Investor Presentaiton
Obligatory cover pool tests
Coverage Test
Verifies at the day of test whether the value of the assets in the cover pool allows for outstanding covered bonds claims.
Cover pool
Core assets +
Substitute
assets
+
Liquidity
buffer
+
Hedging
instruments
1
CB claims
Outstanding
covered
bonds
(principal)
+
Due and
unpaid
interest
from CB
+
Cost of
liquidating
asset pool
in case of
insolvency
Test calculated also under
stressed conditions:
+/- 20% FX rate or highest year
change in previous 12 M
Tests performed min. once a 6M
Liquidity Test
Verifies at the day of test whether the value of the assets in the cover pool allows for outstanding covered bonds claims even in extended maturity
in case of issuer insolvency. Separately for 6M and 12M horizon
Substitute
assets
Cover pool
Liquidity
buffer
Net cash
flows from
hedging
instruments
Interest
payable in
time horizon
in time
horizon
Additionally for 12 M horizon:
Interest under receivables in the cover pool for the next 12 months
CB claims
Principal
amount that
fall in time
horizon
Cost of
liquidating
asset pool in
case of
insolvency in
time horizon
> O
Test calculated also under stressed conditions:
+/- 20% FX rate or highest year change in previous 12 M
•
Obligations towards holders (principal + interest) that became due but were not
paid before the date of hypothetical insolvency
•
+/- 400bps shift of interest rate curves
Tests performed min. once a 3M
Covered Bonds Investor Presentation
52
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