Cover pool

The cover pool consists to more than 90% of residential mortgage loans

Loan-to-value calculation as defined by the Association of Swedish Covered Bond Issuers www.ascb.se

ECBC Covered Bond Label

Swedbank Mortgage is a member of the ECBC Covered Bond Label Initiative. The labelled covered bonds issued by Swedbank Mortgage can be found on the ECBC Covered Bond Label website.

ECBC Covered Bond Label

Harmonised Transparency Templates

Cover pool data

Cover pool	Jun 2020	Mar 2020	Dec 2019	Sep 2019	Jun 2019
Total assets in the cover pool, SEKbn	1 005.7	994.3	989.8	990.3	984.4
Number of borrowers	1 087 251	1 088 272	1 092 884	1 101 420	1 106 373
Number of properties	735 512	735 984	738 893	744 054	747 097
Average loan size, SEK	625 731	621 053	617 316	615 425	610 986
Number of loans outstanding	1 607 233	1 601 070	1 603 462	1 609 172	1 611 092
Over-collateralisation level	69.1	77.7	76.9	77.4	80.8
Weighted Average LTV (property level)	51%	51%	50%	51%	52%
Average seasoning, months	71	71	70	69	68

Type of loans in the pool	Jun 2020	Mar 2020	Dec 2019	Sep 2019	Jun 2019
Residentials	92.5%	92.5%	92.3%	92.2%	92.2%
of which Single-family housing	57.2%	57.1%	57.0%	56.8%	56.7%
of which Tenant owner rights	22.1%	22.0%	21.9%	21.7%	21.7%
of which Tenant owner associations	8.4%	8.6%	8.7%	8.9%	9.0%
of which Multi-family housing	4.8%	4.8%	4.7%	4.8%	4.8%
Public	0.5%	0.5%	0.5%	0.6%	0.6%
Commercial	1.1%	1.1%	1.2%	1.2%	1.1%
Forest & Agricultural	5.9%	5.9%	6.0%	6.0%	6.1%

Geographic distribution	Jun 2020	Mar 2020	Dec 2019	Sep 2019	Jun 2019
(more granular in pdf)
North	6.8%	6.8%	6.8%	6.8%	6.7%
Middle (including Stockholm)	43.9%	44.0%	44.0%	43.8%	43.9%
South (including Gothenburg and Malmoe)	49.2%	49.2%	49.2%	49.4%	49.4%

Interest rate fixing, floating / fixed	Jun 2020	Mar 2020	Dec 2019	Sep 2019	Jun 2019
(distribution by refixing period as percentage of total cover pool)
Floating (reset in < 365 days)	64.4%	65.8%	67.7%	68.1%	68.2%
Fixed, reset period 1-2 Y	13.6%	13.0%	11.8%	10.8%	11.1%
Fixed, reset period 2-5 Y	20.7%	19.9%	19.4%	19.7%	19.3%
Fixed, reset period > 5 Y	1.3%	1.3%	1.3%	1.4%	1.4%

Repayment structure, on property level	Jun 2020	Mar 2020	Dec 2019	Sep 2019	Jun 2019
Amortising	68%	74%	73%	73%	72%
Interest only	32%	26%	27%	27%	28%
Dynamic pool	YES	YES	YES	YES	YES
Non-performing loans 1) (see pdf. for split of loans past due 0-60 days)	None	None	None	None	None
1) Loans past due > 60 days are not eligible for the cover pool

Covered bonds	Jun 2020	Mar 2020	Dec 2019	Sep 2019	Jun 2019
Rating of the Covered bond programme (S&P / Moody's)	AAA/Aaa	AAA/Aaa	AAA/Aaa	AAA/Aaa	AAA/Aaa
Total outstanding amount, nominal, SEKm 1)	594 564	559 538	559 454	558 125	544 434
Weighted average maturity period	36 months	36 months	37 months	39 months	42 months
FX distribution
SEK	69%	69%	69%	68%	67%
EUR	28%	26%	26%	27%	28%
USD	0%	1%	1%	1%	2%
Other	3%	4%	4%	4%	3%
1) FX-rate as per trade date; Gross outstanding amount, i.e. including intra-group holdings.