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 - +49 (697) 073-0947 - 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: +44 20 7772-5454, csdlondon@moodys.com Click here to access the covered bond programme webpage on moodys.com Reporting as of: 31/12/2018 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: 2014 Total outstanding liabilities: Total assets in the Cover Pool: NOK NOK 6,493,000,000 7,820,602,811 Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: Helgeland Boligkreditt AS / Unrated Helgeland Sparebank / 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: Helgeland Sparebank CR Assessment + 1 notch n/a 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: 3.8% Chart 2 : Asset types in cover pool Other / Supplementary assets, 5.6% Cover Pool losses Collateral Risk (Collateral Score post-haircut): 3.4% 3 Market Risk: 6.2% 6 9.6% (10) 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 Residential assets, 94.4% Current situation Committed OC (Nominal): 10. Current OC: 20.4% OC consistent with current rating (note 4) 4. Sensitivity scenario CB anchor OC consistent with current rating Scenario 1: CB anchor is lowered by 1 notch 5. IV. Timely Payment Indicator & TPI Leeway Legal framework Timely Payment Indicator (TPI): High Does a specific covered bond law apply for this programme: Yes, Norwegian covered bond legislation TPI Leeway: 3 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 Aa2(cr) Timely payment Aa3(cr) Refinancing period for principal payments of 6 months or greater: Yes A1(cr) Liquidity reserve to support timely payments on all issuances: No 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 CR assessments of A3(cr) committee 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 Helgeland Boligkreditt AS - Mortgage Covered Bonds Page 1
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: 0. Interest rate swap(s) in the Cover Pool: No Fixed rate covered bonds outstanding: 0. Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 3.2 years Currency swap(s) in the Cover Pool: No WAL of the cover pool: 12.0 years Intra-group currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) 90. 80. 70. 60. 50. 40. 30. 20. 10. 0. (note 6) Maximum mismatch: 83.7% 0 1 2 3 4 5 6 7 8 9 Period in years NOK Chart 4: Currency mix before swaps (3 Main Currencies) Cover pool Covered Bonds in NOK millions 6,493 7,821 0 1,000 2,000 3,000 4,000 5,000 6,000 7,000 8,000 9,000 Chart 5 : Amortisation profile (in millions) (note 7) Assets Liabilities 7,000 6,000 5,000 4,000 3,000 2,000 1,000 0 0 1 2 3 4 5 6 7 8 9 Years VI. Performance Evolution Chart 6 : Collateral Score Chart 7 : Cover Pool Losses 6% 4% 3% 2% 5. 5. 5. 5. 5. 12% 8% 6% 4% Collateral Risk Market Risk Cover Pool Losses 9.6% 9.6% 9.6% 9.6% 9.6% 1% 2% Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q4 2018 Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q4 2018 Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC Current OC 3 3 30. 27.4% 2 2 22.1% 19.9% 20.4% 1 26. 23.4% 18.1% 15.9% 16.4% 4. 4. 4. 4. 4. Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q4 2018 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 www.moodys.com 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 no swap in place in Cover Pool, no prepayment and no further CB issuance. Helgeland Boligkreditt AS - Mortgage Covered Bonds Page 2
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: 7,381,145,621 Interest only Loans / Flex Loans 8. / 11.4% Average loan balance: 1,138,012 Loans for second homes / Vacation: 0. Number of loans: 6,486 Buy to let loans / Non owner occupied properties: 1.2% Number of borrowers: 6,169 Limited income verified: 0. Number of properties: 6,662 Adverse credit characteristics 0. WA remaining term (in months): 267 Interest only loans includes loans which currently are in an initial interest only period before they start amortising. WA seasoning (in months): 30 Flexloans have an amortisation profile and can be re-drawn by the customer up to a certain limit. Performance 0. Details on LTV 0. WA unindexed LTV: Whole Loan / Senior Loan (*) 64.9% / 58. 0. WA Indexed LTV: Whole Loan / Senior Loan: 62.1% / 57. Loans in a foreclosure procedure: 0. Valuation type: Market Value LTV threshold: 75. Junior ranks: 6.4% Prior ranks: 3.3% Multi-Family Properties Junior ranks are equal to the delta between unindexed whole loan WA LTV (including internal junior ranks) and unindexed senior Loans to tenants of tenant-owned Housing Cooperatives: 0. loan WA LTV (excluding internal junior ranks). Other type of Multi-Family loans (**) 0. 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 LTV-band Unindexed LTV (Whole Loan Basis) Indexed LTV (Senior Loan Basis) Chart B: Percentage of residential assets 3 2 2 1 13.9% 20.6% 8.1% 10.9% 12. 15.3% 23. 23.7% 21.4% 25. 9. 4.2% 1.4% 2.3% 1.9% 2. 1. 0. 0.3% 1.2% 0.2% 0.7% Residential Assets 94.4% 8 6 4 2 Chart C: LTV % 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. 64.2% 62.8% 63.6% 64. 64.3% 64.9% 53.2% 53.7% 55.8% 52.8% 56.8% 55. 56. 57. 2.7% 2.6% 3.7% 3.8% 4. 3.1% 3. 4. 8 6 4 2 Chart D: Interest rate type 12 10 8 6 4 2 100. Chart E: Main country regional distribution Chart F: Seasoning (in months) 9 8 7 6 5 4 3 2 80.6% 6.2% 4.3% 4.2% 1. 0.7% 0.7% 0.7% 0.4% 0.4% 0.2% 0.1% 0.1% 0.1% 0.1% 0.1% 0. 0. 4 3 3 2 2 1 34.9% 25.2% 15.1% 9.4% 15.3% (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 Multi-Family properties (not included in Buy to Let). Helgeland Boligkreditt AS - Mortgage Covered Bonds Page 3
Floating rate (no Caps) Other VIII. Cover Pool Information - Supplementary Assets Overview Specific Loan and Borrower characteristics Asset type: Supplementary Assets Repo eligible assets: 0. Asset balance: 439,457,190 Percentage of fixed rate assets: 0. WA remaining Term (in months): 0 Percentage of bullet assets: 5.7% Number of assets: 2 Assets in non-domestic currency: 0. Number of borrowers: 2 Performance Average assets size: 219,728,595 0. Average exposure to borrowers: 219,728,595 0. Assets in arrears ( > 12months): 0. Assets in a enforcement procedure: 0. Chart A: Interest rate type 10 94.3% 8 6 4 2 5.7% Chart B: Percentage of supplementary assets Supplementary Assets, 5.6% Chart C: Distribution by country, rating 100. 10 8 6 4 2 Chart D: Distribution by country rating, 100. Helgeland Boligkreditt AS - Mortgage Covered Bonds Page 4
IX. Liabilities Information: Last 50 Issuances ISIN Series Number Currency Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment NO0010839434 n/d NOK 200,000,000 12/12/2018 12/06/2024 12/06/2025 Floating rate NIBOR 3M + 55 bps NO0010831290 n/d NOK 500,000,000 30/08/2018 07/03/2024 07/03/2025 Floating rate NIBOR 3M + 42 bps NO0010826415 n/d NOK 500,000,000 20/06/2018 20/12/2023 20/12/2024 Floating rate NIBOR 3M + 47 bps NO0010819568 n/d NOK 500,000,000 20/03/2018 20/06/2023 20/06/2024 Floating rate NIBOR 3M + 40 bps NO0010810278 n/d NOK 500,000,000 15/11/2017 17/01/2022 17/01/2023 Floating rate NIBOR 3M + 41 bps NO0010804008 n/d NOK 500,000,000 29/08/2017 29/08/2022 29/08/2023 Floating rate NIBOR 3M + 45 bps NO0010785843 n/d NOK 500,000,000 08/02/2017 08/03/2023 08/03/2024 Floating rate NIBOR 3M + 64 bps NO0010782774 n/d NOK 500,000,000 26/01/2017 26/01/2021 26/01/2022 Floating rate NIBOR 3M + 52 bps NO0010769920 n/d NOK 500,000,000 15/08/2016 15/06/2022 15/06/2023 Floating rate NIBOR 3M + 78 bps NO0010764897 n/d NOK 500,000,000 12/05/2016 15/06/2021 15/06/2022 Floating rate NIBOR 3M + 86 bps NO0010748601 n/d NOK 240,000,000 04/11/2015 04/11/2019 04/11/2020 Floating rate NIBOR 3M + 70 bps NO0010740673 n/d NOK 500,000,000 17/06/2015 16/12/2020 16/12/2021 Floating rate NIBOR 3M + 40 bps NO0010724065 n/d NOK 500,000,000 17/11/2014 17/11/2021 17/11/2022 Floating rate NIBOR 3M + 30 bps NO0010709355 n/d NOK 500,000,000 08/04/2014 17/06/2020 17/06/2021 Floating rate NIBOR 3M + 40 bps NO0010686710 n/d NOK 53,000,000 04/09/2013 04/03/2019 04/03/2020 Floating rate NIBOR 3M + 50 bps Helgeland Boligkreditt AS - Mortgage Covered Bonds Page 5
THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE. 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. suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. OR MANNER WHATSOEVER. 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 ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements. Helgeland Boligkreditt AS - Mortgage Covered Bonds Page 6