Eurohypo Group

1
Eurohypo Group

• Investor Conference Covered Bond Recovery

Basel ??? 27 August 2009
2
Agenda
Teil 1 Franz-Josef Kaufmann Head of Capital
Markets Funding Commerzbank Group Teil
2 Reinolf Dibus Member of the Board of Managing
Directors Eurohypo Europäische Hypothekenbank
S.A.
3
Eurohypo at a glance

• Eurohypo is one of Germanys oldest banks.
  Eurohypos history goes back to the foundation of
  the Frankfurter Hypothekenbank in 1862
• Eurohypo is part of Commerzbank Group - Germanys
  second largest banking group specialist for
  Public Finance and Commercial Real Estate
• Premier issuer in the Jumbo covered bond market
  with a market share of 7
• Largest issuer in the German Jumbo Pfandbrief
  market with a market share of more than 22
• Eurohypo issued Euro 18 billion Hypotheken
  Pfandbriefe since summer 2007
• Top Ratings from all major agencies for
  Eurohypos covered bond products

4
Table of contents (Part 1)

• Update 1H2009
• Successful funding effort throughout the crisis
• Pfandbriefe collateral pools (Eurohypo AG)

5
01
Update 1H2009
6
H12009 highlights

• Operating income of Euro -59 m includes valuation
  adjustments of Euro 94 m on the US RMBS
  Portfolio. US sub-prime portfolio now adjusted by
  around 90 .
• Net interest income stable, despite difficult
  market environment
• Anticipated level of 461 m loan loss provisions
  caused by real estate market crisis
• Administrative expenses decreased further 3 to
  Euro 229 m even after integration of Essen Hyp

Operating results
Seasoned portfolios

• Commercial real estate assets decreased from 78.9
  bn (YE2008) to Euro 77.4 bn after prolongations
  of Euro 3.8 bn and new business of Euro 0.7 bn
• Conservative downsizing of public finance assets
  from Euro 154.3 bn to Euro 136.6 bn

Funding capabilities

• Access to long-term funding, total issuance of
  Euro 10.3 bn, thereof Euro 7.2 bn Mortgage
  Pfandbriefe
• Issuance of three Jumbo Benchmark Pfandbriefe
  with a total volume of Euro 4.5 bn

Including Euro 1.5 bn 10 year Jumbo Mortgage
Pfandbrief issued on 25 June 2009 with value day
2 July 2009
7
Commercial Real EstateKey elements of the
realignment

• Focus on ten core markets
• Germany, France, Italy, Poland, Portugal,
  Spain, UK, USA, Russia and Turkey

Markets

• Focus on professional real estate investors and
  developers
• Customer exposure Euro 15 m

Clients
New business

• Increasing/confirming minimum ticket thresholds,
• Minimum individual domestic tickets gt Euro 10 m
• Minimum individual international tickets gt Euro
  20 m
• Restriction of concentration risk through upper
  threshold for final hold

Asset classes

• Concentration on five asset classes
• Offices, German residential real estate, trade
  and shopping centres, logistics and hotels

Products

• Concentration on profitable CRE finance
• Single asset and portfolio financing,
  Development financing and financing-related
  derivatives

Targets

• Downsizing of CRE portfolio to Euro 67 bn by end
  2011
• Cost-cutting of Euro 110 m p.a. and
• Headcount reduction of gt 30 until end 2011

No new business until further notice
8
Commercial Real Estate Portfolio analysis by
region as of 30 June 2009
Exposure at default (EAD) Euro 77.4 bn

• Germany
  Downswing of the office markets retail and
  residential markets yet robust
• UK
  Sharp corrections in each market
  segment hopeful signs from the investment market
• USA
  Deteriorating labour market burdens the real
  estate sector
• Spain
  Economic slump with negative impacts on the
  real estate markets
• France
  Downturn of the letting markets
  holds on
• Poland
  Negative adjustments in the real
  estate sector despite moderate contraction of the
  economy

9
Commercial Real Estate Portfolio analysis by
asset type as of 30 June 2009
Exposure at default (EAD) Euro 77.4 bn

• Offices
  World-wide downswing of office letting
  markets continues
• Retail
  The retail markets are affected
  negatively from the global economic downswing
• Residential
  German residential market remains robust
  downswing in UK and USA seems to ease
• Hotel
  Hotel performances worsening the
  luxury segment is affected most
• Warehousing
  Weakening demand, but rents held up almost firm

10
Public FinanceAsset reduction by 12
Outstanding business In Euro bn
Total by internal ratings Euro 136.6 bn

Hypothekenbank in Essens PF assets of Euro 66.4
bn transferred in August 2008
AAA 1.0 to 1.2 AA 1.4 to 1.6 A 1.8 to 2.0
BBB 2.2 to 2.8 BB 3.0 to 3.6 B
3.8 to 5.0 CCC 5.2 to 5.8
11
Successful funding effort throughout the crisis
02
12
1H2009 Eurohypo took advantage of positive
market environment to cover large parts of
funding plan
Funding plan Commerzbank Group and Eurohypo
thereof
Commerzbank Group approx. Euro 20 bn
Eurohypo AG
Commerzbank Group 2009 funding plan for senior
unsecured over 100 completed Euro 2.5 bn
already transferred to Eurohypo
Approx. Euro 10.5 bn
Senior unsecured
Approx. Euro 6 bn
Status 100 completed
Eurohypo issued Euro 7.2 bn Mortgage
Pfandbriefe in 1H2009
Approx. Euro 6 bn
Approx. Euro 6 bn
Mortgage Pfandbriefe
Issuance on an opportunistic basis due to asset
reduction Euro 500 m issued in 1H2009
Up to Euro 3 bn
Up to Euro 3 bn
Public Sector Pfandbriefe
Products
Demand
Demand
Including Euro 1.5 bn 10 year Jumbo Mortgage
Pfandbrief issued on 25 June 2009 with value date
2 July 2009 as end of June 2009
13
Eurohypo successfully issued Euro 4.5 bn via
Jumbos
Jumbo issuance
March 2009 Euro 1.25 bn 3.75 Jumbo Mortgage
Pfandbriefe
June 2009 Euro 1.50 bn 4.375 Jumbo Mortgage
Pfandbriefe
May 2009 Euro 1.75 bn 3.75 Jumbo Mortgage
Pfandbriefe
Trend

Eurohypo issued 3 Jumbo Mortgage Pfandbriefe
within 3 months
14
1H2009 Eurohypo issued Euro 7.2 bn Mortgage
Pfandbriefe
Maturity profile
Pfandbrief mix
Maturities 5 years and longer
Maturities lt 5 years
Euro 6.8 bn
Euro 0.3 bn
Euro bn
Euro 7.2 bn

Including Euro 1.5 bn 10 year Jumbo Mortgage
Pfandbrief issued on 25 June 2009 with value date
2 July 2009

• Funding plan for Mortgage Pfandbriefe done
• Clear priority for longer maturities

15
Pfandbrief Eurohypo has raised over 17 bn in
Mortgage Pfandbriefe since the crisis started
Private placements / benchmarks

• Eurohypo has placed more than Euro 17 bn in
  Mortgage Pfandbriefe since 4Q2007 into the market
• Private placements (gt Euro 8.5 bn) a stable
  market for domestic and registered Pfandbriefe
• Eurohypo issued over Euro 7 bn in Mortgage
  Pfandbriefe in 1H2009

in Euro bn
Lehman default
By maturity

• Eurohypo has issued 6 longer-dated Jumbo Mortgage
  Pfandbriefe
• Total volume Euro 9 bn
• Maturities 5 to 10 years
• Over 80 with maturities of 5 years and longer

in Euro bn
Maturities lt 5 years
Maturities 5 years and longer
6.0
Euro 3.2 bn
Euro 14 bn
5.0
4.0
3.0
2.0
1.0
0.0
Including Euro 1.5 bn 10 year Jumbo Mortgage
Pfandbrief issued on 25 June 2009 with value date
2 July 2009
1 Y
2 Y
3 Y
4 Y
5 Y
6 Y
7 Y
8 Y
9 Y
10Y
gt 10 Y
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Pfandbrief Eurohypo has increased issuance and
outstandings
Mortgage Pfandbrief new issuance

• Pfandbrief provides stable access to long-term
  funding
• Increased issuance of Mortgage Pfandbriefe also
  in times of crises
• Strategic benchmark transactions
• Stable private placements into domestic and
  registered markets
• Funding optimization focus on covered bond
  funding after spread widening between secured and
  unsecured funding
• Pfandbrief continues to be a hiqh quality product
  backed by a broad investor base
• Average funding costs of mortgage Pfandbriefe
  issued by Eurohypo in 1H2009 were below 90 bps

In Euro bn
2H 2009
Outstanding Mortgage Pfandbriefe
In Euro bn
50

47.3
47.2
45.7
45
43.4
38.9
40
35
Dec 2005
Dec 2006
Dec 2007
Dec 2008
Jun 2009
Not including Euro 1.5 bn 10 year Jumbo Mortgage
Pfandbrief issued on 25 June 2009 with value date
2 July 2009 Including Essen Hyp
17
Sound funding mixas of 30 June 2009
Funding strategy
Funding structure Euro bn

• Covered bonds
• Euro benchmark issuance
• Utilisation of domestic market
• Registered Pfandbriefe
• Private placements
• Lettres de Gage primarily in Non-Euro currencies
  (CHF, USD, GBP)

Euro 239.9 bn

• Unsecured
• Careful re-entrance of unsecured market

Not including Euro 1.5 bn 10 year Jumbo Mortgage
Pfandbrief issued on 25 June 2009 with value date
2 July 2009 Including money market
transactions, fixed-term deposits and call money
Further diversification of investor base
Over 50 funded via covered bonds
18
Well diversified covered bond profile as of 30
June 2009
Product mix Euro 137.2 bn
Eurohypos benchmark curve Euro bn
Pfandbrief mix Euro 122.4 bn
Not including Euro 1.5 bn 10 year Jumbo Mortgage
Pfand- briefe issued on 25 June 2009 with value
day 2 July 2009
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03
Pfandbriefe collateral pools (Eurohypo AG)
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Real estate collateral pool of Eurohypo AGas of
30 June 2009
Total Euro 51.7 bn
International real estate loans by country Euro
13.4 bn
Hungary (2.7), Finland (2.6), Czech Republic
(2.0), Belgium (0.8), Romania (0.7). Slovakia
(0.6), Ireland (0.5), Lithuania (0.3), Iceland
(0.2) and Denmark (0.2)
Excluding substitute collateral
21
Real estate collateral pool of Eurohypo AGas of
30 June 2009
Total Euro 51.7 bn
Total by property type Euro 51.7 bn
Excluding substitute collateral
Excluding substitute collateral
22
Public sector collateral pool of Eurohypo AGas
of 30 June 2009
Total by type of borrowers Euro 70.4 bn
International public sector assets by
country Euro 18.5 bn
Including countries with less than 2.6
23
Public sector collateral pool of Eurohypo AGas
of 30 June 2009
Total by internal ratings Euro 70.4 bn

• AAA 1.0 to 1.2
• AA 1.4 to 1.6
• A 1.8 to 2.0
• BBB 2.2 to 2.8
• NIG/NIR
• BB 3.0 to 3.6
• B 3.8 to 5.0
• CCC 5.2 to 5.8
• NIG Non-investment grade
• NIR Not internal rated

24
Agenda
Teil 1 Franz-Josef Kaufmann Head of Capital
Markets Funding Commerzbank Group Teil
2 Reinolf Dibus Member of the Board of Managing
Directors Eurohypo Europäische Hypothekenbank
S.A.
25
Covered Bond Konferenz in Basel 27. August 2009

• Covered Bond RecoveryEurohypo Luxemburg

Reinolf Dibus Präsentation der Eurohypo S.A.
Luxemburg
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Inhaltsverzeichnis (Teil 2)

• Short Profile und strategische Bedeutung im
  Konzern
• Facts and Figures
• Steuern durch die Krise
• Ausblick

27
Short Profile und strategische Bedeutung

• Spezialbankprinzip Beschränkung auf risikoarmes
  Kommunal-Kreditgeschäft
• 100 Tochter der Eurohypo AG, Teil des
  Commerzbank Konzerns
• Komplementäres Geschäftsmodell für Public Finance
  zur Eurohypo AG- deckungsfähige
  Kommunaldarlehen Definition nach Luxemburger
  Gesetz - erweiterter geografischer Rahmen
  (OECD)
• Komplementäres Funding- Lettres de Gage
  Emissionen mit starker Gewichtung der
  Fremdwährungen- EZB- und Repogeschäft zur
  kurzfristigen Liquiditätssicherung-
  konzerninternes unsecured Funding

28
Facts and Figures Bilanzkennzahlen Lux Gaap
Stabile Erträge auch in der Krise Keine
Impairments durch Kreditausfälle Solide
Refinanzierung
29
Refinanzierungsübersicht absolute Beträge mio
EUR und prozentual

• Fokus auf der besicherten Refinanzierung -
  Lettres de Gage - Repo- EZB
• Aus Kostengründen werden fällige Lettre de Gage
  nicht ersetzt gt stabiler Zinsertrag
• Strategischer Assetabbau auf Druck der EU
  Komission lässt kaum Kreditneu-geschäft zu

30
Kreditportfolio Eurohypo S.A. per 30.06.2009
Aufstellung nach Ländern in mio EUR und Anzahl
der Debitoren
Mio EUR
Anzahl Debitoren
31
Lettres de Gage Publiques Deckungsstock Eurohypo
S.A.per 30.06.2009
Nach internen Ratings EUR 16.7 mrd
Nach Land EUR 16.7 mrd
Nach Swap Betrachtung
32
Lettres de Gage Publiques Deckungsstock Eurohypo
S.A.per 30. Juni 2009
Deckungsstock nach Währung EUR 16.7 mrd
Lettres de Gage Publiques nach Währung EUR 14.8
mrd
Nominalbetrag nach Swap Zero bonds mit Zeitwert
33
Entwicklung Deckungsstock nach internem Rating
und Überdeckung
O/C

• Breit diversifizierter Deckungsstock nach Ländern
  und Emittenten
• Kreditengagements im investmentgrade Bereich
• Überdeckung über das gesetzliche Mass hinaus

Mio EUR
34
Ratingsper 30.06.2009
The McGrawHill Companies
FitchRatings
35

Covered Bond Markt Luxemburg
Mio EUR
34.358
4.00012
3.512 10
5.11715,
5.90317
15.826 46

• Gesundes Wachstum seit seiner Einführung mit
  neuen Emittenten und neuen Emissionswährungen
• Eurohypo S.A. führender Emittent von Lettres de
  Gage
• Gesetz wurde weiter modernisiert und aktualisiert

Darstellung Pre-Swap Betrachtung
Zeros zum Endwert keine
Beachtung von Kündigungsrechten
Source Company Data
36
Novellierung des Luxemburger Pfandbriefgesetzes
vom 21.10.2008

• Möglichkeit neuer Mobiliarpfandbriefe für
  Sachwerte, die in einem öffentlichen Register in
  der OECD geführt werden
• Beleihungswert für private Immobilienfinanzierung
  auf 80 angehoben
• Emissionsgrenze des 60-fachen Eigenkapitals
  aufgehoben
• Einführung einer gesetzlichen Überdeckung von 2
  der umlaufenden Pfandbriefe auf nominaler und
  barwertiger Basis
• ABS können nach dem dem Lux. Gesetz deckungsfähig
  sein, wenn sie ein Mindestrating von AA-/Aa3
  aufweisen und wenn- 90 der verbrieften Aktiva
  selbst deckungsfähig sind, dann unbegrenzt -
  mindestens 50 der verbrieften Aktiva selbst
  deckungsfähig sind, dann ist ihr Anteil auf
  20 des Deckungsstocks begrenzt
  Begrenzung des Anteils von nicht deckungsfähigen
  Aktiva im Deckungsstock auf 10 der
  Deckungsmasse

37
Disclaimer
The information contained herein was prepared by
Eurohypo which does not undertake to influence
your opinion on the information contained herein.
It is furnished for your information only. It is
not an offer to buy, sell or hold any securities.
Though the figures are generated carefully, no
representation or warranty, expressed or implied,
is made as to and no reliance should be placed on
the accuracy, completeness or correctness of any
information contained herein. Eurohypo shall not
have any liability whatsoever for any loss
howsoever arising from, related to or in
connection with any use of any of the information
contained herein. The investments discussed or
recommended in any of these presentations may not
be suitable for all investors. Investors must
make their own investment decisions based on
their specific investment objectives and
financial position and using such independent
advisers as they believe necessary. Be aware of
the date of presentation and possible amendment
thereafter. The information might not be amended
or updated. Third persons may receive other or
updated information, before it is made available
to the use of this service. This presentation
may be restricted by law in certain
jurisdictions. Persons into whose possession this
presentation comes are required to inform
themselves about and observe any such
restrictions. The information contained herein
may not be used by any person in any such
jurisdiction in which it is restricted by law.
These materials are not an offer for sale of
securities in the United States. The securities
have not been registered under the U.S.
Securities Act of 1933, as amended (the
"Securities Act") and may not be sold in the
United States absent registration or an exemption
from registration under the Securities Act.
38
Contacts
EUROHYPO AG Helfmann-Park 5 D - 65760
Eschborn Germany
Franz-Josef Kaufmann Tel.
49 69 136 81109 Head of Capital Markets
Funding Commerzbank Group franz-josef.kaufman
n_at_commerzbank.com Rainer Mastenbroek
Tel. [phone] Head of
Covered Bond Funding Commerzbank Group
rainer.mastenbroek_at_commerzbank.comLibor Vincent

Tel. [phone] Head of Capital
Market Communication
libor.vincent_at_eurohypo.com
EUROHYPO Europäische Hypothekenbank S.A. Airport
Center, 5, Rue Heienhaff L - 1736
Senningerberg Luxembourg
Reinolf Dibus Tel. [phone] -
204 Member of the Board of Managing Directors
reinolf.dibus_at_eurohypo.com Peter H. Meyer
Tel. 352 263
455 - 300 Head of ALM and Portfoliomanagement
peter-h.meyer_at_eurohypo.com
Ralf Heilmann
Tel. [phone] - 311 Head of
Funding
ralf.heilmann_at_eurohypo.com