EUR 10 Billion Mortgage Pandbrieven Programme

Transcription

1 EUR 10 Billion Mortgage Pandbrieven Programme Reporting Date: Reporting Date: 3/12/2013 Date of Previous report: 7/11/2013 Contact Details: Head of Treasury Wilfried Wouters wilfried.wouters@belfius.be Long Term Funding (new issues and investor contact) Ellen Van Steen ellen.vansteen@belfius.be Christine Lepage christine.lepage@belfius.be Asset Based Solutions (cover pool and programme management) Bart Verwaest bart.verwaest@belfius.be Carol Wandels carol.wandels@belfius.be Peter Degroote peter.degroote@belfius.be Website Remark The investor report is provided in pdf and excel-format. The excel-format has been provided for information purposes only and in case of contradiction between the pdf and excel-format, the pdf-format will prevail.

2 Outstanding Series Series ISIN Currency Outstanding Amount Issue Date Maturity Date Coupon Type Coupon Day Count Next Interest Extended Maturity Remaining Payment Date Date Average Life * 1 BE EUR 1,250,000,000 27/11/ /11/2017 Fixed 1.250% Act/Act ICMA 27/11/ /11/ BE EUR 30,000,000 18/12/ /12/2034 Fixed 3.000% Act/Act ICMA 18/12/ /12/ BE EUR 30,000,000 18/12/ /12/2034 Fixed 2.950% Act/Act ICMA 18/12/ /12/ BE EUR 30,000,000 21/12/ /12/2032 Fixed 2.920% Act/Act ICMA 23/12/ /12/ BE EUR 15,000,000 17/01/ /01/2033 Fixed 3.035% Act/Act ICMA 17/01/ /01/ BE EUR 500,000,000 30/01/ /01/2023 Fixed 2.125% Act/Act ICMA 30/01/ /01/ BE EUR 75,000,000 4/02/2013 4/02/2032 Fixed 2.735% Act/Act ICMA 4/02/2014 4/02/ BE EUR 20,000,000 27/02/ /02/2031 Fixed 2.770% Act/Act ICMA 27/02/ /02/ BE EUR 25,000,000 2/04/2013 2/04/2038 Fixed 2.835% Act/Act ICMA 2/04/2014 2/04/ BE EUR 500,000,000 5/06/2013 5/06/2020 Fixed 1.375% Act/Act ICMA 5/06/2014 5/06/ BE EUR 15,000,000 13/06/ /06/2035 Fixed 2.800% Act/Act ICMA 13/06/ /06/ BE EUR 50,000,000 21/06/ /06/2033 Fixed 2.855% Act/Act ICMA 21/06/ /06/ BE EUR 50,000,000 27/06/ /06/2029 Fixed 2.629% Act/Act ICMA 27/06/ /06/ BE EUR 30,000,000 23/08/ /08/2033 Fixed 3.010% Act/Act ICMA 25/08/ /08/ BE EUR 20,000,000 27/08/ /08/2036 Fixed 3.065% Act/Act ICMA 27/08/ /08/ BE EUR 10,000,000 23/08/ /08/2033 Fixed 3.145% Act/Act ICMA 25/08/ /08/ BE EUR 50,000,000 17/10/ /10/2028 Fixed 2.947% Act/Act ICMA 17/10/ /10/ BE EUR 20,000,000 25/10/ /10/2032 Fixed 3.175% Act/Act ICMA 27/10/ /10/ BE EUR 44,000,000 31/10/ /10/2035 Fixed 3.145% Act/Act ICMA 31/10/ /10/ BE EUR 30,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 3,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 3,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 2,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 30,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 30,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 1,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 1,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 5,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 10,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 10,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 15,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 10,000,000 2/12/2013 2/12/2025 Fixed 2.460% Act/Act ICMA 2/12/2014 2/12/ BE EUR 10,000,000 29/11/ /11/2033 Fixed 3.015% Act/Act ICMA 1/12/ /11/ BE EUR 10,000,000 29/11/ /11/2033 Fixed 3.015% Act/Act ICMA 1/12/ /11/ * At the Reporting Date until Maturity Date Belfius Mortgage Pandbrieven Programme - Investor Report 2

3 Totals Total Outstanding (in EUR): 2,934,000,000 Current Weighted Average Fixed Coupon: 1.784% Weighted Average Remaining Average Life: * 8.48 * At the Reporting Date until Maturity Date Belfius Mortgage Pandbrieven Programme - Investor Report 3

4 Belfius Bank Senior Unsecured Ratings Long Term Short Term Outlook Rating Rating Standard and Poor's A- negative A-2 Fitch A- stable F1 Moody's Baa1 stable P-2 Belfius Mortgage Pandbrieven Ratings Rating outlook Standard and Poor's AAA negative Fitch AAA stable Belfius Mortgage Pandbrieven Programme - Investor Report 4

5 Test Summary (all amounts in EUR unless stated otherwise) 1. Outstanding Mortgage Pandbrieven and Cover Assets Outstanding Mortgage Pandbrieven: 2,934,000,000 (i) Nominal Balance Residential Mortgage Loans 4,621,074,292 (ii) Nominal Balance Public Finance Exposures 55,750,000 (iii) Nominal Balance Financial Institution Exposures 0 (iv) Nominal OC Level [(ii)+(iii)+(iv)]/(i) % 2. Residential Mortgage Loans Cover Test Value of the Residential Mortgage Loans (as defined in Royal Decree Article 6 2): 4,211,684,922 (v) Ratio Value of the Residential Mortgage Loans / Mortgage Pandbrieven Issued (v)/(i): % --> Cover Test Royal Decree Article 5 1 (> 85%) Pass --> Issuer Covenant (iv) Prospectus (> 105%) Pass 3. Total Asset Cover Test Value of Public Finance Exposures (definition Royal Decree): 62,414, (vi) Value of Financial Institution Exposures (definition Royal Decree): 0 (vii) Ratio Value of all Cover Assets / Mortgage Pandbrieven Issued [(v)+(vi)+(vii)]/(i) : % --> Cover Test Royal Decree Article 5 2 (> 105%) Pass 4. Interest and Principal Coverage Test Interest Proceeds Cover Assets: 1,443,905,680 (viii) Total Interest Proceeds Residential Mortgage Loans: 1,431,632,279 Total Interest Proceeds Public Finance Exposures: 12,273,400 Total Interest Proceeds Financial Institution Exposures: 0 Impact Derivatives: 0 Principal Proceeds Cover Assets: 4,676,824,292 (ix) Total Principal Proceeds Residential Mortgage Loans: 4,621,074,292 Total Principal Proceeds Public Finance Exposures: 55,750,000 Total Principal Proceeds Financial Institution Exposures: 0 Impact Derivatives: 0 Interest Requirement Covered Bonds: Costs, Fees and Expenses Related to Covered Bonds: Principal Requirements Covered Bonds: 567,660,079 (x) 174,369,191 (xi) 2,934,000,000 (xii) Total Surplus (+) / Deficit (-) (viii)+(ix)-(x)-(xi)-(xii) 2,444,700,701 --> Cover Test Royal Decree Article 5 3 (Amortisation Test) Pass Belfius Mortgage Pandbrieven Programme - Investor Report 5

6 5. Liquidity Tests Cumulative Cash Inflow Next 180 Days 273,282, (xiii) Cumulative Cash Outflow Next 180 Days -21,154, (xiv) Liquidity Surplus (+) / Deficit (-) (xiii)+(xiv) 252,128, > Liquidity Test Royal Decree Article 7 1 Pass Mark-to-Market Liquid Bonds minus ECB Haircut 65,212, (xv) Interest Payable on Mortgage Pandbrieven next 12 months 52,336, (xvi) Excess Coverage Interest Mortgage Pandbrieven by Liquid Bonds (xv)-(xvi) 12,876, (xvii) --> Issuer Covenant (vii) Prospectus ((xvii) > 0) Pass Belfius Mortgage Pandbrieven Programme - Investor Report 6

7 Cover Pool Summary Portfolio Cut-off Date 30/11/ Residential Mortgage Loans See Stratification Tables Mortgages for more details Outstanding Balance of Residential Mortgage Loans at the Cut-off Date 4,621,074, Principal Redemptions between Cut-off Date and Reporting Date 18,644, Interest Payments between Cut-off Date and Reporting Date 12,763, Number of borrowers 44,773 Number of loans 67,951 Average Outstanding Balance per borrower 103, Average Outstanding Balance per loan 68, Weighted Original Loan to Initial Value 81.20% Weighted Current Loan to Current Value 64.44% Weighted seasoning (in months) Weighted remaining maturity (in years, at 0% CPR) Weighted initial maturity (in years, at 0% CPR) Remaining life (in years, at 0% CPR) Remaining life (in years, at 2% CPR) 9.24 Remaining life (in years, at 5% CPR) 7.53 Remaining life (in years, at 10% CPR) 5.59 Remaining life to interest reset (in years, at 0% CPR) 9.64 Percentage of Fixed Rate Loans 85.59% Percentage of Resettable Rate Loans 14.41% Weighted interest rate 3.691% Weighted interest rate Fixed Rate Loans 3.875% Weighted interest rate Resettable Rate Loans 2.601% 2. Registered Cash Registered Cash Proceeds under the Residential Mortgage Loans 95,820, Belfius Mortgage Pandbrieven Programme - Investor Report 7

8 3. Public Sector Exposure (Liquid Bond Positions) Position 1 Position 2 Position 3 Position 4 Position 5 ISIN BE BE Issuer Name Kingdom of Belgium Kingdom of Belgium Series OLO 40 OLO 40 Currency EUR EUR Nominal Amount 42,750, ,000, Issue Date 5/06/2002 5/06/2002 Maturity Date 28/09/ /09/2017 Coupon Type Fixed Fixed Coupon 5.500% 5.500% ECB Haircut 2.500% 2.500% Standar & Poor's Rating AA AA Fitch Rating AA AA Moody's Rating Aa3 Aa3 Mark-to-Market Value 50,767, ,438, Accounting Value 47,860, ,554, Derivatives None Belfius Mortgage Pandbrieven Programme - Investor Report 8

9 Stratification Tables Residential Mortgage Loans Original Loan to Initial Value Balance in EUR 81.20% 0-10% 4,530, % 10-20% 38,053, % 20-30% 86,335, % 30-40% 158,317, % 40-50% 246,738, % 50-60% 354,542, % 60-70% 456,855, % 70-80% 563,246, % 80-90% 634,612, % % 1,354,591, % --> 84.34% % 545,800, % % 177,450, % > 120% % Current Loan to Current Value Balance in EUR 64.44% 0-10% 85,659, % 10-20% 235,712, % 20-30% 329,486, % 30-40% 376,621, % 40-50% 430,440, % 50-60% 470,249, % 60-70% 512,968, % 70-80% 534,724, % 80-90% 601,912, % % 769,157, % --> 94.06% % 255,784, % % 18,356, % > 120% % Belfius Mortgage Pandbrieven Programme - Investor Report 9

10 Remaining term to maturity in months Balance in EUR ,750, % ,500, % ,944, % ,076, % ,894, % ,757, % ,738, % ,673, % ,557, % ,295, % ,812, % ,616, % ,169, % ,291, % ,995, % Distribution of Outstanding Loan Balance in EUR 1000 Balance in EUR 103,211 Number of Clients ,204, % 16, % ,350, % 9, % ,879, % 7, % ,717, % 5, % ,701, % 2, % ,056, % 1, % ,098, % % ,224, % % ,005, % % ,325, % % ,107, % % ,374, % % ,208, % % ,951, % % ,839, % % ,421, % % ,500, % % ,463, % % ,612, % % ,977, % % > ,052, % % 44, % Belfius Mortgage Pandbrieven Programme - Investor Report 10

11 Initial term to maturity in years Balance in EUR ,940, % 2-4 3,793, % ,590, % ,124, % ,144, % ,880, % ,984, % ,360, % ,338, % ,751, % ,363, % ,863, % ,110,581, % ,864, % ,491, % Interest Rate Rate Interest Rate 3.69% 0-0.5% 11,266, % 0.5-1% 31,919, % 1-1.5% 30,005, % 1.5-2% 166,891, % 2-2.5% 213,493, % 2.5-3% 178,416, % 3-3.5% 747,227, % 3.5-4% 1,657,705, % 4-4.5% 1,056,305, % 4.5-5% 393,386, % 5-5.5% 108,780, % 5.5-6% 19,028, % 6-6.5% 3,938, % 6.5-7% 1,089, % 7-7.5% 805, % 7.5-8% 449, % 8-8.5% 40, % 8.5-9% 276, % 9-9.5% 9, % % 25, % > 10% 12, % Belfius Mortgage Pandbrieven Programme - Investor Report 11

12 Loan to Mortgage Inscription Ratio (LTM) Balance in EUR % 0-20% 35,485, % 20-40% 149,464, % 40-60% 322,363, % 60-80% 678,964, % % 1,999,633, % --> 68.94% % 172,493, % % 189,785, % % 241,505, % % 306,180, % % 198,532, % % 208,295, % % 54,461, % % 19,969, % > 500% 43,937, % Interest Type Type Balance in EUR Fixed 3,955,273, % 5/5/5 32,156, % 10/5/5 33,239, % 3/3/3 275,819, % 1/1/1 233,956, % 15/5/5 54,989, % 20/5/5 35,640, % 1.5/1/ % 2/2/ % Seasoning in months Balance in EUR ,357, % ,677,280, % ,166,092, % ,578, % ,405, % ,173, % ,945, % ,723, % ,974, % ,188, % ,724, % ,310, % ,916, % ,735, % ,858, % ,466, % ,006, % ,512, % ,824, % % Belfius Mortgage Pandbrieven Programme - Investor Report 12

13 Distribution of Average Life to Final Maturity (at 0% CPR) in years Balance in EUR ,604, % ,524, % ,885, % ,010, % ,638, % ,798, % ,246, % ,316, % ,685, % ,424, % ,520, % ,892, % ,550, % ,305, % ,886, % ,539, % ,095, % ,552, % ,159, % ,944, % , % , % % , % % > , % Distribution of Average Life To Interest Reset Date (at 0% CPR) in years Balance in EUR ,424, % ,933, % ,931, % ,825, % ,707, % ,412, % ,236, % ,892, % ,575, % ,328, % ,456, % ,434, % ,307, % ,199, % ,231, % ,265, % ,813, % ,268, % ,391, % ,944, % , % , % % , % % > , % Belfius Mortgage Pandbrieven Programme - Investor Report 13

14 Geographic distribution Province Balance in EUR Brussel 410,986, % Brabant Wallon 231,934, % Liège 515,577, % Namur 250,792, % Luxembourg 113,444, % Hainaut 577,520, % Vlaams Brabant 469,392, % Antwerpen 671,479, % Limburg 324,910, % West-Vlaanderen 470,626, % Oost-Vlaanderen 577,221, % Data not in IT system 7,187, % Repayment Type Type Balance in EUR annuity 4,255,127, % linear amortisation 93,574, % progressive amortisation 190,572, % bullet / IO 81,800, % Belfius Mortgage Pandbrieven Programme - Investor Report 14

15 Cover Pool Performance Portfolio Cut-off Date 30/11/ Delinquencies (at cut-off date) in EUR in % in number of loans in % Performing 4,621,074, % 67, % 0-30 Days % % Days % % Days % % > 90 Days % % Total 4,621,074, % 67, % 0.018% 0.016% 0.014% 0.012% 0.010% 0.008% 0.006% 0.004% 0.002% 0.000% > 30 Days 0-30 Days Delinquency History (Balance delinquent loans devided by total balance ) 2. Prepayments Past Month Monthly % Annualised % Partial Prepayments 0.02% 0.28% Full Prepayments 0.27% 3.21% Total Prepayments 0.30% 3.49% % 9.000% 8.000% 7.000% 6.000% 5.000% 4.000% 3.000% 2.000% 1.000% 0.000% Prepayment History (annualised CPR) Belfius Mortgage Pandbrieven Programme - Investor Report 15

16 5,000,000,000 Amortisation profiles (all amounts in EUR) 4,500,000,000 4,000,000,000 3,500,000,000 Outstanding Residential Mortgage Loans (0% CPR) Outstanding Residential Mortgage Loans (2% CPR) Outstanding Residential Mortgage Loans (5% CPR) Outstanding Residential Mortgage Loans (10% CPR) Covered bonds (until maturity date) 3,000,000,000 2,500,000,000 2,000,000,000 1,500,000,000 1,000,000, ,000,000 0 Belfius Mortgage Pandbrieven Programme - Investor Report 16

17 Definitions and Remarks Interest and Principal coverage Test The interest and principal coverage test is done at the CPR which is derived from Belfius internal Prepayment model. This CPR changes over time. Costs, Fees and Expenses Related to Covered Bonds are simulated based on the assumption of a fixed amount of EUR 5 million p.a. and 7 bp on the outstanding mortgage loan balance. Liquidity Test The liquidity test is done as defined in the Royal Decree. The liquidity test is done at the most conservative CPR assuption, being the CPR at which the cash flow comes in at the slowest speed, being 0% CPR Original Loan to Initial Value Original Loan to Initial Value is defined as the ratio of the sum of the initial (active) credit opening a client has been granted divided by the sum of the initial property values on which Belfius has been granted a first ranking mortgage inscription by the client. Properties on which Belfius has no first ranking inscriptions as well as any other guarantee Belfius has obtained are excluded for the purpose of this calculation. Current Loan to Current Value Current Loan to Current Value is defined as the ratio of the sum of the current balance of all residential mortgage loans a client has with Belfius divided by the sum of the current property values on which Belfius has been granted a first ranking mortgage inscription by the client. Properties on which Belfius has no first ranking inscriptions as well as any other guarantee Belfius has obtained are excluded for the purpose of this calculation. The current property value is the value derived after indexation. Loan to Mortgage Inscription Ratio (LTM) The Loan to Mortgage Inscription (LTM) gives the ratio between the sum of the current balance of all residential mortgage loans a client has with Belfius divided by the sum of all first and subsequent ranking mortgage inscriptions which the client has granted to Belfius. In case this ratio is in excess of 100%, the part above 100% is typically secured by a mandate. Interest Type The interest type "Fixed" means that the interest rate of a loan is fixed during the entire life of the loan. The interest types "X/Y/Y" are interest types whereby the loan has a first fixed interest period of Y years followed by fixed interest periods of X years. A 10/5/5 is hence a loan that has an interest rate that is fixed during the first 10 years after which it will have fixed interest periods of 5 year. The interest resets are legally defined in Belgium and are based on the OLO rates. Prepayments The monthly percentage is defined as: Amount Prepaid during the month / (Initial Balance - Scheduled Payments) The annual percentage (CPR) is defined as: 1 - (1 - monthly percentage) ^ 12 In order to calculate the prepayment rates, only those loans are taken into account that were present in the cover pool during the entire month. Loans that were taken out of the cover pool during the past month or added to the cover pool during the past month are excluded for the prepayment calculation. Amortisation Profiles For the purpose of calculating the amortisation profiles, the interest and principal payments, loans with a resettable rate are simulated using the relevant forward OLO rates in order to simulate the interest resets and the resulting monthly interest and principal payments amounts. No yield compression is assumed in the calculations provided in this report where CPR assumptions different from 0% are used. Belfius Mortgage Pandbrieven Programme - Investor Report 17

18 Disclaimer This document is prepared by Belfius Bank NV/SA, Boulevard Pacheco 44, 1000 Brussels, Belgium (herein referred as Belfius Bank ) on behalf of itself. This document is published purely for the purposes of information, it contains no offer or invitation for the purchase or sale of financial instruments, does not comprise investment advice and is not confirmation of any transaction. The information in this document has been treated with all reasonable care. Nevertheless errors or omissions cannot be excluded and no warranty can be given as to the completeness of the information of this document. All opinions, estimates and projections contained in this document are those of Belfius Bank as of the date hereof and are subject to change without notice. The information contained in this document was obtained from a number of different sources. Belfius Bank exercises the greatest care when choosing its sources of information and passing the information. Nevertheless errors or omissions in those sources or processes cannot be excluded a priori. Belfius Bank cannot be held liable for any direct or indirect damage or loss resulting from the use of this document. The information contained in this document is published for the assistance of the recipient, but is not to be relied upon as authoritative or taken in substitution for the exercise of judgment by any recipient. Nothing in this document shall form the basis of any contract or commitment whatsoever. In the United Kingdom, this report is intended only for Investment Professionals (as defined in The Financial Services and Markets Act 2000 (Financial Promotion) Order 2001) and is not intended to be distributed or passed on, directly or indirectly, to any other class of persons (in particular retail client) in he United Kingdom. The information is not intended for persons who are resident in the United States or who are physically present in the United States and the Mortgage Pandbrieven are not or will not be registered under the US Securities Act of 1933 as amended and the Mortgage Pandbrieven may not be offered or sold within the United States or to, or for the account or benefit of US persons, except in certain circumstances exempt from the registration requirements of the Securities Act. Potential users of this document and each investor is encouraged to contact its local regulatory authorities to determine whether any restrictions apply to their ability to purchase investments to which this report refers. This report is made available to you for information purposes and this report or any part of it may not be reproduced, distributed or published without the prior written consent of Belfius Bank. All rights reserved. Belfius Mortgage Pandbrieven Programme - Investor Report 18