mortgage covered bond information
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Disclaimer
Banco Sabadell cautions that this presentation may contain forward looking statements with respect to the
business, financial condition, results of operations, strategy plans and objectives of the Banco Sabadell Group.
While these forward looking statements represent our judgement and future expectations concerning the
development of our business. a certain number of risks. uncertainties and other important factors could cause
actual developments and results to differ materially from our expectations. These factors include but are not limited
to (1) general market. Macroeconomic. governmental. political and regulatory trend (2) movements in local and
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These risk factors could adversely affect our business and financial performance published in our past and future
filings and reports. including those with the Spanish Securities and Exchange Commission (Comisión Nacional del
Mercado de Valores).
Banco Sabadell is not nor can it be held responsible for the usage, valuations, opinions, expectations or decisions
which might be adopted by third parties following the publication of this information.
Financial information by business areas is presented according to GAAP as well as internal Banco Sabadell group´s
criteria as a result of which each division reflects the true nature of its business. These criteria do not follow any
particular regulation and can include forecasts and subjective valuations which could represent substantial
differences should another methodology be applied.
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connection with any contract or commitment whatsoever.
Index
1
2
3
General Overview
Total Covered Highlights
Residential Covered Highlights
Commercial Covered Highlights
4
5
Executive Summary
• Covered Bond Label issuer since 1st of January 2013.
• Recurrent issuer in Capital Markets with almost one benchmark transaction per
year. Banc Sabadell has at June 2021 five benchmark covered bond issues in
the market.
• Covered bonds are LCR eligible as HQLA Level 1.
• Rating Upgrades Banc Sabadell Covered Bond programme:
√ On April 2018 Moody’s Upgraded to Aa1 from Aa2.
√ On July 2018 DBRS Upgraded to AAA from AA.
6
Covered Bonds RATING and CRR compliance
CRR compliance
Accomplishing eligibility criteria as HQLA:
A minimum rating of AA-* √ Aa1 (Moody’s) / AAA (DBRS)
At least over 500 MM EUR issuance amount √ > € 500 million
Transparency requirements √
Collateralization over 102% √ 257% (*)
Following CRR Banco Sabadell’s mortgage covered bonds are LCR eligible as HQLA Level 1.
NOTE: Banco Sabadell is member of the Covered Bond Label initiative with the aim of enhancing the Covered
Bonds’market transparency.
All the information about Banco Sabadell covered bonds in: https://www.coveredbondlabel.com/issuer/27/
(*) Calculation of Collateralization Ratio = Mortgage Portfolio / Outstanding Cédulas Hipotecarias
Aa1
17 April 2018
AAA
4 July 2018
Covered Bond Rating:
(1)
(1) Moodys Cédulas Territoriales (Covered Bonds) Rating Aa1 as of 17 April 2018
*Equivalent to Moody’s Aa3 and DBRS AA (low)
Issuer Issue DateCurrent Rating
Moodys/DBRSCurrency
Amount
(€ in million)Coupon (%) Maturity Date
Banco Sabadell 12/11/2014 Aa1(M)/AAA(D) EUR 1,350 0.875% 12/11/2021
Banco Sabadell 10/06/2016 Aa1(M)/AAA(D) EUR 1,000 0.625% 10/06/2024
Banco Sabadell 20/10/2016 Aa1(M)/AAA(D) EUR 1,000 0.125% 20/10/2023
Banco Sabadell 26/04/2017 Aa1(M)/AAA(D) EUR 1,100 1.000% 26/04/2027
Banco Sabadell 20/01/2020 Aa1(M)/AAA(D) EUR 1,000 0.125% 10/02/2028
TOTAL 5,450 0.579%
7
Mortgage Covered Bonds in the Market
Until 2017 Sabadell has tapped the European Covered Bond market
at least once per year to build its covered bond yield curve.
In January 2020 Banc Sabadell issued a new 8 years covered Bond.
Five outstanding benchmark covered bonds issues at June 2021
3,2502,389
1,438
2,6003,086
2,390 2,100
1,0001,508 1,139 1,388
1,850
836390
1,100 985
43,424
40,784
36,046
31,712
27,819
24,266
21,146
18,326
15,856
33,62731,463
27,660
24,289
21,173
18,367
15,91013,685
11,791
30/06/2021 2021 2022 2023 2024 2025 2026 2027 >2027
8
Maturities BS Covered Bonds
Data as of June 2021. Euros in Million
*Assuming 5% CPR static mortgage portfolio and no new issuances.
Banco SabadellCovered Pool Amortization Profile
Maturities BS Covered Bonds (allocated)
Covered Pool*
Eligible Covered
Pool*
8295
12413
20708
Mortgage
Covered Pool43,424 Total Eligible
33,627
Total Not Eligible
9,796
Maximum
Issuance Amount26,902
Covered Bonds (Allocated)9,197
(Retained)9,057
9
Over-collateralization Ratio
Data as of June 2021. Euros in Million
Moody’s Over-Collateralization Analysis(Moody´s covered bond report as of 30/06/2021)
Current Situation
Current Over-Collateralization (OC) (1) 138.0%
OC Level to maintain current rating 21.0%
Moody’s Stressed scenario
Estimated OC to maintain current rating if Banco Sabadell is
downgrade by 1 notch:25%
* Calculation of OC Ratio = Mortgage Portfolio / Outstanding
Cédulas Hipotecarias
** Calculation of OC Ratio over-eligible portfolio = Eligible
Covered Pool / Outstanding Cédulas Hipotecarias
(1) Calculation of OC (by Moody’s) = (Mortgage Portfolio – Outstanding Cédulas Hipotecarias) / Outstanding Cédulas Hipotecarias
Over-collateralization
Ratio 238%*
OC
Ratio over-eligible
portfolio
184%**
Residencial70.3%
Comercial29.7%
Data as of June 30 2021 Residential Commercial Eligible
Outstanding amount (€ M) 43,424 30,510 12,913 33,627
Weighted average LTV 58% 61% 51% 48%
Weighted average seasoning (years) 6.6 7.2 5.1 6.4
Weighted average maturity (years) 17.1 19.6 11.4 16.6
Weighted average interest rate % 1.6 1.4 2.0 1.6
Numbers of Loans 443,247 377,385 65,862 375,940
Average Loan Size (€) 97,967 80,846 196,068 89,448
Of whichCovered
Pool
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Covered Pool Highlights
Type of Colateral (as of June 30 2021)
Balance per region % Pool % GDP
Catalunya 37.4% 19.0%
Valencia 14.4% 9.3%
Madrid 13.6% 19.3%
Andalucia 9.9% 13.3%
Baleares 5.2% 2.7%
Murcia 4.3% 2.6%
Asturias 2.9% 1.9%
Pais Vasco 3.0% 6.0%
Galicia 2.2% 5.2%
Canarias 1.6% 3.8%
Castilla León 1.6% 4.8%
Aragón 1.4% 3.1%
Castilla La Mancha 1.0% 3.4%
Navarra 0.5% 1.7%
Cantabria 0.3% 1.1%
Extremadura 0.3% 1.7%
La Rioja 0.2% 0.7%
Ceuta y Melilla 0.1% 0.4%
Total 100.0%
37.4%
14.4%
13.6%
4.3%
9.9%
5.2%
2.9%3.0%
2.2%
1.6%
Top 10 per region (as of June 30 2021)
12
Regional distribution Covered Pool
Regional distribution vs %GDP (*)
* Source: INE- %GDP Estimated 2019.
The mortgage portfolio is mainly concentrated in the
wealthiest regions of Spain (east and north of Spain,
Madrid).
% of the portfolio
14.3% 12.7% 11.2%16.8%
45.0%
65.0%60.0%
59.0%54.0% 56.0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
0%
20%
40%
60%
80%
100%
0 - 12 months 12 - 24 months 24 - 36 months 36 - 60 months > 60 months
Balance per Seasoning (LHS) WA LTV (RHS)
27.5%
13.9% 14.5% 14.6%13.0%
16.5%
0%
5%
10%
15%
20%
25%
30%
0-40% 40-50% 50-60% 60-70% 70-80% >80%
Balance per LTV (as of June 30 2021)
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Covered Pool Banco Sabadell
Balance per Seasoning (as of June 30 2021)
% of the portfolio
% of the portfolio
WA LTV: 57.96%
27.5% of the mortgage portfolio have
LTV lower than 40%
83.5% of the mortgage portfolio have a
LTV lower than 80%
Weighted average seasoning: 6.6
years
61.8% of the pool has a seasoning
above 3 years
% LTV
Fixed Interest
Rate 47.8%
Floating Interest
Rate 52.2%
1st
residence
2nd
residence
WA LTV 62.0% 54.0%
WA seasoning 7.3 years 6.3 years
WA maturity 20.1 years 16.2 years
WA interest rate 1.4% 1.8%
First Residence
85.7%
Second Residence
14.3%
15
Residential Pool Banco Sabadell (I)
Type of Residence (as of June 30 2021)
(% of the portfolio)
Balance per interest rate (as of June 30 2021)
99.5% of the loans pay monthly installments.
Weighted average interest rate: 1.4%
Weighted average interest rate of the portfolio
referenced to fixed interest rate: 2.0%
% of the portfolio
12.2%
39.2%
47.0%
1.7%
0%
10%
20%
30%
40%
50%
0 > 10 years 10 > 20 years 20 > 30 years > 30 years
15.1%10.8% 9.4%
14.6%
50.1%
69.0%66.0%
62.0%
58.0% 58.0%
40%
50%
60%
70%
80%
0%
20%
40%
60%
80%
100%
< 12 Months < 24 Months < 36 Months < 60 Months > = 60 Months
16
Residential Pool Banco Sabadell (II)
Balance per Seasoning combined with LTV (as of June 30 2021)
% of the portfolio
Balance per Seasoning (LHS)WALTV (RHS)
Weighted average seasoning: 7.2
years
64.7% of the pool has a seasoning
above 3 years
Loans with seasoning lower than 12
months have a weighted average LTV
of 69.0%
% LTV
Balance per Average Maturity (as of June 30 2021)
% of the portfolio
Weighted average maturity: 19.6
years.
• WA maturity first residence:
20.1 years
• WA maturity second residence:
16.2 years
0%
5%
10%
15%
20%
25%
30%
0 10 20 30 40 50 60 70 80 90 100
Number of Borrowers
40.8%
16.9%13.6%
10.1%5.5%
13.2%
0%
10%
20%
30%
40%
50%
60%
0-40% 40-50% 50-60% 60-70% 70-80% >80%
18
Commercial Pool Banco Sabadell (I)
Cum Top 100 Borrowers (as of June 30 2021)
Balance per LTV (as of June 30 2021)
% of the portfolio
LTV Range
Weighted average LTV: 50.8%
The 81.4% of the commercial
mortgage portfolio have a LTV
lower than 70%
A very granular portfolio: the 100
principal borrowers account for
less than 21.1% of the portfolio.
51,004 Commercial Borrowers
% of the portfolio
12.4%17.0% 15.5%
22.2% 32.9%
56.0%
52.0%
55.0%
48.0% 48.0%
30%
40%
50%
60%
70%
0%
20%
40%
60%
80%
100%
< 12 Months < 24 Months < 36 Months < 60 Months >= 60 Months
48.6%
39.5%
3.9% 5.7%2.3%
0%
20%
40%
60%
0 > 10 Years 10 > 20 Years 20 > 25 Years 25 > 30 Years > 30 Years
19
Commercial Pool Banco Sabadell (II)Balance per Average Maturity (as of June 30 2021)
Balance per Seasoning (as of June 30 2021)
% of the portfolio
% of the portfolio
Balance per Seasoning (LHS)WALTV (RHS)
Weighted average maturity: 11.4
years
88.1% of the loans have average
maturity below 20 years
Weighted average seasoning: 5.1 years
55.1% of the pool has a seasoning above 3 years
The 67.9% of the commercial
mortgages with a seasoning less than
2 years have a WALTV lower than
60%
% LTV
20
Commercial Pool Banco Sabadell (III)
Balance per interest rate (% of the portfolio as of June 30 2021)
Balance per property type (% of the portfolio as of June 30 2021)
70.3% of the loans pay monthly installments.
Weighted average interest rate 2.0%
Fixed interest rate 39.0%
Floating interest rate
61.0%
Flat 18.8%
Plot 3.7%
Establishm. /Shops 22.2%
Warehouse13.3%
Hotels 15.4%
Real Estate Developer
16.9%
Others 9.6%
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