Transaction Update: NIBC Bank N.V. Covered Bond Program

Potential maturity mismatches between the assets and liabilities are structurally mitigated, allowing us to delink the covered bond ratings from the long-term issuer credit rating (ICR). The contractual credit enhancement exceeds the credit enhancement required under our covered bonds criteria at a 'AAA' rating level. The foundation account structure effectively mitigates commingling risk. The structure does not benefit from an interest rate hedging. Cash belonging to the special-purpose entity (SPE) could be lost if NIBC were to become insolvent due to the frequency in which the asset cover test is performed. We are publishing this transaction update following our periodic review of NIBC Bank N.V.'s (NIBC) conditional pass-through mortgage covered bond program and related issuances. Our covered bond ratings process

...+ Potential maturity mismatches between the assets and liabilities are structurally mitigated, allowing us to delink the covered bond ratings from the long-term issuer credit rating (ICR). + The contractual credit enhancement exceeds the credit enhancement required under our covered bonds criteria at a '###' rating level. + The foundation account structure effectively mitigates commingling risk....

Transaction Update Report