Lithuanian Covered Bonds - Lithuania

1	What type of assets may be included in the cover pool?
	Primary assets Substitution assets Public sector assets Mortgage assets Other 1* Other 2* Other 3*   Exposures to public sector entities x Exposures to credit institutions x Residential mortgage loans x Commercial mortgage loans x Exposure to Private Participation in Infrastructure (PPI) or Private Finance Initiative (PFI) where public sector is conditional x Derivatives x Other high-quality assets classified as eligible assets by the Lithuanian FSA Cover assets pool may also include other high-quality assets classified as eligible by the Lithuanian FSA in accordance with Article 129 of the CRR
2	What is the geographical scope of assets?
	Primary assets Substitution assets Public sector assets Mortgage assets Other 1* Other 2* Other 3*   EU x x x EEA x x x Assets can originate from third countries, when EU Commision recognises that the country apply at least similar finnacial/supervision requirements or the at least similar requirements for investors protection
3	Is there a maximum level for substitute assets in the statutory national framework?	Yes, please specifiy Substitution assets shall not exceed 20%; assets as provided for in Article 129(1)(c) shall not exceed 15% of collateral assets under relevant issue.
4	Are there any reporting requirements for covered bond issuers to investors?	Yes, by law and in line with art. 14 of EU Covered Bond Directive Additionaly to CBD, the Law of Covered Bond of the Repblic of Lithuania sets a requirement to provide investors with the information on the counterparties and the SPV; on stress testing scenarios and its results; other relevant information for the investor, as established by the Lithuanian FSA.
5	What is the frequency of reporting to investors?	Quarterly Within one month after the end of the quarter

1	What is the basis for property valuation	Market value
2	Is a regular update of the property value required?	Yes, automated / indexed valuation sufficient Market value indexation should be performed at least once a year, i.e. the loan-to-asset value ratio should be adjusted on an annual basis, unless higher indexation is provided in the covered bond programme or more frequent indexation is required by the cover pool monitor or the Lithuanian FSA.
3	What are the LTV limits (single asset based)? Please specify in %/n.a.	Residential Commercial Residential 70%; Commercial 60%
4	Are loans in excess of LTV limits eligible for inclusion in the cover pool?	No (hard limit)

IV.1 Derivative contracts in the cover pool

1	Are derivative contracts eligible for the inclusion in the cover pool?	Yes, exclusively for hedging purposes (by law)
2	Are there requirements for derivative contracts (e.g. eligibility criteria for hedging counterparties)?	Yes, specified in law
3	Will derivative contracts remain in case of insolvency of the issuer?	Yes
4	If derivatives are permitted in the cover pool, what is their ranking?	Pari passu to covered bond holders

IV.2 Exposure to market risk

1	What is the primary method for the mitigation of market risk?	Natural' matching (i.e. match funding, matching without the use of off-balance sheet instruments) and stress testing Use of derivative hedging instruments
2	Are there mitigating provisions for interest rate risk?	Yes, by legislation/regulation
3	Are there mitigating provisions for foreign exchange risk?	Yes, by legislation/regulation
4	Are there mitigating provisions for maturity mismatch risk?	Yes, by legislation/regulation
5	What type of coverage test is applied?
6	Are there stress scenarios applied?	Yes, by law Stress scenarios shall be defined by Lithuanian FSA

IV.3 Liquidity risk

1	Is exposure to liquidity risk mitigated?	Yes, by law
2	What liquidity risk mitigation requirements are in place (principal)?	180 days liquidity provisions Maturity extension provisions
3	What liquidity risk mitigation requirements are in place (interest)?	180 days liquidity provisions Maturity extension provisions
4	What is the consequence of not fixing a breach of liquidity risk mitigants?	Administrative penalty
5	If 180 days liquidity provisions are in place, what types of liquid assets are eligible	LCR Level 1 LCR Level 2a LCR Level 2b
6	If 180 days liquidity provisions are in place, the calculation of principal is based on:	The (extended) legal final maturity date

IV.4. Maturity extension

1	Is maturity extension allowed by national law?	Yes, but optional and subject to conditions
2	Is it possible to issue…	Soft bullet Conditional pass-through
3	Which trigger plays a role for maturity extension according to law - independent or alone or in combination?	Lack of liquidity; breach of liquidity rules
4	Does any competent authority need to give its okay (or non-opposition)?	No However the list of possible triggers shall be prepared by Lithuanian FSA

IV.5 Overcollateralisation

1

Is mandatory overcollateralisation required in the law ?

Statutory overcollateralisation level should be no less than 5% of total principal amounts outstanding in relation to bonds which asset pool relates to.

V.1 Cover pool monitor (CPM)

1	Is there a cover pool monitor in addition to national competent authorities in the statutory law?	Yes, by law and in line with Article 13 of EU Covered Bond Directive
2	Is the CPM separate from the issuing credit institution?	Yes, required by national statutory law
3	Is the appointment, dismissal, eligibility criteria and the role of the CPM regulated by the national statutory law?	Yes

V.2 Banking supervision

1	Which are the national competent authorities designated to carry out covered bonds public supervision in the law?	The Bank of Lithuania - Website
2	Is a special permission required for a covered bond programme according to national law?	Others, please specify Covered bonds can be issued by an authorised credit institution and covered bond programme shall be included to covered bond programme list, supervised by Lithuanian FSA
3	Is there a covered bond issuance limit in law or regulation? If yes, please specify	No
4	Does the national statutory law provide for the appointment of a dedicated cover pool administrator in case of insolvency/resolution (transfer included acc. to BRRD [Bank Recovery and Resolution Directive])?	Yes
5	Which is the typical frequency in the national statutory law of reporting from the covered bond issuers to the designated competent authorities?	Other Law sets forth that reports on stress testing results shall be provided in quarterly basis; other reporting requirements to be established by secondary legislation

1	Does the national statutory law meet the requirements laid down in the EU Covered Bond Directive?	Yes
2	Does the statutory law meet the requirements of Article 129 of CRR [Capital Requirement Regulation]? In this case, please specify the collateral types meeting the Art. 129 CRR.	Yes 129 (1)a, b, d, i, e,f, g.
3	Does the statutory law allow covered bonds out of the scope of Art 129 of CRR? In this case, please specify the collateral	No
4	Are listed covered bonds eligible in repo transactions with the national central bank?	Yes

Primary Legislation

• Lithuanian law 2022 (LT).pdf (Original language)

Hypostat

• Lithuania.pdf (English language)

Fact Book

• 3.25 Lithuania.pdf (English language)

Any further comments/information?