Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds

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1 Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Covered Bonds / Norway Contacts Rodriguez-Vigil, Tomas (917) Tomas.Rodriguez-Vigil@moodys.com Ritzka, Stefan (697) Stefan.Ritzka@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: 30/09/2017 All amounts in NOK (Norway) (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: 2011 Total outstanding liabilities: Total assets in the Cover Pool: NOK (Norway) NOK (Norway) 25,943,000,000 29,329,016,800 Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: Sparebanken Sør Boligkreditt AS / Sparebanken Sør / 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: Sparebanken Sor CR Assessment + 1 notch A1 No 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: 4. Cover Pool losses Collateral Risk (Collateral Score post-haircut): 3. 39% Market Risk: 5.3% 61% 8. (10) Chart 2 : Asset types in cover pool Residential assets, 100. III. Over-Collateralisation Levels (notes 2 & 3) Over-Collateralisation (OC) figures presented below can include Eligible and Non-Eligible collateral. Over-collateralisation levels are provided on nominal basis. NPV stress test where stressed: Current situation Committed OC (Nominal): 2. Sensitivity scenario CB anchor OC consistent with current rating Current OC: 13.1% OC consistent with current rating (note 4): 0. Scenario 1: CB anchor is lowered by 1 notch 2. 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: 5 Main country in which collateral is based: Norway Country in which issuer is based: Norway Extract from TPI table - CB anchor is CR Assessment + 1 notch CR Assessment High (cr) Timely payment Aa1(cr) Refinancing period for principal payments of 6 months or greater: Yes Aa2(cr) Liquidity reserve to support timely payments on all issuances: No A1(cr) A2(cr) A3(cr) Baa1(cr) Baa2(cr) Baa3(cr) Aa1 (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 Issuers currently rated A2 or A3, as the is applied. (note 4) The OC consistent with the current rating is the minimum level of over-collateralisation which is necessary to support the covered bond rating at its current level on the basis of the pool as per the cut-off 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 current rating may be higher than shown. The Sparebanken Sor 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: 0. Interest rate swap(s) in the Cover Pool: Yes Fixed rate covered bonds outstanding: 39. Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 3.4 years swap(s) in the Cover Pool: Yes WAL of the cover pool: 8.9 years Intra-group currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) (note 6) Maximum mismatch: Period in years Chart 4: mix before swaps (3 Main Currencies) EUR NOK (Norway) Cover pool Covered Bonds 9,380 16,563 in NOK (Norway) millions 29, ,000 10,000 15,000 20,000 25,000 30,000 35,000 Chart 5 : Amortisation profile (in millions) (note 7) Assets 35,000 30,000 25,000 20,000 15,000 10,000 5,000 0 Liabilities 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 % 14.3% % 1 8% 13.9% % 11.9% 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. Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 2

3 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: 29,329,016,800 Interest only Loans (***) / Flex loans (****): 1. / 24.9% Average loan balance: 1,274,510 Loans for second homes / Vacation: 0. Number of loans: 23,012 Buy to let loans / Non owner occupied properties: 2. Number of borrowers: 21,161 Limited income verified: 0. Number of properties: 23,224 Adverse credit characteristics (*****): 0. WA remaining term (in months): 201 WA seasoning (in months): 41 Performance 0. Details on LTV 0. WA unindexed LTV: Whole loan / Senior loan (*) 67. / 60.8% 0. WA indexed LTV: Whole loan / Senior loan 63. / 55.9% Loans in a foreclosure procedure: 0. Valuation type: Market Value LTV threshold: n/d Multi-Family Properties Junior ranks (**): 6. Loans to tenants of tenant-owned Housing Cooperatives: 0. Prior ranks: 4. Other type of Multi-Family loans (******): 0. n/d: information not disclosed by Issuer : information not applicable Chart A: Balance per LTV-band Unindexed LTV (Whole loan basis) Indexed LTV (Senior loan basis) Note: Unindexed LTV on whole loan basis includes junior ranks at parent bank level. Indexed LTV on senior loan basis as in cover pool. Chart B: Percentage of residential assets % % % 23.8% % % 1.7% % 0.1% 0.1% % 0. Residential Assets 100. Chart C: LTV % of the pool with Indexed LTV>8 (Whole loan basis) Indexed WA LTV (Senior loan basis) Unindexed WA LTV (Whole loan basis) Chart D: Interest rate type % 66.1% 66.1% 66.8% 66.8% % % 52.8% 54.7% 53.7% 54.1% 55.9% % % 18.7% 17.9% 21.1% Chart E: Main country regional distribution Chart F: Seasoning (in months) % % % % 0.9% 0.7% 0.3% 0.3% % 0.1% 0.1% 0.1% % 19.1% 19.9% 22. (note *) May be based on property value at time of origination or further advance or borrower refinancing. (note **) Internal Junior ranks(delta between unindexed whole loan WA LTV incl. Internal junior ranks and unindexed WA LTV excl. Internal junior ranks). (note ***) This category includes loans which currently are in an initial interest only period before they start amortising. (note ****) FlexLoans have an amortisation profile and can be re-drawn by the customer up to a certain limit. (note *****) Typically borrowers with a previous personal bankruptcy or borrowers with record of court claims against them at time of origination. (note ******) This "other" type refers to loans directly to Housing Cooperatives and to Landlords of Multi-Family properties (not included in Buy to Let). Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 3

4 VIII. Swap Information Counterparty Type Notional Amount Collateral trigger Total Total Interest rate Nordea Subtotal Interest rate DNB Bank ASA Subtotal Interest rate Swedbank Subtotal Interest rate Replacement Trigger IX. Liabilities Information: Last 50 Issuances ISIN Series Number Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment XS n/d EUR 500,000,000 30/05/ /05/ /05/2023 Fixed rate 0.12 NO SORB27 NOK 5,000,000,000 22/11/ /11/ /11/2022 Floating rate Nibor 3 mnd bps XS n/d EUR 500,000,000 22/03/ /03/ /03/2022 Fixed rate 0.25 NO SORB24 NOK 5,000,000,000 24/06/ /06/ /06/2021 Floating rate Nibor 3 mnd bps NO SORB10 NOK 5,000,000,000 22/05/ /05/ /05/2020 Floating rate Nibor 3 mnd bps NO SORB21 NOK 685,000,000 14/03/ /09/ /09/2019 Floating rate Nibor 3 mnd bps NO SORB09 NOK 350,000,000 13/02/ /02/ /02/2024 Fixed rate 3.85 NO SORB08 NOK 500,000,000 24/01/ /01/ /01/2029 Fixed rate 4.00 NO SORB07 NOK 28,000,000 27/11/ /11/ /11/2020 Floating rate Nibor 3 mnd bps Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 4

5 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, 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. Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 5