Securitising mortgages is a substantial part of SNS Bank's funding mix. In 2007, two transactions were effected under the Hermes programme with mortgage loans as collateral. The first transaction, Hermes XIII, had a volume of € 2.8 billion, the largest in Hermes' history. The second transaction, Hermes XIV, in the amount of € 2.0 billion was not placed with third parties and qualifies almost completely as eligible assets at DNB. Moreover, SNS Bank has carried out a second, so-called NHG securitisation, including only mortgages bearing an NHG guarantee. The maturity of this transaction, named Pearl II, is seven years and has a volume of € 800 million. Pearl II has a relatively low credit spread compared to alternative funding opportunities. At year-end 2007, a total of approximately € 15.9 billion in cash securiti­sations was outstanding. In the current environment, securitised mortgages offer insufficient possibilities as the risk level is deemed to be too high. As a result, SNS REAAL has developed a 'covered bond' programme.

More information about the SNS Bank securitisation programme can be found at www.securitisation.nl.