Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Volksbank Wien AG - Mortgage Covered Bonds Covered Bonds / Austria Contacts Rast, Martin - +44 (207) 772-8676 - Martin.Rast@moodys.com Bhattacharya, Atri - +91 (806) 113-3560 - Atri.Bhattacharya@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: +44 20 7772-5454, csdlondon@moodys.com Click here to access the covered bond programme webpage on moodys.com Reporting as of: 30/09/2018 All amounts in EUR (unless otherwise specified) For information on how to read this report, see the latest Moody's Global Covered Bond Monitoring Data as provided to Moody's Investors Service (note 1) I. Programme Year of initial rating assignment: 2017 Total outstanding liabilities: Total assets in the Cover Pool: Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: EUR EUR 1,249,200,000 1,966,648,235 Volksbank Wien AG / Residential 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: Volksbank Wien AG CR Assessment + 1 notch Yes Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 Chart 1: Rating history Covered Bond Sovereign CR Assessment (RHS) (cr) Aa1 (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: 5.9% Collateral Score excl. systemic risk: 5.2% Chart 2 : Asset types in cover pool Promoted Commercial assets, Housing 13.9% assets, 2.1% Cover Pool losses Collateral Risk (Collateral Score post-haircut): 3.9% 3 Market Risk: 9.4% 7 13.4% (10) Residential assets, 84. III. Over-Collateralisation Levels (notes 2 & 3) Over-Collateralisation (OC) figures presented below include Eligible only collateral. Over-Collateralisation levels are provided on nominal basis Current situation Committed OC (Nominal): 0. Current OC: 57.4% OC consistent with current rating (note 4) 7. Sensitivity scenario CB anchor OC consistent with current rating Scenario 1: CB anchor is lowered by 1 notch 10. The issuer's articles of association include a minimum OC on an NPV basis of 2.. IV. Timely Payment Indicator & TPI Leeway Legal framework Timely Payment Indicator (TPI): Probable Does a specific covered bond law apply for this programme: Yes, Covered Bond Act TPI Leeway: 2 Main country in which collateral is based: Austria Country in which issuer is based: Austria Extract from TPI table - CB anchor is CR Assessment + 1 notch CR Assessment Probable Aa2(cr) Timely payment Aa3(cr) Refinancing period for principal payments of 6 months or greater: No A1(cr) Liquidity reserve to support timely payments on all issuances: No A3(cr) Baa1(cr) Baa2(cr) Aa1 Baa3(cr) Aa2 (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) committee discretion is applied. (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 Volksbank Wien AG - Mortgage Covered Bonds Page 1
Mismatch in % of the total liabilities COVERED BONDS V. Asset Liability Profile Interest Rate & Duration Mismatch (note 5) Swap Arrangements Fixed rate assets in the cover pool: 22.4% Interest rate swap(s) in the Cover Pool: No Fixed rate covered bonds outstanding: 38.7% Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 4.4 years Currency swap(s) in the Cover Pool: No WAL of the cover pool: 17.3 years Intra-group currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) 50. 45. 40. 35. 30. 25. 20. 15. 10. 5. 0. (note 6) Maximum mismatch: 45.3% 0 1 2 3 4 5 6 7 8 9 Period in years EUR Chart 4: Currency mix before swaps (3 Main Currencies) Cover pool Covered Bonds 1,249 in EUR millions 1,967 0 500 1,000 1,500 2,000 2,500 Chart 5 : Amortisation profile (in millions) (note 7) Assets Liabilities 2,500 2,000 1,500 1,000 500 0 0 1 2 3 4 5 6 7 8 9 Years VI. Performance Evolution Chart 6 : Collateral Score Chart 7 : Cover Pool Losses 7% 6% 4% 6. 5.8% 5.8% 5.8% 5.9% 16% 14% 12% 1 Collateral Risk Market Risk Cover Pool Losses 13.4% 13.4% 13.3% 13.2% 13.4% 3% 8% 2% 1% 6% 4% 2% Q3 2017 Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q3 2017 Q4 2017 Q1 2018 Q2 2018 Q3 2018 Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC Current OC 7 6 57.4% 58. 57.4% 5 4 3 50.4% 51. 49.9% 2 1 7. 7. 7. Q1 2018 Q2 2018 Q3 2018 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 www.moodys.com 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 swaps in place in Cover Pool, no prepayment and no further CB issuance. Volksbank Wien AG - Mortgage Covered Bonds Page 2
VII. Cover Pool Information - Residential Assets Specific Loan and Borrower characteristics Asset type: Residential Loans with an external guarantee in addition to a mortgage: Asset balance: 1,651,534,276 Interest only Loans 5. Average loan balance: 84,677 Loans for second homes / Vacation: Number of loans: 19,504 Buy to let loans / Non owner occupied properties: Number of borrowers: 17,115 Limited income verified: 0. Number of properties: 19,065 Adverse credit characteristics (**) WA remaining term (in months): 220 WA seasoning (in months): 62 Performance 0.1% Details on LTV 0. WA unindexed LTV (*) 64.4% 0. WA Indexed LTV: 61. Loans in a foreclosure procedure: 0. Valuation type: Market Value LTV threshold: 60. Junior ranks: Prior ranks: 28.9% Multi-Family Properties Loans to tenants of tenant-owned Housing Cooperatives: Other type of Multi-Family loans (***) Chart A: Balance per LTV-band Unindexed LTV Indexed LTV Chart B: Percentage of residential assets 2 2 1 20. 18.2% 12.4% 11. 15.1% 13.9% 15.6% 16.3% 14.8% 14.4% 1 5.9% 5.7% 5. 4.8% 3.9% 3.6% 3.2% 2. 2. 1.7% 5.4% 3.4% Residential Assets 84. Chart C: LTV Chart D: Interest rate type % of the pool with Indexed LTV>8 Indexed WA LTV Unindexed WA LTV 8 6 66.3% 65.8% 65.3% 64.8% 64.4% 64.3% 64.4% 63.6% 63.2% 62.9% 62.2% 61.9% 61.6% 61. 8 6 10 8 6 81. 4 2 23.9% 23.4% 23.3% 22.2% 21.7% 21.7% 21.7% 4 2 4 2 0.6% 2.6% 15.8% Chart E: Main country regional distribution Chart F: Seasoning (in months) 2 2 1 1 21.8% 18.4% 16. 14.4% 10.1% 8.7% 4.6% 3.9% 1.6% 5 4 4 3 3 2 2 1 1 3.7% 9.7% 16.2% 26.4% 44. (note *) may be based on property value at time of origination or further advance or borrower refinancing. (note **) Typically borrowers with a previous personal bankruptcy or borrowers with record of court claims against them at time of origination. (note ***) This "other" type refers to loans directly to Housing Cooperatives and to Landlords of Multi-Family properties (not included in Buy to Let). Volksbank Wien AG - Mortgage Covered Bonds Page 3
Cum Pool Volume COVERED BONDS VIII. Cover Pool Information - Commercial Assets Specific Loan and Borrower characteristics Asset type: Commercial Bullet loans: 4. Asset balance: 273,146,792 Loans in non-domestic currency: 0. Average loan balance: 138,794 Percentage of fixed rate loans: 18.8% Number of loans: 1,968 Performance Number of borrowers: 1,643 0. Number of properties: 2,570 Loans in a foreclosure procedure: 0. Largest 10 loans: 6.4% Details on LTV Largest 10 borrowers: 7.2% WA current LTV(*): 63. WA remaining term (in months): 167 WA indexed LTV: 60.9% WA seasoning (in months): 66 Valuation type: Market Value Main countries: Austria (10) LTV Threshold: 60. Junior ranks: Prior and Equal ranks: 13. Chart A: Balance per LTV-band Chart B: Percentage of commercial assets 2 2 1 1 20.1% 13. 17. 15.4% 11.1% 4.2% 3. 3.9% 2.6% 1.6% 6.6% Commercial Assets, 13.9% Chart C: Borrower concentration 10 9 8 7 6 5 4 3 2 1 0 10 20 30 40 50 60 70 80 90 100 Number of Borrowers Chart D: Property type 4 4 3 3 2 2 1 1 39. 15. 14.9% 12.7% 6.6% 5. 5.1% 0.9% Multifamily Industrial Hotel Other Mixed Use Retail Offices Land Chart E: Main country regional distribution 4 37. 3 3 2 2 1 1 16.4% 12.7% 9.7% 8.9% 7.8% 2.9% 2.2% 2. Chart F: Remaining Term (in years) Chart G: Year of loan origination 5 4 3 2 1 2.3% 5.2% 21.8% 27.3% 39.7% 3.6% 0. 2 1 13.2% 4.4% 6.7% 8.8% 7.8% 9.7% 8. 12. 17.9% 8.9% 2.1% (note *) Based on original property valuation. Volksbank Wien AG - Mortgage Covered Bonds Page 4
IX. Cover Pool Information - Promoted Housing Specific Loan and Borrower characteristics Asset type: Promoted Housing Loans with an external guarantee in addition to a mortgage: Asset balance: 41,967,167 Interest only Loans 3.1% Average loan balance: 154,860 Loans for second homes / Vacation: 0. Number of loans: 271 Buy to let loans / Non owner occupied properties: Number of borrowers: 189 Limited income verified: 0. Number of properties: 211 Adverse credit characteristics (**) WA remaining term (in months): 180 WA seasoning (in months): 74 Performance 0. Details on LTV 0. WA unindexed LTV (*) 62.6% 0. WA Indexed LTV: 58.8% Loans in a foreclosure procedure: 0. Valuation type: Market Value LTV threshold: 60. Junior ranks: Prior ranks: 22.3% Multi-Family Properties Loans to tenants of tenant-owned Housing Cooperatives: Other type of Multi-Family loans (***) Chart A: Balance per LTV-band Unindexed LTV Indexed LTV Chart B: Percentage of residential assets 2 2 1 22. 21.3% 15. 14. 17. 22.4% 20.6% Promoted Housing 2.1% 1 10.1% 9.8% 8. 4.2% 8.8% 6.1% 3.3% 2. 1.7% 2.4% 2. 0.7% 0.1% 4.7% 3. Chart C: LTV Chart D: Interest rate type % of the pool with Indexed LTV>8 Indexed WA LTV Unindexed WA LTV 8 6 65.4% 65.7% 65.8% 65.6% 64.4% 62.8% 62.6% 62. 62.7% 62.7% 62.4% 60. 59. 58.8% 8 6 10 8 6 82.6% 4 2 21.7% 21.1% 21. 23.7% 19. 17.3% 18.1% 4 2 4 2 5.1% 12.4% Chart E: Main country regional distribution Chart F: Seasoning (in months) 4 3 3 2 2 1 1 37. 23.1% 10.8% 9.8% 8. 6.1% 3. 2.3% 6 5 4 3 2 1 3.1% 7.1% 15.8% 20.6% 53.4% (note *) may be based on property value at time of origination or further advance or borrower refinancing. (note **) Typically borrowers with a previous personal bankruptcy or borrowers with record of court claims against them at time of origination. (note ***) This "other" type refers to loans directly to Housing Cooperatives and to Landlords of Multi-Family properties (not included in Buy to Let). Volksbank Wien AG - Mortgage Covered Bonds Page 5
X. Liabilities Information: Last 50 Issuances ISIN Series Number Currency Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment AT000B122007 1 EUR 2,000,000 13/08/2018 30/09/2025 30/09/2025 Fixed rate 0.60 AT000B121975 1 EUR 70,000,000 15/03/2018 30/04/2022 30/04/2022 Fixed rate 0.33 AT000B121983 1 EUR 70,000,000 15/03/2018 30/05/2022 30/05/2022 Fixed rate 0.33 AT000B121959 1 EUR 75,200,000 29/12/2016 29/12/2019 29/12/2021 Floating rate EUR003M + 50 bps AT000B121835 1 EUR 60,000,000 13/03/2015 30/05/2020 30/05/2020 Floating rate EUR003M + 30 bps AT000B121843 1 EUR 60,000,000 13/03/2015 30/04/2021 30/04/2021 Floating rate EUR003M + 34 bps AT000B121850 1 EUR 60,000,000 13/03/2015 31/05/2021 31/05/2021 Floating rate EUR003M + 34 bps AT000B121868 1 EUR 100,000,000 13/03/2015 30/04/2023 30/04/2023 Floating rate EUR003M + 40 bps AT000B121876 1 EUR 60,000,000 13/03/2015 30/05/2023 30/05/2023 Floating rate EUR003M + 40 bps AT000B121884 1 EUR 100,000,000 13/03/2015 30/04/2025 30/04/2025 Floating rate EUR003M + 46 bps AT000B121892 1 EUR 60,000,000 13/03/2015 30/05/2025 30/05/2025 Floating rate EUR003M + 46 bps AT000B121801 1 EUR 60,000,000 06/03/2015 30/04/2019 30/04/2019 Floating rate EUR003M + 27 bps AT000B121819 1 EUR 60,000,000 06/03/2015 30/05/2019 30/05/2019 Floating rate EUR003M + 27 bps AT000B121827 1 EUR 60,000,000 06/03/2015 30/04/2020 30/04/2020 Floating rate EUR003M + 30 bps AT0000A09HP9 1 EUR 20,000,000 28/04/2008 28/04/2028 28/04/2028 Fixed rate 4.86 AT000B055579 1 EUR 5,000,000 04/02/2008 04/02/2019 04/02/2019 Zero Bond Zero AT0000A06WF5 1 EUR 185,000,000 04/10/2007 05/04/2024 05/04/2024 Fixed rate 4.41 AT000B054788 1 EUR 10,000,000 24/09/2007 24/09/2027 24/09/2027 Fixed rate 4.70 AT0000A05F84 1 EUR 10,000,000 14/05/2007 14/05/2021 14/05/2021 Fixed rate 4.52 AT0000A05790 1 EUR 5,000,000 13/04/2007 13/04/2023 13/04/2023 Fixed rate 4.45 AT0000A057A2 1 EUR 5,000,000 13/04/2007 13/04/2023 13/04/2023 Fixed rate 4.45 AT0000A04CX5 1 EUR 10,000,000 22/01/2007 22/01/2019 22/01/2019 Fixed rate 4.30 AT000B052667 1 EUR 10,000,000 30/06/2006 30/06/2021 30/06/2021 Fixed rate 4.50 AT000B052659 1 EUR 10,000,000 30/06/2006 30/06/2036 30/06/2036 Fixed rate 4.90 AT000B052279 1 EUR 10,000,000 16/06/2006 16/06/2026 16/06/2026 Floating rate 8.7%-1Y CMS AT0000439948 1 EUR 13,000,000 18/10/2005 18/10/2035 18/10/2035 Fixed rate 4.39 AT0000439757 1 EUR 18,000,000 10/08/2005 10/08/2035 10/08/2035 Fixed rate 4.40 AT0000439583 1 EUR 10,000,000 29/06/2005 29/06/2035 29/06/2035 Fixed rate 4.40 AT0000439609 1 EUR 10,000,000 24/06/2005 24/06/2020 24/06/2030 Fixed rate 4.12 AT0000439617 1 EUR 10,000,000 24/06/2005 24/06/2020 24/06/2030 Fixed rate 4.12 AT0000439625 1 EUR 1,000,000 24/06/2005 24/06/2020 24/06/2030 Fixed rate 4.12 AT0000439211 1 EUR 10,000,000 11/03/2005 11/03/2030 11/03/2030 Fixed rate 4.65 Volksbank Wien AG - Mortgage Covered Bonds Page 6
THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR 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. 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 ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements. Volksbank Wien AG - Mortgage Covered Bonds Page 7