KB International Cover Pool
Komerční_banka_EUR_HZL_0001
International Cover Pool means a part of the assets of the Issuer, which is recorded separately and which is composed of assets satisfying the relevant contractual and statutory eligibility criteria set out in the Trust Deed to cover the obligations of the Issuer arising from the Mortgage Covered Bonds (including, among other things, their aggregate nominal value and proportionate yield) with a cover pool identifier: Komerční_banka_HZL_EUR_0001.
The Issuer operates two Cover Pools. The first is the International Cover Pool, which covers the Mortgage Covered Bonds issued under under the €5,000,000,000 Mortgage Covered Bond Programme dated 4 January 2021 (and certain other Accessory Debts).
The second is the Local Cover Pool, which covers the covered bonds issued under the Local Covered Bond Programme (and certain other debts).
All figures are current as of 31 March 2024.
Key Facts
Debts | 12 961 008 259 |
Covered Bonds Debts | 12 652 748 902 |
Accessory Debts | 308 259 357 |
Cover Assets | 15 554 556 317 |
Mortgage Loans | 15 354 556 317 |
Liquidity Buffer | 200 000 000 |
The amount of Mortgage Loans is calculated as total of balance of loans adjusted for the 80% LTV cap.
Debts denominated in EUR are expressed in CZK based on the Exchange Rate as of reporting date (31 March 2024).
OC limit statutory (Statutory Minimum OC Level Test) | 2.00% |
OC limit contractual (Contractual Minimum OC Level Test) | 5.00% |
Over-collateralisation target | 20.00% |
Over-collateralisation actual | 20.01% |
Mortgage Loans coverage limit (Statutory 85% Test) | 85.00% |
Mortgage Loans coverage actual | 118.47% |
For the purpose of the calculations in respect to the Statutory Minimum OC Level Test and the Statutory 85% Test the Nominal Value of the Mortgage Loan which exceeds 80% of the Mortgaged Property Value is disregarded to such extent (i.e. issuer applies stricter treatment than the law requirement to disregard only the Nominal Value of the Mortgage Loan which exceeds 100% of the Mortgaged Property Value). Such stricter treatment leads to consistency among calculations of statutory and contractual tests while respecting contractual eligibility criterion that the Mortgage Loan receivables amount included in the International Cover Pool is capped at a maximum LTV Ratio of 80%.
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Bond List
ISIN | CCY | Type | Current Rate | Nominal | Interest Accrued | Bond Debts in CZK |
XS2289128162 | EUR | fixed | 0.01% | 500 000 000 | 9 836 | 12 652 748 902 |
Grand Total | 500 000 000 | 9 836 | 12 652 748 902 | |||
Bond Maturity
ISIN | Maturity Date | Extended Maturity Date |
XS2289128162 | 2026-01-20 | 2027-01-20 |
Maturity extension trigger: If the Issuer fails to redeem all Mortgage Covered Bonds of a Series (the Relevant Series) in full on the Maturity Date or within 14 Business Days thereafter, the maturity of the principal amount outstanding of the Mortgage Covered Bonds of the Relevant Series will be automatically extended up to the Extended Maturity Date.
Cover Pool Loan Overview
Number of Mortgage Loans | 9 936 |
Number of borrowers | 9 737 |
Number of properties | 12 604 |
Nominal Value of Mortgage Loans in CZK | 15 768 669 419 |
Adjusted Value of Mortgage Loans (LTV 80% cap) in CZK | 15 354 556 317 |
Mortgaged Property Value in CZK | 32 057 917 371 |
Weighted Average of seasoning of Mortgage Loans | 6.0 years |
Weighted Average of remaining term of Mortgage Loans | 20.6 years |
Weighted Average of term to interest rate reset of Mortgage Loans | 1.8 years |
Weighted Average Life of Mortgage Loans | 11.4 years |
Weighted Average Life of Covered Bonds | 1.8 years |
Weighted Average of LTV of Mortgage Loans | 59.87% |
Number of Mortgage Loans in Arrears >90 days | 0 |
Loans in Arrears >90 days as % of all loans | 0.00% |
10 largest borrowers per Adjusted Value of Mortgage Loans in CZK | 162 988 561 |
10 largest borrowers in % of total Adjusted Value of Mortgage Loans in CZK | 1.06% |
Loans to employees per Adjusted loan balance in CZK | 0 |
Loans to employees as % of total | 0.00% |
Averages of remaining term, interest rate reset and LTV are weighted by the Adjusted Value of Mortgage Loans (LTV 80% cap) adjusted for the 80% LTV test.
For loans where future interest rate has been formally agreed (with bank customer forfeiting the option of early repayment) the interest reset date reflects the term of this forward rate agreement.
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All loans meet the Statutory and Contractual Eligibility Criteria:
- There is a first ranking mortgage in favor of the Issuer securing repayment of the relevant Mortgage Loan, which is also not subject to any other security interest of the same or prior ranking or any prior restrictions on disposals unless they cease to exist as a result of repayment of the obligations secured by them from the proceeds of the relevant mortgage loan
- The mortgage loans are governed by Czech law
- The mortgaged property is real property
- The mortgaged property is located in the Czech Republic
- The mortgaged property is residential property
- The mortgage loans are not in default (90+ days in arrears or defaulted under Art. 178 CRR)
- Under each mortgage loan, the maximum amount of secured receivables of the issuer is at least equal to the amount of receivables from that mortgage loan included in the cover pool
- The mortgage loan receivables amount included in the cover pool is capped at a maximum LTV ratio of 80%
- The mortgage loans are all denominated and payable by the relevant borrower in Czech Koruna
- The cover pool does not contain any asset-backed securities
- The relevant borrower has paid at least one installment
- The mortgage loans are fully disbursed
- The mortgage loans are not subject to any state subsidy
- The mortgage loans have been granted to one or more individuals
- There are no employee mortgage loans
Liquidity Buffer Overview
ISIN | Maturity | Currency | Volume Outstanding | Volume Outstanding in CZK |
CZ0001002547 | 05/2024 | CZK | 200 000 000 | 200 000 000 |
Grand Total | CZK | 200 000 000 | 200 000 000 | |
Cover Pool Swaps Overview
Counterparty | CCY | Amount | Rate | CCY | Amount | Rate | Market Value |
SOCIETE GENERALE (SGIB) | EUR | 500 000 000 | 0.01% | CZK | 13 080 000 000 | 1.09% | -308 259 357 |
Amount in CZK is based on actual Exchange Rate as of trade date (13 January 2021).
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Covered Block Cashflow Forecast (next 6 months)
Month | Mortgage Loans | Liquidity Buffer | Derivatives | Bonds Issued | Total |
2024-04 | 99 068 525 | 0 | 0 | 0 | 99 068 525 |
2024-05 | 99 068 525 | 11 423 409 | 0 | 0 | 110 491 933 |
2024-06 | 99 068 525 | 0 | 0 | 0 | 99 068 525 |
2024-07 | 99 068 525 | 0 | 0 | 0 | 99 068 525 |
2024-08 | 99 068 525 | 0 | 0 | 0 | 99 068 525 |
2024-09 | 99 068 525 | 0 | 0 | 0 | 99 068 525 |
Grand Total | 594 411 148 | 11 423 409 | 0 | 0 | 605 834 557 |
The projection is based on the following assumptions:
- projection of Mortgage Loans cashflow is done on the basis of contractual cashflows (annuity payments)
- projection of EUR cashflows is reported in CZK using current (31 March 2024) exchange rate
- projection of Liquidity Buffer cashflow considers only interest flows, as maturity of the instrument does not imply cash position change at the covered block level (principal received would remain in the covered block as cash)
- projection of Bonds Issued is done on the basis of Extended Maturity (i.e. not contractual maturity)
Loan Product Range
Mortgage Loan Purpose | Number of | Adjusted Value of Mortgage | % |
Mortgage Loans | Loans (LTV 80% cap) in CZK | ||
Purchase | 5 700 | 9 773 196 367 | 63.65% |
Construction | 778 | 1 442 736 417 | 9.40% |
Reconstruction | 679 | 567 609 876 | 3.70% |
Refinancing | 2 009 | 2 905 340 794 | 18.92% |
Others | 770 | 665 672 862 | 4.34% |
Grand Total | 9 936 | 15 354 556 317 | 100.00% |
Impact of COVID-19 Moratorium on Loans
Loans in COVID-19 moratorium per Adjusted loan balance in CZK | 0 |
Loans in COVID-19 moratorium as % of total | 0.00% |
Cover Pool Loan Detail
Loan Assets only; overview of Liquid Assets is given separately.
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Mortgage Loans Contractual Maturity Profile
Adjusted loan balance (LTV 80% cap) in CZK mln.
2 500
2 000
1 500
1 000
500
0
2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 2043 2044 2045 2046 2047 2048 2049 2050 2051 2052 2053 2054 2055 2056 Mortgage Loan maturity date (year)
Mortgage Loans Interest Rate Reset Profile
Adjusted loan balance (LTV 80% cap) in CZK mln.
- 000
- 500
- 000
-
500
0
2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 2043 2044 2045 2046 2047 2048 2049 2050 2051 2052 2053 2054 2055 2056 Mortgage Loan interest reset date (year)
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Mortgage Loans Seasoning Profile | ||||||||||||||||||||||||||
Adjusted loan balance (LTV 80% cap) in CZK mln. | ||||||||||||||||||||||||||
4 000 | ||||||||||||||||||||||||||
2 000 | ||||||||||||||||||||||||||
0 | ||||||||||||||||||||||||||
1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |
Mortgage Loan origination date (year) |
Mortgage Loans Contractual Amortization Profile
Projected End of Year Mortgage Loan balance in CZK mln.
15 000 |
10 000 |
5 000 |
0 |
2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 |
2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 2043 2044 2045 2046 2047 2048 2049 2050 2051 2052 2053 2054 2055 2056 Mortgage Loan maturity date (year)
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Interest rate range | Number of loans | Balance | % |
0% - 2% | 2 904 | 6 446 996 519 | 41.99% |
2% - 3% | 4 829 | 6 241 981 572 | 40.65% |
3% - 5% | 537 | 616 894 082 | 4.02% |
5% - 7% | 1 623 | 2 009 575 979 | 13.09% |
more | 43 | 39 108 164 | 0.25% |
Grand Total | 9 936 | 15 354 556 317 | 100.00% |
LTV range | Number of loans | Balance | % |
0% - 40% | 3 212 | 2 400 458 838 | 15.63% |
40% - 50% | 1 172 | 1 709 371 154 | 11.13% |
50% - 60% | 1 403 | 2 402 994 004 | 15.65% |
60% - 70% | 1 572 | 3 099 292 123 | 20.18% |
70% - 80% | 2 577 | 5 742 440 197 | 37.40% |
Grand Total | 9 936 | 15 354 556 317 | 100.00% |
Nominal balance range | Number of loans | Balance | % |
0 - 1 000 000 | 4 549 | 2 368 413 291 | 15.42% |
1 000 000 - 2 000 000 | 2 717 | 3 850 978 601 | 25.08% |
2 000 000 - 3 000 000 | 1 327 | 3 187 681 797 | 20.76% |
3 000 000 - 4 000 000 | 678 | 2 274 718 119 | 14.81% |
4 000 000 - 5 000 000 | 305 | 1 317 254 119 | 8.58% |
more | 360 | 2 355 510 390 | 15.34% |
Grand Total | 9 936 | 15 354 556 317 | 100.00% |
Loan seasoning | Number of loans | Balance | % |
up to 12 months | 65 | 146 465 083 | 0.95% |
12 to 24 months | 125 | 290 671 558 | 1.89% |
24 to 36 months | 693 | 1 800 386 697 | 11.73% |
36 to 60 months | 2 214 | 5 569 816 485 | 36.27% |
60 months and more | 6 839 | 7 547 216 494 | 49.15% |
Grand Total | 9 936 | 15 354 556 317 | 100.00% |
Residual life | Number of loans | Balance | % |
1 to 2 years | 541 | 111 276 353 | 0.72% |
2 to 3 years | 237 | 57 196 650 | 0.37% |
3 to 4 years | 127 | 54 519 634 | 0.36% |
4 to 5 years | 151 | 81 170 780 | 0.53% |
5 to 10 years | 1 148 | 836 351 031 | 5.45% |
10 to 20 years | 3 579 | 4 657 202 099 | 30.33% |
20+ years | 4 153 | 9 556 839 769 | 62.24% |
Grand Total | 9 936 | 15 354 556 317 | 100.00% |
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Arrears | Number of loans | Balance | % |
no arrears | 9 894 | 15 297 491 408 | 99.63% |
1 to 30 days | 39 | 52 855 704 | 0.34% |
30 to 60 days | 3 | 4 209 204 | 0.03% |
Grand Total | 9 936 | 15 354 556 317 | 100.00% |
Geographical Concentration
Region | Number of properties | Mortgaged Property Value | % |
Hlavní město Praha | 1 897 | 7 122 772 619 | 22.22% |
Jihomoravský kraj | 1 556 | 4 185 756 002 | 13.06% |
Jihočeský kraj | 542 | 1 317 268 645 | 4.11% |
Karlovarský kraj | 353 | 544 943 820 | 1.70% |
Kraj Vysočina | 462 | 953 770 136 | 2.98% |
Královéhradecký kraj | 623 | 1 217 402 817 | 3.80% |
Liberecký kraj | 435 | 1 015 187 917 | 3.17% |
Moravskoslezský kraj | 1 213 | 2 369 596 152 | 7.39% |
Olomoucký kraj | 759 | 1 597 144 595 | 4.98% |
Pardubický kraj | 623 | 1 346 184 550 | 4.20% |
Plzeňský kraj | 717 | 1 521 235 328 | 4.75% |
Středočeský kraj | 2 164 | 6 409 685 915 | 19.99% |
Zlínský kraj | 592 | 1 384 767 602 | 4.32% |
Ústecký kraj | 668 | 1 072 201 273 | 3.34% |
Grand Total | 12 604 | 32 057 917 371 | 100.00% |
Mortgaged Property Value in CZK bln.
1.02
1.07
1.22 | ||
0.54 | ||
7.12 | ||
6.41 | 1.35 | 2.37 |
1.52 | 1.60 | |
0.95 | ||
1.32 | 1.38 | |
4.19 |
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Appraisal Methods
Method | Number of properties | Mortgaged Property Value | % |
Usual price - interal valuation | 9 799 | 25 594 655 776 | 79.84% |
Usual price - external valuation | 2 716 | 6 375 176 872 | 19.89% |
Other internal valuation | 78 | 67 464 178 | 0.21% |
Model price (LuxPi) | 9 | 15 120 546 | 0.0472% |
HYPO - employee mortgage loan - build-up | 1 | 5 500 000 | 0.0172% |
Preliminary valuation | 1 | 0 | 0.00% |
Grand Total | 12 604 | 32 057 917 371 | 100.00% |
Usual Price (legally defined in Czech as cena obvyklá) is a price for which the same or a comparable property would be sold on the day of the valuation in the inland under standard business terms and conditions. Factors, risks known as of the date of the appraisal with impact on the price are considered, but no impacts of exceptional market factors, personal background of the buyer or the seller, nor any special favor are reflected in the price.
Exceptional market factors are for example distress of buyer or seller, unpredictable impacts of nature or other force majeure. Personal background means namely: property relationships, family or other personal relationships between seller and buyer. Special favor means: extraordinary value seen in a property arising from personal relation to the property. The CZ legislation covers specifically the definition of Usual Price, which requests taking into account all circumstances which have an impact on the price.
In praxis, the Usual Price is estimated with special respect to legal state of the property, existence of encumbrances or other burdens, real estate location, usage and technical condition, agreements connected to the valuated property, local real estate market condition, revenues attainable by a third person upon due management of the real estate. Usual Price excludes the use of disclaimers, which are commonly used in international valuations. In the process of the Usual Price estimation, following usual parameters are used, entering the valuation: usual level of lease, usual costs, usual vacancy, usual sales, etc.
Regulatory Treatment
UCITS 52(4), CRR Art. 129, ECB repo eligibility, LCR Level 1
Disclaimer
The issuer believes that, at the time of its issuance and based on transparency data made publicly available by the issuer, these covered bonds would satisfy the eligibility criteria for Article 129(7) of the Capital Requirements Regulation (EU) 648/2012.
It should be noted, however, that whether or not exposures in the form of covered bonds are eligible to preferential treatment under Regulation (EU) 648/2012 is ultimately a matter to be determined by a relevant investor institution and its relevant supervisory authority and the issuer does not accept any responsibility in this regard.
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Komercní banka a.s. published this content on 23 April 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 23 April 2024 09:53:02 UTC.