SpareBank 1 Boligkreditt AS - Mortgage Covered Bonds

Size: px

Start display at page:

Download "SpareBank 1 Boligkreditt AS - Mortgage Covered Bonds"

Brian Moore
5 years ago
Views:

Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS SpareBank 1 Boligkreditt AS Mortgage Covered Bonds Covered Bonds / Norway Contacts RodriguezVigil, Tomas +34 (917) 688231 Tomas.

1 Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS SpareBank 1 Boligkreditt AS Mortgage Covered Bonds Covered Bonds / Norway Contacts RodriguezVigil, Tomas +34 (917) Tomas.RodriguezVigil@moodys.com Yamanaka, Hyoson +49 (697) Hyoson.Yamanaka@moodys.com Monitoring Monitor.CB@moodys.com Click on the icon to download data into Excel & to see Glossary of terms used Client Service Desk London: , csdlondon@moodys.com Click here to access the covered bond programme webpage on moodys.com Reporting as of: 31/03/2018 All amounts in NOK (unless otherwise specified) For information on how to read this report, see the latest Moody's Global Covered Bond Monitoring Overview Data as provided to Moody's Investors Service (note 1) I. Programme Overview Overview Year of initial rating assignment: 2007 Total outstanding liabilities: Total assets in the Cover Pool: NOK NOK 200,346,182, ,048,155,100 Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: SpareBank 1 Boligkreditt / Sparebank 1 Alliance / Residential Ratings Covered bonds rating: Entity used in Moody's EL & TPI analysis: CB anchor: CR Assessment: SUR: Unsecured claim used for Moody's EL analysis: SpareBank 1 Boligkreditt AS CR Assessment + 1 notch Yes Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 Chart 1: Rating history Covered Bond Sovereign CR Assessment (RHS) (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) II. Value of the Cover Pool Collateral quality Collateral Score: 5. Collateral Score excl. systemic risk: 2.8% Cover Pool losses Collateral Risk (Collateral Score posthaircut): 3. 37% Market Risk: 5. 63% 9. (10) III. OverCollateralisation Levels (notes 2 & 3) OverCollateralisation (OC) figures presented below can include Eligible and NonEligible collateral. OverCollateralisation levels are provided on nominal basis NPV stress test where stressed: Current situation Committed OC (Nominal): 2. n/a Chart 2 : Asset types in cover pool Liquidity Reserve / Supplementary assets (contains SpareBank 1 CBs), 16. Sensitivity scenario CB anchor Residential assets, 83. OC consistent with current rating Current OC: 8.3% OC consistent with current rating (note 4) 0. Scenario 1: CB anchor is lowered by 1 notch n/a IV. Timely Payment Indicator & TPI Leeway Legal framework Timely Payment Indicator (TPI): High Does a specific covered bond law apply for this programme: Yes TPI Leeway: 4 Main country in which collateral is based: Norway Extract from TPI table CB anchor is CR Assessment + 1 notch CR Assessment High Country in which issuer is based: Timely payment Refinancing period for principal payments of 6 months or greater: Liquidity reserve to support timely payments on all issuances: Norway Yes No (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. (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 committee discretion is applied. (note 4) The OC consistent with the current rating is the minimum level of overcollateralisation which is necessary to support the covered bond rating at its current level on the basis of the pool as per the cutoff 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 SpareBank 1 Boligkreditt AS Mortgage Covered Bonds Page 1

2 Mismatch in % of the total liabilities COVERED BONDS V. Asset Liability Profile Interest Rate & Duration Mismatch (note 5) Swap Arrangements Fixed rate assets in the cover pool: 5. swap(s) in the Cover Pool: Yes Fixed rate covered bonds outstanding: 57. Intragroup interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 3.2 years swap(s) in the Cover Pool: Yes WAL of the cover pool: 12.5 years Intragroup currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) 70. (note 6) Maximum mismatch: 59. Chart 4: mix before swaps (3 Main Currencies) Cover pool Covered Bonds USD 5 13, NOK EUR 12,159 64, , , Period in years 0 50, , , , ,000 in NOK millions Chart 5 : Amortisation profile (in millions) (note 7) Assets Liabilities 250, , , ,000 50, Years VI. Performance Evolution Chart 6 : Collateral Score Chart 7 : Cover Pool Losses 3% 1% Q Q Q Q Q % 8% 7% 3% 1% Collateral Risk Market Risk Cover Pool Losses Q Q Q Q Q Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC CurrentOc 1 9% 8% 9.1% 8.7% 8.9% % 7% % 7.8% 3% 1% Q Q Q Q Q Covered Bond Rating CR Assessment This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on for the most updated credit rating action information and rating history. (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 swaps in place in Cover Pool, no prepayment and no further CB issuance. SpareBank 1 Boligkreditt AS Mortgage Covered Bonds Page 2

COVERED BONDS 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: 0.

3 COVERED BONDS 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: 0. Asset balance: 180,930,835,099 Interest only Loans / Flex Loans 0. / 26. Average loan balance: 1,400,686 Loans for second homes / Vacation: 0. Number of loans: 129,173 Buy to let loans / Non owner occupied properties: 0. Number of borrowers: 125,937 Limited income verified: 0. Number of properties: 127,419 Adverse credit characteristics 0. WA remaining term (in months): 257 Interest only loans includes loans which currently are in an initial interest only period before they start amortising. WA seasoning (in months): 42 Flexloans have an amortisation profile and can be redrawn by the customer up to a certain limit. Performance 0. Details on LTV 0. WA unindexed LTV: Whole Loan / Senior Loan (*) 63.9% / WA Indexed LTV: Whole Loan / Senior Loan: 56.3% / 52. Loans in a foreclosure procedure: 0. Valuation type: Market Value LTV threshold: 75. Junior ranks: 3.9% Prior ranks: 0. MultiFamily Properties Loans to tenants of tenantowned Housing Cooperatives: 0. Other type of MultiFamily loans (**) 0. Junior ranks are equal to the delta between unindexed whole loan WA LTV (including internal junior ranks) and unindexed senior loan WA LTV (excluding internal junior ranks). Unindexed LTV on whole loan basis includes junior ranks at parent bank level. Indexed LTV on senior loan basis as in cover pool. Chart A: Balance per LTVband Chart B: Percentage of residential assets Unindexed LTV (whole loan basis) Indexed LTV (senior loan basis) % 24.1% % % % 0.3% 0.1% 0.1% 0.1% Residential Assets 83. Chart C: LTV Chart D: type % of the pool with Indexed LTV>8 (senior loan basis) Indexed WA LTV (senior loan basis) Unindexed WA LTV (whole loan basis) 63.3% % 63.9% 63.9% % 63.9% 49.9% 49.9% 51.1% 49.7% % % Chart E: Main country regional distribution Chart F: Seasoning (in months) 18% % % 11.7% % 5.9% 4.3% 3.8% 3.8% % % % 23. (note *) may be based on property value at time of origination or further advance or borrower refinancing. (note **) This "other" type refers to loans directly to Housing Cooperatives and to Landlords of MultiFamily properties (not included in Buy to Let). SpareBank 1 Boligkreditt AS Mortgage Covered Bonds Page 3

Asset balance: 36,117,320,001 Percentage of fixed rate assets: 31.1% WA remaining Term (in months): 28 Percentage of bullet assets: 100. Number of assets: 111 Assets in nondomestic currency: 33.

4 Floating rate (no Caps) Fixed rate with reset <2 years Fixed rate with reset =2 but < 5 years Fixed rate with reset =5 years COVERED BONDS VIII. Cover Pool Information Supplementary Assets Overview Specific Loan and Borrower characteristics Asset type: Supplementary Assets Repo eligible assets: 97. Asset balance: 36,117,320,001 Percentage of fixed rate assets: 31.1% WA remaining Term (in months): 28 Percentage of bullet assets: 100. Number of assets: 111 Assets in nondomestic currency: 33.7% Number of borrowers: 103 Performance Average assets size: 325,381, Average exposure to borrowers: 350,653, Assets in arrears ( > 12months): 0. Assets in a enforcement procedure: Chart A: type Chart B: Percentage of supplementary assets % Supplementary Assets, % Chart C: Distribution by country, rating Chart D: Distribution by country rating % Aa1, % % 11., 88.8% SpareBank 1 Boligkreditt AS Mortgage Covered Bonds Page 4

5 COVERED BONDS IX. Swap Information Counterparty Total HVB Handelsbanken HSBC Credit Agricol Danske Bank DNB ING Natixis NORDEA SEB Other Type Total Notional Amount Collateral trigger Replacement Trigger X. Liabilities Information: Last 50 Issuances ISIN Series Number Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment XS EUR Series 1/2018 EUR 1,000,000,000 30/01/ /01/ /01/2026 Fixed rate 0.50 XS GBP Series 5/2017 GBP 500,000,000 14/11/ /11/ /11/2023 Floating rate 3 month LIBOR + 27 bps NO NOK Series 4/2017 NOK 8,250,000,000 01/11/ /06/ /06/2024 Floating rate 3 month LIBOR + 39 bps XS EUR Series 3/2017 EUR 1,000,000,000 26/06/ /06/ /06/2025 Fixed rate 0.37 XS EUR Serier 2/2017 EUR 1,000,000,000 25/01/ /01/ /01/2023 Fixed rate 0.05 XS EUR Series 1/2017 EUR 20,000,000 19/01/ /01/ /01/2028 Floating rate 3 month LIBOR bps NO NOK Series 8/2016 NOK 930,000,000 25/11/ /11/ /11/2027 Fixed rate 2.10 XS EUR Series 7/2016 EUR 1,000,000,000 30/08/ /08/ /08/2027 Fixed rate 0.25 XS EUR Series 6/2016 EUR 30,000,000 12/04/ /01/ /01/2027 Fixed rate 0.72 NO NOK Series 5/2016 NOK 9,500,000,000 08/04/ /06/ /06/2023 Floating rate 3 month LIBOR + 74 bps NO NOK Series 4/2016 NOK 1,120,000,000 22/03/ /06/ /06/2029 Fixed rate 2.38 XS EUR Series 3/2016 EUR 1,000,000,000 09/03/ /03/ /03/2024 Fixed rate 0.37 XS EUR Series 2/2016 EUR 15,000,000 01/03/ /03/ /03/2025 Floating rate 3 month LIBOR + 60 bps NO NOK Series 1/2016 NOK 2,200,000,000 02/02/ /06/ /06/2023 Fixed rate 1.90 XS EUR series 4/2015 EUR 1,500,000,000 12/11/ /11/ /11/2019 Fixed rate 0.12 PP0NF615 Private Placement EUR 50,000,000 07/10/ /10/ /10/2028 Fixed rate 1.28 XS EUR series 3/2015 EUR 1,000,000,000 04/09/ /09/ /09/2023 Fixed rate 0.75 NO Nok Series 2/2015 NOK 3,350,000,000 29/01/ /06/ /06/2022 Fixed rate 1.50 NO Nok Series 1/2015 NOK 9,650,000,000 28/01/ /06/ /06/2022 Floating rate 3 month LIBOR + 22 bps NO NOK Series 1/2014 NOK 80,000,000 03/12/ /12/ /12/2021 Fixed rate 1.90 XS EUR Series 5/2013 EUR 1,000,000,000 19/11/ /01/ /01/2021 Fixed rate 1.50 SPABOL EUR 10/28 Private Placement EUR 20,000,000 31/10/ /10/ /10/2029 Fixed rate 2.59 SPABOL PP1 10/25 Private Placement EUR 108,000,000 01/10/ /10/ /10/2026 Fixed rate 2.55 SPABOL EUR 09/25 Private Placement EUR 20,000,000 11/09/ /09/ /09/2026 Fixed rate 2.55 XS Private Placement EUR 100,000,000 11/09/ /09/ /09/2019 Floating rate 3 month LIBOR + 16 bps XS EUR Series 4/2013 EUR 1,000,000,000 12/06/ /06/ /06/2021 Fixed rate 1.50 XS Private Placement EUR 70,000,000 04/06/ /06/ /06/2019 Floating rate 3 month LIBOR + 12 bps XS USD Series 2/2013 USD 1,000,000,000 02/05/ /05/ /05/2019 Fixed rate 1.25 NO NOK Series 1/2013 NOK 9,000,000,000 22/01/ /06/ /06/2021 Floating rate 3 month LIBOR + 55 bps XS USD Series 7/2012 USD 250,000,000 16/11/ /11/ /11/2020 Fixed rate 1.75 US84650WAE66 USD Series 7/2012 USD 1,000,000,000 16/11/ /11/ /11/2020 Fixed rate 1.75 NO NOK Series 6/2012 NOK 7,850,000,000 10/09/ /09/ /09/2020 Floating rate 3 month LIBOR + 63 bps SPABOL EUR 08/24 Private Placement EUR 152,000,000 20/08/ /08/ /08/2025 Fixed rate 2.38 NO NOK Series 4/2012 NOK 2,350,000,000 07/08/ /08/ /08/2020 Fixed rate 3.40 NO SEK Series 3/2012 SEK 250,000,000 23/05/ /05/ /05/2023 Fixed rate 3.25 XS EUR Series 1/2012 EUR 1,250,000,000 01/02/ /02/ /02/2020 Fixed rate 2.75 NO NOK Series 7/2011 NOK 1,650,000,000 05/10/ /10/ /10/2027 Fixed rate 4.75 XS EUR Series 6/2011 EUR 850,000,000 31/08/ /09/ /09/2022 Fixed rate 3.37 NO NOK Series 5/2011 NOK 4,000,000,000 16/08/ /08/ /08/2019 Floating rate 3 month LIBOR + 53 bps NO NOK Series 4/2011 NOK 3,020,000,000 15/07/ /07/ /07/2023 Fixed rate 5.00 XS EUR Series 1/2011 EUR 1,000,000,000 03/02/ /02/ /02/2022 Fixed rate 4.00 SPABOL EUR 01/21 Private Placement EUR 12,000,000 28/01/ /01/ /01/2022 Fixed rate 3.80 SPABOL EU2 01/21 Private Placement EUR 105,000,000 26/01/ /01/ /01/2022 Fixed rate 3.80 SPABOL EUR 09/19 Private Placement EUR 60,000,000 18/09/ /09/ /09/2020 Fixed rate 5.013% NO NOK Series 4 NOK 200,000,000 25/06/ /06/ /06/2019 Fixed rate 6.01 NO NOK Series 3 NOK 1,154,500,000 18/06/ /06/ /06/2019 Fixed rate 5.95 SpareBank 1 Boligkreditt AS Mortgage Covered Bonds Page 5

6 COVERED BONDS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE PURCHASE, HOLDING, OR SALE. MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, BENCHMARK. or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. FORM OR MANNER WHATSOEVER. and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively. MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements. SpareBank 1 Boligkreditt AS Mortgage Covered Bonds Page 6

Helgeland Boligkreditt AS - Mortgage Covered Bonds

Prog INTERNATIONAL STRUCTURED FINANCE Helgeland Boligkreditt AS - Mortgage Covered Bonds Covered Bonds / Norway Contacts Zeidler, Alexander - +44 (207) 772-8713 - Alexander.Zeidler@moodys.com Ritzka, Stefan