KLP Kommunekreditt - Public Sector- Covered Bond Programme

Transcription

1 Prog INTERNATIONAL STRUCTURED FINANCE KLP Kommunekreditt - Public Sector- Covered Bond Programme Covered Bonds / Norway Contacts Savoye, Elise (331) Elise.Savoye@moodys.com Valier, Diana-Fauve (207) Diana.Valier@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: 31/03/2016 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 Data as provided to Moody's Investors Service (note 1) I. Programme Year of initial rating assignment: 2010 Total outstanding liabilities: Total assets in the Cover Pool: NOK (Norway) NOK (Norway) 15,085,000,000 18,615,637,534 Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: KLP Kommunekreditt AS / KLP Banken AS / Public Sector Ratings Covered bonds rating: Entity used in Moody's EL & TPI analysis: CB anchor: CR Assessment: Adjusted BCA: SUR: Unsecured claim used for Moody's EL analysis: KLP Kommunekreditt 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) 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: 4.7% Collateral Score excl. systemic risk: Chart 2 : Asset types in cover pool Other / Supplementary assets, 12.8% Cover Pool losses Collateral Risk (Collateral Score post-haircut): 2.6% 27% Market Risk: 6.9% 73% 9. (10) Public-Sector assets, 87. III. Over-Collateralisation Levels (notes 2 & 3) Over-Collateralisation (OC) figures presented below include Eligible only collateral. Over-collateralisation levels are provided on nominal basis. NPV stress test where stressed: Current situation Committed OC: 16. Current OC: 23. OC consistent with current rating (note 4): 3. Sensitivity scenario CB anchor OC consistent with current rating Scenario 1: CB anchor is lowered by 1 notch 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: Main country in which collateral is based: Norway Country in which issuer is based: Norway Timely payment Refinancing period for principal payments of 6 months or greater: Liquidity reserve to support timely payments on all issuances: 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 Issuers currently rated A2 or A3, as the discretion 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 KLP Kommunekreditt - Public Sector- Covered Bond Programme Page 1

2 Mismatch in % of the total liabilities V. Asset Liability Profile Interest Rate & Duration Mismatch (note 5) Swap Arrangements Fixed rate assets in the cover pool: 21. Interest rate swap(s) in the Cover Pool: Yes Fixed rate covered bonds outstanding: 13. Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 2.6 years Currency swap(s) in the Cover Pool: Yes WAL of the cover pool: 9.6 years Intra-group currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) (note 6) Maximum mismatch: 56. Chart 4: Currency mix before swaps (3 Main Currencies) Cover pool Covered Bonds Period in years NOK (Norw ay) in NOK (Norway) millions 15,085 18, ,000 10,000 15,000 20,000 Chart 5 : Amortisation profile (in millions) (note 7) Assets 20,000 18,000 16,000 14,000 12,000 10,000 8,000 6,000 4,000 2,000 0 VI. Performance Evolution Liabilities Years Chart 6 : Collateral Score Chart 7 : Cover Pool Losses 4.7% Collateral Risk Market Risk Cover Pool Losses 3% 3% 1% 1% 4.1% Q Q Q Q Q % 1 1 8% 6% 9.3% % Q Q Q Q Q Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC CurrentOC % 18.6% 18.7% % 16.7% Q Q Q Q Q Covered Bond Rating CR Asessment 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. KLP Kommunekreditt - Public Sector- Covered Bond Programme Page 2

3 Cum Pool Volume VII. Cover Pool Information - Public Sector Assets Specific Loan and Borrower characteristics Asset type: Public Sector Repo eligible loans / bonds: 0. Asset balance: 16,230,530,457 Percentage of fixed rate loans / bonds: 34. WA remaining Term (in months): 246 Percentage of bullet loans/ bonds: 17. Number of borrowers: 322 Loans / bonds in non-domestic currency: 0. Number of loans / bonds: 827 Performance Exposure to the 10 largest borrowers: 25.7% 0. Average exposure to borrowers: 50,405, n/d: information not disclosed by Issuer 0. : information not applicable Loans / bonds in a foreclosure procedure: 0. Table A : Borrower type by country Norway Direct claim against supranational 0. Direct claim against sovereign 0. Loan with guarantee of sovereign 0. Direct claim against region/federal state 7. Loan with guarantee of region/federal state 2. Direct claim against municipality 80.6% Loan with guarantee of municipality 9.6% Others Chart B: Percentage of public sector assets Public Sector Assets, 87. Chart C: Borrower concentration Number of Borrowers Chart D: Pool distribution by country exposure rating, 100. Chart E: Main country regional distribution 1 1 8% 6% % 8.3% 7.3% % % 3.7% % 0.6% 0.3% Chart F: Distribution by country exposure, rating Table A and Chart C are based on debtor data. Charts D, E and F are based on guarantor data or, on unavailability of such information, on debtor data, as reported by the issuer. KLP Kommunekreditt - Public Sector- Covered Bond Programme Page 6

4 Floating rate (no Caps) Floating rate (Caps) VIII. Cover Pool Information - Supplementary Assets Specific Loan and Borrower characteristics Asset type: Supplementary Assets (*) Repo eligible assets: 89.3% Asset balance: 2,385,107,077 Percentage of fixed rate assets: 0. WA remaining Term (in months): 31 Percentage of bullet assets: 89.3% Number of assets: 29 Assets in non-domestic currency: 0. Number of borrowers: 24 Performance Average assets size: 82,245, Average exposure to borrowers: 99,379, n/d: information not disclosed by Issuer Assets in arrears ( > 12months): 0. : information not applicable Assets in a enforcement procedure: 0. (*) 10.7% of Substitute Assets are constituted by registered cash Chart A: Interest rate type 89.3% Chart B: Percentage of supplementary assets Supplementary Assets, 12.8% % Chart C: Distribution by country, rating 97.9% 10 8 Chart D: Distribution by country rating No sovereign ratg, 2.1% 6, 97.9% % KLP Kommunekreditt - Public Sector- Covered Bond Programme Page 7

5 Appendix 1: Liabilities Information: Last 50 Issuances ISIN Series Number Currency Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment NO NOK 600,000,000 28/01/ /10/ /10/2022 Fixed rate 1.79 NO NOK 2,000,000,000 16/11/ /05/ /05/2020 Floating rate 3-month NIBOR + 47 bps NO NOK 2,500,000,000 17/09/ /12/ /12/2020 Floating rate 3-month NIBOR + 18 bps NO NOK 2,000,000,000 26/08/ /12/ /12/2019 Floating rate 3-month NIBOR + 16 bps NO NOK 1,970,000,000 15/05/ /05/ /05/2019 Floating rate 3-month NIBOR + 33 bps NO NOK 635,000,000 02/05/ /05/ /05/2018 Fixed rate 2.25 NO NOK 1,595,000,000 15/11/ /11/ /11/2017 Floating rate 3-month NIBOR + 30 bps NO NOK 3,000,000,000 26/10/ /11/ /11/2018 Floating rate 3-month NIBOR + 40 bps NO NOK 35,000,000 13/04/ /04/ /04/2017 Floating rate 3-month NIBOR + 40 bps NO NOK 750,000,000 15/12/ /12/ /12/2021 Fixed rate 4.60 RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS 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 THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE. 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, suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. MANNER WHATSOEVER. publications when making an investment decision. If in doubt you should contact your financial or other professional adviser. 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. KLP Kommunekreditt - Public Sector- Covered Bond Programme Page 12