HYPO NOE Landesbank für Niederösterreich und Wien AG - Public-Sector Covered Bonds

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1 Prog INTERNATIONAL STRUCTURED FINANCE HYPO NOE Landesbank für Niederösterreich und Wien AG - Public-Sector Covered Bonds Covered Bonds / Austria Contacts Zeidler, Alexander (207) Alexander.Zeidler@moodys.com Margiotta, Maria (207) Maria.Margiotta@moodys.com Monitoring Monitor.CB@moodys.com Click on the icon to download data into Excel & to see Glossary of terms used Client Service Desk London: , csdlondon@moodys.com Click here to access the covered bond programme webpage on moodys.com Reporting as of: 30/03/2018 All amounts in (unless otherwise specified) For information on how to read this report, see the latest Moody's Global Covered Bond Monitoring Overview Data as provided to Moody's Investors Service (note 1) I. Programme Overview Overview Year of initial rating assignment: 2009 Total outstanding liabilities: Total assets in the Cover Pool: 3,412,907,256 4,329,840,356 Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: HYPO NOE Landesbank für Niederösterreich und Wien AG / n/a Public Sector Ratings Covered bonds rating: Entity used in Moody's EL & TPI analysis: CB anchor: CR Assessment: SUR: Unsecured claim used for Moody's EL analysis: HYPO NOE Landesbank für Niederösterreich und Wien AG CR Assessment + 1 notch Yes Aaa Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 Chart 1: Rating history Covered Bond Sovereign CR Assessment (RHS) Aaa (cr) (cr) Aa2 (cr) Aa3 (cr) A1 (cr) A2 (cr) A3 (cr) Baa1 (cr) Baa2 (cr) Baa3 (cr) Ba1 (cr) Ba2 (cr) Ba3 (cr) B1 (cr) B2 (cr) II. Value of the Cover Pool Collateral quality Collateral Score: 14. Collateral Score excl. systemic risk: n/a Cover Pool losses Collateral Risk (Collateral Score post-haircut): 7. 3 Market Risk: 13.3% % (10) Chart 2 : Asset types in cover pool Public-Sector assets, 100. III. Over-Collateralisation Levels (notes 2 & 3) Over-Collateralisation (OC) figures presented below include Eligible only collateral. Over-collateralisation levels are provided on any of the following: nominal basis or unstressed NPV basis or on stressed NPV basis. NPV stress test where stressed: Static Current situation Committed OC (Nominal): 2. Current OC (Unstressed NPV): 37.8% OC consistent with current rating (note 4): 9. Sensitivity scenario CB anchor OC consistent with current rating Scenario 1: CB anchor is lowered by 1 notch n/a IV. Timely Payment Indicator & TPI Leeway Legal framework Timely Payment Indicator (TPI): High Does a specific covered bond law apply for this programme: Yes, Pfandbrief Act TPI Leeway: Main country in which collateral is based: Austria Country in which issuer is based: Austria Timely payment Refinancing period for principal payments of 6 months or greater: Liquidity reserve to support timely payments on all issuances: No No (note 1) The data reported in this PO is based on information provided by the issuer and may include certain assumptions made by Moody's. Moody's accepts no responsibility for the information provided to it and, whilst it believes the assumptions it has made are reasonable, cannot guarantee that they are or will remain accurate. Although Moody's encourages all issuers to provide reporting data in a consistent manner, there may be differences in the way that certain data is categorised by issuers. The data reporting template (which Issuers are requested to use) is available on request. (note 2) This assumes the Covered Bonds rating is not constrained by the TPI. Also to the extent rating assumptions change following a downgrade or an upgrade of the Issuer, the necessary OC stated here may also change. This is especially significant in the case of CR assessments of A3(cr) or Baa1(cr), as the necessary OC (note 4) The OC consistent with the current rating is the minimum level of over-collateralisation which is necessary to support the covered bond rating at its current level on the basis of the pool as per the cut-off date. The sensitivity run is based on certain assumptions, including that the Covered Bonds rating is not constrained by the TPI. Further, this sensitivity run is a model output only and therefore a simplification as it does not take into account certain assumptions that may change as an issuer is downgraded, and as a result the actual OC number consistent with the current rating may be higher than shown. The OC required may also differ from the HYPO NOE Landesbank für Niederösterreich und Wien AG - Public-Sector Covered Bonds Page 1

2 Mismatch in % of the total liabilities V. Asset Liability Profile Interest Rate & Duration Mismatch (note 5) Swap Arrangements Fixed rate assets in the cover pool: 48.3% Interest rate swap(s) in the Cover Pool: No Fixed rate covered bonds outstanding: 98.8% Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 5.8 years Currency swap(s) in the Cover Pool: No WAL of the cover pool: 9.5 years Intra-group currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) (note 6) Maximum mismatch: 36.6% Period in years CHF Chart 4: Currency mix before swaps (3 Main Currencies) Cover pool Covered Bonds in millions 3, ,000 1,500 2,000 2,500 3,000 3,500 4,000 4,500 4,251 Chart 5 : Amortisation profile (in millions) (note 7) Assets 5,000 4,500 4,000 3,500 3,000 2,500 2,000 1,500 1, VI. Performance Evolution Liabilities Years Chart 6 : Collateral Score Chart 7 : Cover Pool Losses % Collateral Risk Market Risk Cover Pool Losses % 13.1% 14.3% % 21.1% 20.8% 20.4% Q Q Q Q Q Q Q Q Q Q Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC CurrentOC % 36.2% 35.3% 37.7% 37.8% % 22.7% 22.3% 24.2% 28.3% Q Q Q Q Q Covered Bond Rating CR Assessment This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on for the most updated credit rating action information and rating history. (note 5) This assumes no prepayment. (note 6) Based on principal flows only. Assumptions include no prepayments, principal collections limited to the portion of assets that make up the amount of the liabilities plus committed OC, no further CB issuance and no further assets added to the cover pool. (note 7) Assumptions include no prepayment, no swap in place in Cover Pool and no further CB issuance. HYPO NOE Landesbank für Niederösterreich und Wien AG - Public-Sector Covered Bonds Page 2

3 Cum Pool Volume VII. Cover Pool Information - Public Sector Assets Overview Specific Loan and Borrower characteristics Asset type: Public Sector Repo eligible loans / bonds: 9.2% Asset balance: 4,329,840,356 Percentage of fixed rate loans / bonds: 48.8% WA remaining Term (in months): 182 Percentage of bullet loans/ bonds: 10. Number of borrowers: 45,368 Loans / bonds in non-domestic currency: 1.8% Number of loans / bonds: 49,645 Performance Exposure to the 10 largest borrowers: Average exposure to borrowers: 95, n/d: information not disclosed by Issuer 0. n/a: information not applicable Loans / bonds in a foreclosure procedure: 0. Table A : Borrower type by country Austria Slovakia Poland Other Totals Direct claim against supranational Direct claim against sovereign 0.6% 0.8% % 2.1% Loan with guarantee of sovereign Direct claim against region/federal state 36.3% % Loan with guarantee of region/federal state 46.7% % Direct claim against municipality 7.6% % Loan with guarantee of municipality 4.8% % Others 2.4% 0.1% % 0.9% % Chart B: Percentage of public sector assets Public Sector Assets, 100. Chart C: Borrower concentration Number of Borrowers Chart D: Pool distribution by country exposure rating A1, 0.3% A2, 1.3%, 98.4% Chart E: Main country regional distribution % % 0.9% 0.6% 0.6% 0.1% 0.1% Chart F: Distribution by country exposure, rating % % 0.8% 0. Table A and Chart C are based on debtor data. Charts D, E and F are based on guarantor data or, on unavailability of such information, on debtor data, as reported by the issuer. HYPO NOE Landesbank für Niederösterreich und Wien AG - Public-Sector Covered Bonds Page 3

4 VIII. Liabilities Information: Last 50 Issuances ISIN Series Number Currency Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment XS n/d 500,000,000 04/04/ /04/ /04/2024 Fixed rate 0.37 SOFT XS n/d 100,000,000 23/08/ /08/ /08/2047 Fixed rate 1.60 SOFT AT0000A1JUJ8 n/d 10,000,000 29/01/ /01/ /01/2031 Fixed rate 1.39 AT0000A1H609 n/d 5,000,000 19/11/ /11/ /11/2035 Fixed rate 1.66 AT0000A1GTG2 n/d 20,000,000 22/10/ /10/ /10/2035 Fixed rate 2.00 XS n/d 10,000,000 17/06/ /06/ /06/2020 Fixed rate 0.52 AT0000A1E9G7 n/d 10,000,000 04/05/ /09/ /09/2034 Fixed rate 0.85 XS n/d 500,000,000 15/10/ /10/ /10/2020 Fixed rate 1.75 AT0000A13323 n/d 30,000,000 14/10/ /10/ /10/2025 Fixed rate 2.55 AT0000A11WD0 n/d 55,000,000 30/09/ /09/ /09/2025 Fixed rate 2.77 AT0000A10A90 n/d 2,000,000 30/04/ /04/ /04/2018 Fixed rate 0.89 AT0000A0YEQ8 n/d 50,000,000 17/01/ /01/ /01/2033 Fixed rate 2.66 AT0000A0XD94 n/d 50,000,000 25/10/ /10/ /10/2027 Fixed rate 2.73 XS n/d 500,000,000 17/09/ /09/ /09/2019 Fixed rate 1.62 AT0000A0W5N0 n/d 50,000,000 08/08/ /08/ /08/2029 Fixed rate 2.78 AT0000A0W5M2 n/d 10,000,000 06/08/ /08/ /08/2027 Fixed rate 2.756% XS n/d 20,000,000 13/07/ /07/ /07/2037 Fixed rate 3.95 XS n/d 20,000,000 21/05/ /05/ /05/2019 Floating rate 6-Monats-IBOR + 70 bps XS n/d 500,000,000 09/05/ /05/ /05/2022 Fixed rate 3.00 AT0000A0V5J9 n/d 5,000,000 12/04/ /04/ /04/2032 Fixed rate 3.73 AT0000A0V412 n/d 6,000,000 05/04/ /04/ /04/2027 Fixed rate 3.51 AT0000A0V4K0 n/d 20,000,000 05/04/ /04/ /04/2032 Fixed rate 3.45 AT0000A0UN20 n/d 5,000,000 30/03/ /03/ /03/2032 Fixed rate 4.00 AT0000A0UMJ4 n/d 5,000,000 23/03/ /03/ /03/2032 Fixed rate 4.05 AT0000A0UJ34 n/d 5,000,000 12/03/ /03/ /03/2037 Fixed rate 3.95 AT0000A0UHG0 n/d 4,000,000 08/03/ /03/ /03/2032 Fixed rate 3.50 XS n/d 100,000,000 03/02/ /02/ /02/2032 Fixed rate 4.10 AT0000A0U4Y2 n/d 10,000,000 30/01/ /01/ /01/2032 Fixed rate 4.10 XS n/d 275,000,000 24/01/ /01/ /01/2029 Fixed rate 4.00 AT0000A0SG31 n/d 3,000,000 05/12/ /12/ /12/2030 Fixed rate 4.01 AT0000A0SK84 n/d 5,000,000 01/12/ /12/ /12/2026 Fixed rate 3.526% AT0000A0RYF3 n/d 5,000,000 21/10/ /10/ /10/2029 Fixed rate 3.63 AT0000A0RHW3 n/d 3,000,000 29/09/ /09/ /09/2026 Fixed rate 3.50 AT0000A0RFN6 n/d 28,000,000 05/09/ /09/ /09/2021 Fixed rate 3.35 AT0000A0R121 n/d 10,000,000 10/08/ /08/ /08/2021 Fixed rate 3.55 AT0000A0QRJ1 n/d 12,000,000 28/07/ /07/ /07/2023 Fixed rate 3.94 AT0000A0QQA2 n/d 10,000,000 13/07/ /07/ /07/2024 Fixed rate 4.08 AT0000A0P1M0 n/d 20,000,000 01/04/ /04/ /04/2031 Fixed rate 4.58 AT0000A0NL96 n/d 20,000,000 09/02/ /02/ /02/2026 Fixed rate 4.28 AT0000A0NCK8 n/d 31,000,000 01/02/ /02/ /02/2036 Fixed rate 4.43 XS n/d 10,000,000 27/01/ /01/ /01/2031 Fixed rate 4.11 AT0000A0NDJ8 n/d 5,000,000 26/01/ /01/ /01/2026 Fixed rate 4.12 AT0000A0NDH2 n/d 5,000,000 24/01/ /01/ /01/2029 Fixed rate 4.18 AT0000A0NCJ0 n/d 2,000,000 18/01/ /01/ /01/2036 Fixed rate 4.42 AT0000A0LSL6 n/d 25,000,000 16/11/ /11/ /11/2020 Fixed rate 3.24 AT0000A0L0R5 n/d 5,000,000 12/10/ /10/ /10/2027 Fixed rate 3.40 AT0000A0G1F5 n/d 3,000,000 07/12/ /12/ /12/2022 Fixed rate 4.02 AT0000A0G058 n/d 5,000,000 07/12/ /12/ /12/2022 Fixed rate 4.01 AT0000A0E0R4 n/d 38,355,758 10/11/ /10/ /10/2021 Zero Bond Zero AT0000A0FDL0 n/d 20,000,000 02/11/ /11/ /11/2029 Fixed rate 4.37 HYPO NOE Landesbank für Niederösterreich und Wien AG - Public-Sector Covered Bonds Page 4

5 CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE PURCHASE, HOLDING, OR SALE. AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, BENCHMARK. suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. OR MANNER WHATSOEVER. credit ratings or publications when making an investment decision. If in doubt you should contact your financial or other professional adviser. consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively. MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements. HYPO NOE Landesbank für Niederösterreich und Wien AG - Public-Sector Covered Bonds Page 5