Landesbank Baden-Wuerttemberg Mortgage Covered Bonds Germany; OC 27.8% NPV
Prog Landesbank Baden-Wuerttemberg - Mortgage Covered Bonds Covered Bonds / Germany Contacts 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 Reporting as of: 31/03/2026 All amounts in EUR (unless otherwise specified) For information on how to read this report, see the latest Moody’s Covered Bonds Sector Update Data as provided to Moody’s Investors Service (note 1) I. Programme Overview Overview Total outstanding liabilities: Total assets in the Cover Pool: Issuer name / CR Assessment: Group or parent name / CR Assessment: Ratings Covered bonds rating: Aaa Entity used in Moody’s EL & TPI analysis: CB anchor: CR Assessment: Adjusted BCA / SUR: a3 / Aa2 Unsecured claim used for Moody’s EL analysis: Yes II. Value of the Cover Pool Collateral Score: 12.3% Collateral Score excl. systemic risk: n/a Collateral Risk (Collateral Score post-haircut): 8.2% 44% Market Risk: 10.4% 56% 18.7% 100% III. Over-Collateralisation Levels (notes 2 & 3) Over-Collateralisation (OC) figures presented below include Eligible only collateral. Over-Collateralisation levels are provided on any of the following: nominal basis or unstressed NPV basis or on stressed NPV basis. NPV stress assumptions applied as required by the legal framework for German Pfandbriefe. Current situation Committed OC (Stressed NPV): 2.0% Current OC (Unstressed NPV): 27.8% Scenario 1: CB anchor is lowered by 1 notch 0.0% OC consistent with current rating (note 4) 0.0% IV. Timely Payment Indicator & TPI Leeway Legal framework Timely Payment Indicator (TPI): High Does a specific covered bond law apply for this programme: Yes, Pfandbrief Act TPI Leeway: 6 Main country in which collateral is based / issuer is based: Germany / Germany Programme setup / structure: Bank issuer holding cover pool Extract from TPI table CB Anchor High Timely principal payments Aaa Aaa Maturity type: Soft Bullet Aa1 Aaa Aa2 Aaa n/a Aa3 Aaa A1 Aaa Yes A2 Aaa Maximum length of maturity extension:
6 months but ≤ 12 month A3 Aaa Trigger for maturity extension (‘Y’ means applicable, ‘N’ means not applicable): Baa1 Aaa (N) Issuer insolvency-type event(s) (Y) Cover pool insolvency-type event(s) Baa2 Aa1 (N) Issuer resolution / early intervention measure(s) (N) Other(s) (N) Breach of liquidity requirements (actual/potential) Final decision on trigger: Administrator Landesbank Baden-Wuerttemberg - Mortgage Covered Bonds Page 1 Patrick Widmayer - +49 (697) 073-0715 - Patrick.Widmayer@moodys.com Anika Johar - +91 (926) 670-0152 - Anika.Johar@moodys.com Click here to access the covered bond programme webpage on moodys.com EUR 25,570,849,490 EUR 32,793,340,678 Landesbank Baden-Wuerttemberg / Aa2(cr) n/a Landesbank Baden-Wuerttemberg Aa1 Aa2(cr) Collateral quality Cover Pool losses Sensitivity scenario CB anchor OC consistent with current rating Besides 2% committed OC on NPV basis, in accordance with German Pfandbrief Act, the issuer is also required to hold additional 2% OC calculated on nominal basis. Committed liquidity reserve for principal amount of all hard bullet bonds to be funded at least 180 days before maturity: Committed liquidity reserve for principal amount of all soft bullet bonds to be funded at least 180 days before initial maturity: (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. Credit ratings, TPI and TPI Leeway shown in this PO are as of publication date. (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) or Baa1(cr), as the necessary OC following a 1 notch downgrade may then be substantially higher than the amount suggested here as market risks are considered more critically by Moody’s at this time. In any event, the necessary OC amounts stated here are subject to change at anytime at Moody’s discre (note 3) This is the minimum OC calculated to be consistent with the current rating under Moody’s expected loss model. However, the level of OC consistent with a given rating level may differ from this amount where ratings are capped under the TPI framework and, for example, where 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 required may also differ from the model output in situations when committee discretion is applied. In any event, the OC amounts stated here are subject to change at any time at Moody’s discretion. 30 July 2026 Commercial assets, 56.2% Multi-Family assets, 27.0% Residential assets, 12.9% Other / Supplementary assets, 3.8% Chart 2 : Asset types in cover pool INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 Aaa (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) Chart 1: Rating history Covered Bond Sovereign Adjusted BCA CR Assessment (RHS) CB Anchor
V. Asset Liability Profile Interest Rate & Duration Mismatch (note 5) Swap Arrangements Fixed rate assets in the cover pool: 73.1% Interest rate swap(s) in the Cover Pool: No Fixed rate covered bonds outstanding: 92.8% Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 3.5 years Currency swap(s) in the Cover Pool: No floating / fixed rate 2.9 y / 3.6 y Intra-group currency swap(s) provider(s): No WAL of the cover pool: 5.7 years floating / fixed rate / time to reset 2.3 y / 7.0 y / 5.1 y (note 6) Maximum mismatch: 16.2% in EUR millions Amortisation profile (in millions) (note 7) VI. Performance Evolution This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the issuer/deal page on https://ratings.moodys.com for the most updated credit rating action information and rating history. Landesbank Baden-Wuerttemberg - Mortgage Covered Bonds Page 2 (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 swap in place in Cover Pool, no prepayment and no further CB issuance. 30 July 2026 0 5,000 10,000 15,000 20,000 25,000 30,000 35,000 0 1 2 3 4 5 6 7 8 9 Years Chart 5 : Assets Liabilities 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 0 1 2 3 4 5 6 7 8 9 Mismatch in % of the total liabilities Period in years Chart 3 : Stressed refinancing needs per quarter (% of liabilities) 24,810 544 218 30,647 805 8 0 5,000 10,000 15,000 20,000 25,000 30,000 35,000 EUR USD CHF Chart 4: Currency mix before swaps (Main Currencies) Cover pool Covered Bonds COVERED BONDS 17.7% 17.9% 17.5% 18.0% 18.7% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Chart 7 : Cover Pool Losses Collateral Risk Market Risk Cover Pool Losses 10.6% 10.6% 11.1% 11.4% 12.3% 0% 2% 4% 6% 8% 10% 12% 14% Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Chart 6 : Collateral Score 0.0% 0.0% 0.0% 0.0% 0.0% 70.7% 57.5% 18.8% 16.4% 27.8% 70.7% 57.5% 18.8% 16.4… 27.8% 0% 10% 20% 30% 40% 50% 60% 70% 80% Q1 2025 Aaa Aa1 Q2 2025 Aaa Aa1 Q3 2025 Aaa Aa1 Q4 2025 Aaa Aa1 Q1 2026 Aaa Aa1 Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC Current OC Covered Bond Rating CB Anchor
VII. Cover Pool Information - Residential Assets Overview Specific Loan and Borrower characteristics Asset type: Residential Loans with an external guarantee in addition to a mortgage: n/a Asset balance: Interest only Loans 12.0% Average loan balance: 152,324
Loans for second homes / Vacation: 0.0% Number of loans: 27,767
Buy to let loans / Non owner occupied properties: 24.8% Number of borrowers: 23,375
Limited income verified: 0.0% Number of properties: 25,311
Adverse credit characteristics (**) 0.0% WA remaining term (in months): 98
WA seasoning (in months): 79
Performance Loans in arrears ( ≥ 2months - < 6month 0.0% Details on LTV Loans in arrears ( ≥ 6months - < 12mont 0.0% WA unindexed LTV () 68.2% Loans in arrears ( ≥ 12months): 0.0% WA Indexed LTV: n/d Loans in a foreclosure procedure: 0.0% Valuation type: Lending Value LTV threshold: 60.0% Junior ranks: n/d Loans with Prior Ranks: n/d Multi-Family Properties Loans to tenants of tenant-owned Housing Cooperatives: n/a Other type of Multi-Family loans (**) n/a Landesbank Baden-Wuerttemberg - Mortgage Covered Bonds Page 3 4,229,588,608
30 July 2026 (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). 2.7% 6.2% 7.5% 29.9% 53.8% 0% 10% 20% 30% 40% 50% 60% Chart F: Seasoning (in months) 66.4% 9.9% 6.5% 4.1% 3.6% 2.4% 2.0% 1.4% 1.0% 0.8% 0.7% 0.4% 0.4% 0.2% 0.2% 0.0% 0% 10% 20% 30% 40% 50% 60% 70% Chart E: Main country regional distribution 3.3% 8.2% 19.5% 69.1% 0% 20% 40% 60% 80% Chart D: Interest rate type Residential Assets 12.9% Chart B: Percentage of residential assets 0% 20% 40% 60% 80% 100% 120% Chart A: Balance per LTV-band Information not disclosed by Issuer 66.6% 66.9% 67.1% 67.4% 67.5% 67.5% 67.7% 68.2% 0% 20% 40% 60% 80% 0% 20% 40% 60% 80% Chart C: LTV Unindexed WA LTV COVERED BONDS COVERED BONDS 0% 20% 40% 60% 80% 100% A B C D E F G No data Chart G: Energy Performance Certificate Information not disclosed by Issuer
VIII. Cover Pool Information - Commercial Assets Overview Details on Loan Underwriting Asset type: Commercial WA DSCR: n/d Asset balance: 27,301,906,525
WA loan seasoning (in months): 49
Average loan balance: 6,781,436
WA remaining term (in months): 41
Number of loans: 4,025
Number of borrowers: 2,739
Details on LTV Largest 10 borrowers: 7.2% WA LTV(*): 76.8% Number of properties: 8,011