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Norwegian covered bonds – a rapidly growing market Bjørn Bakke and Ketil Rakkestad and Geir Arne Dahl

Norwegian covered bonds – a rapidly growing market Bjørn Bakke and Ketil Rakkestad and Geir Arne Dahl. Charts to article in Economic Bulletin 2010.

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Norwegian covered bonds – a rapidly growing market Bjørn Bakke and Ketil Rakkestad and Geir Arne Dahl

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  1. Norwegian covered bonds – a rapidly growingmarketBjørn Bakke and Ketil Rakkestad and Geir Arne Dahl Charts to article in EconomicBulletin 2010

  2. Chart 2.1 Simplified balance sheet for a residential mortgage company before a drop in house prices. Red frame indicates eligible cover pool1). Balancesheet total = 100 before the drop in house prices Residential mortgages up to 75% LTV OMFs outstanding Substitute collateral Loans Other assets Equity 1)Eligible cover pool denotes theassets in the cover pool that qualify when calculating whetherthe value of the cover pool exceeds the value of the outstanding covered bonds, as is required by law.

  3. Chart 2.2 Simplified balance sheet for a residential mortgage company after a drop in house prices. Red frame indicates eligible cover pool1). Balance sheet total = 100 before the drop in house prices Res. mortgages above 75% LTV Residential mortgages up to 75% LTV OMFs outstanding Substitute collateral Loans Other assets Equity 1)Eligible cover pool denotestheassets in the cover pool thatqualifywhencalculatingwhetherthe value of the cover pool exceeds the value of the outstanding covered bonds, as is required by law.

  4. Chart 3.1 Issuance of OMFs by Norwegian mortgage companies. Billions of NOK. Q3 2007 – Q2 2010 Sources: Stamdata, Bloomberg and Norges Bank

  5. Chart 3.2 Yield on an OMF and a bank bond with the same issue volume. Denominated in EUR. Three years to maturity. Per cent. 12 June 2008 – 21 July 2010 Source: Bloomberg

  6. Chart 3.3 Maturity structure of OMFs in thegovernment swap arrangement. Billions of NOK. Q3 2010 – Q3 2014 Source: Norges Bank

  7. Chart 3.4 Maturity structureofOMFsoutstandingdenominated in foreign currency. Translated into billions of NOK. Issuance from Q3 2007 – Q2 2010 Sources: Bloomberg and Norges Bank

  8. Chart 3.5 Maturity at time ofissuance of OMFs denominated in foreign currency. Translated into billions of NOK. Issuance from Q3 2007 – Q2 2010 Sources: Bloomberg and Norges Bank

  9. Chart 3.6 Risk premium for covered bonds denominated in EUR.1) Time to maturity in brackets. Spread to swap rates. Basis points. July 2007 – June 2010 1) iBoxx Euro Coveredindices Source: Markit

  10. Chart 1 Cover poolby LTV. Selected residential mortgage companies. Per cent. 31 December 2009 Source: Norges Bank

  11. Chart 2 Reduction in eligible cover pool after drop in house prices. Selected residential mortgage companies. Per cent. 31 December 2009 Decrease in house prices Source: Norges Bank

  12. Chart 3 Cover poolby LTV. Selected residential mortgage companies. 31 December 2009 and scenario. Per cent Source: Norges Bank

  13. Chart 4 Reduction in eligible cover pool after drop in house prices. Selected residential mortgage companies. 31 December 2009 and scenario. Per cent Decrease in house prices Source: Norges Bank

  14. Chart 4.1 Risk premium for OMFs and senior debt issued by financial institutions. Spread to swap rates. Five-year maturity. Basis points. January 2007 – July 2010 Source: DnB NOR Markets (Underlying data will not be made publicly available.)

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