Overview Key strengths Key risk Considering the ?A? issuer credit rating (ICR) on Sparbanken Skane and the very strong systemic importance of covered bonds in Sweden, the program achieves ?aaa? ratings at the jurisdiction-supported rating level (JRL) and the coverage of the legal minimum overcollateralization (2%). There is no liquidity buffer covering 180 days of liquidity risk. The cover pool comprises loans backed by residential mortgages with lower loan-to-value (LTV) ratios than the maximum allowed by legislation. The program benefits from three unused notches that would protect the covered bond ratings if we were to lower the long-term ICR on the issuer. In our previous analysis, the program required 6.7% overcollateralization and the coverage of ?AAA? credit risk to achieve
