by EUR 300m (XS0544644957). The bond volume out-

standing now amounts to EUR 5.35bn. The EIB also increased another

EUR-denominated transaction (2036) by EUR 400m at ms -12bp. At the

same time, the greenback looks more attractive for some, with NRW.Bank

raising USD 1bn in the 5y segment at ms +39bp.

Issuer Country Timing ISIN Maturity Volume Spread Rating

RHIPAL GE 11.08.2016 DE000RLP0777 10.0y 0.75bn -15bp AAAe / - / -

Source: Bloomberg, NORD/LB Fixed Income Research (Rating: Fitch / Moody’s / S&P)

Trader’s comment In the course of last week, a RHIPAL 08/26 bond worth EUR 750m were

issued at ms -15bp with the involvement of NORD/LB. This bond had been

announced at area -13bp. The significant oversubscription proved once

again that the market waits for fairly priced new issues. In the secondary

market, the price of the bond has gone up by a further 2bp. A substantial

demand overhang continues to exist in the market for securities in the medi-

um and long-term maturity bands. There is an increasing number of bond

issues for which offers are no longer available in the market.



of 23

Covered bonds Property prices increase significantly once again

Analyst:

Kai Ebeling, CIIA

Overall index records

greatest rise since start of the

time series in 2003

vdp Research GmbH has published its indices on the development of proper-

ty prices in Germany for the second quarter of 2016. The indices are based

on a transaction database of participating institutions. The hedonic method is

used for the valuation to ensure that heterogeneity between different proper-

ties is taken into account. In the last quarter, property price development

gained momentum, with the overall index recording an increase of 6.7%

when compared with the corresponding quarter in the previous year, which is

the strongest improvement since the start of the time series in 2013. vdp

identifies the extremely low supply of commercial and residential property as

the main driver of this trend, as a result of which the transaction volume de-

clined in almost all segments.

Property market in Germany Owner-occupied residential property

90

95

100

105

110

115

120

125

130

135

140

2013=

100

Overall Index Residential Commercial

100

105

110

115

120

125

130

135

140

2013=

100

Owner Occupied Housing Single Family Houses Condominiums

Source: vdp, NORD/LB Fixed Income Research * Values for 2016 based on values from Q2 2016


Development of residential

property indices

The overall index trend reflects the trend of the sub-indices for residential

and commercial properties, as it is these from which it is derived (current

weighting: residential property 75.6%; commercial property 24.4%). In the

last quarter, the vdp property price index once again recorded a considerable

increase of 6.9% yoy to total 137.3 points. This development is attributable to

a rise in the price index for owner-occupied housing (currently: 133.3; +6.3%

yoy) and growth in the capital value index for multi-family houses (currently:

141.1; +7.5% yoy). The ongoing shortage of supply is the main reason for

this trend in both segments, with the urban centres particularly affected. Alt-

hough there has recently been an expansion in construction activity, the sup-

ply side has only slowly been able to respond to meet demand. As a result,

the supply deficit is likely to remain in the medium term, which means that

both rent and buying costs of residential property can be expected to rise

further in the coming quarters. In view of this trend, the price index for single

and multi-family houses rose to 132.0 in the last quarter (+5.9% yoy), while

the price of condominiums was up 7.3% yoy leading to an index of 137.0. In

the multi-family houses segment, new rental contracts increased by 4.5% yoy

to an index value of 132.1.



of 23

Development of commercial

indices – office and

administration buildings

A similar trend can be observed on the commercial property market on ac-

count of ongoing positive economic conditions, which has resulted in a rise of

5.8% in the capital value index compared with the second quarter of 2015 to

total 125.2. The rate of price growth for office and administration buildings

increased significantly, causing the capital value index to climb by 7.4% yoy

to 140.0. The key factors were once again the decline in vacancy rates due

to reduced construction and higher employment in the service sector on ac-

count of favourable economic development. In the last quarter, new rental

contracts consequently improved on the previous year's figure by an average

of 2.8%, while the property rate index fell by 4.3% yoy to 78.3 owing to strong

demand from institutional investors.

Development of commercial

indices – retail buildings

Although the capital value index for retail buildings increased over the last

quarter, growth rates since the second quarter of 2015 have been ever lower.

However, the index received a new boost of 2.6% yoy in the last quarter to

total 102.9. The value results from a rise of 0.9% yoy in new rental contracts

(index: 108.0) and a decline in the property rate index to 104.9 (-1.6% yoy)

due to greater acquisition costs.

Office buildings Retail buildings

75

85

95

105

115

125

135

145

2013=

100

Capital value Office rents Cap rate

90

95

100

105

110

115

120

2013=

100

Capital value Office rents Cap rate



Conclusion Growth was once again recorded for all sub-indices of the vdp Property Price

Index in the last quarter. This development continues to be driven by the

existing supply surplus, which has led to a decline in the transaction volume

in almost all segments. Despite the fact that efforts have been made to in-

crease construction in response to this situation, we expect the current trend

to continue in the coming quarters as the demand surplus can only be re-

duced in the medium to long term given the long investment periods. This will

above all impact the urban centres in Germany. Furthermore, the current low

interest rate environment will play a defining role in the development of prop-

erty prices. As no trend reversal will take place in the coming months in this

area, we predict that property and rental prices will continue to move up-

wards.



of 23

SSAs Sale of Propertize B.V.

Analysts:

Mario Gruppe, CIIA


Jeroen Dijsselbloem

reports on the sale

The Dutch government signed a Propertize B.V. sale and purchase agree-

ment. Lone Star will take over PROPBV with syndicate partner J.P. Morgan

for approx. EUR 895.3m. The transfer is subject to certain conditions, includ-

ing approval from the relevant supervisory authorities. A total of 84 parties

showed interest, with four parties submitting a binding offer following due

diligence. Finance Minister Jeroen Dijsselbloem views the sale as compatible

with the statement by NLFI, which also holds state-owned shares in

ABN.Amro and other financial vehicles. Lone Star is set to take over the

shares as well as all rights and Propertize obligations of the state. Propertize

emerged following the nationalisation of SNS REAAL on 1 February 2013. At

this stage, it would be premature to say what the final (positive) outcome of

this transaction means for the country.

Issuer Country Timing ISIN Maturity Volume Spread Rating

PROPBV NL 20.02.2014 XS1039281255 0.5y 0.75bn -20bp AAA / Aaa / -



Source: Bloomberg, NORD/LB Fixed Income Research (ratings: Fitch, Moody’s and S&P)

Name is to stay, but no state

guarantee granted for new

bonds

For Propertize and at least some of its employees, this sale means that there

is a vision for the future, as the name Propertize will remain in addition to

various jobs being secured. However, we do not anticipate there being any

further connection with the Dutch government under the private consortium.

Future issues are therefore likely to not be granted state guarantees, mean-

ing that this issuer will not be included in our SSA coverage in the future. We

are of the view that the three outstanding issues do have an explicit state

guarantee and that these will be unaffected by the sale. At the moment, we

even believe that these securities will be directly transferred to the Dutch

state, which would only serve to improve the credit rating.

Spread development of outstanding bonds

-0,5

-0,4

-0,3

-0,2

-0,1

0

0,1

0,2

0,3

Nov. 14 Jan. 15 Mrz. 15 Mai. 15 Jul. 15 Sep. 15 Nov. 15 Jan. 16 Mrz. 16 Mai. 16 Jul. 16

PROPBV 0.5 02/27/2017 Corp

PROPBV 0 03/10/2017 Corp

PROPBV 1 02/18/2019 REGS Corp

Source: Bloomberg, NORD/LB Fixed Income Research

Conclusion The sale of Propertize will precipitate a noticeable change in issuer structure.

However, nothing should change in terms of the state guarantee for the three

outstanding bonds after the sale has gone through. Future issues are likely

not to come with a state guarantee.



of 23

Covered Bonds/SSA ECB tracker

Analysts:

Matthias Melms, CIIA, CCrA


In this section, we publish weekly updates on the covered bonds, ABS, spe-

cific agencies, supranationals and sovereign bonds which the European

Central Bank (ECB) is purchasing. We provide an overview of the develop-

ment of purchases.

Little activity again under

the CBPP3

As at the reference date of 12 August, the ECB reported a portfolio volume

totalling EUR 188.039bn purchased so far as part of the CBPP3. This repre-

sents an increase of EUR 659m on the previous week’s value. Overall, net

inflows in the past four weeks fell slightly to EUR 2.532bn (previously: EUR

3.280bn). The persistently low primary market activity is making life difficult

for the Eurosystem in terms of building up their portfolio. We still expect

primary market activity to be subdued for the whole of August, meaning that

we anticipate the pace of purchases to be rather restrained until early Sep-

tember. Maturities dominated the ABSPP in the past reporting period, with

the portfolio receding by EUR 4.0m to EUR 20.366bn. Net inflows in the

past four weeks therefore fell slightly by EUR 50m (previously: EUR 205m).

Within the framework of the CSPP, the ECB bought EUR 1,248m last week,

bringing the overall volume to a total of EUR 16,226m.

Weekly PSPP purchases

total just EUR 11.4bn

Once again, the figures published on Monday afternoon revealed a signifi-

cant decline: at EUR 11.4bn (reference date: 12 August) the total volume of

purchased bonds again fell short of the EUR 15bn mark. The summer break

is therefore making its presence felt once more. The volume has only been

lower twice since April. The average volume since the expansion to EUR

80bn per month has been a comparatively high EUR 16.3bn. In the previous

period under review, however, several newcomers were included on the

SSA shopping list: In addition to KFW, bonds from OSEOFI and NEDWBK

found their way into the Eurosystem’s books. Two “white spots” were dis-

covered among the recently extended SSA list of titles eligible for purchase:

For the first time, one bond each from FADE and PARPUB were acquired.

Both issuers still have various ISINs outstanding and could well be men-

tioned more often in future. Nevertheless, this represents a starting point. In

addition, three regional German bonds were purchased: BREMEN, NIESA

and NRW raised the overall number of ISINs to 39. There was little reason

for cheer in terms of the BDF’s communications last week as its reverse

auction was cancelled without replacement or notification due to the sum-

mer lull. However, this week will once again be a case of “business as usu-

al”.

Upcoming reverse auctions (Banque de France – BDF)

ISIN Bond Central bank & date

EU000A1G0DE2 EFSF 0.2 04/28/25 Banque de France (19.08.)

EU000A1G0DH5 EFSF 0.4 05/31/26 Banque de France (19.08.)

EU000A1U9951 ESM 0 1/8 04/22/24 Banque de France (19.08.)

EU000A1U9977 ESM 0 7/8 07/18/42 Banque de France (19.08.)

Total targeted size: EUR 150-250m Source: BDF, NORD/LB Fixed Income Research



of 23

Completed reverse auctions (DeNederlandscheBank – DNB)

ISIN Bond Min. Mean Max Date

XS1166023777 BNG 0 ⅜ 01/14/22 103,478 103,483 103,498 15.08.

XS0765298095 NEDWBK 3 03/28/22 118,300 118,300 118,300 15.08.

XS1280394229 BNG 0 ½ 08/26/22 104,340 104,340 104,340 15.08.

XS0821096418 BNG 2 ¼ 08/30/22 114,850 114,968 114,980 15.08.

XS1346315382 NEDWBK 0 ½ 01/19/23 104,310 104,320 104,330 15.08.

XS1368698251 BNG 0 ¼ 02/22/23 102,760 102,760 102,760 15.08.

XS1428771809 BNG 0 ¼ 06/07/24 N/A N/A N/A 15.08.

XS1445725218 BNG 0.05 07/13/24 N/A N/A N/A 15.08.

XS1105954256 BNG 1 ⅛ 09/04/24 N/A N/A N/A 15.08.

XS1342516629 BNG 1 01/12/26 N/A N/A N/A 15.08.

Total Amount Offered EUR 195m

Total Amount Allocated EUR 50m

Source: DNB, NORD/LB Fixed Income Research

ECB purchase list for PSPP – regional issuers

Issuer Jurisdiction ISINs already purchased

BADWUR GE 2

BAYERN GE -

BERGER GE 8

BREMEN GE 3

BRABUR GE -

HESSEN GE 6

HAMBRG GE 1

NIESA GE 3

MECVOR GE -

NRW GE 13

RHIPAL GE 3

SAARLD GE -

SCHHOL GE -

SAXONY GE -

SACHAN GE -

THRGN GE -

LAENDER GE -

IDF FR 2

VDP FR 1

MADRID ES 5

CASTIL ES 1

BASQUE ES 1

WALLOO BE 1

Source: ECB, NORD/LB Fixed Income Research



of 23

ECB purchase list for PSPP

Issuer Jurisdiction ISINs already purchased

EIB SNAT 49

EFSF SNAT 32

ESM SNAT 14

EU SNAT 20

COE SNAT 7

NIB SNAT 1

EURAT SNAT -

KFW DE 39

RENTEN DE 16

NRWBK DE 22

LBANK DE 6

CADES FR 18

RESFER FR 13

UNEDIC FR 16

AGFRNC FR 14

OSEOFI FR 11

CDCEPS FR 3

CNA FR 2

ACOSS FR -

BNG NL 22

NEDWBK NL 17

NEDFIN NL 2

OBND AT 8

ASFING AT 7

FINNVE FI 4

TVRFIN FI 2

ICO ES 9

ADIFAL ES 3

CDEP IT 3

IP (REFER / ESTPOR) PT -

SEDABI SI 1

DARSDD SI -

FADE ES 1

KUNTA FI 1

PARPUB PT 1

CASDEL IT -

AFLBNK FR 2

APHP FR -

GDCHU FR -

SPABSS FR -

HSGFIN IE -

FRBRTC BE -

SOCWAL BE -

FONWAL BE -

SWLBEL BE -




of 23

CBPP3 Overview

Weekly purchase volume [EURbn] Primary and secondary market share [EURbn]

172

174

176

178

180

182

184

186

188

190

0.0

0.5

1.0

1.5

2.0

2.5

03.0

6.1

6

10.0

6.1

6

17.0

6.1

6

24.0

6.1

6

01.0

7.1

6

08.0

7.1

6

15.0

7.1

6

22.0

7.1

6

29.0

7.1

6

05.0

8.1

6

12.0

8.1

6

EU

Rb

n

EU

Rb

n

Weekly purchases Total volume (rhs)

0

20

40

60

80

100

120

140

160

180

200

0

2

4

6

8

10

12

14

Oct-14

Nov-

14D

ec-

14Ja

n-1

5F

eb-1

5M

ar-

15

Apr-

15

May-

15

Jun-1

5Ju

l-15

Aug-1

5S

ep-1

5O

ct-15

Nov-

15D

ec-

15Ja

n-1

6F

eb-1

6M

ar-

16

Apr-

16

May-

16

Jun-1

6Ju

l-16

EU

Rb

n

EU

Rb

nPrimary market Secondary market Total volume (rhs)

Source: Bloomberg, NORD/LB Fixed Income Research Source: ECB, NORD/LB Fixed Income Research

Total volume of covered bond purchase programmes [EURbn]

0

50

100

150

200

250

Jul-0

9

Nov

-09

Ma

r-10

Jul-1

0

Nov

-10

Ma

r-11

Jul-1

1

Nov

-11

Ma

r-12

Jul-1

2

Nov

-12

Ma

r-13

Jul-1

3

Nov

-13

Ma

r-14

Jul-1

4

Nov

-14

Ma

r-15

Jul-1

5

Nov

-15

Ma

r-16

Jul-1

6

CBPP1 [EUR 16,4bn] CBPP2 [EUR 7,5bn] CBPP3 [EUR 188bn]

Source: Bloomberg, NORD/LB Fixed Income Research current volume in [ ]



of 23

PSPP overview

Weekly purchase volume [EUR bn] Distribution by country at month-end [EUR bn]

650

700

750

800

850

900

950

1000

5

7

9

11

13

15

17

19

03.0

6.1

6

10.0

6.1

6

17.0

6.1

6

24.0

6.1

6

01.0

7.1

6

08.0

7.1

6

15.0

7.1

6

22.0

7.1

6

29.0

7.1

6

05.0

8.1

6

12.0

8.1

6

Weekly purchases Total volume (rhs)

0

20

40

60

80

100

120

140

160

180

200

EU

Rb

n

Source: Bloomberg, NORD/LB Fixed Income Research Source: ECB, NORD/LB Fixed Income Research

Overall distribution of PSPP buying at month-end (EURbn)

Country Adjusted

distribution key1

Purchases (EUR m)

Expected purchases (EUR m)

2

Difference (EUR m)

Average time to maturity in

years

Market average in years

3

Difference in years

DE 26.3% 225,516 224,963 553 7.60 13.90 -6.3

FR 20.7% 179,160 178,366 794 7.71 11.27 -3.6

IT 18.0% 155,876 154,209 1,667 9.24 7.27 2.0

SNAT 0.0% 109,158 109,571 -413 7.05 11.23 -4.2

ES 12.9% 111,788 110,594 1,194 9.71 7.34 2.4

NE 5.9% 50,199 50,054 145 7.71 12.40 -4.7

BE 3.6% 31,038 30,952 86 9.79 14.52 -4.7

AT 2.9% 24,628 24,564 64 9.11 12.53 -3.4

PT 2.6% 20,096 20,953 -857 10.07 7.33 2.7

FI 1.8% 15,819 15,735 84 7.55 10.52 -3.0

IE 1.7% 14,237 14,332 -95 9.31 11.35 -2.0

SK 1.1% 7,290 8,277 -987 7.92 9.35 -1.4

SI 0.5% 3,952 4,120 -168 8.23 8.40 -0.2

LU 0.3% 1,621 1,968 -347 6.65 13.98 -7.3

LV 0.4% 1,050 1,459 -409 6.56 7.02 -0.5

LT 0.6% 1,844 2,438 -594 6.50 6.63 -0.1

MT 0.1% 598 670 -72 10.89 9.79 1.1

CY 0.2% 269 1,506 -1,237 5.19 6.09 -0.9

EE 0.3% 66 426 -360 1.96 0.00 2.0

GR 0.0% 0 0

0.00 13.2 -

Total / average

100.0% 954,205 - - 8.26 9.44 -1.2

1 Based on the ECB capital key, adjusted to include supras and the disqualification of Greece

.

2 Based on the adjusted distribution key.

3 Weighted average time to maturity of the bonds eligible for purchasing under the PSPP.




of 23

Covered Bonds Charts & Graphs

Outstanding volume (Bmk.) Top 10 countries (Bmk.)

20.6%

19.8%

11.3%8.3%

5.3%

4.7%

4.2%

4.1%

3.1%

2.8%

15.6%

EUR 1077.7bn

FR

ES

DE

IT

GB

NL

NO

CA

SE

AT

Others

Country Vol. (€bn) No. of CBs ØVol. (€bn) Vol. weight.

ØMod. Duration

FR 222.1 168 1.3 4.2

ES 213.2 163 1.3 3.1

DE 122.1 185 0.7 3.9

IT 89.2 90 1.0 3.2

GB 57.3 47 1.2 3.6

NL 51.2 40 1.3 4.6

NO 45.7 44 1.0 3.0

CA 44.6 36 1.2 3.6

SE 33.9 33 1.0 3.7

AT 30.5 47 0.6 3.1

Issue volume by year (Bmk.) Maturities next 12 months (Bmk.)

0

50

100

150

200

250

300

350

2011 2012 2013 2014 2015 2016

EU

Rb

n

ATAUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR

0

5

10

15

20

25

30

35

40

08/1

6

09/1

6

10/1

6

11/1

6

12/1

6

01/1

7

02/1

7

03/1

7

04/1

7

05/1

7

06/1

7

07/1

7

EU

Rb

n

AUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR

Avg. mod. duration by country (vol. weighted) Rating distribution (vol. weighted)

0

1

2

3

4

5

6

AT

AU

BE

CA

CH

CZ

DE

DK

ES FI

FR

GB IE IT LU

NL

NO

NZ

PT

SE

SG

TR

63.0%

4.2%16.1%

0.9%

5.2%

4.1%0.4% 3.3%

2.2%

0.6%0.0%

6.1%

AAA/Aaa

AA+/Aa1

AA/Aa2

AA-/Aa3

A+/A1

A/A2

A-/A3

BBB+/Baa1

BBB/Baa2

BBB-/Baa3

BB+/Ba1

BB/Ba2

BB-/Ba3




of 23


Spread development (last 15 issues)

CB

AA

U 0

1/2

07/2

7/2

6

CM

0 0

7/2

5/2

2

CM

ZB

0.0

5 0

7/1

1/2

4

BR

F 0

1/4

07/0

1/2

3

CA

FFIL

0 3

/8 0

6/2

3/2

5

SH

BA

SS

0.0

5 0

6/2

0/2

2

BZ

LN

Z 0

1/8

06/1

7/2

1

WS

TP 0 1

/8 0

6/1

6/2

1

ND

B 0

3/8

06/1

5/2

3

SA

BS

M 0

5/8

06/1

0/2

4

CM

ZB

0 1

/2 0

6/0

9/2

6

PM

IIM

0 5

/8 0

6/0

8/2

3

DB

0 1

/2 0

6/0

9/2

6

SR

BA

NK

0 1

/8 0

9/0

8/2

1

DEX

GR

P

0.0

5 0

9/0

8/2

1

-30

-20

-10

0

10

20

30

40

50

bp

Reoffer Spread Current ASW

Bid-to-Cover (last 15 issues)

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

CB

AA

U 0

1/2

07/2

7/2

6

CM

0 0

7/2

5/2

2

CM

ZB

0.0

5 0

7/1

1/2

4

BR

F 0

1/4

07/0

1/2

3

CA

FF

IL 0

3/8

06/2

3/2

5

SH

BA

SS

0.0

5 0

6/2

0/2

2

BZ

LN

Z 0

1/8

06/1

7/2

1

WS

TP

0 1

/8 0

6/1

6/2

1

ND

B 0

3/8

06/1

5/2

3

SA

BS

M 0

5/8

06/1

0/2

4

CM

ZB

0 1

/2 0

6/0

9/2

6

PM

IIM

0 5

/8 0

6/0

8/2

3

DB

0 1

/2 0

6/0

9/2

6

SR

BA

NK

0 1

/8 0

9/0

8/2

1

DE

XG

RP

0.0

5 0

9/0

8/2

1

EU

Rb

n

Amt. Issued Order Book Bid-to-Cover (rhs)

Spread development by country Performance (total return)

-40 -20 0 20 40 60

TRSGSEPTNZNONLITIE

GBFRFI

ES - SingleES - Multi

DKDECHCABEAU

bpΔ 3 Months Δ Week Δ Month

0% 5% 10% 15% 20%

Overall

1-3Y

3-5Y

5-7Y

7-10Y

2016 ytd

2015

2014

2013

2012

2011




of 23


Germany & Austria France

-30

-20

-10

0

10

20

30

40

50

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturity

AT DE - Öpfe DE - Hypfe DE - Others

-30

-25

-20

-15

-10

-5

0

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityOF OH Structured

Nordics Other Core

-15

-10

-5

0

5

10

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityDK FI NO SE

-20

-15

-10

-5

0

5

10

15

20

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityBE CH GB LU NL

Overseas & Others Periphery

0

50

100

150

200

250

300

-10

-5

0

5

10

15

20

0 1 2 3 4 5 6 7 8 9 10

AS

W in p

b

AS

W in b

p

years to maturityAU CA NZ SG TR (rhs.)

-30

-10

10

30

50

70

90

110

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturity

ES - Single ES - Multi IE IT PT




of 23

SSA Charts & Graphs

Outstanding volume (Bmk.) Top 10 countries (Bmk.)

37,9%

36,8%

10,9%

4,9%

4,3% 1,7%

1,0%

0,9%

0,3%

0,3%

1,0%

5,2%

EUR 1460,9bn GE

SNAT

FR

SP

NE

AS

CA

IT

FI

PO

Others

Country Vol. (€bn) No. of bonds

ØVol. (€bn) Vol. weight.

ØMod. Duration

GE 555,4 475 1,2 4,1

SNAT 537,5 123 4,4 6,8

FR 162,0 103 1,6 5,6

SP 71,3 60 1,2 3,2

NE 63,4 58 1,1 4,4

AS 24,9 24 1,0 6,4

CA 15,1 11 1,4 5,3

IT 10,7 11 1,0 8,1

PO 4,8 8 0,6 4,2

FI 4,3 5 0,9 6,1

Issue volume by year (Bmk.) Maturities next 12 months (Bmk.)

0

50

100

150

200

250

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2016e

EU

Rb

n

Other

ES

AT

NL

FR

GE

SNAT

0

5

10

15

20

2508

/16

09

/16

10

/16

11

/16

12

/16

01

/17

02

/17

03

/17

04

/17

05

/17

06

/17

07

/17

EU

Rb

n

Other

ES

AT

NL

FR

GE

SNAT

Avg. mod. duration by country (vol. weighted) Rating distribution (vol. weighted)

0

1

2

3

4

5

6

7

8

GE

SN

AT

FR

SP

NE

AS

CA IT FI

PO

43,7%

12,8%

27,7%

7,9%

0,4%3,5%

1,0%

0,4%0,2%

0,9%

2,8%

AAA/Aaa

AA+/Aa1

AA/Aa2

AA-/Aa3

A+/A1

A/A2

A-/A3

BBB+/Baa1

BBB/Baa2

BBB-/Baa3

BB+/Ba1

BB/Ba2

BB-/Ba3

B+/B1

B/B2

B-/B3

NR




of 23

SSA Charts & Graphs

Spread development (last 15 issues) R

HIP

AL 0

.1 0

8/1

8/2

6

(fix

ed

) HE

SS

EN

0 3

/4 0

8/0

4/3

6

(fix

ed

)

NIE

SA

0 0

8/0

2/2

4 (

fixed)

AG

FR

NC

0 1

/4 0

7/2

1/2

6

(fix

ed

)

ES

M 0

7/8

07/1

8/4

2 (

fixed)

BA

DW

UR

0 0

7/1

9/1

8

(flo

ating)

RH

IPA

L 0

07/1

6/1

8 (

fixed)

BN

G 0

.05 0

7/1

3/2

4 (

fixed)

HE

SS

EN

0 3

/8 0

7/0

6/2

6

(fix

ed

)

IDF

0 1

/2 0

6/1

4/2

5 (

fixed)

NIB

0 1

/8 0

6/1

0/2

4 (fi

xed)

CO

E 0

3/8

06/0

8/2

6 (

fixed)

ER

STA

A 0

06/0

7/1

9

(fix

ed

)

KF

W 0

06/3

0/2

1 (

fixed)

NIE

SA

0 1

/2 0

6/0

8/2

6

(fix

ed

)

-35

-30

-25

-20

-15

-10

-5

0

5

10

15

20

bp

Reoffer Spread / DM Current ASW / DM

Spread development by country Performance (total return)

-25 -20 -15 -10 -5 0 5

GE

SNAT

FR

SP

NE

AS

bp1W 1M 3M

-5% 0% 5% 10% 15% 20% 25% 30%

Overall

1-3

3-5

5-7

7-10

10+

YTD

2015

2014

2013

2012

2011

Performance (total return) – 2015 Performance (total return) – 2015

-1% 0% 1% 2% 3% 4% 5% 6%

Supras

Agencies

Public Banks

Regions

Bundesländer

Periphery

Non-Periphery

1W

1M

3M

6M

12M

YTD

-2% 0% 2% 4% 6% 8%

Overall

AAA

AA

A

BBB

1W

1M

3M

6M

12M

YTD




of 23

SSA Charts & Graphs

Germany (by segments) France (by risk weight)

-50

-45

-40

-35

-30

-25

-20

-15

-10

-5

0

0 1 2 3 4 5 6 7 8 9 10

AS

W in

bp

years to maturity

National agencies Bundesländer Regional agencies Bunds

-40

-30

-20

-10

0

10

20

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AS

W in

bp

years to maturity

RW: 0% RW: 20% OATs

Netherlands & Austria Supranationals

-50

-40

-30

-20

-10

0

10

20

30

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AS

W in

bp

years to maturity

Dutch agencies DSLs Austria Austrian agencies

-70

-60

-50

-40

-30

-20

-10

0

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

AS

W in

bp

years to maturity

Supranationals Supranationals Bunds OATs

Core Periphery

-40

-30

-20

-10

0

10

0 1 2 3 4 5 6 7 8 9 10

AS

W in

bp

years to maturityGerman nat. agencies Bundesländer

German reg. agencies French RW: 0%

French RW: 20% Dutch agencies

Austrian agencies Supras

-50

0

50

100

150

200

250

300

350

400

0 1 2 3 4 5 6 7 8 9 10

AS

W in

bp

years to maturity

Spanish agencies Spanish regions Italian agencies

Portuguese agencies Bonos BTPs

Portugal




of 23

Appendix Publication overview

Publication Topics

31/2016 10 August Market overview

vdp publishes §28 data for Q2 2016

Movement in the Bund-Länder spread – Lasting trend or temporary phenome-

non?

ECB Tracker

30/2016 03 August Market overview

ECBC publishes covered bond statistics for 2015

Overview of PSPP holdings

ECB Tracker

29/2016 27 July Market overview

Yield levels on the covered bond market

More power to the ESM – what prompted the Bundesbank’s proposal?

ECB Tracker


Italian risk with covered bondsMoody‘s

Downward trend in yields puts ECB under growing pressure

ECB Tracker


RLB Oberösterreich assigned Aaa rating by Moody‘s

Overview of PSPP holdings

ECB Tracker


Fitch plans to change rating methodology

High issuance volume in first six months

Half-year review 2016 for SSAs

ECB Tracker

25/2016 29 June Market overview

Impact of Brexit decision on covered bonds

Varyingly strong effects expected on Public issuers

ECB Tracker


UK covered bonds reveal potential

The PSPP and yields on German bonds

ECB Tracker


Relative value for rates products

ECB Tracker



of 23

Appendix Contacts

Fixed Income Research

Michael Schulz Head +49 511 361-5309 [email protected]

Kai Niklas Ebeling Covered Bonds +49 511 361-9713 [email protected]

Mario Gruppe Public Issuers +49 511 361-9787 [email protected]

Michaela Hessmert Banks +49 511 361-6915 [email protected]

Christopher Kief Corporates / Retail Products +49 511 361-4710 [email protected]

Melanie Kiene Banks +49 511 361-4108 [email protected]

Jörg Kuypers Corporates / Retail Products +49 511 361-9552 [email protected]

Matthias Melms Covered Bonds +49 511 361-5427 [email protected]

Sascha Remus Corporates / Retail Products +49 511 361-2722 [email protected]

Norman Rudschuck Public Issuers +49 511 361-6627 [email protected]

Martin Strohmeier Corporates / Retail Products +49 511 361-4712 [email protected]

Kai Witt Corporates / Retail Products +49 511 361-4639 [email protected]

Markets Sales

Carsten Demmler Head +49 511 361-5587 [email protected]

Institutional Sales (+49 511 9818-9440)

Daniel Gutschka (Head) [email protected] Gabriele Schneider [email protected]

Thorsten Bock [email protected] Dirk Scholden [email protected]

Uwe Kollster [email protected] Uwe Tacke [email protected]

Daniel Novotny-Farkas [email protected]

Sales Savings Banks / Regional Banks (+49 511 9818-9400)

Christian Schneider (Head) [email protected] Martin Koch [email protected]

Oliver Bickel [email protected] Bernd Lehmann [email protected]

Tobias Bohr [email protected] Jörn Meißner [email protected]

Kai-Ulrich Dörries [email protected] Lutz Schimanski [email protected]

Jan Dröge [email protected] Ralf Schirrling [email protected]

Sascha Goetz [email protected] Brian Zander [email protected]

Stefan Krilcic [email protected]

Sales Asia (+65 64 203136)

Jefferson Ko [email protected] Muhammad Peter Shepherd

[email protected]

Fixed Income / Structured Products Sales Europe (+352 452211-515)

René Rindert (Head) [email protected] Patricia Lamas [email protected]

Morgan Kermel [email protected] Laurence Payet [email protected]

Corporate Sales

Schiffe / Flugzeuge +49 511 9818-8150 Firmenkunden +49 511 9818-4003

Immobilien / Strukturierte Finanzierung

+49 511 9818-8150 FX/MM +49 511 9818-4006

Syndicate / DCM (+49 511 9818-6600)

Thomas Cohrs (Head) [email protected] Wlada Pesotska [email protected]

Axel Hinzmann [email protected] Andreas Raimchen [email protected]

Thomas Höfermann [email protected] Udo A. Schacht [email protected]

Alexander Malitsky [email protected] Marco da Silva [email protected]

Julien Marchand [email protected]

Financial Markets Trading

Corporates +49 511 9818-9690 Collat. Mgmt / Repos +49 511 9818-9200

Covereds / SSAs +49 511 9818-8040 Cust. Exec. & Trading +49 511 9818-9480

Financials +49 511 9818-9490 Frequent Issuers +49 511 9818-9640

Governments +49 511 9818-9660 Structured Products +49 511 9818-9670

Länder & Regionen +49 511 9818-9550

mailto:[email protected]








of 23

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The value of your investments may fluctuate. Results achieved in the past do not offer any guarantee for the future (De waarde van uw

belegging kan fluctueren. In het verleden behaalde resultaten bieden geen garantie voor de toekomst).

Additional information for recipients in Poland

This Analysis does not constitute a recommendation within the meaning of the Regulation of the Polish Minister of Finance Regarding

Information Constituting Recommendations Concerning Financial Instruments or Issuers thereof dated 19 October 2005.



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Additional information for recipients in Portugal

This Analysis is intended only for institutional clients and may not be (i) used by, (ii) copied by any means or (iii) distributed to any other

kind of investor, in particular not to retail clients. This Analysis does not constitute or form part of an offer to buy or sell any of the securi-

ties covered by the report nor can be understood as a request to buy or sell securities where that practise may be deemed unlawful. This

Analysis is based on information obtained from sources which we believe to be reliable, but is not guaranteed as to accuracy or com-

pleteness. Unless otherwise stated, all views herein contained are solely expression of our research and analysis and subject to change

without notice.

Additional information for recipients in Sweden

This Analysis does not constitute or form part of, and should not be construed as a prospectus or offering memorandum or an offer or

invitation to acquire, sell, subscribe for or otherwise trade in shares, subscription rights or other securities nor shall it or any part of it form

the basis of or be relied on in connection with any contract or commitment whatsoever. This Analysis has not been approved by any

regulatory authority. Any offer of securities will only be made pursuant to an applicable prospectus exemption under EC Prospectus

Directive, and no offer of securities is being directed to any person or investor in any jurisdiction where such action is wholly or partially

subject to legal restrictions or where such action would require additional prospectuses, other offer documentation, registrations or other

actions.

Additional information for recipients in Switzerland

This Analysis has not been approved by the Federal Banking Commission (merged into the Swiss Financial Market Supervisory Authori-

ty “FINMA” on 1 January 2009).

NORD/LB will comply with the Directives of the Swiss Bankers Association on the Independence of Financial Research, as amended.

This Analysis does not constitute an issuing prospectus pursuant to article 652a or article 1156 of the Swiss Code of Obligations. This

Analysis is published solely for the purpose of information on the products mentioned in this advertisement. The products do not qualify

as units of a collective investment scheme pursuant to the Federal Act on Collective Investment Schemes (CISA) and are therefore not

subject to the supervision by the Swiss Financial Market Supervisory Authority (FINMA).

Additional information for recipients in Canada

This Analysis has been prepared for informational purposes only in relation to the products contained in this material and is not, under

any circumstances to be construed as an offering memorandum or as an offering of any securities for sale directly or indirectly in any

province or territory of Canada.

No securities commission or similar regulatory authority in Canada has passed on the merits of these securities nor has it reviewed this

material and any representation to the contrary is an offence.

Relevant selling restrictions, if any, are contained in the prospectus or other documentation for the respective product.

Additional information for recipients in Estonia

It is advisable to examine all the terms and conditions of the services provided by NORD/LB. If necessary, Recipient of this Analysis

should consult with an expert.

Additional information for recipients in Finland

The financial products described in this Analysis may not be offered or sold, directly or indirectly, to any resident of the Republic of Fin-

land or in the Republic of Finland, except pursuant to applicable Finnish laws and regulations. Specifically, in the case of shares, those

shares may not be offered or sold, directly or indirectly, to the public in the Republic of Finland as defined in the Finnish Securities Mar-

ket Act (746/2012, as amended). The value of investments may go up or down. There is no guarantee to get back the invested amount.

Past performance is no guarantee of future results.

Additional information for recipients in Czech Republic

There is no guarantee to get back the invested amount. Past performance is no guarantee of future results. The value of investments

could go up and down

The information contained in this Analysis is provided on a non-reliance basis and its author does not accept any responsibility for its

content in terms of correctness, accuracy or otherwise.



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Arrangements for the confidential treatment of sensitive customer and business data as well as for avoiding and handling conflicts of

interest

NORD/LB has separated its business divisions that may have access to sensitive customer and business data (confidential areas) from

its other divisions (e.g. NORD/LB Research) in terms of functions and locations and/or via relevant data processing arrangements.

The disclosure of confidential information that may have an impact on the prices of securities is monitored by NORD/LB’s Compliance

Unit which is independent of its trading, operational and settlement divisions. This independent unit controls the transactions undertaken

by NORD/LB and its employees on a daily basis to ensure that they are in line with market conditions. The Compliance Unit may impose

such trading bans and restrictions as may be necessary to ensure that information, which may affect the prices of securities, is not mis-

used and to prevent confidential information from being disclosed to divisions that are only allowed to use information available to the

general public. To avoid conflicts of interest in connection with the preparation of financial analyses, the analysts of NORD/LB are

obliged to inform the Compliance Unit of any studies being drawn up and must not invest in the financial instruments handled by them.

They are obliged to notify the Compliance Unit of all transactions (including external transactions) undertaken by them for their own

account or for the account or on behalf of third parties. Thus the Compliance Unit is in a position to identify all unauthorized transactions

undertaken by the analysts, such as insider trading and front and parallel running. When a financial analysis involving conflicts of interest

to be disclosed within the NORD/LB Group is drawn up, any information on such conflicts of interest will only be made available by the

Compliance Unit upon completion of the financial analysis. Any subsequent amendment of the relevant financial analysis may only be

made upon consultation with the Compliance Unit and when it has been ensured that the results of the study are not affected by the

knowledge of such conflicts of interest. Further information on these matters is set forth in our Financial Analysis or Conflict of Interest

Policy which is available from the Compliance Unit of NORD/LB upon request.

Time of going to press

17 August 2016 08:40h (CET)

Disclosure of NORD/LB’s potential conflicts of interest according to § 34b Abs. 1 WpHG and

§ 5 FinAnV

None.

Additional disclosures

Sources and price indications

Depending on the issuer, we use information from financial data suppliers, our own estimates, company data and the public media for the

preparation of our financial analyses. Unless otherwise stated in the report, prices indicated relate to the closing price on the previous

day. Fees and commissions apply to securities (buy, sell, hold) and these may reduce the yield on investments.

Analytical methods and updates

In the preparation of financial analyses, we take company-specific methods used for fundamental securities’ analysis, quantita-

tive/statistical methods and models, as well as technical analytical methods as the basis for valuations and for the regular updates. It

should be noted that the results of analyses provide a snapshot overview and that past developments do not constitute a reliable indica-

tor for future profits. The basis of the valuations is subject to unforeseen change at any time, potentially leading to different conclusions.

The present report is prepared on a weekly basis. Recipients are not automatically entitled to receive report update publications.

Recommendation system and history of last 12 months

Positive: Positive expectations for the issuer, a security type or a specific security of an issuer.

Neutral: Neutral expectations for the issuer, a security type or a specific security of an issuer.

Negative: Negative expectations for the issuer, a security type or a specific security of an issuer.

Relative value (RV): Relative value recommendation in comparison to a market segment, an issuer or a maturity.

Issuer / security Date Recommendation Bond type Cause

Covered Bond & SSA View - NORD/LB · 2018-06-22 · 141.1; +7.5% yoy). The ongoing shortage of...

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