EFTA01378362.pdf

INTERNAL USE ONLY DO NOT DISTRIBUTE IN PART OR IN WHOLE Euroland Rates> Covered Bonds Updated: Oct 27, 2015 Issue Coupon Mat SW Moodys 1st Amt Yield Swap- Cash Price ISIN Country I Sector I Beta France CIE FINANCEMINT FONCIER 0.626 11/1212021 AAA Ma 1,600.000,000 0.36 - 3 101.43 FR0012299394 CAISSE REFINANCE L'HABIT 3.3 9/23/20= MWA WA Aaa 2,200,000,000 0.47 - 1 118.88 FR0010945451 BPCE SFH - SOCIETE OE Fl 1 2/24/2025 AM Aaa 760,000,000 0.87 0 100.89 FRODI2328841 CAISSE FRANCAISE DE FIN 3 10/2/2028 AA+ Ma 1,000,000,000 1.33 20 119.30 FR0011580588 UK YORKSHIRE BUILDING SOC 1.26 6/11/2021 NWA N/A Ma 600.000.000 0.49 18 104.06 XS10762564C0 Canada BANK OF NOVA SCOTIA 0.76 9117/2021 NM N/A Ma 1,600,000,000 0.60 13 101.29 n1111155328 German COMMERZBANK AG 0.876 9/8/2026 NM N/A Aaa 600,000,000 0.81 • 12 100.47 DE000CZ4OKZO Spain BANKINTER SA 4.125 3/22/2017 A+ Aa2 1.000.000.000 0.04 18 106.46 E50413679178 CAJA RURAL DE NAVARRA 2.876 8/11/2018 ON/A N/A Aa2 600,000,000 0.22 31 106.67 E S0415306002 BANCO BILBAO VIZCAYA ARG 3.5 10/7/2020 A+ Aa2 2,050,500,000 0.40 21 114.92 ES0413211105 FIANNA SA 4.6 4/26/2022 A+ A1u 1,600,000,000 0.87 61 122.61 ES0414950685 PITCHI 6.126 7/20/2022 BBB+ Aa2 1,200,000,000 0.91 66 126.93 ES0334699C08 KUTXABANK SA 1.75 6/27/2021 A+ Aa2 1,000.000,000 0.64 35 106.80 ES0443307048 Ireland NB MORTGAGE BANK 2.626 7/29/2016 AA Aa2 600,000,000 0.06 17 101.77 XS0880288211 Haly CASS NW PARMA PIACENZA 0.876 1/31/2022 /IN/A N/A Aa2 1,000,000,000 0.69 27 100.89 170005057002 INTESA SANPAOLO SPA 3.826 12/5/2022 ML/A WA Aa2 1,250.000,000 0.72 26 119.69 170004872328 UNIONE DI BANCHE ITALIAN 3.126 10/14/2020 OWA WA Aa2 1.600.000.000 0.42 26 112.89 IT0034966195 Norway SPAREBANK 1BOLIGKREDITT 1.6 1/20/2020 Nal/A WA Ma 1.000.000.000 0.22 9 106.24 XS0995022361 Sweden LANSFOFtSAICRINGARHYPOTEK 1.126 6/7/2020 AAA Asa 600,000,000 0.24 7 103.82 )30926822189 Belgium BELFIUS BANK SAINV 0.626 10/14/2021 AAA Aaa 1,250,000,000 0.44 6 100.97 8E0002477520 Portugal CAIXA GERAL DE DEPOSITOS 3.76 1/18/2018 NN/A N/A A3 750,000,000 0.17 31 107.63 PTCGHUOE0015 Deutsche Asset & Wealth Manacerner, CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0075531 CONFIDENTIAL SDNY_GM_00221715 EFTA01378362