Hypo Vorarlberg Bank AG - Mortgage Covered Bonds

Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Covered Bonds / Austria Contacts Zeidler, Alexander - +44 (207) 772-8713 - Alexander.Zeidler@moodys.com Abshilava, Nana - +49 (697) 073-0772 - Nana.Abshilava@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: 30/06/2017 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: 2013 Total outstanding liabilities: Total assets in the Cover Pool: EUR EUR 2,120,055,460 3,779,324,955 Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: Vorarlberger Landes- und Hypothekenbank AG / n/a 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: Hypo Vorarlberg Bank AG CR Assessment + 1 notch Yes Aaa Aa2 Aa3 A1 A2 A3 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 Chart 1: Rating history Covered Bond Sovereign SUR CR Assessment (RHS) Aaa (cr) (cr) Aa2 (cr) Aa3 (cr) A1 (cr) A2 (cr) A3 (cr) (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: 18.2% Collateral Score excl. systemic risk: n/a Cover Pool losses Collateral Risk (Collateral Score post-haircut): 12.2% 41% Market Risk: 17.3% 59% 29. (10) Chart 2 : Asset types in cover pool Residential assets, 45.6% Multi-Family assets, 1.8% Other / Supplementary assets, 1.2% Commercial assets, 49.4% III. Over-Collateralisation Levels (notes 2 & 3) Over-Collateralisation (OC) figures presented below can include Eligible and Non-Eligible collateral. Over-collateralisation levels are provided on nominal basis. NPV stress test where stressed: n/a Current situation Committed OC (Nominal): 2. Current OC: 78.3% OC consistent with current rating (note 4): 17. Sensitivity scenario CB anchor OC consistent with current rating Scenario 1: CB anchor is lowered by 1 notch 23. IV. Timely Payment Indicator & TPI Leeway Legal framework Timely Payment Indicator (TPI): Probable Does a specific covered bond law apply for this programme: Yes, Pfandbrief 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 Aa3(cr) Aaa Timely payment A1(cr) Aaa Refinancing period for principal payments of 6 months or greater: No A2(cr) Aaa Liquidity reserve to support timely payments on all issuances: No Aaa (cr) Aaa Baa2(cr) Baa3(cr) Aa2 Ba1(cr) A1 (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 Issuers currently rated A2 or A3, as the 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 current rating may be higher than shown. The OC Hypo Vorarlberg Bank 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: 20.6% Interest rate swap(s) in the Cover Pool: No Fixed rate covered bonds outstanding: 100. Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 5.4 years Currency swap(s) in the Cover Pool: No WAL of the cover pool: 14.6 years Intra-group currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) 120. (note 6) Chart 4: Currency mix before swaps (3 Main Currencies) Cover pool Covered Bonds 100. USD 13 80. 60. Information not disclosed by Issuer CHF 639 40. 20. 0. 3,104 EUR 2,120 0 500 1,000 1,500 2,000 2,500 3,000 3,500 Period in years in EUR millions Chart 5 : Amortisation profile (in millions) (note 7) Assets Liabilities 1 1 1 1 0 0 0 Information not disclosed by Issuer Years VI. Performance Evolution Chart 6 : Collateral Score Chart 7 : Cover Pool Losses Collateral Risk Market Risk Cover Pool Losses 2 19.3% 19.6% 18. 17.1% 18.2% 4 3 3 32.8% 33. 32.1% 30.3% 29. 1 2 1 Q1 2016 Q2 2016 Q3 2016 Q1 2017 Q2 2017 Q1 2016 Q2 2016 Q3 2016 Q1 2017 Q2 2017 Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC CurrentOC 16 151.1% 14 127.3% 12 10 8 6 4 101.4% 104. 79.9% 81. 130.6% 109.3% 78.3% 60.8% 2 21. 23. 20. 18. 17. Q1 2016 Q2 2016 Q3 2016 Q1 2017 Q2 2017 Covered Bond Rating SUR 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 no prepayment, no swap in place in Cover Pool and no further CB issuance. Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Page 2

VII. Cover Pool Information - Residential EUR - In Austria Asset type: Residential EUR - In Austria Loans with an external guarantee in addition to a mortgage: n/a Asset balance: 1,234,200,720 Interest only Loans: 17.9% Average loan balance: 124,215 Loans for second homes / Vacation: 0. Number of loans: 9,936 Buy to let loans / Non owner occupied properties: 23.9% Number of borrowers: 7,715 Limited income verified: 0. Number of properties: 16,223 Adverse credit characteristics (**): 0. WA remaining term (in months): 240 WA seasoning (in months): 53 Performance 0. Details on LTV 0.1% WA unindexed LTV (*): n/a 0.7% WA indexed LTV: 63.8% Loans in a foreclosure procedure: 0.2% Valuation type: Market Value LTV threshold: n/a Multi-Family Properties Junior ranks: n/d Loans to tenants of tenant-owned Housing Cooperatives: n/a Prior ranks: 26. Other type of Multi-Family loans (***): n/a n/d: information not disclosed by Issuer n/a: information not applicable Balance per LTV-band 18% 16% 14% 12% 1 8% 6% 4% 2% 16.7% Indexed LTV 11.4% 15.3% 16.9% 13.6% 7.1% 5.4% 5. 4.3% 1.3% 2.9% Percentage of residential assets Residential EUR 32.7% LTV Interest rate type % of the pool with Indexed LTV>8 Indexed WA LTV 8 6 4 2 67.7% 66.3% 66.8% 65.3% 65. 64.3% 63.3% 63.8% 36.7% 33. 32.2% 29.8% 29.3% 30. 25.2% 26. 8 6 4 2 10 8 6 4 2 87.4% 0.6% 0.8% 11.2% Chart E: Main country regional distribution Chart F: Seasoning (in months) 7 6 5 4 3 2 1 63.7% 16. 10.9% 4. 1.7% 1.3% 1. 0. 0.3% 3 3 2 1 10.6% 17.4% 16. 24.8% 30.7% (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). Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Page 3

VIII. Cover Pool Information - Residential CHF & JPY - In Austria Asset type: Residential CHF & JPY - In Austria Loans with an external guarantee in addition to a mortgage: n/a Asset balance: 490,059,496 Interest only Loans: 53.2% Average loan balance: 129,269 Loans for second homes / Vacation: 0. Number of loans: 3,791 Buy to let loans / Non owner occupied properties: 9. Number of borrowers: 3,221 Limited income verified: 0. Number of properties: 5,432 Adverse credit characteristics (**): 0. WA remaining term (in months): 163 WA seasoning (in months): 135 Performance 0.2% Details on LTV 0.2% WA unindexed LTV (*): n/a 0.2% WA indexed LTV: 70.3% Loans in a foreclosure procedure: 0.1% Valuation type: Market Value LTV threshold: n/a Multi-Family Properties Junior ranks: n/d Loans to tenants of tenant-owned Housing Cooperatives: n/a Prior ranks: 46.4% Other type of Multi-Family loans (***): n/a n/d: information not disclosed by Issuer n/a: information not applicable Balance per LTV-band 16% 14% 12% 1 8% 6% 4% 2% 14.4% Indexed LTV 10.8% 13. 14. 13.2% 6.9% 5.3% 4.4% 3. 2.7% 12.3% Percentage of residential assets Residential CHF & JPY 13. LTV Interest rate type % of the pool with Indexed LTV>8 Indexed WA LTV 8 6 4 2 69. 68.4% 66.8% 67.2% 66.9% 64.9% 40.1% 71.1% 70.3% 37.1% 36.7% 35.2% 34.9% 33.1% 35.9% 34. 8 6 4 2 12 10 8 6 4 2 99.3% 0.3% 0.2% 0.2% Chart E: Main country regional distribution Chart F: Seasoning (in months) 8 7 6 5 4 3 2 1 70.2% 9.9% 7. 4.6% 2.4% 2.1% 2. 1.3% 0. 12 10 8 6 4 2 0. 0.2% 2. 97.8% (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). Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Page 4

Cum Pool Volume COVERED BONDS IX. Cover Pool Information - Commercial Assets Asset type: Commercial Bullet loans: 20.6% Asset balance: 1,867,797,137 Loans in non-domestic currency: 7.2% Average loan balance: 1,000,963 Percentage of fixed rate loans: 28.9% Number of loans: 1,866 Performance Number of borrowers: 936 1.6% Number of properties: 2,277 Loans in a foreclosure procedure: 0.3% Largest 10 loans: 10.9% Details on LTV Largest 10 borrowers: 11. WA current LTV (*): n/a WA remaining term (in months): 144 WA indexed LTV: 69.1% WA seasoning (in months): 62 Valuation type: Market Value Main countries: Austria (72%) LTV Threshold: n/a Germany (28%) Junior ranks: n/d Prior and Equal ranks: n/d n/d : information not disclosed by Issuer n/a : information not applicable Balance per LTV-band (Indexed LTV) Percentage of commercial assets 2 1 10. 10.6% 16.1% 20.4% 13.8% 4.8% 5. 6.3% 1.9% 2.6% 7.4% Commercial Assets, 49.4% 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 Property type 3 2 1 25.9% 18.4% 16.4% 16. 11.9% 9. 1.9% 0.4% Other Mixed Use Offices Hotel Industrial Retail Land Multifamily Chart E: Main country regional distribution 4 3 3 2 1 36.6% 34.7% 17.3% 2.8% 2.6% 2.2% 2. 1.3% 0.4% Chart F: Remaining Term (in years) Chart G: Year of loan origination 4 37.9% 2 16. 16.7% 3 2 1 11. 7. 22.9% 20. 0.7% 1 3.8% 4.2% 2.7% 7.3% 7.3% 11. 11. 13.1% 6. (note *) Based on original property valuation Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Page 5

X. Cover Pool Information - Non-profit Housing Asset type: Non-profit Housing Loans benefiting from a guarantee: 0. Asset balance: 66,984,122 Interest only Loans: 0. Average loan balance: 452,595 Loans for second homes / Vacation: 0. Number of loans: 148 Buy to let loans / Non owner occupied properties: 97.3% Number of borrowers: 24 Limited income verified: 0. Number of properties: 926 Adverse credit characteristics (**): 0. WA remaining Term (in months): 186 WA seasoning (in months): 132 Performance 0. Details on LTV 0. WA unindexed LTV (*): n/a Loans in arrears ( > 12months): 0. WA Indexed LTV: 73. Loans in a foreclosure procedure: 0. Valuation type: Market Value LTV threshold: n/a Multi-Family Properties Junior ranks: n/d Loans to tenants of tenant-owned Housing Cooperatives: n/a Prior ranks: 43.2% Other type of Multi-Family loans (***): n/a n/d : information not disclosed by Issuer n/a : information not applicable Balance per LTV-band Percentage of multi-family assets 3 Indexed LTV 33.3% Non-profit Housing, 1.8% 3 2 20.9% 19.8% 1 8. 6.2% 0.1% 0. 2. 0. Seasoning (in months) Interest rate type 8 70.1% 8 73.7% 6 6 4 2 0. 6.2% 23.7% 4 2 0. 6.2% 20. Chart E: Main country regional distribution 7 6 5 4 3 2 1 62.7% 20.7% 11.4% 5.2% (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). Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Page 6

Fixed rate with reset =5 years COVERED BONDS XI. Cover Pool Information - Supplementary Assets Asset type: Supplementary Assets Repo eligible assets: 33.6% Asset balance: 46,548,043 Percentage of fixed rate assets: 100. WA remaining Term (in months): 51 Percentage of bullet assets: 100. Number of assets: 9 Assets in non-domestic currency: 72.7% Number of borrowers: 7 Performance Average assets size: 5,172,005 0. Average exposure to borrowers: 6,649,720 0. n/d: information not disclosed by Issuer Assets in arrears ( > 12months): 0. n/a: information not applicable Assets in a enforcement procedure: 0. 10 8 6 4 2 Interest rate type 100. Percentage of supplementary assets Supplementary Assets, 1.2% 10 Distribution by country, rating Distribution by country rating 8 6 A2, 18.8%, 35.8% 4 2 20. 35.8% 25. 18.8% Aaa, 20. Aa3, 25. Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Page 7

XII. Liabilities Information: Last 50 Issuances ISIN Series Number Currency Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment XS1613238457 n/d EUR 225,000,000 17/05/2017 17/05/2024 17/05/2024 Fixed rate 0.37 XS1613238457 n/d EUR 275,000,000 17/05/2017 17/05/2024 17/05/2024 Fixed rate 0.37 AT0000A1TSL7 n/d EUR 500,000,000 15/02/2017 31/05/2021 31/05/2021 Fixed rate 0.01 XS1188081936 n/d EUR 100,000,000 11/02/2015 11/02/2025 11/02/2025 Fixed rate 0.75 XS1188081936 n/d EUR 100,000,000 11/02/2015 11/02/2025 11/02/2025 Fixed rate 0.75 XS1188081936 n/d EUR 100,000,000 11/02/2015 11/02/2025 11/02/2025 Fixed rate 0.75 XS1188081936 n/d EUR 100,000,000 11/02/2015 11/02/2025 11/02/2025 Fixed rate 0.75 XS1188081936 n/d EUR 100,000,000 11/02/2015 11/02/2025 11/02/2025 Fixed rate 0.75 XS0920712600 n/d EUR 150,000,000 23/04/2013 23/04/2020 23/04/2020 Fixed rate 1.25 XS0920712600 n/d EUR 75,000,000 23/04/2013 23/04/2020 23/04/2020 Fixed rate 1.25 XS0920712600 n/d EUR 150,000,000 23/04/2013 23/04/2020 23/04/2020 Fixed rate 1.25 XS0920712600 n/d EUR 75,000,000 23/04/2013 23/04/2020 23/04/2020 Fixed rate 1.25 XS0920712600 n/d EUR 150,000,000 23/04/2013 23/04/2020 23/04/2020 Fixed rate 1.25 QOXDB9965969 n/d EUR 10,000,000 02/05/2005 02/05/2025 02/05/2035 Fixed rate 4.30 QOXDB9965951 n/d EUR 10,000,000 02/05/2005 02/05/2025 02/05/2035 Fixed rate 4.30 Verloste_HYPF n/d EUR 55,460 31/12/1990 31/12/2020 31/12/2020 Zero Bond Zero Hypo Vorarlberg Bank AG - Mortgage Covered Bonds Page 8

MEET ITS 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 THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE. MAKING 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, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. FORM OR MANNER WHATSOEVER. a NRSRO and, 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 Vorarlberg Bank AG - Mortgage Covered Bonds Page 9