Transaction Update: Nordea Kredit Realkredit A/S Capital Centre 1's Mortgage Covered Bonds

Credit quality better than that of most peers, with lower asset default risk than the average for rated covered bonds in Denmark and the average for international peers. Low market risk due to the Danish "balance principle" requiring covered bond issuers to match cash flows from assets and liabilities. Available overcollateralization that exceeds the target credit enhancement. Willingness of the issuer to manage the transaction's credit risks. Relatively high percentage of agricultural assets. All assets in the cover pool are mortgage loans for residential and commercial properties in Denmark. The stable outlook reflects that we would not automatically lower the ratings on Nordea Kredit Realkredit A/S's covered bonds if we downgraded Nordea Bank Danmark A/S or if asset-liability mismatch (ALMM)

...*Under Standard & Poor's Ratings Services' group rating methodology, Nordea Kredit Realkredit A/S is a core entity to its parent Nordea Bank Danmark A/S (##-/Negative/A-1+). Therefore, we derive the ratings on the covered bonds by applying notches of uplift to the long-term issuer credit rating (ICR) on Nordea Bank Danmark. Nordea Kredit has two capital centers (Capital Centre 1 and Capital Centre 2). Each capital center is a separate register of a cover pool of assets and of the covered bonds secured by those assets. Capital Centre 1 comprises a portfolio of mortgage assets against which Nordea Kredit issues covered bonds ("Realkreditobligationer" or ROs)....

Transaction Update Report