coöperatieve rabobank u.a. monthly investor report dutch ......jorgen de vries / sjaak-jan baars...

Jorgen de Vries / Sjaak-Jan Baars

[email protected] / [email protected]

Coöperatieve Rabobank U.A.

Monthly Investor Report

Dutch National Transparency TemplateCovered Bond

Reporting Period: 1 August 2017 - 31 August 2017

Reporting Date: 25 September 2017

AMOUNTS ARE IN EURO

https://www.rabobank.com/nl/investors/funding/covered-bonds/index.html Report Version 2.1 - February 2016

Table of Contents

Page

Covered Bonds 3

Asset Cover Test 4

Counterparty Credit Ratings & Triggers 5

Ledgers & Investments 6

Regulatory Information 7

Delinquencies 8

Stratifications 9

Glossary 26

Contact Information 27

2 of 29


Investor Report: 1 August 2017 - 31 August 2017

Covered Bonds

Series ISIN Currency Initial Principal Balance*

Outstanding Amount* Coupon Issuance

DateMaturity

Date IRS Counterparty Redemption Type

LCR HQLA Category

CB01 XS1622193248 EUR 1,500,000,000 1,500,000,000 0.2500% 31/05/17 31/05/24 Bullet 1

CB02 XS1622193321 EUR 1,000,000,000 1,000,000,000 1.2500% 31/05/17 31/05/32 Bullet 1

* Amounts to be reported in the relevant currency, and also the euro-equivalent amounts

The issuer believes that, at the time of issuance and based on transparency data made publicly available by the issuer, the above listed bonds meet the eligibility criteria for classification as a Level 1 or Level 2A asset (as specified in the column LCR HQLA Category) in accordance with Chapter 2 of the LCR delegated act. It should be noted that whether or not a bond is a liquid asset for the purposes of the Liquidity Coverage Ratio under Regulation (EU) 575/2013 is ultimately a matter to be determined by the relevant investor or institution and its relevant supervisory authority and the issuer does not accept any responsibility in this regard.

3 of 29



Asset Cover Test

Asset Cover Test

A 2,891,026,963.51

B 0.00

C 0.00

D 0.00

E 0.00

X 0.00

Y 0.00

Z 0.00

A+B+C+D+E-X-Y-Z 2,891,026,963.51

Outstanding bonds 2,500,000,000.00

Pass/Fail Pass

ACT Cover Ratio 115.64 %

Parameters

Asset percentage 100.00 %

Cap LTV Cut-Off indexed valuation % non-NHG 80.00 %

Cap LTV Cut-Off indexed valuation % NHG 80.00 %

% of Index Increases 90.00 %

% of Index Decreases 100.00 %

Reserve Fund 0.00

Supplemental Liquidity Reserve Amount 0.00

Deduction Set-Off 0.00

Ratings

S&P NR

Moody's Aaa

Fitch NR

Other

UCITS compliant True

CRR compliant True

ECBC Label compliant True

Overcollateralisation

Legally required minimum OC 5.00 %

Documented minimum OC 0.00 %

Available Nominal OC 20.54 %

4 of 29



Counterparty Credit Ratings & Triggers

S&P (ST/LT) Moody's (ST/LT) Fitch (ST/LT) DBRS (ST/LT)

Role Party Rating trigger

Current rating

Rating trigger

Current rating

Rating trigger

Current rating

Rating trigger

Current rating

Consequence if breached*

Account Bank Coöperatieve Rabobank U.A.

/ / P-1 / P-1 / / / / / Replacement of Account Bank or other remedy

Issuer Coöperatieve Rabobank U.A.

/ / P-1 / P-1 / / / / / Item "alpha" paragraph (g) of the Asset Cover Test is activated (deposit set-off

deduction)


/ / P-1 / P-1 / / / / / Item "X" of Asset Cover Test is activated (interest rate risk

deduction)


/ / / Baa1 / Aa2 / / / / Item "Y" of Asset Cover Test is activated (commingling risk

deduction)


/ / / Baa3 / Aa2 / / / / Notification Event


/ / / Baa1 / Aa2 / / / / Originators to pledge Residual Claims to the CBC or Residual

Claims deduction in Asset Cover Test


/ / P-1 / P-1 / / / / / Reserve Fund Required Amount to be at least Rating Trigger

Required Amount


/ / / A3 / Aa2 / / / / Unless rating is regained within 12 months, Originators to

pledge Residual Claims to the CBC or Residual Claims

deduction in Asset Cover Test

Issuer or Administrator Coöperatieve Rabobank U.A.

/ / / Baa3 / Aa2 / / / / Increase frequency of verification by Asset Monitor of

Asset Cover Test

* Event is triggered if credit rating is below the rating as mentioned in the table

5 of 29



Revenue Ledger 0.00

Principal Ledger 0.00

Reserve Fund Ledger 0.00

Total 0.00

Ledgers & Investments

Ledgers

Substitution Assets Balance 0.00

Authorised Investments Balance 0.00

Total 0.00

Investments

Outflows 3,263,468.00

Required Liquidity Buffer 3,263,468.00

Inflows 51,816,276.00

Cash

Bonds

Available Liquidity Buffer 51,816,276.00

Liquidity Buffer

6 of 29



Regulatory Information

CRR Article 129

Article 129 CRR "Exposures in the form of covered bonds"(7) Exposures in the form of covered bonds are eligible for preferential treatment, provided that the institution investing in the covered bonds can demonstrate to the competent authorities that:(a) it receives portfolio information at least on:

(i) the value of the covered pool and outstanding covered bonds;

value of the cover pool table Portfolio Characteristics

value of the outstanding covered bonds table Covered Bonds

(ii) the geographical distribution and type of cover assets, loan size, interest rate and currency risks;

geographical distribution of cover assets table 14 Geographical Distribution

type of cover assets table Portfolio Characteristics

loan size table 3 Outstanding Loan Amount

interest rate risk and currency risk table Covered Bonds for coupon and currency information of the covered bonds

table 10 Coupon for coupons of mortgages

table Counterparty Ratings & Triggers for IRS/TRS information

See base prospectus for information about hedging

Only EUR denominated mortgages: see BP

(iii) the maturity structure of cover assets and covered bonds; and

maturity structure of cover assets table 6 Legal Maturity

maturity structure of covered bonds table Covered Bonds

(iv) the percentage of loans more than ninety days past due;

table Delinquencies

(b) the issuer makes the information referred to in point (a) available to the institution at least semi annually.

table Portfolio Characteristics

Overcollateralisation

Legally required minimum OC table Asset Cover Test

Documented minimum OC table Asset Cover Test

Nominal OC table Asset Cover Test

7 of 29



From ( > ) Until ( <= ) Arrears Amount Aggregate Outstanding Not.

Amount

% of Total Nr of Mortgage Loanparts

% of Total Weighted Average Coupon

Weighted Average Maturity

Weighted Average CLTIMV

Performing 0.00 3,007,320,845.39 99.80 % 30,649 99.73 % 3.45 % 33.95 71.59 %

<= 30 days 24,378.85 5,703,814.13 0.19 % 77 0.25 % 3.69 % 35.19 73.83 %

30 days 60 days 2,520.30 333,810.61 0.01 % 5 0.02 % 4.00 % 34.33 55.41 %

60 days 90 days 1,826.30 109,978.05 0.00 % 1 0.00 % 4.50 % 24.92 61.58 %

90 days 120 days 0.00 0.00 0.00 % 0 0.00 % 0.00 % 0.00 0.00 %

120 days 150 days 0.00 0.00 0.00 % 0 0.00 % 0.00 % 0.00 0.00 %

150 days 180 days 0.00 0.00 0.00 % 0 0.00 % 0.00 % 0.00 0.00 %

180 days > 0.00 0.00 0.00 % 0 0.00 % 0.00 % 0.00 0.00 %

Total 28,725.45 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

Delinquencies

8 of 29



Stratifications

Portfolio Characteristics

Principal amount 3,154,287,374.72

Value of saving deposits 140,818,926.54

Net principal balance 3,013,468,448.18

Construction Deposits 2,327,419.97

Net principal balance excl. Construction and Saving Deposits 3,011,141,028.21

Number of loans 16,534

Number of loanparts 30,732

Average principal balance (borrower) 182,258.89

Average principal balance (loanpart) 98,056.37

Weighted average current interest rate 3.45 %

Weighted average maturity (in years) 33.95

Weighted average remaining time to interest reset (in years) 8.89

Weighted average seasoning (in years) 3.17

Weighted average CLTOMV 78.66 %

Weighted average CLTIMV 71.59 %

Maximum current interest rate 6.50 %

Minimum current interest rate 1.40 %

Type of cover assets: Dutch Residential Mortgages

Currency Portfolio: EUR

Frequency of publication National Transparancy Template: Monthly

9 of 29



2. Redemption Type

Description Aggregate Outstanding Amount % of Total Nr of Loanparts % of Total Weighted Average Coupon



Interest Only 730,020,382.05 24.23 % 8,847 28.79 % 3.20 % 35.31 64.75 %

Annuity 1,191,359,515.30 39.53 % 12,564 40.88 % 3.09 % 26.77 73.53 %

Lineair 246,850,979.67 8.19 % 2,922 9.51 % 2.83 % 26.30 64.65 %

Banksavings 845,237,571.16 28.05 % 6,399 20.82 % 4.36 % 45.14 76.79 %

Total 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

10 of 29



3. Outstanding Loan Amount

From (>) - Until (<=) Aggregate Outstanding Amount % of Total Nr of Loans % of Total Weighted Average Coupon



<= 25.000 8,058,302.05 0.27 % 430 2.60 % 2.68 % 22.05 8.62 %

25,000 - 50,000 33,061,129.21 1.10 % 861 5.21 % 2.84 % 23.31 17.72 %

50,000 - 75,000 43,512,872.37 1.44 % 694 4.20 % 2.96 % 24.66 30.43 %

75,000 - 100,000 114,739,240.96 3.81 % 1,280 7.74 % 3.22 % 27.83 50.53 %

100,000 - 150,000 501,341,089.95 16.64 % 3,917 23.69 % 3.40 % 31.98 67.47 %

150,000 - 200,000 669,397,427.62 22.21 % 3,839 23.22 % 3.47 % 34.28 74.53 %

200,000 - 250,000 574,867,389.42 19.08 % 2,569 15.54 % 3.50 % 35.85 77.25 %

250,000 - 300,000 334,217,155.47 11.09 % 1,226 7.42 % 3.62 % 36.74 75.82 %

300,000 - 350,000 202,157,282.68 6.71 % 625 3.78 % 3.54 % 35.12 74.21 %

350,000 - 400,000 137,430,896.78 4.56 % 368 2.23 % 3.51 % 35.03 73.82 %

400,000 - 450,000 86,332,498.84 2.86 % 204 1.23 % 3.51 % 34.64 74.04 %

450,000 - 500,000 73,076,773.95 2.43 % 154 0.93 % 3.41 % 33.43 74.76 %

500,000 - 550,000 57,253,953.12 1.90 % 109 0.66 % 3.42 % 34.30 75.68 %

550,000 - 600,000 41,997,565.65 1.39 % 73 0.44 % 3.25 % 33.60 72.91 %

600,000 - 650,000 28,111,652.36 0.93 % 45 0.27 % 3.46 % 33.07 74.72 %

650,000 - 700,000 26,978,600.33 0.90 % 40 0.24 % 3.35 % 34.39 75.74 %

700,000 - 750,000 19,433,761.24 0.64 % 27 0.16 % 3.27 % 32.36 69.83 %

750,000 - 800,000 20,200,979.98 0.67 % 26 0.16 % 2.94 % 31.15 75.64 %

800,000 - 850,000 11,516,040.63 0.38 % 14 0.08 % 3.17 % 32.67 69.88 %

850,000 - 900,000 18,472,229.88 0.61 % 21 0.13 % 3.47 % 33.74 71.84 %

900,000 - 950,000 6,474,615.04 0.21 % 7 0.04 % 3.70 % 35.79 80.51 %

950,000 - 1,000,000 4,836,990.65 0.16 % 5 0.03 % 3.23 % 35.76 84.18 %

> 1.000.000

Total 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

11 of 29



4. Origination Year

From (>=) - Until (<) Aggregate Outstanding Amount % of Total Nr of Loanparts % of Total Weighted Average Coupon



< 1995

1995 - 1996

1996 - 1997

1997 - 1998

1998 - 1999

1999 - 2000

2000 - 2001

2001 - 2002

2002 - 2003

2003 - 2004

2004 - 2005

2005 - 2006

2006 - 2007

2007 - 2008

2008 - 2009

2009 - 2010

2010 - 2011

2011 - 2012

2012 - 2013 834,902,001.09 27.71 % 7,105 23.12 % 4.29 % 42.17 76.07 %

2013 - 2014 411,603,618.31 13.66 % 4,153 13.51 % 3.89 % 33.93 70.60 %

2014 - 2015 475,874,308.91 15.79 % 5,151 16.76 % 3.35 % 29.50 69.24 %

2015 - 2016 716,451,863.76 23.77 % 7,683 25.00 % 2.91 % 30.09 70.29 %

2016 - 2017 510,538,166.93 16.94 % 5,646 18.37 % 2.69 % 30.61 71.50 %

>= 2017 64,098,489.18 2.13 % 994 3.23 % 2.58 % 29.99 52.17 %

Total 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

12 of 29



5. Seasoning




< 1 year 124,752,445.21 4.14 % 1,763 5.74 % 2.53 % 30.14 58.77 %

1 year - 2 years 712,631,982.49 23.65 % 7,742 25.19 % 2.77 % 30.52 71.92 %

2 years - 3 years 667,849,236.13 22.16 % 7,174 23.34 % 3.01 % 29.88 69.26 %

3 years - 4 years 380,690,731.82 12.63 % 4,055 13.19 % 3.58 % 29.42 69.64 %

4 years - 5 years 586,010,865.56 19.45 % 5,481 17.83 % 4.07 % 39.02 72.83 %

5 years - 6 years 541,533,186.97 17.97 % 4,517 14.70 % 4.34 % 42.08 77.00 %

6 years - 7 years

7 years - 8 years

8 years - 9 years

9 years - 10 years

>= 10 years

Total 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

13 of 29



6. Legal Maturity




< 2017

2017 - 2020 2,662,892.16 0.09 % 66 0.21 % 2.54 % 1.22 36.63 %

2020 - 2025 15,642,749.35 0.52 % 416 1.35 % 2.81 % 5.20 38.80 %

2025 - 2030 35,079,328.78 1.16 % 652 2.12 % 2.80 % 10.17 42.54 %

2030 - 2035 61,987,388.24 2.06 % 1,089 3.54 % 3.01 % 14.88 50.79 %

2035 - 2040 94,912,863.42 3.15 % 1,341 4.36 % 3.11 % 19.86 57.82 %

2040 - 2045 629,257,232.61 20.88 % 6,586 21.43 % 3.43 % 26.14 69.75 %

2045 - 2050 908,510,951.80 30.15 % 9,487 30.87 % 2.84 % 28.44 72.00 %

2050 - 2055 194,973,147.99 6.47 % 2,011 6.54 % 3.61 % 34.90 67.05 %

2055 - 2060 242,048,339.57 8.03 % 2,224 7.24 % 3.80 % 40.06 71.90 %

2060 - 2065 322,798,078.73 10.71 % 2,820 9.18 % 3.95 % 44.88 75.67 %

2065 - 2070 359,095,186.63 11.92 % 2,899 9.43 % 4.19 % 49.82 79.85 %

2070 - 2075 144,404,356.34 4.79 % 1,117 3.63 % 4.27 % 53.92 82.05 %

2075 - 2080 2,095,932.56 0.07 % 24 0.08 % 3.59 % 57.95 80.15 %

2080 - 2085

2085 - 2090

2090 - 2095

2095 - 2100

>= 2100

Total 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

14 of 29



7. Remaining Legal Tenor




< 1 year 1,064,064.84 0.04 % 24 0.08 % 2.44 % 0.52 41.11 %

1 year - 2 years 1,269,873.03 0.04 % 33 0.11 % 2.66 % 1.58 32.39 %

2 years - 3 years 1,389,153.07 0.05 % 39 0.13 % 2.69 % 2.46 38.60 %

3 years - 4 years 2,059,318.43 0.07 % 57 0.19 % 2.69 % 3.48 34.36 %

4 years - 5 years 3,438,393.23 0.11 % 86 0.28 % 3.13 % 4.50 41.37 %

5 years - 6 years 3,628,882.69 0.12 % 95 0.31 % 2.68 % 5.49 35.98 %

6 years - 7 years 4,089,557.24 0.14 % 105 0.34 % 2.75 % 6.42 42.38 %

7 years - 8 years 3,750,534.19 0.12 % 107 0.35 % 2.80 % 7.45 39.24 %

8 years - 9 years 5,153,349.72 0.17 % 111 0.36 % 2.59 % 8.41 39.62 %

9 years - 10 years 7,383,464.02 0.25 % 145 0.47 % 2.69 % 9.50 39.84 %

10 years - 11 years 8,218,028.26 0.27 % 134 0.44 % 2.81 % 10.46 41.87 %

11 years - 12 years 8,491,970.62 0.28 % 145 0.47 % 2.86 % 11.46 46.43 %

12 years - 13 years 9,888,622.72 0.33 % 188 0.61 % 2.89 % 12.46 43.52 %

13 years - 14 years 12,345,711.46 0.41 % 265 0.86 % 2.98 % 13.44 52.25 %

14 years - 15 years 12,857,824.93 0.43 % 217 0.71 % 3.04 % 14.45 48.68 %

15 years - 16 years 13,494,605.78 0.45 % 205 0.67 % 3.11 % 15.46 52.74 %

16 years - 17 years 12,482,023.68 0.41 % 201 0.65 % 3.04 % 16.49 52.31 %

17 years - 18 years 15,578,438.71 0.52 % 239 0.78 % 3.08 % 17.50 54.72 %

18 years - 19 years 18,716,424.79 0.62 % 276 0.90 % 2.99 % 18.51 55.19 %

19 years - 20 years 19,991,294.02 0.66 % 284 0.92 % 3.05 % 19.47 58.11 %

20 years - 21 years 20,051,161.97 0.67 % 274 0.89 % 3.26 % 20.48 59.32 %

21 years - 22 years 18,372,329.01 0.61 % 239 0.78 % 3.11 % 21.49 58.90 %

22 years - 23 years 19,535,938.22 0.65 % 283 0.92 % 3.24 % 22.44 59.20 %

23 years - 24 years 25,262,305.15 0.84 % 332 1.08 % 3.18 % 23.48 60.56 %

24 years - 25 years 38,604,982.22 1.28 % 512 1.67 % 3.21 % 24.51 64.30 %

25 years - 26 years 134,187,991.35 4.45 % 1,460 4.75 % 3.68 % 25.60 69.82 %

26 years - 27 years 268,453,151.47 8.91 % 2,600 8.46 % 3.51 % 26.49 71.15 %

27 years - 28 years 446,214,837.78 14.81 % 4,400 14.32 % 2.99 % 27.48 72.26 %

28 years - 29 years 470,039,305.52 15.60 % 4,699 15.29 % 2.73 % 28.42 75.19 %

29 years - 30 years 80,628,242.18 2.68 % 1,170 3.81 % 2.72 % 29.36 58.12 %

>= 30 years 1,326,826,667.88 44.03 % 11,807 38.42 % 3.95 % 44.24 74.91 %

Total 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

15 of 29



8. Current Loan To Original Market Value




<= 10 % 10,552,797.35 0.35 % 441 2.67 % 2.66 % 23.23 7.19 %

10 % - 20 % 40,174,933.48 1.33 % 839 5.07 % 2.68 % 24.11 14.07 %

20 % - 30 % 57,583,247.99 1.91 % 714 4.32 % 2.89 % 25.89 23.30 %

30 % - 40 % 89,374,871.21 2.97 % 764 4.62 % 3.02 % 27.68 32.29 %

40 % - 50 % 143,071,903.91 4.75 % 998 6.04 % 3.03 % 28.43 41.64 %

50 % - 60 % 211,593,913.86 7.02 % 1,168 7.06 % 3.19 % 31.71 50.60 %

60 % - 70 % 321,712,047.77 10.68 % 1,606 9.71 % 3.22 % 32.47 59.28 %

70 % - 80 % 333,876,277.15 11.08 % 1,640 9.92 % 3.60 % 34.60 68.86 %

80 % - 90 % 609,259,192.90 20.22 % 2,578 15.59 % 3.50 % 35.35 77.70 %

90 % - 100 % 1,081,228,061.04 35.88 % 5,283 31.95 % 3.62 % 35.47 87.15 %

100 % - 110 % 115,041,201.52 3.82 % 503 3.04 % 3.73 % 38.98 91.86 %

110 % - 120 %

120 % - 130 %

130 % - 140 %

140 % - 150 %

> 150%

Total 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

16 of 29



9. Current Loan To Indexed Market Value




<= 10 % 13,282,476.37 0.44 % 519 3.14 % 2.64 % 23.09 7.65 %

10 % - 20 % 46,876,850.68 1.56 % 910 5.50 % 2.73 % 24.22 15.30 %

20 % - 30 % 69,957,817.04 2.32 % 771 4.66 % 2.92 % 25.99 25.45 %

30 % - 40 % 119,826,281.47 3.98 % 919 5.56 % 3.01 % 28.28 35.39 %

40 % - 50 % 187,524,131.45 6.22 % 1,187 7.18 % 3.07 % 29.73 45.47 %

50 % - 60 % 311,209,727.69 10.33 % 1,621 9.80 % 3.14 % 31.74 55.45 %

60 % - 70 % 356,079,135.97 11.82 % 1,748 10.57 % 3.47 % 33.56 65.13 %

70 % - 80 % 619,556,943.65 20.56 % 2,700 16.33 % 3.53 % 34.64 75.37 %

80 % - 90 % 891,682,496.40 29.59 % 4,261 25.77 % 3.56 % 34.93 85.21 %

90 % - 100 % 378,512,365.90 12.56 % 1,806 10.92 % 3.76 % 38.98 93.27 %

100 % - 110 % 18,960,221.56 0.63 % 92 0.56 % 4.64 % 47.73 101.97 %

110 % - 120 %

120 % - 130 %

130 % - 140 %

140 % - 150 %

> 150%

Total 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

17 of 29



10. Loanpart Coupon (interest rate bucket)




< 0.5 %

0.5 % - 1.0 %

1.0 % - 1.5 % 25,358,879.36 0.84 % 292 0.95 % 1.40 % 31.04 52.27 %

1.5 % - 2.0 % 120,494,719.24 4.00 % 1,630 5.30 % 1.80 % 29.46 55.78 %

2.0 % - 2.5 % 447,483,614.79 14.85 % 5,213 16.96 % 2.22 % 29.12 63.68 %

2.5 % - 3.0 % 553,884,182.54 18.38 % 5,924 19.28 % 2.71 % 29.92 71.02 %

3.0 % - 3.5 % 484,530,638.27 16.08 % 4,931 16.05 % 3.18 % 31.59 72.31 %

3.5 % - 4.0 % 333,570,220.83 11.07 % 3,163 10.29 % 3.69 % 32.45 74.41 %

4.0 % - 4.5 % 435,510,830.52 14.45 % 4,119 13.40 % 4.24 % 39.12 76.68 %

4.5 % - 5.0 % 362,978,823.05 12.05 % 3,145 10.23 % 4.69 % 41.17 76.65 %

5.0 % - 5.5 % 187,926,436.27 6.24 % 1,763 5.74 % 5.17 % 41.00 75.25 %

5.5 % - 6.0 % 59,204,158.15 1.96 % 523 1.70 % 5.64 % 41.44 74.95 %

6.0 % - 6.5 % 2,514,164.68 0.08 % 27 0.09 % 6.04 % 42.52 77.13 %

6.5 % - 7.0 % 11,780.48 0.00 % 2 0.01 % 6.50 % 29.25 71.15 %

>= 7.0 %

Total 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

18 of 29



11. Remaining Interest Rate Fixed Period




< 1 year 151,769,840.85 5.04 % 1,818 5.92 % 2.70 % 33.59 64.56 %

1 year - 2 years 75,247,371.48 2.50 % 869 2.83 % 3.37 % 31.14 68.06 %

2 years - 3 years 78,375,798.85 2.60 % 935 3.04 % 3.19 % 32.21 65.53 %

3 years - 4 years 45,488,495.74 1.51 % 567 1.84 % 3.71 % 33.53 66.77 %

4 years - 5 years 294,485,832.89 9.77 % 2,524 8.21 % 4.48 % 41.95 78.75 %

5 years - 6 years 355,263,659.33 11.79 % 3,177 10.34 % 4.31 % 40.82 76.46 %

6 years - 7 years 184,102,496.49 6.11 % 1,867 6.08 % 3.95 % 29.64 71.80 %

7 years - 8 years 401,924,068.36 13.34 % 4,184 13.61 % 3.07 % 31.08 70.99 %

8 years - 9 years 484,408,753.05 16.07 % 5,141 16.73 % 2.53 % 30.06 69.54 %

9 years - 10 years 230,661,058.89 7.65 % 2,600 8.46 % 2.70 % 32.84 65.08 %

10 years - 11 years 33,895,419.24 1.12 % 326 1.06 % 4.46 % 36.53 70.97 %

11 years - 12 years 12,063,893.01 0.40 % 160 0.52 % 4.27 % 31.01 67.76 %

12 years - 13 years 39,707,503.23 1.32 % 476 1.55 % 3.32 % 29.62 66.88 %

13 years - 14 years 35,933,860.63 1.19 % 425 1.38 % 3.24 % 30.85 70.34 %

14 years - 15 years 53,165,922.93 1.76 % 480 1.56 % 4.80 % 39.69 71.03 %

15 years - 16 years 34,106,048.48 1.13 % 307 1.00 % 5.23 % 41.96 73.80 %

16 years - 17 years 12,392,755.32 0.41 % 131 0.43 % 5.01 % 30.17 71.21 %

17 years - 18 years 89,236,645.24 2.96 % 903 2.94 % 3.46 % 31.09 69.65 %

18 years - 19 years 270,123,484.72 8.96 % 2,581 8.40 % 3.13 % 31.34 75.02 %

19 years - 20 years 56,885,335.04 1.89 % 605 1.97 % 3.54 % 34.61 69.89 %

20 years - 21 years 9,424,484.41 0.31 % 89 0.29 % 5.02 % 40.44 72.95 %

21 years - 22 years 2,341,875.60 0.08 % 25 0.08 % 5.34 % 39.57 72.91 %

22 years - 23 years 4,144,435.14 0.14 % 45 0.15 % 3.91 % 40.06 76.62 %

23 years - 24 years 4,850,809.74 0.16 % 50 0.16 % 3.92 % 36.63 73.33 %

24 years - 25 years 18,821,923.94 0.62 % 130 0.42 % 5.50 % 48.04 81.67 %

25 years - 26 years 7,758,800.25 0.26 % 60 0.20 % 5.60 % 46.54 77.32 %

26 years - 27 years 1,827,402.79 0.06 % 24 0.08 % 5.20 % 26.27 73.11 %

27 years - 28 years 14,176,340.12 0.47 % 126 0.41 % 4.04 % 29.19 79.39 %

28 years - 29 years 10,779,275.45 0.36 % 103 0.34 % 3.72 % 29.56 79.97 %

29 years - 30 years 104,856.97 0.00 % 4 0.01 % 3.38 % 29.05 35.02 %

30 year >=

Total 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

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12. Interest Payment Type

Description Aggregate Outstanding Amount % of Total Nr of Loanparts % of Total Weighted Average Coupon



Floating 23,803,892.38 0.79 % 414 1.35 % 2.06 % 29.60 59.34 %

Fixed 2,989,664,555.80 99.21 % 30,318 98.65 % 3.46 % 33.99 71.69 %

Total 3,013,468,448.18 100.00 % 30,732 100.00 % 3.45 % 33.95 71.59 %

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13. Property Description

Description Aggregate Outstanding Amount % of Total Nr of Loans % of Total Weighted Average Coupon



Appartement 437,950,616.90 14.53 % 3,052 18.46 % 3.29 % 31.36 71.58 %

House 2,575,517,831.28 85.47 % 13,482 81.54 % 3.48 % 34.39 71.59 %

Business

Other

Total 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

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14. Geographical Distribution (by province)

Province Aggregate Outstanding Amount % of Total Nr of Loans % of Total Weighted Average Coupon



Groningen 60,198,577.25 2.00 % 430 2.60 % 3.32 % 32.33 74.13 %

Friesland 109,460,821.78 3.63 % 734 4.44 % 3.18 % 32.43 73.01 %

Drenthe 75,876,733.21 2.52 % 492 2.98 % 3.31 % 32.53 73.73 %

Overijssel 212,864,389.56 7.06 % 1,264 7.64 % 3.51 % 34.91 73.68 %

Gelderland 353,301,208.16 11.72 % 1,982 11.99 % 3.43 % 33.67 72.04 %

Flevoland 53,440,117.35 1.77 % 316 1.91 % 3.33 % 33.72 77.83 %

Utrecht 280,628,974.18 9.31 % 1,326 8.02 % 3.42 % 34.79 69.28 %

Noord-Holland 457,606,573.98 15.19 % 2,243 13.57 % 3.34 % 33.94 66.38 %

Zuid-Holland 602,589,163.17 20.00 % 3,205 19.38 % 3.51 % 33.92 72.36 %

Zeeland 88,515,994.15 2.94 % 588 3.56 % 3.45 % 32.60 75.42 %

Noord-Brabant 526,362,484.16 17.47 % 2,756 16.67 % 3.54 % 34.59 71.63 %

Limburg 192,623,411.23 6.39 % 1,198 7.25 % 3.58 % 33.23 75.72 %

Unspecified

Total 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

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15. Occupancy




Owner Occupied 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

Buy-to-let

Total 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

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16. Loanpart Payment Frequency




Monthly 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

Quarterly

Semi-annually

Annually

Total 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

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17. Guarantee Type




NHG Guarantee 1,420,719,238.55 47.15 % 8,793 53.18 % 3.63 % 35.87 79.63 %

Non-NHG Guarantee 1,592,749,209.63 52.85 % 7,741 46.82 % 3.29 % 32.25 64.41 %

Total 3,013,468,448.18 100.00 % 16,534 100.00 % 3.45 % 33.95 71.59 %

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Glossary

Term Definition / Calculation

Account Bank The bank at which the AIC Account is maintained from time to time being, as at the Programme Date, Rabobank and following termination of the AIC Account Agreement, such other replacement account bank as may be appointed in accordance with the AIC Account Agreement (unless the context otherwise requires).

ACT Asset Cover Test. Asset Cover Test has the meaning ascribed to such term in Clause 3 (Asset Cover Test) of the Asset Monitor Agreement.

ACT (alfa) " α" means for each Transferred Receivable the lower of its Current Balance and the sum of the following elements, to the extent applicable to it: (a) if it is a Category 3 Receivable: an amount calculated on the basis of a method notified to the Rating Agency related to the Savings and Accrued Savings Interest in connection with such Transferred Receivable, provided that no amount will be deducted if and to the extent that a Master Sub-Participation Agreement is effective in relation to the relevant Transferred Receivable; (b) if it was used to fund a Construction Deposit: the amount of the Construction Deposit; (c) if it was in breach of the Receivable Warranties as of the relevant Transfer Date: such amount as is necessary to reduce its Adjusted Current Balance or Current Balance, as the case may be, to zero; (d) if it is a Defaulted Receivable: such amount as is necessary to reduce its Current Balance to zero; (e) if it is 3 months or more in arrears (other than any Defaulted Receivable): such amount as is necessary to reduce its Current Balance to 30 per cent. of its Current Balance; (f) if it is a Bank Savings Receivable: the amount standing to the credit of the related Bank Savings Account, unless it concerns a Participation Receivable, in which case an amount equal to the relevant Participation is already deducted as part of the definition of Net Outstanding Principal Balance; (g) if any of the Issuer's ratings from the Rating Agency fall below the relevant minimum rating determined to be applicable or agreed by the Rating Agency, being as at the Programme Date 'P-1(cr)' (short-term) by Moody's and the related Borrower has a deposit with Rabobank or any other Originator that engages in the business of, amongst other things, attracting or accepting deposits: an amount equal to the amount by which the aggregate deposits of such Borrower (other than any deposit relating to a Bank Savings Loan) exceeds EUR 100,000 (or such other amount which is not advanced to a Borrower in accordance with the Dutch deposit guarantee scheme (depositogarantiestelsel)); and/or (h) if the Originator has a Residual Claim (excluding, for the avoidance of doubt, a Further Advance) and (i) a RC Trigger Event has occurred and (ii) a RC Deduction Notice has been delivered to the CBC and the Trustee: an amount equal to the Deductible Residual Claim;

ACT (bèta) For each Transferred Receivable the lower of (i) the LTV Cut-Off Percentage of its Indexed Valuation and (ii) α minus L. "L" means for each Transferred Receivable its Current Balance minus the LTV Cut-Off Percentage of its Indexed Valuation provided that if the result is negative, L shall be zero and if the result exceeds α, L shall equal α;

ACT A The lower of:(a) the sum of all Adjusted Current Balances of all Transferred Receivables. The "Adjusted Current Balance" of a Transferred Receivable is the lower of: (i) the Current Balance of such Transferred Receivable minus α; and (ii) the LTV Cut-Off Percentage of the Indexed Valuation relating to such Transferred Receivable, minus β; and(b) the Asset Percentage of: the sum of the Current Balance minus α of all Transferred Receivables;

ACT B The aggregate amount of all Principal Receipts, all Adjusted Revenue Receipts on the Transferred Receivables and (without double counting) all amounts received by the CBC under any Swap Agreement after netting up to the end of the immediately preceding Calculation Period which have not been applied in accordance with the Trust Deed;

ACT C The aggregate amount of (i) all Transferred Collateral in cash which has not been applied in accordance with the Trust Deed and (ii) the amounts standing to the credit of the Reserve Ledger;

ACT D The aggregate outstanding principal balance of all Transferred Collateral in Substitution Assets and accrued interest thereon which has not been applied in accordance with the Trust Deed. Substitution Assets will be valued on a monthly basis and be taken into account for their mark-to-market value at a discount based on a methodology proposed to the Rating Agency;

ACT E Not applicable

ACT X In respect of each Series of Covered Bonds in respect of which no Portfolio Swap is entered into by the CBC, for as long as (i) the Issuer's rating from the Rating Agency falls below the relevant minimum rating determined to be applicable or agreed by the Rating Agency, being as at the Programme Date 'P-1(cr)' by Moody's and (ii) the interest payable in respect of the relevant Series of Covered Bonds (expressed as a percentage per annum) exceeds the weighted average interest rate of all Transferred Assets, an amount equal to the higher of:(a) zero; and(b) the product of: (i) the aggregate of: (A) the interest (expressed as a percentage per annum) payable in respect of the relevant Series of Covered Bonds in respect of which no Portfolio Swap is entered into by the CBC less (B) the weighted average interest rate of all Transferred Assets; (ii) the remaining maturity in years of the relevant Series of Covered Bonds; (iii) the euro equivalent of the aggregate Principal Amount Outstanding of the relevant Series of Covered Bonds (and in respect of those Covered Bonds not denominated in euro, converted into euro at the respective Structured Swap Rate);For the purpose of calculating the interest payable by the CBC in respect of any Series of Covered Bonds which is a Floating Rate Covered Bond, the interest as most recently determined in respect of such Series of Covered Bonds shall be used.

ACT Y Means: (a) if the Issuer's rating from the Rating Agency falls below the relevant minimum rating determined to be applicable or agreed by the Rating Agency, being as at the Programme Date 'Baa1(cr)' by Moody's, an amount equal to the Net Outstanding Principal Balance of all Receivables on the last day of the month immediately preceding the Calculation Date multiplied by the Monthly Payment Ratio as calculated in respect of the calendar month immediately preceding the Calculation Date, in connection with commingling risk; or (b) if (i) the Issuer's credit rating from the Rating Agency is at least equal the relevant minimum rating determined to be applicable or agreed by the Rating Agency, being as at the Programme Date 'Baa1(cr)'; or (ii) following the occurrence of a Notification Event and the relevant Borrowers have been notified of the assignment of the Receivables,zero;

Asset Percentage 100% or such other percentage figure as is determined from time to time in accordance with the Asset Monitor Agreement.

Calculation Date The date falling two Business Days before each CBC Payment Date. The "relevant" Calculation Date in respect of any Calculation Period will be the first Calculation Date falling after the end of that period and the "relevant" Calculation Date in respect of any CBC Payment Date will be the last Calculation Date prior to that CBC Payment Date;

CLTIMV Current Loan to Indexed Market Value means the ratio calculated by dividing the current outstanding loan amount by the Indexed Valuation.

CLTOMV Current Loan to Original Market Value means the ratio calculated by dividing the current outstanding loan amount by the Market Value.

Construction Deposit Certain Eligible Receivables result from a mortgage loan agreement under which the relevant Borrower has requested part of the loan to be disbursed into a blocked deposit account specifically opened in his name for such purpose, in anticipation of construction or improvement costs to be incurred by him at a later stage in connection with the Property (a "Construction Deposit"; bouwdepot)

Credit Rating An assessment of the credit worthiness of the notes assigned by the credit rating agencies.

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Term Definition / Calculation

Current Balance In relation to an Eligible Receivable at any date, the aggregate (without double counting) of the Net Outstanding Principal Balance, Accrued Interest (unless it concerns calculations for either the Asset Cover Test or the Amortisation Test Aggregate Receivable Amount, in which case Accrued Interest will not be included) and Arrears of Interest as at that date;

Index The index of increases or decreases, as the case may be, of house prices issued by the Land Registry in relation to residential properties in The Netherlands.

Indexed Valuation At any date in relation to any Transferred Receivable secured over any Property:(a) where the Original Market Value of that Property is equal to or greater than the Price Indexed Valuation as at that date, the Price Indexed Valuation; or(b) where the Original Market Value of that Property is less than the Price Indexed Valuation as at that date, the Original Market Value plus [•]% (or, if a different percentage is required or sufficient from time to time for the Covered Bonds to comply with Article 129 CRR and the Issuer wishes to apply such different percentage, then such different percentage) of the difference between the Original Market Value and the Price Indexed Valuation;

IRS Interest rate swap (if any)

Loan Any loan (including the Initial Advance and any Further Advance) or loan part (leningdeel) granted by the relevant Originator to a Borrower pursuant to the terms of a Loan Agreement;

Loanpart(s) One or more of the loan parts (leningdelen) of which a Rabobank Mortgage Loan or RHB Mortgage Loan consists.

LTV Cut-Off Percentage Such percentage as is required from time to time for the Covered Bonds to comply with Article 129 CRR, currently being 80% for all Transferred Receivables.

Market Value The market value (marktwaarde) given to that Property by the most recent valuation addressed to the Originator that transferred the relevant Transferred Receivable to the CBC;

Maturity Date (Bonds) In respect of a Series the Interest Payment Date which falls no more than 45 years after the Issue Date of such Series and on which the Covered Bonds of such Series are expected to be redeemed at their Principal Amount Outstanding in accordance with the Conditions as specified in the relevant Final Terms;

Minimum Overcollateralization The minimum overcollateralization required by either law, the programme documentation or rating agencies.

Net Outstanding Principal Balance In relation to a Transferred Receivable, at any date, the Gross Outstanding Principal Balance of such Receivable less, if it is a Participation Receivable, an amount equal to the Participation on such date.

NHG Guarantee Guarantees (borgtochten) issued by Stichting Waarborgfonds Eigen Woningen under the terms and conditions of the National Mortgage Guarantee (Nationale Hypotheek Garantie), as from time to time amended;

Nominal OC The actual overcollateralization which is calculated by dividing (i) the total outstanding balance of the cover assets included in the cover pool by (ii) the total amount of outstanding covered bonds (both excluding accrued interest).

NPV assumptions (when stated) Not applicable

Occupancy The way the mortgaged property is used (e.g. owner occupied).

Original Market Value The market value (marktwaarde) given to that Property by the most recent valuation addressed to the Originator that transferred the relevant Transferred Receivable to the CBC;

Originator The time in years from the reporting date to the maturity date of a loan.

Pre-Maturity Liquidity Ledger Not applicable

Remaining Tenor The time in years from the reporting date to the maturity date of a loan.

Reserve Fund Pursuant to the Trust Deed, the CBC will be required to maintain a Reserve Fund on the AIC Account (which Reserve Fund is administered through the Reserve Fund Ledger). In consideration for the CBC to assume the Guarantee, the Issuer will transfer to the CBC an amount equal to the Reserve Fund Required Amount and such further amounts as are necessary from time to time to ensure that an amount up to the Reserve Fund Required Amount is standing to the credit of the Reserve Fund Ledger.

Savings With respect to (i) a Category 3 Receivable, the savings part of all premiums received by the Participant from the relevant Borrower under or pursuant to the relevant insurance policy, and (ii) a Bank Savings Receivable, all payments made by the relevant Borrower to the related Bank Savings Account

Seasoning The time between the origination of the relevant loan the respective reporting period.

Series A Tranche of Covered Bonds together with any further Tranche or Tranches of Covered Bonds which are (i) expressed to be consolidated and form a single series and (ii) identical in all respects (including as to listing) except for their respective Issue Dates, Interest Commencement Dates and/or Issue Prices.

Servicer Rabobank

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Contact Information

Account Bank Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

Arranger Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

BUS Facilitator Rabo Covered Bond Company B.V.

Prins Bernhardplein 200

1097 JB Amsterdam

The Netherlands

CBC Rabo Covered Bond Company B.V.


1097 JB Amsterdam

The Netherlands

Dealer Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

Holding Stichting Holding Rabo Covered Bond Company


1097 JB Amsterdam

The Netherlands

Initial Originators Rabohypotheekbank N.V.

Croeselaan 18

3521 CB Utrecht

The Netherlands


Croeselaan 18

3521 CB Utrecht

The Netherlands

Listing Agent Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

Registrar Citigroup Global Markets Deutschland AG

Reuterweg 16

60323 Frankfurt

Germany

Administrator Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

Asset Monitor KPMG Accountants N.V.

Laan van Langerhuize 1

1186 DS Amstelveen

The Netherlands

Cash Manager Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

CBC's Director Intertrust Management B.V.


1097 JB Amsterdam

The Netherlands

Guarantor Rabo Covered Bond Company B.V.


1097 JB Amsterdam

The Netherlands

Initial Originators Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

Initial Servicer Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

Issuer or Administrator Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

Principal Paying Agent Citibank, N.A., London Branch

Canada Square, Canary Wharf

E14 5LB London

United Kingdom

Servicer Coöperatieve Rabobank U.A.

Croeselaan 18

3521 CB Utrecht

The Netherlands

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Trustee Stichting Security Trustee Rabo Covered Bond CompanyPrins Bernhardplein 200

1097 JB Amsterdam

The Netherlands

Trustee's Director Amsterdamsch Trustee's Kantoor B.V.


1097 JB Amsterdam

The Netherlands

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coöperatieve rabobank u.a. monthly investor report dutch ......jorgen de vries / sjaak-jan baars...

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