Prog

Sparebanken Sor Boligkreditt AS - Mortgage Covered BondsCovered Bonds / Norway

Contacts

Monitoring Monitor.CB@moodys.com Click on the icon to download data into Excel & to see Glossary of terms used

Client Service Desk London: +44 (207) 772-5454, csdlondon@moodys.com Click here to access the covered bond programme webpage on moodys.com

Reporting as of: 30/06/2017 All amounts in NOK (Norway) (unless otherwise specified) For information on how to read this report, see the latest

Moody's Global Covered Bond Monitoring Overview

Data as provided to Moody's Investors Service (note 1)

I. Programme Overview

Overview

Year of initial rating assignment: 2011

Total outstanding liabilities:

Total assets in the Cover Pool:Issuer name / CR Assessment:

Group or parent name / CR Assessment:

Main collateral type:

Ratings

Covered bonds rating: Aaa

Entity used in Moody's EL & TPI analysis:

CB anchor: CR Assessment:

SUR: A1

Unsecured claim used for Moody's EL analysis: No

II. Value of the Cover Pool

Collateral Score: 5.0%

Collateral Score excl. systemic risk: 4.2%

Collateral Risk (Collateral Score post-haircut): 3.4% 39%

Market Risk: 5.3% 61%8.6% (100%)

III. Over-Collateralisation Levels (notes 2 & 3)Over-Collateralisation (OC) figures presented below can include Eligible and Non-Eligible collateral.Over-collateralisation levels are provided on nominal basis.

NPV stress test where stressed: n/a

Current situation

Committed OC (Nominal): 2.0%

Current OC: 12.4%

Scenario 1: CB anchor is lowered by 1 notch 2.5%

OC consistent with current rating (note 4): 0.5%

IV. Timely Payment Indicator & TPI LeewayLegal framework

Timely Payment Indicator (TPI): High Does a specific covered bond law apply for this programme: Yes

TPI Leeway: 5 Main country in which collateral is based: Norway

Country in which issuer is based: Norway

CR Assessment High

Aaa(cr) Aaa Timely paymentAa1(cr) Aaa Refinancing period for principal payments of 6 months or greater: Yes

Aa2(cr) Aaa Liquidity reserve to support timely payments on all issuances: No

Aa3(cr) Aaa

A1(cr) Aaa

A2(cr) Aaa

A3(cr) Aaa

Baa1(cr) Aaa

Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 1

(note 1) The data reported in this PO is based on information provided by the issuer and may include certain assumptions made by Moody's. Moody's accepts no responsibility for the information provided to it and, whilst it believes the assumptions it has made are reasonable, cannot guarantee that they are or

will remain accurate. Although Moody's encourages all issuers to provide reporting data in a consistent manner, there may be differences in the way that certain data is categorised by issuers. The data reporting template (which Issuers are requested to use) is available on request.

(note 2) This assumes the Covered Bonds rating is not constrained by the TPI. Also to the extent rating assumptions change following a downgrade or an upgrade of the Issuer, the necessary OC stated here may also change. This is especially significant in the case of Issuers currently rated A2 or A3, as the

applied.

(note 4) The OC consistent with the current rating is the minimum level of over-collateralisation which is necessary to support the covered bond rating at its current level on the basis of the pool as per the cut-off date. The sensitivity run is based on certain assumptions, including that the Covered Bonds rating is

not constrained by the TPI. Further, this sensitivity run is a model output only and therefore a simplification as it does not take into account certain assumptions that may change as an issuer is downgraded, and as a result the actual OC number consistent with the current rating may be higher than shown. The OC

28 September 2017

Cover Pool losses

Sensitivity scenario CB anchor

OC consistent with current rating

Extract from TPI table - CB anchor is CR Assessment + 1 notch

Rodriguez-Vigil, Tomas - +34 (917) 688-231 - Tomas.Rodriguez-Vigil@moodys.com

CR Assessment + 1 notchAa3(cr)

Collateral quality

Residential

26,430,000,000

29,706,645,673Sparebanken Sør Boligkreditt AS / n/a

Sparebanken Sør / Aa3(cr)

NOK (Norway)

NOK (Norway)

Chandarana, Ashika - +44 (207) 772-1265 - Ashika.Chandarana@moodys.com

Sparebanken Sor

Residential assets, 100.0%

Chart 2 : Asset types in cover pool

INTERNATIONAL STRUCTURED FINANCE COVERED BONDS

COVERED BONDS

AaaAa1Aa2Aa3

A1A2A3

Baa1Baa2Baa3Ba1Ba2Ba3

B1B2

Aaa (cr)Aa1 (cr)Aa2 (cr)Aa3 (cr)A1 (cr)A2 (cr)A3 (cr)Baa1 (cr)Baa2 (cr)Baa3 (cr)Ba1 (cr)Ba2 (cr)Ba3 (cr)B1 (cr)B2 (cr)

Chart 1:Rating history

Covered Bond Sovereign CR Assessment (RHS)

mailto:Monitor.CB@moodys.comhttps://www.moodys.com/credit-ratings/Sparebanken-Sor-Boligkreditt-AS--Mortgage-Covered-Bonds-credit-rating-722160757https://www.moodys.com/credit-ratings/Sparebanken-Sor-Boligkreditt-AS--Mortgage-Covered-Bonds-credit-rating-722160757https://www.moodys.com/credit-ratings/Sparebanken-Sor-Boligkreditt-AS--Mortgage-Covered-Bonds-credit-rating-722160757Data_Assets

Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds_30.06.2017

Moody's Investors Service

Programme Overview263

Programme NameSparebanken Sor Boligkreditt AS - Mortgage Covered Bonds

CountryNorway

Reporting as of (Cut-Off Date)6/30/17

Currency ReportingNOK (Norway)

Year of Initial Rating Assignment2011

Total outstanding liabilities26,430,000,000

Total Assets in Cover Pool29,706,645,673

Issuer name / CR Assessment:Sparebanken Sør Boligkreditt AS / n/a

Group or parent name / CR Assessment:Sparebanken Sør / Aa3(cr)

Main Collateral TypeResidential

Covered Bonds RatingAaa

Entity used in Moody's EL & TPI analysis:Sparebanken Sor

CB anchor:CR Assessment + 1 notch

CR Assessment:Aa3(cr)

SUR:A1

Unsecured claim used for Moody's EL analysis:No

Does a specific Covered Bonds Law apply for this Programme:Yes

Main Country in which Collateral is basedNorway

Country in which Issuer is basedNorway

Timely Payment

Timely Payment Indicator (TPI)High

TPI Leeway5

Nature of OCEligible and Non-Eligible

OC levels provided on a:Nominal only

NPV Movementn/a

Value of the Cover Pool

Collateral Score5.0%

Collateral Score excl. Systemic risk4.2%

Collateral Risk (Collateral Score Post-haircut)3.4%

Refinancing and Market Risk5.3%

OC Levels

Committed OC:2.0%

Current OC12.4%

OC consistent with current rating:0.5%

Estimated OC to maintain current rating in following scenarios:

Scenario 1: CB Anchor is lowered by 1 notch:2.5%

Chart 2: Collateral Composition

Residential assets100.0%

Commercial assets0.0%

Public-Sector assets0.0%

Multi Family assets0.0%

Other assets0.0%

Chart 3: Assets & Liabilities Mismatch

Maximum Mismatch75.5%

Chart 4: Currency Mix before Swaps in CB

NOK (Norway)16,860,000,000

EUR9,570,000,000

Chart 4: Currency Mix before Swaps in Cover Pool

NOK (Norway)29,706,645,673

EUR

Interest Rate & Duration Mismatch

Fixed Rate assets in the Cover Pool0.0%

Fixed Rate Covered Bonds outstanding39.4%

WAL of outstanding Covered Bonds3.6 years

WAL of the Cover Pool10.1 years

Swap Arrangements

Interest rate swap(s) in the Cover Pool:Yes

Intra-group interest rate swap(s) provider(s):No

Currency swap(s) in the Cover Pool:Yes

Intra-group currency swap(s) provider(s):No

Residential DataResidential Assets

Total residential assets balance:29,706,645,673

Average loan balance:1,244,727

Number of loans:23,866

Number of borrowers:21,838

Number of properties:24,009

WA Remaining Term (in months):202

WA Seasoning (in months):39

WA Unindexed LTV: Whole loan / senior loan:66.8% / 60.5%

WA Indexed LTV: Whole loan / senior loan:61.3% / 54.1%

Valuation TypeMarket Value

LTV Thresholdn/d

Junior ranks:6.3%

Prior ranks:4.0%

Loans with an external guarantee in addition to a mortgage:0.0%

Interest Only Loans / Flex loans:1.0% / 25.6%

Loans for Second homes / Vacation:0.0%

Buy to Let loans / Non owner occupied properties:2.2%

Limited Income Verified:0.0%

Adverse Credit Characteristics:0.0%

Loans in arrears ( ≥ 2months - < 6months):0.0%

Loans in arrears ( ≥ 6months - < 12months):0.0%

Loans in arrears ( > 12months):0.0%

Loans in a foreclosure procedure:0.0%

Loans to tenants of tenant-owned Housing Cooperatives:0.0%

Other type of Multi-Family loans:0.0%

LTV Distribution

Unindexed

0-40%8.3%

40-50%7.6%

50-60%13.1%

60-70%26.2%

70-80%24.2%

80-85%9.5%

85-90%4.4%

90-95%2.6%

95-100%1.7%

100-105%1.5%

>105%0.9%

Indexed

0-40%20.1%

40-50%14.1%

50-60%22.1%

60-70%32.7%

70-80%10.2%

80-85%0.5%

85-90%0.1%

90-95%0.1%

95-100%0.1%

100-105%0.0%

>105%0.0%

Seasoning

V. Asset Liability Profile

Interest Rate & Duration Mismatch (note 5) Swap Arrangements

Fixed rate assets in the cover pool: 0.0% Interest rate swap(s) in the Cover Pool: Yes

Fixed rate covered bonds outstanding: 39.4% Intra-group interest rate swap(s) provider(s): No

WAL of outstanding covered bonds: 3.6 years Currency swap(s) in the Cover Pool: Yes

WAL of the cover pool: 10.1 years Intra-group currency swap(s) provider(s): No

(note 6)

Maximum mismatch: 75.5%

in NOK (Norway) millions

Amortisation profile (in millions) (note 7)

VI. Performance Evolution

This publication does not announce a credit rating action. For

any credit ratings referenced in this publication, please see the

ratings tab on the issuer/entity page on www.moodys.com

for the most updated credit rating action information and

rating history.

Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 2

(note 5) This assumes no prepayment.

(note 6) Based on principal flows only. Assumptions include no prepayments, principal collections limited to the portion of assets that make up the amount of the liabilities plus committed OC, no further CB issuance and no further assets added to the cover pool.

(note 7) Assumptions include swaps in place in Cover Pool, no prepayment and no further CB issuance.

28 September 2017

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

0 1 2 3 4 5 6 7 8 9

Years

Chart 5 :

Assets Liabilities

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

0 1 2 3 4 5 6 7 8 9

Mis

mat

ch i

n %

of

the

tota

l lia

bili

ties

Period in years

Chart 3 :Stressed refinancing needs per quarter (% of liabilities)

16,860

9,570

29,707

0 5,000 10,000 15,000 20,000 25,000 30,000 35,000

NOK(Norway)

EUR

Chart 4:Currency mix before swaps (3 Main Currencies)

Cover pool Covered Bonds

COVERED BONDS

11.9%

8.5% 8.5% 8.5% 8.6%

0%

2%

4%

6%

8%

10%

12%

14%

Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017

Chart 7 :Cover Pool Losses

Collateral Risk Market Risk Cover Pool Losses

5.0% 5.0% 5.0% 5.0% 5.0%

0%

1%

2%

3%

4%

5%

6%

Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017

Chart 6 :Collateral Score

1.0% 0.5% 0.5% 0.5% 0.5%

13.5% 13.9% 14.2% 13.8%11.9%

14.5% 14.4% 14.7%14.3%

12.4%

0%

2%

4%

6%

8%

10%

12%

14%

16%

Q2 2016

Aaa

Aa3(cr)

Q3 2016

Aaa

Aa3(cr)

Q4 2016

Aaa

Aa3(cr)

Q1 2017

Aaa

Aa3(cr)

Q2 2017

Aaa

Aa3(cr)

Chart 8 :OC consistent with covered bond rating vs. Current OC OC needed Surplus OC CurrentOC

Covered Bond Rating

CR Assessment

VII. Cover Pool Information - Residential Assets

Overview Specific Loan and Borrower characteristics

Asset type: Residential Loans with an external guarantee in addition to a mortgage: 0.0%

Asset balance: Interest only loans (***) / Flex loans(****): 1.0% / 25.6%

Average loan balance: 1,244,727 Loans for second homes / Vacation: 0.0%

Number of loans: 23,866 Buy to let loans / Non owner occupied properties: 2.2%

Number of borrowers: 21,838 Limited income verified: 0.0%

Number of properties: 24,009 Adverse credit characteristics (*****): 0.0%

WA remaining term (in months): 202

WA seasoning (in months): 39 Performance

0.0%

Details on LTV 0.0%

WA unindexed LTV: Whole loan / Senior loan (*): 66.8% / 60.5% 0.0%

WA indexed LTV: Whole loan / Senior loan: 61.3% / 54.1% Loans in a foreclosure procedure: 0.0%

Valuation type: Market Value

LTV threshold: n/d Multi-Family Properties

Junior ranks (**): 6.3% Loans to tenants of tenant-owned Housing Cooperatives: 0.0%

Prior ranks: 4.0% Other type of Multi-Family loans (******): 0.0%n/d: information not disclosed by Issuer

n/a: information not applicable

Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 3

(note ***) This category includes loans which currently are in an initial interest only period before they start amortising.(note ****) FlexLoans have an amortisation profile and can be re-drawn by the customer up to a certain limit.(note *****) Typically borrowers with a previous personal bankruptcy or borrowers with record of court claims against them at time of origination.(note *****) This "other" type refers to loans directly to Housing Cooperatives and to Landlords of Multi-Family properties (not included in Buy to Let).

28 September 2017

(note **) Internal Junior ranks(delta between unindexed whole loan WA LTV incl. Internal junior ranks and unindexed WA LTV excl. Internal junior ranks).

29,706,645,673

(note *) may be based on property value at time of origination or further advance or borrower refinancing.

16.9%

24.5%

18.1% 19.1%21.5%

0%

5%

10%

15%

20%

25%

30%

Chart F:Seasoning (in months)

43.6%

28.0%

9.4% 7.7%4.1%

1.9% 1.1% 1.1% 0.9% 0.7% 0.4% 0.3% 0.2% 0.2% 0.1% 0.1% 0.1% 0.1% 0.0% 0.0%0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Chart E:Main country regional distribution

100.0%

0.0% 0.0% 0.0%0%

20%

40%

60%

80%

100%

120%

Chart D:Interest rate type

Residential Assets

100.0%

Chart B:Percentage of residential assets

8.3% 7.6%

13.1%

26.2%24.2%

9.5%

4.4%2.6% 1.7% 1.5% 0.9%

20.1%

14.1%

22.1%

32.7%

10.2%

0.5% 0.1% 0.1% 0.1% 0.0% 0.0%0%

5%

10%

15%

20%

25%

30%

35%

Chart A:Balance per LTV-band

Unindexed LTV (whole loan basis) Indexed LTV (senior loan basis)

15.1%19.2% 19.6% 19.1% 17.4%

21.9% 18.7% 17.9%

54.3% 55.3% 54.0% 52.7% 52.8% 54.7% 53.7% 54.1%

64.9% 65.2% 65.5% 65.9% 66.1% 66.1% 66.8% 66.8%

0%

20%

40%

60%

80%

0%

20%

40%

60%

80%

Chart C:LTV

% of the pool with Indexed LTV>=80% (whole loan basis) Indexed WA LTV (senior loan basis) Unindexed WA LTV (whole loan basis)

COVERED BONDS

Note: Unindexed LTV on whole loan basis includes junior ranks at parent bank level. Indexed LTV on senior loan basis as in cover pool.

VIII. Swap Information

Counterparty Replacement Trigger

n/a

n/a

n/a

IX. Liabilities Information: Last 50 Issuances

ISIN

Series

Number Currency

Outstanding

Amount

Issuance

Date

Expected

Maturity

Legal Final

Maturity

Principal

Payment

XS1622285283 n/d EUR 500,000,000 30/05/2017 30/05/2022 30/05/2023 BULLETNO0010778954 SORB27 NOK 5,000,000,000 22/11/2016 22/11/2021 22/11/2022 BULLETXS1383921803 n/d EUR 500,000,000 22/03/2016 22/03/2021 22/03/2022 BULLETNO0010714058 SORB24 NOK 5,000,000,000 24/06/2014 24/06/2020 24/06/2021 BULLETNO0010679806 SORB10 NOK 5,000,000,000 22/05/2013 22/05/2019 22/05/2020 BULLETNO0010673296 SORB21 NOK 685,000,000 14/03/2013 14/09/2018 14/09/2019 BULLETNO0010671597 SORB09 NOK 350,000,000 13/02/2013 13/02/2023 13/02/2024 BULLETNO0010670409 SORB08 NOK 500,000,000 24/01/2013 24/01/2028 24/01/2029 BULLETNO0010664659 SORB07 NOK 28,000,000 27/11/2012 27/11/2019 27/11/2020 BULLETNO0010623945 SORB02 NOK 297,000,000 24/08/2011 24/08/2017 24/08/2018 BULLET

Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 428 September 2017

Fixed rate

Floating rate

Fixed rate

Floating rate

Fixed rate

Floating rate

Floating rate

Interest Rate

Type Coupon

Fixed rate 0.125%

Floating rate Nibor 3 mnd + 0 bps

Floating rate Nibor 3 mnd + 0 bps

Nibor 3 mnd + 0 bps

0.250%

Nibor 3 mnd + 0 bps

3.850%

4.000%

Nibor 3 mnd + 0 bps

Nibor 3 mnd + 0 bps

Collateral trigger

n/a

n/a

n/a

Notional Amount

n/a

n/an/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

Type

Total

CurrencyInterest rate

Subtotal

Currency

Interest rate

Subtotal

Currency

Interest rate

Subtotal

Currency

Interest rate

Total

Nordea

DNB Bank ASA

Swedbank

COVERED BONDS

Sparebanken Sor Boligkreditt AS - Mortgage Covered Bonds Page 528 September 2017

CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE

PURCHASE, HOLDING, OR SALE.

MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED,

or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

FORM OR MANNER WHATSOEVER.

and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3

respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to

MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

COVERED BONDS