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	Mar 2020	Dec 2019	Sep 2019	Jun 2019	Mar 2019
Total assets in the cover pool, SEKbn	994.3	989.8	990.3	984.4	976.1
Number of borrowers	1 088 272	1 092 884	1 101 420	1 106 373	1 111 816
Number of properties	735 984	738 893	744 054	747 097	750 085
Average loan size, SEK	621 053	617 316	615 425	610 986	605 693
Number of loans outstanding	1 601 070	1 603 462	1 609 172	1 611 092	1 611 524
Over-collateralisation level	77.7	76.9	77.4	80.8	89.4
Weighted Average LTV (property level)	51%	50%	51%	52%	51%
Average seasoning, months	71	70	69	68	68

Type of loans in the pool	Mar 2020	Dec 2019	Sep 2019	Jun 2019	Mar 2019
Residentials	92.5%	92.3%	92.2%	92.2%	92.2%
of which Single-family housing	57.1%	57.0%	56.8%	56.7%	56.8%
of which Tenant owner rights	22.0%	21.9%	21.7%	21.7%	21.5%
of which Tenant owner associations	8.6%	8.7%	8.9%	9.0%	9.1%
of which Multi-family housing	4.8%	4.7%	4.8%	4.8%	4.8%
Public	0.5%	0.5%	0.6%	0.6%	0.6%
Commercial	1.1%	1.2%	1.2%	1.1%	1.0%
Forest & Agricultural	5.9%	6.0%	6.0%	6.1%	6.2%

Geographic distribution	Mar 2020	Dec 2019	Sep 2019	Jun 2019	Mar 2019
(more granular in pdf)
North	6.8%	6.8%	6.8%	6.7%	6.6%
Middle (including Stockholm)	44.0%	44.0%	43.8%	43.9%	43.8%
South (including Gothenburg and Malmoe)	49.2%	49.2%	49.4%	49.4%	49.6%

Interest rate fixing, floating / fixed	Mar 2020	Dec 2019	Sep 2019	Jun 2019	Mar 2019
(distribution by refixing period as percentage of total cover pool)
Floating (reset in < 365 days)	65.8%	67.7%	68.1%	68.2%	67.9%
Fixed, reset period 1-2 Y	13.0%	11.8%	10.8%	11.1%	11.3%
Fixed, reset period 2-5 Y	19.9%	19.4%	19.7%	19.3%	19.4%
Fixed, reset period > 5 Y	1.3%	1.3%	1.4%	1.4%	1.4%

Repayment structure, on property level	Mar 2020	Dec 2019	Sep 2019	Jun 2019	Mar 2019
Amortising	74%	73%	73%	72%	71%
Interest only	26%	27%	27%	28%	29%
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	Mar 2020	Dec 2019	Sep 2019	Jun 2019	Mar 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)	559 538	559 454	558 125	544 434	515 345
Weighted average maturity period	36 months	37 months	39 months	42 months	42 months
FX distribution
SEK	69%	69%	68%	67%	68%
EUR	26%	26%	27%	28%	27%
USD	1%	1%	1%	2%	2%
Other	4%	4%	4%	3%	3%
1) FX-rate as per trade date; Gross outstanding amount, i.e. including intra-group holdings.