Swedish Covered Bonds - Sweden

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*   Almost all assets are mortgage loans.
2	What is the geographical scope of assets?
	Primary assets Substitution assets Public sector assets Mortgage assets Other 1* Other 2* Other 3*   Domestic x x Almost all assets in the pools have Swedish collaterals. Just two smaller pools have foreign assets (Nordic countries). EEA mortgage assets allowed in law.
3	Is there a maximum level for substitute assets in the statutory national framework?	No, substitute assets not allowed in general No longer a category of assets in Swedish law.
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
5	What is the frequency of reporting to investors?	Quarterly

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
3	What are the LTV limits (single asset based)? Please specify in %/n.a.	Residential Commercial Additional limits on portfolio basis applicable? Residential 80%; Commercial 60%. LTV limits follow article 129(1) in CRR. There is an additional limit for commercial assets other than agricultural assets, which may not exceed 10 % of the cover pool.
4	Are loans in excess of LTV limits eligible for inclusion in the cover pool?	Yes (soft 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?	Not specified in framework and it differs between issuers.
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?	Nominal cover Present value cover
6	Are there stress scenarios applied?	Yes, by law

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 Matching requirements Stress testing requirements
3	What liquidity risk mitigation requirements are in place (interest)?	180 days liquidity provisions Maturity extension provisions Matching requirements Stress testing requirements
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 Short term exposures to credit institutions (Credit Quality Step (CQS) 1) Short term exposures to credit institutions (CQS 2) Short term deposits to credit institutions (CQS 1) Short term deposits to credit institutions (CQS 2) Short term deposits to credit institutions (CQS 3) Under certain conditions it is possible for the supervisor to allow CQS 3.
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
2	Is it possible to issue…	Hard bullet Soft bullet
3	Which trigger plays a role for maturity extension according to law - independent or alone or in combination?	Other The maturity may be extended subject to such extension being permitted by the Swedish FSA as a result of it being deemed likely that the extension will prevent insolvency.
4	Does any competent authority need to give its okay (or non-opposition)?	Yes

IV.5 Overcollateralisation

1

Is mandatory overcollateralisation required in the law ?

All types - 2% - Both nominal & NPV

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 There is an independent inspector appointed by the supervisor and regulated by law.
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?	Finansinspektionen - Website
2	Is a special permission required for a covered bond programme according to national law?	Yes, licence for institution
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?	Quarterly

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
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

• Finansinspektionen's regulations and general guidelines regarding covered bonds (SE).pdf (Original language)

European Covered Bond Label (Premium) list

• https://www.fi.se/en/bank/supervision/list-of-covered-bonds/ (English language)

Hypostat

• Sweden.pdf (English language)

Fact Book

• 3.40 Sweden.pdf (English language)

Any further comments/information?