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
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(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
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(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.