Upload
others
View
5
Download
0
Embed Size (px)
Citation preview
Prog
Sparebanken Sor Boligkreditt AS - Mortgage Covered BondsCovered Bonds / Norway
Contacts
Monitoring [email protected] Click on the icon to download data into Excel & to see Glossary of terms used
Client Service Desk London: +44 (207) 772-5454, [email protected] Click here to access the covered bond programme webpage on moodys.com
Reporting as of: 30/06/2017 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:Issuer name / CR Assessment:
Group or parent name / CR Assessment:
Main collateral type:
Ratings
Covered bonds rating: Aaa
Entity used in Moody's EL & TPI analysis:
CB anchor: CR Assessment:
SUR: A1
Unsecured claim used for Moody's EL analysis: No
II. Value of the Cover Pool
Collateral Score: 5.0%
Collateral Score excl. systemic risk: 4.2%
Collateral Risk (Collateral Score post-haircut): 3.4% 39%
Market Risk: 5.3% 61%8.6% (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: n/a
Current situation
Committed OC (Nominal): 2.0%
Current OC: 12.4%
Scenario 1: CB anchor is lowered by 1 notch 2.5%
OC consistent with current rating (note 4): 0.5%
IV. Timely Payment Indicator & TPI LeewayLegal 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
CR Assessment High
Aaa(cr) Aaa Timely paymentAa1(cr) Aaa Refinancing period for principal payments of 6 months or greater: Yes
Aa2(cr) Aaa Liquidity reserve to support timely payments on all issuances: No
Aa3(cr) Aaa
A1(cr) Aaa
A2(cr) Aaa
A3(cr) Aaa
Baa1(cr) Aaa
Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 1
(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
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 OC
28 September 2017
Cover Pool losses
Sensitivity scenario CB anchor
OC consistent with current rating
Extract from TPI table - CB anchor is CR Assessment + 1 notch
Rodriguez-Vigil, Tomas - +34 (917) 688-231 - [email protected]
CR Assessment + 1 notchAa3(cr)
Collateral quality
Residential
26,430,000,000
29,706,645,673Sparebanken Sør Boligkreditt AS / n/a
Sparebanken Sør / Aa3(cr)
NOK (Norway)
NOK (Norway)
Chandarana, Ashika - +44 (207) 772-1265 - [email protected]
Sparebanken Sor
Residential assets, 100.0%
Chart 2 : Asset types in cover pool
INTERNATIONAL STRUCTURED FINANCE COVERED BONDS
COVERED BONDS
AaaAa1Aa2Aa3
A1A2A3
Baa1Baa2Baa3Ba1Ba2Ba3
B1B2
Aaa (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)
Chart 1:Rating history
Covered Bond Sovereign CR Assessment (RHS)
mailto:[email protected]://www.moodys.com/credit-ratings/Sparebanken-Sor-Boligkreditt-AS--Mortgage-Covered-Bonds-credit-rating-722160757https://www.moodys.com/credit-ratings/Sparebanken-Sor-Boligkreditt-AS--Mortgage-Covered-Bonds-credit-rating-722160757https://www.moodys.com/credit-ratings/Sparebanken-Sor-Boligkreditt-AS--Mortgage-Covered-Bonds-credit-rating-722160757Data_Assets
Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds_30.06.2017
Moody's Investors Service
Programme Overview263
Programme NameSparebanken Sor Boligkreditt AS - Mortgage Covered Bonds
CountryNorway
Reporting as of (Cut-Off Date)6/30/17
Currency ReportingNOK (Norway)
Year of Initial Rating Assignment2011
Total outstanding liabilities26,430,000,000
Total Assets in Cover Pool29,706,645,673
Issuer name / CR Assessment:Sparebanken Sør Boligkreditt AS / n/a
Group or parent name / CR Assessment:Sparebanken Sør / Aa3(cr)
Main Collateral TypeResidential
Covered Bonds RatingAaa
Entity used in Moody's EL & TPI analysis:Sparebanken Sor
CB anchor:CR Assessment + 1 notch
CR Assessment:Aa3(cr)
SUR:A1
Unsecured claim used for Moody's EL analysis:No
Does a specific Covered Bonds Law apply for this Programme:Yes
Main Country in which Collateral is basedNorway
Country in which Issuer is basedNorway
Timely Payment
Timely Payment Indicator (TPI)High
TPI Leeway5
Nature of OCEligible and Non-Eligible
OC levels provided on a:Nominal only
NPV Movementn/a
Value of the Cover Pool
Collateral Score5.0%
Collateral Score excl. Systemic risk4.2%
Collateral Risk (Collateral Score Post-haircut)3.4%
Refinancing and Market Risk5.3%
OC Levels
Committed OC:2.0%
Current OC12.4%
OC consistent with current rating:0.5%
Estimated OC to maintain current rating in following scenarios:
Scenario 1: CB Anchor is lowered by 1 notch:2.5%
Chart 2: Collateral Composition
Residential assets100.0%
Commercial assets0.0%
Public-Sector assets0.0%
Multi Family assets0.0%
Other assets0.0%
Chart 3: Assets & Liabilities Mismatch
Maximum Mismatch75.5%
Chart 4: Currency Mix before Swaps in CB
NOK (Norway)16,860,000,000
EUR9,570,000,000
Chart 4: Currency Mix before Swaps in Cover Pool
NOK (Norway)29,706,645,673
EUR
Interest Rate & Duration Mismatch
Fixed Rate assets in the Cover Pool0.0%
Fixed Rate Covered Bonds outstanding39.4%
WAL of outstanding Covered Bonds3.6 years
WAL of the Cover Pool10.1 years
Swap Arrangements
Interest rate swap(s) in the Cover Pool:Yes
Intra-group interest rate swap(s) provider(s):No
Currency swap(s) in the Cover Pool:Yes
Intra-group currency swap(s) provider(s):No
Residential DataResidential Assets
Total residential assets balance:29,706,645,673
Average loan balance:1,244,727
Number of loans:23,866
Number of borrowers:21,838
Number of properties:24,009
WA Remaining Term (in months):202
WA Seasoning (in months):39
WA Unindexed LTV: Whole loan / senior loan:66.8% / 60.5%
WA Indexed LTV: Whole loan / senior loan:61.3% / 54.1%
Valuation TypeMarket Value
LTV Thresholdn/d
Junior ranks:6.3%
Prior ranks:4.0%
Loans with an external guarantee in addition to a mortgage:0.0%
Interest Only Loans / Flex loans:1.0% / 25.6%
Loans for Second homes / Vacation:0.0%
Buy to Let loans / Non owner occupied properties:2.2%
Limited Income Verified:0.0%
Adverse Credit Characteristics:0.0%
Loans in arrears ( ≥ 2months - < 6months):0.0%
Loans in arrears ( ≥ 6months - < 12months):0.0%
Loans in arrears ( > 12months):0.0%
Loans in a foreclosure procedure:0.0%
Loans to tenants of tenant-owned Housing Cooperatives:0.0%
Other type of Multi-Family loans:0.0%
LTV Distribution
Unindexed
0-40%8.3%
40-50%7.6%
50-60%13.1%
60-70%26.2%
70-80%24.2%
80-85%9.5%
85-90%4.4%
90-95%2.6%
95-100%1.7%
100-105%1.5%
>105%0.9%
Indexed
0-40%20.1%
40-50%14.1%
50-60%22.1%
60-70%32.7%
70-80%10.2%
80-85%0.5%
85-90%0.1%
90-95%0.1%
95-100%0.1%
100-105%0.0%
>105%0.0%
Seasoning
V. Asset Liability Profile
Interest Rate & Duration Mismatch (note 5) Swap Arrangements
Fixed rate assets in the cover pool: 0.0% Interest rate swap(s) in the Cover Pool: Yes
Fixed rate covered bonds outstanding: 39.4% Intra-group interest rate swap(s) provider(s): No
WAL of outstanding covered bonds: 3.6 years Currency swap(s) in the Cover Pool: Yes
WAL of the cover pool: 10.1 years Intra-group currency swap(s) provider(s): No
(note 6)
Maximum mismatch: 75.5%
in NOK (Norway) millions
Amortisation profile (in millions) (note 7)
VI. Performance Evolution
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.
Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 2
(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.
28 September 2017
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
0 1 2 3 4 5 6 7 8 9
Years
Chart 5 :
Assets Liabilities
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
0 1 2 3 4 5 6 7 8 9
Mis
mat
ch i
n %
of
the
tota
l lia
bili
ties
Period in years
Chart 3 :Stressed refinancing needs per quarter (% of liabilities)
16,860
9,570
29,707
0 5,000 10,000 15,000 20,000 25,000 30,000 35,000
NOK(Norway)
EUR
Chart 4:Currency mix before swaps (3 Main Currencies)
Cover pool Covered Bonds
COVERED BONDS
11.9%
8.5% 8.5% 8.5% 8.6%
0%
2%
4%
6%
8%
10%
12%
14%
Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017
Chart 7 :Cover Pool Losses
Collateral Risk Market Risk Cover Pool Losses
5.0% 5.0% 5.0% 5.0% 5.0%
0%
1%
2%
3%
4%
5%
6%
Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017
Chart 6 :Collateral Score
1.0% 0.5% 0.5% 0.5% 0.5%
13.5% 13.9% 14.2% 13.8%11.9%
14.5% 14.4% 14.7%14.3%
12.4%
0%
2%
4%
6%
8%
10%
12%
14%
16%
Q2 2016
Aaa
Aa3(cr)
Q3 2016
Aaa
Aa3(cr)
Q4 2016
Aaa
Aa3(cr)
Q1 2017
Aaa
Aa3(cr)
Q2 2017
Aaa
Aa3(cr)
Chart 8 :OC consistent with covered bond rating vs. Current OC OC needed Surplus OC CurrentOC
Covered Bond Rating
CR Assessment
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: 0.0%
Asset balance: Interest only loans (***) / Flex loans(****): 1.0% / 25.6%
Average loan balance: 1,244,727 Loans for second homes / Vacation: 0.0%
Number of loans: 23,866 Buy to let loans / Non owner occupied properties: 2.2%
Number of borrowers: 21,838 Limited income verified: 0.0%
Number of properties: 24,009 Adverse credit characteristics (*****): 0.0%
WA remaining term (in months): 202
WA seasoning (in months): 39 Performance
0.0%
Details on LTV 0.0%
WA unindexed LTV: Whole loan / Senior loan (*): 66.8% / 60.5% 0.0%
WA indexed LTV: Whole loan / Senior loan: 61.3% / 54.1% Loans in a foreclosure procedure: 0.0%
Valuation type: Market Value
LTV threshold: n/d Multi-Family Properties
Junior ranks (**): 6.3% Loans to tenants of tenant-owned Housing Cooperatives: 0.0%
Prior ranks: 4.0% Other type of Multi-Family loans (******): 0.0%n/d: information not disclosed by Issuer
n/a: information not applicable
Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 3
(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).
28 September 2017
(note **) Internal Junior ranks(delta between unindexed whole loan WA LTV incl. Internal junior ranks and unindexed WA LTV excl. Internal junior ranks).
29,706,645,673
(note *) may be based on property value at time of origination or further advance or borrower refinancing.
16.9%
24.5%
18.1% 19.1%21.5%
0%
5%
10%
15%
20%
25%
30%
Chart F:Seasoning (in months)
43.6%
28.0%
9.4% 7.7%4.1%
1.9% 1.1% 1.1% 0.9% 0.7% 0.4% 0.3% 0.2% 0.2% 0.1% 0.1% 0.1% 0.1% 0.0% 0.0%0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
Chart E:Main country regional distribution
100.0%
0.0% 0.0% 0.0%0%
20%
40%
60%
80%
100%
120%
Chart D:Interest rate type
Residential Assets
100.0%
Chart B:Percentage of residential assets
8.3% 7.6%
13.1%
26.2%24.2%
9.5%
4.4%2.6% 1.7% 1.5% 0.9%
20.1%
14.1%
22.1%
32.7%
10.2%
0.5% 0.1% 0.1% 0.1% 0.0% 0.0%0%
5%
10%
15%
20%
25%
30%
35%
Chart A:Balance per LTV-band
Unindexed LTV (whole loan basis) Indexed LTV (senior loan basis)
15.1%19.2% 19.6% 19.1% 17.4%
21.9% 18.7% 17.9%
54.3% 55.3% 54.0% 52.7% 52.8% 54.7% 53.7% 54.1%
64.9% 65.2% 65.5% 65.9% 66.1% 66.1% 66.8% 66.8%
0%
20%
40%
60%
80%
0%
20%
40%
60%
80%
Chart C:LTV
% of the pool with Indexed LTV>=80% (whole loan basis) Indexed WA LTV (senior loan basis) Unindexed WA LTV (whole loan basis)
COVERED BONDS
Note: Unindexed LTV on whole loan basis includes junior ranks at parent bank level. Indexed LTV on senior loan basis as in cover pool.
VIII. Swap Information
Counterparty Replacement Trigger
n/a
n/a
n/a
IX. Liabilities Information: Last 50 Issuances
ISIN
Series
Number Currency
Outstanding
Amount
Issuance
Date
Expected
Maturity
Legal Final
Maturity
Principal
Payment
XS1622285283 n/d EUR 500,000,000 30/05/2017 30/05/2022 30/05/2023 BULLETNO0010778954 SORB27 NOK 5,000,000,000 22/11/2016 22/11/2021 22/11/2022 BULLETXS1383921803 n/d EUR 500,000,000 22/03/2016 22/03/2021 22/03/2022 BULLETNO0010714058 SORB24 NOK 5,000,000,000 24/06/2014 24/06/2020 24/06/2021 BULLETNO0010679806 SORB10 NOK 5,000,000,000 22/05/2013 22/05/2019 22/05/2020 BULLETNO0010673296 SORB21 NOK 685,000,000 14/03/2013 14/09/2018 14/09/2019 BULLETNO0010671597 SORB09 NOK 350,000,000 13/02/2013 13/02/2023 13/02/2024 BULLETNO0010670409 SORB08 NOK 500,000,000 24/01/2013 24/01/2028 24/01/2029 BULLETNO0010664659 SORB07 NOK 28,000,000 27/11/2012 27/11/2019 27/11/2020 BULLETNO0010623945 SORB02 NOK 297,000,000 24/08/2011 24/08/2017 24/08/2018 BULLET
Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 428 September 2017
Fixed rate
Floating rate
Fixed rate
Floating rate
Fixed rate
Floating rate
Floating rate
Interest Rate
Type Coupon
Fixed rate 0.125%
Floating rate Nibor 3 mnd + 0 bps
Floating rate Nibor 3 mnd + 0 bps
Nibor 3 mnd + 0 bps
0.250%
Nibor 3 mnd + 0 bps
3.850%
4.000%
Nibor 3 mnd + 0 bps
Nibor 3 mnd + 0 bps
Collateral trigger
n/a
n/a
n/a
Notional Amount
n/a
n/an/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
Type
Total
CurrencyInterest rate
Subtotal
Currency
Interest rate
Subtotal
Currency
Interest rate
Subtotal
Currency
Interest rate
Total
Nordea
DNB Bank ASA
Swedbank
COVERED BONDS
Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 528 September 2017
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.
COVERED BONDS