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ePaper created 2013-04-15, 17:20:51 | version 1.25.7
notes 75 Public Pfandbriefe outstanding and corresponding cover ASSETS Discounts based on the vdp credit quality differentiation model were taken into consideration in calculating the cover pool as of 31.12.2012. Nominal value 31 Dec. 12 € 000 31 Dec. 11 € 000 Public Pfandbriefe 7,526,058 8,039,410 Cover pools 7,896,424 9,480,781 of which further cover assets 344,580 475,000 Surplus cover 370,366 1,441,371 Net present value 31 Dec. 12 € 000 31 Dec. 11 € 000 Public Pfandbriefe 8,688,477 9,018,928 Cover pools 9,536,496 10,981,128 of which further cover assets 381,128 475,806 derivatives 36,697 28,617 Surplus cover 848,019 1,962,200 Risk-adjusted net present value *) 31 Dec. 12 € 000 31 Dec. 11 € 000 Public Pfandbriefe 8,235,799 8,591,892 Cover pools 8,991,609 10,461,520 Value of surplus cover after stress test 755,810 1,869,628 *) Stress test applying the dynamic approach in accordance with Art. 4 and Art. 5 Pfandbrief-Net Present Value Directive (PfandBarwertV) Maturity analysis by residual term 31 Dec. 12 € 000 ≤ one year > one year ≤ two years > two years ≤ three years > three years ≤ four years > four years ≤ five years > five years ≤ ten years > ten years Public Pfandbriefe 2,006,613 860,768 368,051 232,032 1,114,781 1,025,577 1,918,236 Cover pools 881,687 807,719 713,864 659,602 569,703 1,414,708 2,849,141 Maturity analysis by residual term 31 Dec. 11 € 000 ≤ one year > one year ≤ two years > two years ≤ three years > three years ≤ four years > four years ≤ five years > five years ≤ ten years > ten years Public Pfandbriefe 2,001,573 1,999,678 340,963 356,662 127,235 1,220,315 1,992,984 Cover pools 1,366,837 985,559 1,101,922 810,658 765,330 1,759,935 2,690,540