Van Lanschot Kempen (VLK) Investor presentation summary

Covered bond programme

• €5.0bn registered soft-bullet programme; AAA rating by S&P, with a maximum 12-month extension period and Van Lanschot Kempen SB Covered Bond Company B.V. as guarantor.

• Asset Percentage of 76%; prime Dutch residential mortgage collateral; issuer ratings BBB+ from S&P and Fitch.

• Dual recourse to the issuer and covered bond company; programme tests include an Asset Cover Test and an Amortisation Test.

• Complies with Dutch covered bond regulations and Article 129 CRR; carries the European Covered Bond (Premium) Label and is eligible for LCR Level 1 treatment.

• Programme established in March 2022; two benchmark soft-bullet covered bonds outstanding as of the presentation.

Cover pool and mortgage portfolio

• Cover pool at July 2023: €1.388bn net principal balance, 2,510 loans, 97.59% fixed-rate loans and 2.41% floating-rate loans.

• Cover-pool weighted-average current interest rate 2.38%, weighted-average maturity 18.88 years and weighted-average seasoning 11 years.

• Mortgage portfolio totalled €6,314m at 30 June 2023; almost 70% of the total loan portfolio comprised Dutch residential mortgages, with average LTV of 66%.

• Mortgage impaired-loan ratio was 0.4%; total loan portfolio was €9,297m, down 1% from year-end 2022.

• Soft-bullet maturity can extend by up to 12 months after an issuer event of default if funds are insufficient; a failed Amortisation Test triggers covered-bond company default.

Capital, funding and credit profile

• CET1 ratio was 21.6% at 30 June 2023; total equity and AT1 were €1.4bn and leverage ratio was 6.6%.

• Liquidity coverage ratio was 172.2%, net stable funding ratio 147.8% and loan-to-deposit ratio 82.8%.

• Client savings and deposits represented 72% of the €15.5bn funding mix; debt securities 13%, equity 9%, other funding 3% and interbank funding 2%.

• Funding includes public covered-bond programmes and unsecured issuance; the soft-bullet programme is intended to replace the public CPT programme over time.