20 2 20 fr - nord/lb · 5/11/2016 · 2 20 agenda page market overview 2 ... is urging debt relief...

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2

Agenda Page

Market overview 2

Finnish asset pool for Stadshypotek 5

Data for Q1 2016 under Section 28 released 6

PSPP holdings – an overview 9

ECB tracker 11

Charts & Graphs 16

Publication overview 22

Contacts 23

Find us on Bloomberg: NRDR <GO>

Issue volume – Covereds Issue volume – SSA

0

5

10

15

20

25

30

06

/15

07

/15

08

/15

09

/15

10

/15

11

/15

12

/15

01

/16

02

/16

03

/16

04

/16

05

/16

EU

Rbn

AUBECACHCYCZDEDKESFIFRGBGRHUIEITLUNLNONZPTSESGTR

0

5

10

15

20

25

30

35

06

/15

07

/15

08

/15

09

/15

10

/15

11

/15

12

/15

01

/16

02

/16

03

/16

04

/16

05

/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 11 May 2016 18/2016

bbg://screens/NRDR

Covered Bond & SSA View 11 May 2016

NORD/LB Fixed Income Research

of 27

Covered Bonds Market overview

Analyst:

Kai Ebeling

Primary market –

low issuing activity

During the shortened reporting period from Wednesday to Tuesday, EUR-

denominated, benchmark covered bonds were only issued in yesterday's

trading, kicking off with Deutsche Hypothekenbank, which had already an-

nounced its eight-year Pfandbrief on Monday afternoon. The pricing process

started for a volume of EUR 750m initially at ms +2bp area, with the issue

eventually being fixed at ms -1bp. Overall, the paper was subject to decent

demand, symbolised by the bid-to-cover ratio of 1.87. At 52.3%, banks re-

ceived the largest proportion, followed by central banks (28.0%) and funds

(17.4%). DG HYP then announced in the afternoon that it was to issue a

mortgage Pfandbrief with a volume of EUR 500m. The pricing process for

this paper with a term until March 2026 was initiated this morning at ms flat

area and finished after only one hour at ms -2bp. Including the two Pfand-

brief issues, the overall issuing activity for EUR-denominated benchmark

bonds has risen to EUR 81.0bn for this year so far.

Banca Popolare Emilia Issuer Country Timing ISIN Maturity Volume Spread Rating

Deutsche Hypo DE 10.05.16 DE000DHY4648 8.0y € 0.75bn ms -1bp - / Aa1 / -

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

Secondary market – slight

spread tightening

There was a slight tightening of spreads in most covered-bond jurisdictions

on the secondary market, above all in the case of covered bonds from over-

seas. The spreads of New Zealand covered bonds with a maturity of be-

tween two and seven years tightened by around 2bp, for example. The

spreads of Australian and Canadian covered bonds in the same maturity

segment tightened by around one basis point. There was a slight widening of

spreads, above all in eurozone periphery countries. Spanish single cédulas

at the short end (1y-3y) widened by one basis point, while the spreads of

Portuguese covered bonds in the five to seven-year segment rose by the

same amount. German Pfandbriefe were trading virtually unchanged.

Crédit Agricole Home Loan

SFH gets final approval to

switch to soft bullet

Last week, Crédit Agricole Home Loan SFH announced that a final agree-

ment to switch seven outstanding bonds from hard to soft bullet structures

had been reached. Now that the bank has also received majority approval

from investors to switch the last of the seven issues, all covered bond inves-

tors (including those who did not take part in the vote) have received a one-

off premium of 0.05% of the nominal value. Prior to that the meeting of in-

vestors initially set for the end of April had to be deferred to the beginning of

May because there was no quorum at the first meeting.

Trader’s Comment The current trading week started as quietly as the last one ended. Demand

from real-money investors was mainly for the supply side. Demand in the

context of CBPP3 was mainly for German Pfandbriefe. All in all, we still re-

gard market sentiment as stable, with spreads also remaining relatively con-

stant at their present level. The new issue from Deutsche Hypo should act

as a trigger and we therefore expect further new issues before the end of the

week.



of 27

SSA Market overview

Analysts:

Mario Gruppe, CIIA

Norman Rudschuck, CIIA

Greece adopts reforms

The Greek parliament adopted further reforms on Sunday and consequently

fulfilled the preconditions for the next aid payments from the European allies.

Attention was focused on the pensions and tax system this time. Essentially,

the reforms envisage reductions in pensions and tax increases of EUR 1.8bn

in each case. Accordingly, pension contributions and income tax will be

raised among other changes. The additional increase in indirect taxes is to

be adopted next week, bringing in a further EUR 1.8bn. The finance minis-

ters of the eurozone discussed the proposed reforms on Monday. No deci-

sion has yet been made – but they would like to reach a conclusion in the

near future. As a result, the next tranche from the third aid package for

Greece worth EUR 86bn has not yet been released but agreement looks

likely. It is still unclear whether the IMF will participate in the loans. The IMF

is urging debt relief for Greece to guarantee the long-term sustainability of

Greek government debt. Among others, the federal minister of finance,

Wolfgang Schäuble, is refusing this at present. An emerging compromise

could result in the emergency loans being extended once again. In addition

to the IMF, the ESM has also expressed concerns about Greece’s long-term

debt sustainability recently. As a solution, it suggests limiting interest on the

loans to 2% and limiting repayments to 1% of Greek GDP (up to 2050) in

addition to extending the loans by a further five years. A nominal haircut was

again rejected by the finance ministers.

Tax estimators are assuming

a surge in tax receipts

The Federal Finance Minister, Wolfgang Schäuble, had good news to report

last week as he presented the results of the latest tax estimate. Apparently,

participants at the 148th Meeting of the “Tax Estimate Working Group” are

assuming additional tax receipts of EUR 42bn compared with the last meet-

ing in November 2015. For the current year, the working group is expecting

tax receipts of EUR 691.2bn for the federal government, Bundesländer and

municipalities. This corresponds to an increase of EUR 5bn compared with

the November estimate. The increase in receipts will then accelerate sharply

in subsequent years, with estimated receipts standing at over EUR 800bn in

2020. The favourable prospects are, of course, a source of envy at individual

country-level, which finance minister Wolfgang Schäuble quickly countered.

In his opinion, the German government’s finances are sound, making it ca-

pable overall of trading. However, there is no scope for additional calls for

expenditure. The Association of German Cities and Towns has meanwhile

asked for municipalities to be given help in dealing with refugees. President

Eva Lohse therefore asked the federal government and Bundesländer to use

the additional receipts to help the municipalities. The Bundesländer are also

asking the federal government to participate more in the costs of the refu-

gees. They believe that the federal government should bear half of all costs

incurred. Even if the number of refugees has fallen sharply in recent months,

the allocation of the costs is likely to remain one of the central issues be-

tween the federal government, Bundesländer and municipalities.



of 27

Puerto Rico in

difficulties

Last week, the U.S. territory Puerto Rico announced that it was no longer

able to service its debts. Accordingly, the governor Alejandro Garcia Padilla

imposed a suspension of payments. The U.S. territory’s debts come to USD

70bn in total – around 70% of its economic power, of which bonds worth

USD 2bn must be repaid by the beginning of July. Puerto Rico itself cannot –

like a US state – file for bankruptcy in accordance with Chapter 9 of the US

Bankruptcy Code. Unlike states, territories cannot currently file for Chapter 9

bankruptcy protection for state-owned companies either. Changes to the law

or the acquisition of state-status could be useful here. Direct financial assis-

tance is not to be expected from Washington anyway. In any case, there is

no mechanism in the USA that provides for the government and/or other

states intervening in the event of other states being unable to pay their

debts. The principle of federal loyalty, as it is implemented in Germany and

which provides for the federal government and/or Bundesländer being liable

in the case of an extreme budget crisis, does not exist in the USA. The case

of Puerto Rico could therefore draw the attention of market participants to

other regional and local authorities that are battling with considerable finan-

cial problems. In particular, under-financed pension funds for government

employees are a thorn in the side again and again for states such as Illinois.

KfW Ipex-Bank reports solid

results

Like its Group parent KfW, the legally independent KfW Ipex-Bank also pre-

sented its figures for financial year 2015 last week. Net profit for the year

rose accordingly to EUR 144m (previous year: EUR 139m). In particular,

new commitments grew sharply from EUR 16.6bn in 2014 auf EUR 20.2bn.

The shipping segment contributed significantly to this expansion with new

business of EUR 3.6bn but in the other divisions too, the surge in new busi-

ness was largely attributable to major projects. At the same time, Ipex-Bank

succeeded in reducing its non-performing loans. Specific value adjustments

decreased to EUR 294m (2015) from EUR 469m (2014).

Primary market Following the shortened trading week, the primary market is gradually get-

ting moving again. In addition to bonds already issued, Berlin is on the cusp

of issuing a long-term benchmark bond (16 years), which is set to be priced

in the region of ms +11bp. Bochum will shortly raise EUR 100m via a 10-

year bond. Pricing for this bond is said to be around the ms +52bp area. In

addition, AFL will return to the market with its third EUR-denominated bond

amounting to EUR 500m.

Issuer Country Timing FIGI/ISIN Maturity Volume Spread Rating

Region Madrid ES 10.05.16 BBG00CW38HY8 5.0y € 0.7bn ms +59bp BBBe / Baa2e / -

Kommunekredit DK 03.05.16 XS1408351887 10.0y € 0.5bn ms +6bp - / Aaae / -

NRW GE 04.05.16 DE000NRW0JJ8 20.0y € 1.0bn ms +17bp AAAe / Aa1e / -

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

Trader’s Comment Just as in previous weeks, long maturities were above all sought in the Bun-

desländer segment, leading to further spread tightening. Spread levels for

Canadian regions also tightened, despite sales being much lower.



of 27

Covered Bonds Finnish asset pool for Stadshypotek

Analyst:

Matthias Melms, CIIA, CCrA

Third pool set up

In addition to its two existing cover pools (one Swedish, one Norwegian),

Sweden's Stadshypotek has now set up a Finnish pool to fund its activities in

Finland. Whereas the Swedish pool amounted to SEK 634bn (EUR 68.4bn)

as at 31 March, the Norwegian pool amounted to NOK 23bn (EUR 2.6bn).

The Finnish pool is much smaller in comparison with a volume of EUR 1.6bn.

The issues secured by the Swedish cover pool are mainly SEK-denominated

benchmarks (70%). Benchmarks in other currencies account for around one

quarter, with the euro the main currency in this segment, accounting for

around 70% of the foreign-currency exposure, followed by the US dollar

(22%). Issues in GBP, AUD and CHF play only a secondary role. The Nor-

wegian pool is not funded with foreign currencies. Only NOK-denominated

benchmarks have been issued from this pool. Although we have yet no de-

tails, we expect a similar issuance policy in future for the Finnish pool, even

though the pool size, which currently stands at EUR 1.642m, limits the size

of potential issues.

Cover pool data Stadshypotek EUR benchmarks – a comparison

Covered bonds outst. -

-8

-6

-4

-2

0

2

4

6

8

10

12

0 1 2 3 4 5 6 7 8 9 10

AS

W i

n b

p

maturity in years

SHBASS Swedish Covered Bonds

Cover pool volume EUR 1,642m

OC (current

1 / committed

2)

- / 0%

Main borrower type 92.5% Residential

Main region 40.4% Uusimaa

Number of loans 20,720

Number of borrowers 15,208

Avg. loan amount EUR 73,295

Fixed interest (cover pool / CBs)

97.2% floating /-

WAL (cover pool / CBs)

- / -

WA LTV (indexed / unindexed)

53.1% / n/d

CB Rating (Fitch / Moody’s / S&P)

- / Aaa / -

Source: Issuer, Moody’s, NORD/LB Fixed Income Research; Source: Bloomberg, NORD/LB Fixed Income Research

Low LTVs The Finnish pool consists largely of home loans which account for 92.5%. It

includes 20,720 loans split across 15,208 borrowers. Whereas the maximum

LTV is 75%, the weighted LTV on an index basis stands at 53.1%. At 40.4%,

the overwhelming majority of properties are based in the region of Uusimaa

around the Finnish capital, Helsinki, whereas the rest is spread across the

whole of Finland. A small proportion (5.7%) of the pool consists of multi-

family houses (531 loans and 454 borrowers). The weighted LTV on an in-

dexed basis in this segment is a low 19.5%. Overall, there are no loans in

arrears in the pool.

Conclusion By setting up another pool, Stadshypotek is diversifying its covered bond

programme further; this will enable investors to opt for an investment which

is specifically targeted in terms of region with matching currencies. However,

at present, it is unclear in what format covered bonds will be issued.



of 27

Covered Bonds Data for Q1 2016 under Section 28 released

Analyst:

Kai Ebeling

Dexia Kommunalbank

left the vdp on 31 December

Pfandbrief issuers organised within the Association of German Pfandbrief

Banks (vdp) have released their Q1 2016 transparency reports on the com-

position of their cover pools required under Section 28 of the Pfandbrief Act

(PfandBG). Reports on (almost) all the member institutions are now available

on the vdp website. Although Hypothekenbank Frankfurt left the association

at the end of 2013, the vdp still provides data published under "Other Pfand-

brief Banks". In contrast, in spite of being a member of the vdp, Deutsche

Bank is not yet included in the reporting, and therefore no data from

Deutsche Bank is factored in yet in the following. The bank has a pro-

gramme for mortgage Pfandbriefe (Hypfe), with a volume outstanding of

EUR 6,886.9m at the end of March. The cover pool amounted to EUR

8,921.6m. In addition, Dexia Kommunalbank left the vdp on 31 December

2015, which is why no more data is reported on the issuer's public sector

programme. In order to ensure data comparability, we have adjusted data

from previous quarters accordingly.

Development – outstanding volume Development – market share

0

50

100

150

200

250

300

350

400

450

Q12014

Q22014

Q32014

Q42014

Q12015

Q22015

Q32015

Q42015

Q12016

in E

UR

bn

Mortgage Public Sector Ship Aircraft

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Q1 2014 Q2 2014 Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016

Mortgage Public Sector Ship Aircraft

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

Further decline in total

outstanding market volume

At the end of Q1 2016, the banks reported a total outstanding volume of

Pfandbriefe of EUR 357.1bn. This continues the declining trend in the Ger-

man Pfandbrief market, whereby the q/q decline in relation to the previous

q/q comparison has fallen slightly. The q/q reduction amounted to 0.8% (Q4

2015: EUR 359.9bn). On a y/y basis, the reduction is still a high 5.0% (Q1

2015: EUR 376.0bn). Contrary to the evolution of the outstanding volume,

the reported size of the cover pools had increased again for the moment and

stood at EUR 453.2bn at the end of the quarter (Q4 2015: EUR 451.2bn).

This increase mainly reflects a rise in the size of the cover pools for mort-

gage Pfandbriefe. The average overcollateralisation across all types of

Pfandbriefe had risen to 26.9% as at the reporting date (Q4 2015: 25.4%)

similarly to the trends outlined. The exit of Dexia Kommunalbank from the

vdp means that mortgage Pfandbriefe gain further weight for the institutions

organised in the vdp, and they now account for a share of around 53.4% (Q4

2015: 52.7%).

http://www.pfandbrief.de/cms/_internet.nsf/tindex/de_pub_pfandbg.htm



of 27

Development – Hypfe Development – Öpfe 2

53

.8

25

1.5

25

2.8

25

1.3

25

1.6

25

2.2

25

2.8

24

9.7

25

2.2

18

8.7

18

5.7

18

3.8

18

3.5

18

5.5

18

4.3

18

9.2

18

9.6

19

0.8

0%

5%

10%

15%

20%

25%

30%

35%

40%

0

50

100

150

200

250

300

Q1/14 Q2/14 Q3/14 Q4/14 Q1/15 Q2/15 Q3/15 Q4/15 Q1/16

in E

UR

bn

Cover Pool Hypfe OC

26

8.7

25

5.6

24

8.3

23

7.2

23

1.8

21

9.5

21

1.5

19

9.3

19

8.9

20

6.1

19

7.7

19

5.0

18

6.8

18

4.3

17

6.3

17

0.4

16

4.0

16

0.7

0%

5%

10%

15%

20%

25%

30%

35%

0

50

100

150

200

250

300

Q1/14 Q2/14 Q3/14 Q4/14 Q1/15 Q2/15 Q3/15 Q4/15 Q1/16

in E

UR

bn

Cover Pool Öpfe OC


Volume of mortgage

Pfandbriefe starting to pick

up again

The increase in the outstanding volume of mortgage Pfandbriefe since Q2

2015 continued in Q1 2016. Hypfe therefore grew by 0.6% to EUR 190.8bn

against the Q4 figure (Q4 2015: EUR 189.6bn). Against the previous year,

the increase is as much as 2.8%. LBBW saw the strongest growth in Q1 at

EUR 1.3bn against the figure at the end of Q4 2015, whereas the outstand-

ing volume of mortgage-backed Pfandbriefe dwindled most at Hypfra (to

EUR 1.1bn). There is no sign yet of any change in the trend as regards pub-

lic Pfandbriefe, although the relative decline in outstanding volume against

the previous-quarter figure has slowed down slightly (-2.0%; Q4 2015:

-3.7%). The evolution in the corresponding volume of cover assets shows a

smaller decline than in the case of outstanding Pfandbriefe and, with a figure

of -0.2% against the previous quarter, is much lower than in earlier quarters

(e.g. Q4 2015: -5.8%). Ship and aircraft Pfandbriefe are still a niche market

and in fact, NORD/LB remains the only issuer in the aircraft Pfandbrief seg-

ment.

Development – Schipfe Development – Flugpfe

7.5

7.3 7.5

7.1

7.6

7.6

6.9

6.7

5.9

5.6

5.3

5.2

5.0 5.2

4.8

4.2

5.3

4.6

0%

10%

20%

30%

40%

50%

60%

70%

0

1

2

3

4

5

6

7

8

9

Q1/14 Q2/14 Q3/14 Q4/14 Q1/15 Q2/15 Q3/15 Q4/15 Q1/16

in E

UR

bn

Cover Pool Schipfe OC

2.2

2.2 2

.3 2.3 2

.4

2.3

2.1

1.9

1.8

1.0

1.0

1.0

1.0

1.0

1.0

1.0

1.0

1.0

0%

20%

40%

60%

80%

100%

120%

140%

160%

0

1

1

2

2

3

3

Q1/14 Q2/14 Q3/14 Q4/14 Q1/15 Q2/15 Q3/15 Q4/15 Q1/16

in E

UR

bn

Cover Pool Flugpfe OC




of 27

Münchener Hyp still the

largest issuer of mortgage

Pfandbriefe

BayernLB overtakes Helaba

as the biggest Öpfe issuer

Among the top 3 based on outstanding Hypfe volume, Münchener Hy-

pothekenbank (10.0%) is still in first place ahead of UniCredit Bank (8.8%).

In all, the top 10 institutions have a market share of 67.0%, which is only a

marginal increase against the previous quarter (66.9%). Deutsche Bank

would again rank in 12th place if it reported via the vdp. In the Öpfe seg-

ment, Bayerische Landesbank (12.6%) is the issuer with the highest out-

standing volume, followed by Landesbank Hessen-Thüringen (10.6%). The

concentration is still slightly higher than in the case of the Hypfe. The ten

biggest Öpfe issuers accounted for a combined 78.3% of the outstanding

volume, down on their share of the previous quarter (80.1%). HSH is by far

the biggest of the five institutions which issue ship Pfandbriefe, accounting

for 48.1% of the outstanding volume.

Market shares – Hypfe Market shares – Öpfe

10.0%

8.8%

8.3%

7.8%

6.0%

5.7%5.5%5.1%

4.9%

4.9%

33.0%

Münchener Hyp

UniCredit

pbb

WL Bank

Berlin Hyp

Aareal Bank

DG Hyp

Hypothekenbank Frankfurt

Helaba

LBBW

Others

12.2%

11.0%

10.3%

9.4%

7.3%6.7%

6.4%

6.2%

4.2%

3.9%

22.3%BayernLB

Helaba

pbb

NORDLB

LBBW

DGHyp

WLBank

HypFra

DKB

UniCredit

Others


Conclusion All in all, the volume of outstanding Pfandbriefe has declined further, mainly

on the back of a decline in the outstanding volume of outstanding public

sector Pfandbriefe. The growth in mortgage-backed Pfandbriefe has now

continued for the third quarter in a row, and we therefore expect a further

slight increase in the next quarter. In the case of public sector Pfandbriefe,

however, the downward trend seems to be continuing for the moment. Alt-

hough the cover pool volume only dipped by a further 0.2% in the last quar-

ter, this does not necessarily mean that a stabilisation could develop in the

next few quarters. Although the previous quarters were adjusted for the mar-

ket shares of Dexia Kommunalbank, since the issuer is the second largest in

the public sector Pfandbrief segment with an outstanding volume of EUR

18.4bn, the performance of Dexia's public sector-backed Pfandbrief pro-

gramme must be factored in when making any prediction for the sector as a

whole. Including Dexia Kommunalbank's cover pool volume, the overall de-

cline only amounts to 0.5% against an average decline of 4.0% in previous

quarters. As such, the relatively small fall in outstanding volume could serve

as an indicator of the stabilisation of the outstanding public sector Pfandbrief

volume, but we will first have to wait and see how things develop in the com-

ing quarter.



of 27

SSAs PSPP holdings – an overview

Analyst:


Total volume now amounts

to EUR 732.8bn

Last week, at the beginning of the month, the ECB published its current over-

view of bond holdings purchased within the framework of the PSPP. Since

the start of the extended purchase programme more than a year ago, the

Eurosystem has acquired a total of EUR 732.8bn worth of bonds issued by

governments, agencies, supranationals and regional bonds. The monthly

purchase volume has increased significantly compared with the previous

month: on 1 April, the overall framework of the PSPP was raised from the

previous figure of EUR 60bn to EUR 80bn. Until the new Corporate Sector

Purchase Programme (CSPP) for corporate bonds is implemented at the end

of the second quarter, the total, which has been increased by EUR 20bn, is

being invested in familiar channels. If one looks at the details, it is clear that

around EUR 85bn was even spent in April, with EUR 78.5bn being invested

in sovereign bonds and SSA securities alone. A further EUR 6.5bn visibly

desiccated the market for covered bonds. The amounts invested in ABS se-

curities are, firstly, extremely insignificant and, secondly, falling. The change

in the average residual maturity of PSPP holdings was minimal at the end of

March: having stood at 8.05 years, it was now 8.08 years.

Distribution of purchases

by country in line with

expectations

As expected, the distribution of purchases by jurisdiction reflected the ECB

key, although the changes for April had to be input and the amount will shift

again when the CSPP starts. The average absolute deviation in the purchase

allocation came to EUR 842.2m at the end of April. So far, purchases have

exceeded plan, particularly among the larger members of the Eurozone. In

the case of eastern European countries, however, the deviation is markedly

negative in the absence of outstanding secondary market bonds.

Distribution of purchases by country vs.

expectations Distribution of purchases by country and

average residual maturities

0

20

40

60

80

100

120

140

160

180

200

EU

Rb

n

Actual Estimated

0

3

6

9

12

15

Ave

rag

e r

em

ain

ing

ma

turi

ty i

n y

ea

rs

PSPP (as at 30 April 2016) PSPP (as at 31 March 2016) PSPP (as at 29 Feb)

PSPP (as at 31 Jan) PSPP (as at 31 Dec) PSPP (as at 30 Nov)

PSPP (as at 31 Oct) PSPP (as at 30 Sep) PSPP (as at 31 August)

PSPP (as at 31 July) PSPP (as at 30 June) PSPP (as at 31 May)

PSPP (as at 30 Apr) PSPP (as at 31 March 2015) Market

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

Distribution by residual

maturities reveals

differences

We believe that the distribution by average residual maturity also offers inter-

esting insights into the PSPP. While the average residual maturity is still

close to eight years (weighted average of bonds, which are purchased within

the framework of the PSPP), the market average of the bonds that may po-

tentially be purchased has clearly decreased in the wake of the reduction in

the deposit facility rate, falling to just 8.5 years. As a result, far more bonds

are eligible for purchase, since many bonds yield above -0.40%.



of 27

Supras with an average

maturity of 6.8 years

purchased

As for supras, there has been a further reduction in average residual maturity

to 6.8 years in the case of purchases via the Eurosystem, while the market

average has fallen substantially from 9.6 years in March to 7.2 years now.

This can only be largely attributable to changes in the market environment,

which mean that far shorter maturities are now eligible for purchase too. Re-

cently, the average purchased month by month was around seven years.

Having been higher, especially at the beginning of the programme, this figure

has remained very stable in recent months.

Yields – Germany

Maturi-ty

Open (10.03.2016)

Price before the deci-sion on interest rates

Delta in bp

Price after the press conference

Delta in bp

10.05.2016 Delta in bp

1y -0.476% -0.506% -3.0 -0.482% -0.6 -0.511% -2.7

2y -0.539% -0.554% -1.5 -0.473% 6.6 -0.511% 3.0

3y -0.515% -0.535% -2.0 -0.463% 5.2 -0.529% -1.2

4y -0.442% -0.460% -1.8 -0.395% 4.7 -0.473% -2.8

5y -0.338% -0.368% -3.0 -0.313% 2.5 -0.381% -4.1

6y -0.289% -0.311% -2.2 -0.273% 1.6 -0.336% -4.5

7y -0.172% -0.193% -2.1 -0.177% -0.5 -0.250% -7.5

8y -0.048% -0.064% -1.6 -0.068% -2.0 -0.152% -10.0

9y 0.105% 0.091% -1.4 0.067% -3.8 -0.019% -11.9

10y 0.238% 0.222% -1.6 0.197% -4.1 0.117% -11.6

15y 0.455% 0.444% -1.1 0.413% -4.2 0.268% -18.1

20y 0.729% 0.722% -0.7 0.677% -5.2 0.522% -20.0

30y 1.004% 1.000% -0.4 0.945% -5.9 0.805% -19.1

Not eligible for purchase under the PSPP (less than 2y); below the deposit facility rate applicable at the time; eligible for purchase Source: Bloomberg, NORD/LB Fixed Income Research

Germany provides a

concrete example

While the yield curve was recently negative up to nine years, securities with a

maturity of up to six years could not be purchased prior to the interest rate

meeting in March. This changed perceptibly after the reduction in the deposit

facility rate, since yields did not follow the movement of -10bp – only three-

year securities were excluded. This is also true of other sovereign bonds and

supranationals.

Conclusion The distribution of PSPP purchases in April produced few surprises: the

spread across individual countries still closely reflects the capital key, which

has been adjusted once again, meaning that only a few deviations occurred

here. Purchases somewhat exceeded the average for countries with large

outstanding volumes, in particular. We also feel vindicated in our assessment

that the Eurosystem will again focus more closely on longer maturities in

future. Accordingly, the Eurosystem purchased supranational bonds with an

average maturity of 10.1 years in April. This figure was unexpectedly low, at

6.6 years, in March. Following the realignment of ECB monetary policy, the

amount purchased surged from EUR 53bn to EUR 78.5bn. This was partly

also due to supras, since their volume, at EUR 8.7bn, was again compara-

tively high and exceeded the current figure of 10% (instead of the previous

12%). We also emphasise our view that preference should be given to long-

dated supras and bonds issued by the ESM over other supras.



of 27

Covered Bonds/SSA ECB tracker

Analysts:

Kai Ebeling


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

specific agencies, supranationals and sovereign bonds which the European

Central Bank (ECB) is purchasing under the CBPP3. We provide an over-

view of the development of purchases.

ABSPP volume falls for the

third week in succession

As at reference date of 6 May, the ECB reported an amount of EUR

173.995bn purchased so far as part of the CBPP3. This represents an in-

crease of EUR 1.742bn on the previous week’s value, meaning that the

pace of purchases in the last four weeks has risen to EUR 7.163bn (previ-

ously EUR 6.410bn). By way of comparison, the volume of the ABSPP has

now fallen for the third week in a row, this time by EUR 118m to EUR

18.925bn. This means that the pace of purchases in the last four weeks has

declined to EUR -250m (previously EUR 31.0m) The purchase volume has

in the meantime moved toward the level seen in mid-March of this year,

which raises the question to what extent the ECB has already discontinued

the ABSPP.

PSPP purchases rise by

EUR 19.8bn in comparison

to previous week

Data reported by the ECB shows that their purchases within the framework

of the PSPP have risen significantly by fluctuating amounts since April. The

overall purchase volume as at the reference date of 6 May rose by EUR

19.8bn to EUR 746.287bn. In terms of volume, this value is around EUR

2.2bn up on the previous week and represents the second-highest figure for

the programme since the volume was raised from EUR 60bn to EUR 80bn.

Curiously, many Eastern European central banks are currently buying su-

pras. While the Lithuanians were concentrating on EU bonds in the previous

week (13 in total), the Latvian and Slovakian central banks focused almost

exclusively on EIB bonds. This week the BDF will be targeting one bond

from the EFSF and three papers from the ESM credit facility. All maturity

segments (2018-2032) will be targeted. The planned purchase volume,

however, is set to remain constant at EUR 200-300m. Interesting new ad-

missions in the form of Bundesländer bonds were on the Eurosystem’s pur-

chase list. One bond each from Hamburg and Lower Saxony were included

on the Bundesbank’s ISIN list. In addition, a sixth NRW bond was also an-

nounced. This means that the number of acquired ISINs so far has nominal-

ly risen to 16. Further regions from other eurozone countries were not re-

corded.

Upcoming reverse auctions (Banque de France – BDF)

ISIN Bond Central bank & date

EU000A1G0BH9 EFSF 1 1/4 07/31/18 Banque de France (13.05.)

EU000A1U9910 ESM 0.1 11/03/20 Banque de France (13.05.)

EU000A1U9951 ESM 0 1/8 04/22/24 Banque de France (13.05.)

EU000A1U9969 ESM 1 1/8 05/03/32 Banque de France (13.05.)

Total targeted size: EUR 200-300m Source: BDF, NORD/LB Fixed Income Research



of 27

Completed reverse auctions (DeNederlandscheBank – DNB)

ISIN Bond Min. Mean Max Date

XS0933677071 BNG 0 3/4 05/21/18 102.200 102.200 102.200 09.05.

XS0986065992 BNG 1 1/4 10/29/18 103.805 103.847 103.855 09.05.

XS1022812330 NEDWBK 1 1/8 01/28/19 103.880 103.880 103.880 09.05.

XS1046410830 BNG 1 03/19/19 103.690 103.690 103.690 09.05.

XS0789996245 BNG 1 7/8 06/06/19 N/A N/A N/A 09.05.

XS1083955911 NEDWBK 0 5/8 07/03/19 N/A N/A N/A 09.05.

XS0820548716 NEDWBK 1 5/8 08/23/19 106.180 106.183 106.200 09.05.

XS1120719031 BNG 0 3/8 10/14/19 N/A N/A N/A 09.05.

XS0463097237 BNG 3 7/8 11/04/19 114.380 114.383 114.390 09.05.

XS0478263816 BNG 3 3/4 01/14/20 114.675 114.693 114.700 09.05.

Total Amount Offered EUR 191m

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 -

BAYERN GE -

BERGER GE 4

BREMEN GE -

BRABUR GE -

HESSEN GE 4

HAMBRG GE 1

NIESA GE 1

MECVOR GE -

NRW GE 6

RHIPAL GE -

SAARLD GE -

SCHHOL GE -

SAXONY GE -

SACHAN GE -

THRGN GE -

LAENDER GE -

IDF FR 2

VDP FR 1

MADRID ES 2

CASTIL ES 1

BASQUE ES 1

WALLOO BE 1

Source: ECB, NORD/LB Fixed Income Research



of 27

ECB purchase list for PSPP

Issuer Jurisdiction ISINs already purchased

EIB SNAT 47

EFSF SNAT 30

ESM SNAT 12

EU SNAT 20

COE SNAT 6

NIB SNAT 1

EURAT SNAT -

KFW GE 35

RENTEN GE 12

NRWBK GE 13

LBANK GE 6

CADES FR 17

RESFER FR 11

UNEDIC FR 15

AGFRNC FR 13

OSEOFI FR 9

CDCEPS FR 3

CNA FR 2

ACOSS FR -

BNG NL 20

NEDWBK NL 12

NEDFIN NL 2

OBND AT 8

ASFING AT 7

FINNVE FI 4

TVRFIN FI 1

ICO ES 9

ADIFAL ES 3

CDEP IT 3

FERROV IT 2

ENELIM IT 1

SRGIM IT 5

TRNIM IT 3

IP (REFER / ESTPOR) PT -

ENMC PT -

SEDABI SI 1

DARSDD SI -




of 27

CBPP3 Overview

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

145

150

155

160

165

170

175

180

0.0

0.5

1.0

1.5

2.0

2.5

3.0

26.0

2.1

6

04.0

3.1

6

11.0

3.1

6

18.0

3.1

6

25.0

3.1

6

01.0

4.1

6

08.0

4.1

6

15.0

4.1

6

22.0

4.1

6

29.0

4.1

6

06.0

5.1

6

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-1

4

Dec-1

4

Ja

n-1

5

Fe

b-1

5

Ma

r-15

Ap

r-15

Ma

y-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Se

p-1

5

Oct-

15

Nov-1

5

Dec-1

5

Ja

n-1

6

Fe

b-1

6

Ma

r-16

Ap

r-16

Primary 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

Ju

l-0

9

Nov-0

9

Ma

r-10

Ju

l-1

0

Nov-1

0

Ma

r-11

Ju

l-1

1

Nov-1

1

Ma

r-12

Ju

l-1

2

Nov-1

2

Ma

r-13

Ju

l-1

3

Nov-1

3

Ma

r-14

Ju

l-1

4

Nov-1

4

Ma

r-15

Ju

l-1

5

Nov-1

5

Ma

r-16

CBPP1 [EUR 19.1bn] CBPP2 [EUR 8.4bn] CBPP3 [EUR 174bn]

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



of 27

PSPP overview

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

0

100

200

300

400

500

600

700

800

0

5

10

15

20

25

26.0

2.1

6

04.0

3.1

6

11.0

3.1

6

18.0

3.1

6

25.0

3.1

6

01.0

4.1

6

08.0

4.1

6

15.0

4.1

6

22.0

4.1

6

29.0

4.1

6

06.0

5.1

6

Weekly purchases Total volume (rhs)

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% 171,808 170,193 1,615 7.18 9.4 -2.2

FR 20.7% 136,510 134,087 2,423 7.68 8.8 -1.1

IT 18.0% 117,795 116,418 1,377 9.36 7.8 1.6

SNAT 0.0% 87,692 86,366 1,326 6.79 7.2 -0.4

ES 12.9% 84,478 83,605 873 9.61 7.7 1.9

NE 5.9% 38,229 37,859 370 7.15 10.1 -2.9

BE 3.6% 23,634 23,432 202 9.79 11.2 -1.5

AT 2.9% 18,761 18,564 197 8.71 9.3 -0.6

PT 2.6% 16,249 16,487 -238 10.17 7.7 2.5

FI 1.8% 12,025 11,881 144 7.60 8.5 -0.9

IE 1.7% 11,054 10,976 78 9.47 8.5 0.9

SK 1.1% 6,513 7,305 -792 8.24 8.5 -0.2

SI 0.5% 3,233 3,267 -34 8.09 7.6 0.5

LU 0.3% 1,573 1,920 -347 6.51 7.4 -0.9

LV 0.4% 875 2,668 -1,793 5.37 5.3 0.0

LT 0.6% 1,554 3,907 -2,353 6.61 6.9 -0.3

MT 0.1% 483 613 -130 10.15 10.0 0.1

CY 0.2% 269 1,065 -796 5.44 6.1 -0.6

EE 0.3% 66 1,823 -1,757 2.20 0.0 2.2

GR 0.0% 0 0 0

13.4 -

Total / average

100.0% 732,802 - - 8.08 8.50 -0.4

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 27

Covered Bonds Charts & Graphs

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

21.1%

20.0%

12.0%8.0%

5.3%

4.3%

4.1%

3.9%

3.1%

2.9%

15.2%

EUR 1098.1bn

FR

ES

DE

IT

GB

NL

NO

CA

SE

AT

Others

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

ØMod. Duration

FR 231.6 174 1.3 4.2

ES 219.7 168 1.3 3.1

DE 132.1 194 0.7 3.6

IT 87.5 86 1.0 3.0

GB 58.7 48 1.2 3.7

NL 47.2 36 1.3 5.0

NO 44.9 43 1.0 3.2

CA 43.4 35 1.2 3.8

SE 34.4 33 1.0 3.7

AT 31.8 48 0.7 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

05/1

6

06/1

6

07/1

6

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

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

US

62.7%

4.5%15.6%

0.9%

5.3%

4.3%0.4%

0.5%

1.7%

4.0%

0.3%

6.5%

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

Source: Bloomberg, NORD/LB Fixed Income Research



of 27


Spread development (last 15 issues)

DH

Y 0

1/4

05/1

7/2

4

LB

BW

0.0

5 1

1/1

1/2

1

OPB

AN

K 0

1/4

05/1

1/2

3

VA

KB

N 2

3/8

05/0

4/2

1

CFF 0 1

/2 0

9/0

4/2

4

TD

0 3

/8 0

4/2

7/2

3

HS

HN

0 3

/8 0

4/2

7/2

3

LEED

0 1

/8 0

4/2

1/2

0

PB

BG

R 1 1

/4 0

4/2

0/3

5

EIK

BO

L 0 3

/8 0

4/2

0/2

3

BM

O 0

1/8

04/1

9/2

1

DN

BN

O 0 1

/4 0

4/1

8/2

3

MU

NH

YP 0 1

/2 0

4/2

2/2

6

AB

NA

NV

1 0

4/1

3/3

1

AS

BB

NK

0 1

/4 0

4/1

4/2

1

-50

0

50

100

150

200

250

300

bp

Reoffer Spread Current ASW

Bid-to-Cover (last 15 issues)

0.00.51.01.52.02.53.03.54.04.55.05.56.06.57.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

DH

Y 0

1/4

05/1

7/2

4

LB

BW

0.0

5 1

1/1

1/2

1

OP

BA

NK

0 1

/4 0

5/1

1/2

3

VA

KB

N 2

3/8

05/0

4/2

1

CFF

0 1

/2 0

9/0

4/2

4

TD

0 3

/8 0

4/2

7/2

3

HS

HN

0 3

/8 0

4/2

7/2

3

LE

ED

0 1

/8 0

4/2

1/2

0

PB

BG

R 1

1/4

04/2

0/3

5

EIK

BO

L 0

3/8

04/2

0/2

3

BM

O 0

1/8

04/1

9/2

1

DN

BN

O 0

1/4

04/1

8/2

3

MU

NH

YP

0 1

/2 0

4/2

2/2

6

AB

NA

NV

1 0

4/1

3/3

1

AS

BB

NK

0 1

/4 0

4/1

4/2

1

EU

Rb

n

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

Spread development by country Performance (total return)

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

SGSEPTNZNONLITIE

GBFRFI

ES - SingleES - Multi

DKDECHCABEAUAT

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 27


Germany & Austria France

-20

-10

0

10

20

30

40

50

60

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

-15

-10

-5

0

5

10

15

20

25

30

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityOF OH Structured

Nordics Other Core

-10

-5

0

5

10

15

20

25

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityDK FI NO SE

-10

-5

0

5

10

15

20

25

30

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityBE CH GB LU NL

Overseas Periphery

-5

0

5

10

15

20

25

30

35

40

0 1 2 3 4 5 6 7 8 9 10

AS

W in b

p

years to maturityAU CA NZ SG

0

25

50

75

100

125

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 27

SSA Charts & Graphs

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

37,8%

36,5%

10,6%

5,3%

4,4% 1,7%

1,1%

0,9%

0,3%0,3%

1,1%

5,4%

EUR 1469,9bn GE

SNAT

FR

SP

NE

AS

CA

IT

FI

PO

Others

Country Vol. (€bn) No. of bonds

ØVol. (€bn) Vol. weight.

ØMod. Duration

GE 556,3 479 1,2 4,0

SNAT 537,0 122 4,4 6,5

FR 155,3 95 1,6 5,7

SP 78,1 63 1,2 3,0

NE 64,4 57 1,1 4,2

AS 24,9 24 1,0 6,5

CA 16,6 12 1,4 5,0

IT 12,8 14 0,9 7,4

FI 4,9 6 0,8 5,9

PO 4,0 7 0,6 5,2

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 2016e

EU

Rb

n

Other

ES

AT

NL

FR

GE

SNAT

0

5

10

15

20

25

30

3505

/16

06

/16

07

/16

08

/16

09

/16

10

/16

11

/16

12

/16

01

/17

02

/17

03

/17

04

/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

9

10

GE

SN

AT

FR

SP

NE

AS IT

PO

BE

SW

43,6%

15,0%

25,1%

7,8%

0,3%

4,1%1,0%

0,4%0,2%

0,8%

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 27

SSA Charts & Graphs

Spread development (last 15 issues) M

AD

RID

0.7

27

05/1

9/2

1

(fix

ed

)

KO

MM

UN

0 5

/8 0

5/1

1/2

6

(fix

ed

)

NR

W 1

1/4

05/1

2/3

6

(fix

ed

)

NR

WB

K 0

1/2

05/1

1/2

6

(fix

ed

)

ES

M 1

1/8

05/0

3/3

2 (

fixed)

HA

MB

RG

0 1

/2 0

4/2

7/2

6

(fix

ed)

EU

RO

F 0

1/4

04/2

5/2

3

(fix

ed

)

ES

M 0

1/8

04/2

2/2

4 (

fixed)

KB

N 0

5/8

04/2

0/2

6 (

fixed)

NR

W 0

1/2

04/1

6/2

6

(fix

ed

)

LA

ND

ER

0 1

/8 0

4/1

4/2

3

(fix

ed

)

FIN

NV

E 0

1/2

04/1

3/2

6

(fix

ed

)

LB

AN

K 0

3/8

04/1

3/2

6

(fix

ed

)

EU

0 3

/4 0

4/0

4/3

1 (

fixed)

EIB

0 3

/8 0

4/1

4/2

6 (

fixed)

-20

-10

0

10

20

30

40

50

60

70

80

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% 1% 2% 2% 3% 3% 4%

Supras

Agencies

Public Banks

Regions

Bundesländer

Periphery

Non-Periphery

1W

1M

3M

6M

12M

YTD

-1% 0% 1% 1% 2% 2% 3% 3%

Overall

AAA

AA

A

BBB

1W

1M

3M

6M

12M

YTD




of 27

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

30

40

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

-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

-60

-50

-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

Supranationals Supranationals Bunds OATs

Core Periphery

-30

-20

-10

0

10

20

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

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 27

Appendix Publication overview

Publication Topics

17/2016 5 May Market overview

VakifBank opens market for Turkish covered bonds

Berlin Hyp reports on its Green Pfandbrief

Fitch publishes Q1 reporting for 2016

Focus on KfW – bank publishes annual report for 2015 and its first impact re-

port

ECB Tracker

16/2016 27 April Market overview

vdp proposes amendment to Pfandbrief Act

Secondary market for German government and Länder bonds drying up

ECB Tracker


IPT, Bid-to-Cover and NIP

The Canadian covered bond market – an overview

Purchases of regional bonds gaining momentum ahead of the ECB meeting

ECB Tracker


UK collateral in German cover pools

Mortgage Society of Finland plans inaugural issue

ESM and EFSF present funding plan for Q2

ECB Tracker


Covered Bonds in Q1

Overview of PSPP holdings

ECB Tracker

12/2016 30 March Market overview

Progress with the restructuring of Nordea Bank Finland

Irish subsidiary of EAA to be sold

Expansion of the ISIN limit results in spread movements for supranationals

ECB Tracker


Moody’s quarterly report Q3/2015

Federal financial equalisation scheme reachesrecord sum in 2015

ECB Tracker


TLTRO will reduce primary market volume in 2016

Section 28 data published for Q4/2015

ECB expands purchases – what can we expect now?

ECB Tracker



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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] Daniel Novotny-Farkas [email protected]

Julia Bleser [email protected] Gabriele Schneider [email protected]

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

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

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

Christian Schneider

(Head) [email protected] Stefan Krilcic [email protected]

Oliver Bickel [email protected] Martin Koch [email protected]

Tobias Bohr [email protected] Bernd Lehmann [email protected]

Kai-Ulrich Dörries [email protected] Jörn Meißner [email protected]

Marc Ehle [email protected] Lutz Schimanski [email protected]

Sascha Goetz [email protected] Brian Zander [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

Shipping / Aircraft +49 511 9818-8150 Corporate Clients +49 511 9818-4003

Real Estate / Structured Finance

+49 511 9818-8150 FX/MM

+49 511 9818-4006

Syndicate / DCM (+49 511 9818-6600)

Thomas Cohrs (Head) [email protected] Andreas Raimchen [email protected]

Axel Hinzmann [email protected] Udo A. Schacht [email protected]

Thomas Höfermann [email protected] Marco da Silva [email protected]

Alexander Malitsky [email protected] Lutz Ulbrich [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 & Regions +49 511 9818-9550

mailto:[email protected]









of 27

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Time of going to press

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Recommendation system and history of last 12 months

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Issuer / security Date Recommendation Bond type Cause

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