---
title: "Landesbank Baden-Wuerttemberg Mortgage Covered Bonds Germany; OC 27.8% NPV"
sdDatePublished: "2026-08-13T04:10:00Z"
source: "https://www.lbbw.de/konzern/investor-relations/moodys/2026/landesbank-baden-wuerttemberg-mortgage-covered-bonds-31-03-2026-pub_am99x4gkuz_m.pdf"
topics:
  - name: "financial service"
    identifier: "medtop:20001370"
locations:
  - "France"
  - "Netherlands"
  - "Germany"
---


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