Van Lanschot Kempen (VLK) Investor presentation summary

Programme overview

• €5.0bn soft-bullet programme with a maximum 12-month extension; expected AAA rating from S&P and a dedicated covered bond company as guarantor.

• Prime Dutch residential mortgage collateral; 78% asset percentage and regulatory overcollateralisation of at least 5%.

• Registered with DNB and compliant with Dutch covered bond legislation, CRR Article 129 and the European Covered Bond (Premium) Label; eligible for LCR Level 1, Solvency II and ECB repo purposes.

• Investors have recourse to the cover pool and, if it is insufficient, unsecured recourse to the issuer; the structure is exempt from bail-in.

• Asset Cover and Amortisation Tests apply; swap counterparties are not required, while portfolio and interest rate swaps are optional.

Cover pool and mortgage quality

• As of 1 May 2023, the pool had €1.408bn net principal balance, including a €742m top-up; the mortgages were transferred to the covered bond company on that date, and the pool may change.

• Pool comprised 2,543 loans and 5,525 loan parts; average net principal balance per borrower was €553,841, weighted average maturity 19.09 years and current interest rate 2.38%.

• Fixed-rate loans represented 97.61% of the pool and floating-rate loans 2.39%; current loan-to-indexed-market-value measure was 51.96%.

• The €6.341bn mortgage book had a 0.4% impaired-loan ratio at 31 December 2022; the broader €9.404bn loan portfolio had a 1.1% impaired ratio.

• More than 70% of the mortgage portfolio comprised Dutch residential mortgages, with an average LTV of 63%; mortgages were primarily granted to high-net-worth individuals.

Capital, credit and funding

• Issuer ratings were BBB+ from both S&P and Fitch, each with a stable outlook; the covered bond programme's expected S&P rating was AAA.

• At 31 December 2022, CET1 ratio was 20.6%, total equity €1.38bn and leverage ratio 5.7%.

• Liquidity metrics at year-end 2022 included a 178.3% liquidity coverage ratio, 158.1% net stable funding ratio and 73.6% loan-to-deposit ratio.

• Client savings and deposits made up 75% of the €17.0bn funding mix; the funding ratio rose 4 percentage points YoY to 136%.

• Funding sources include public covered bonds for wholesale funding, a €5.0bn debt issuance programme and private placements, structured products and hybrid instruments.