Arion banki : Covered Bonds Risk Report 30 November 2023 -December 08, 2023 at 09:24 am EST

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Delayed


Nasdaq Iceland



09:34:28 2023-12-08 am EST

Intraday chart for Arion banki hf. 5-day change 1st Jan Change

139.25 ISK

+0.91%

+2.39%

-7.17%

Official ARION BANKI HF. press release

December 08, 2023 at 09:24 am EST

Arion Bank Covered Bonds

Risk Report: November 2023

Stress Test: Asset Coverage Test

Element

Amount

Description

A

333.248.410.576

Loan Pool

B

918.886.214

Cash

C

16.764.663.079

Collateral Reserve Account

D

5.028.220.272

Liquidity Reserve Ledgers

W

0

Customer Deposits

Sum

355.960.180.141

A + B + C + D – W

CB

322.613.295.117

Principal Amount Outstanding of the Covered

Bonds

Surplus/Gap

33.346.885.024

Sum – CB

OC

10,3%

Over Collateralization

Passed

1

Is Test Passed? (1=Yes/0=No)

As is outlined in the prospectus, the Asset Coverage Test (ACT) must be passed.

Stress Test: Interest Rate Sensitivity

Description

Nominal

Base Case

Up 100 bp

Down 100 bp

Covered Bonds Issuance

322.613

314.753

305.230

324.834

Underlying Loan Pool

333.248

432.209

382.791

492.497

Bank Account

22.712

22.712

22.712

22.712

Over Collateralization

33.347

140.167

100.273

190.375

Over Collateralization %

10,3%

44,5%

32,9%

58,6%

As is outlined in the prospectus, the Mark-To-Market (MTM) value of the underlying loan pool must exceed the MTM value of the Covered Bonds issuance. Furthermore, the program must withstand a parallel shift in the risk free interest curve with respect to net MTM value. The Base Case shows MTM values for the current environment, the next column shows an upward parallel shift of a 100 basis points and the third column similarly shows a parallel 100 bp downward shift.

Cashflow Projection

Description

Nov

Dec

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

2023

2023

2024

2024

2024

2024

2024

2024

2024

2024

2024

2024

2024

Bank Account

22.711,8

Covered Bonds:

680,6

1.219,8

30.909,8

158,0

680,6

1.232,5

2.169,5

158,0

Loans in Default:

7,9

8,0

8,0

8,0

8,0

8,0

8,0

8,0

8,0

8,0

7,9

7,9

Performing Loans:

1.724,3

1.993,1

2.007,1

2.016,3

2.025,0

2.031,1

2.039,9

2.077,9

2.083,8

2.112,1

2.145,2

2.173,2

Cumulative

22.711,8

23.755,5

24.528,8

26.535,9

28.552,2

-332,6

1.540,5

2.899,8

3.745,2

5.829,0

7.941,1

7.916,8

9.931,9

Balance:

The cashflow coverage measures the ability of the underlying loan pool to service the programs debt obligation on its own. Ignoring both infusion of cash and new loans it is a snapshot view of the debt servicing capability of the pool. Cashflow from mortgages in default (30 days or more) is ignored. The cumulative Balance shows how cash is accumulated or drained from the Covered Bond account.

Indexation Balance

Description

Indexed

Non-Indexed

Total

Covered Assets

158.268

197.693

355.960

Covered Bonds Issuance

-139.456

-183.157

-322.613

Net

18.811

14.535

33.347

Arion Bank strives to keep a balance between indexed loans and liabilities and non-indexed loans and liabilities. A part of this effort is to keep the balance of loans higher than liabilities for both indexed and non-indexed products.

This is an automatically generated report from Arion Banks Risk Management. The information herein might change at a later date without notice. All amounts in Millions ISK.

Contact:

Investor Relations: samskiptasvid[ at ]arionbanki.is

Head of Funding: Eirikur Magnus Jensson, eirikur.jensson[ at ]arionbanki.is

Risk Management: Sævarur Einarsson, saevardur.einarsson[ at ]arionbanki.is

Disclaimer

Arion banki hf. published this content on 08 December 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 08 December 2023 14:22:28 UTC.


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More charts

Arion banki hf (the Bank) is an Iceland-based financial institution that provides individuals, corporations and institutional investors with banking services. The Bank reports six operating segments: Asset Management, which comprises institutional asset management, private banking, investment services and pension fund administration; Corporate Banking that provides a full range of lending products, deposit accounts, payment solutions and value-added electronic corporate solutions; Investment Banking, which includes such services as buying and selling of companies, advice on financial decisions undertaken by companies and investors, as well as buying and selling of securities; Retail Banking that provides such services as deposits and loans, savings, payment cards, pension savings, insurance, securities and funds; Treasury that is responsible for the Bank’s liquidity, currency and interest rate management, and Subsidiaries and other divisions, including Valitor Holding hf, among others.


More about the company

Sell

Consensus

Buy

Average target price

171.5ISK

Spread / Average Target

+24.28%

Consensus



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