Storebrand ASA — Interim / Quarterly Report 2021

Apr 28, 2021

Interim report 2021

Storebrand Boligkreditt AS (unaudited)

Contents

Interim report 3
Key Figures 5
Income statement 6
Statement of financial position. 7
Statement of changes in equity 8
Statement of cash flow 9

Notes

Note 1 Accounting principles. 10
Note 2 Estimates. 10
Note 3 Tax. 10
Note 4 Related parties. 10
Note 5 Financial risk. 11
Note 6 Valuation of financial instruments. 12
Note 7 Segment information. 13
Note 8 Liabilities to credit institutions. 13
Note 9 Debt securities issued. 14
Note 10 Capital adequacy 14
Note 11 Loan to value ratios and collateral 16
Note 12 Net interest income 16
Note 13 Off balance sheet liabilities and contingent liabilities 17
Note 14 Losses on loans, guarantees and unused credits 17
Note 15 Loan portfolio and guarantees 18
Note 16 Non-performing loans and loan losses 19
Note 17 Loan loss provisions 21
Note 18 Distribution of loan loss provisions and exposure on secured and unsecured retail exposures 22
Note 19 Quarterly income statement 23

This document may contain forward-looking statements. By their nature, forward-looking statements involve risk and uncertainty because they relate to future events and circumstances that may be beyond the Storebrand Group's control As a result, the Storebrand Group's actual future financial condition, performance and results may differ materially from the plans, goals and expectations set forth in these forward-looking statements. Important factors that may cause such a difference for the Storebrand Group include, but are not limited to: (i) the macroeconomic development, (ii) change in the competitive climate, (iii) change in the regulatory environment and other government actions and (iv) market related risks such as changes in equity markets, interest rates and exchange rates, and the performance of financial markets generally. The Storebrand Group assumes no responsibility to update any of the forward-looking statements contained in this document or any other forward-looking statements it may make.

Storebrand Boligkreditt AS - Interim report for the first quarter of 2021

(Profit figures for the corresponding period in 2020 are shown in brackets. Balance sheet figures in brackets are for the end of 2020)

• Solid interest margins
• Increased lending

Financial performance

Pre-tax profit was NOK 40 million (NOK 17 million) for the first quarter.

Net interest income was NOK 58 million (NOK 47 million) in the first quarter. The increase from the first quarter of 2020 was due to both increased lending volume and increased margins. As a percentage of average total assets, net interest income was 1.01 per cent (0.91 per cent) for the first quarter.

Other operating income in the first quarter amounted to NOK 4 million (minus NOK 5 million) and relate to net change in value on financial instruments.

Operating expenses is stable in the quarter and totalled NOK 22 million (NOK 21 million) in the first quarter.

Loan losses in the first quarter amounted to NOK 0.6 million recognised as gain (loss of NOK 4.3 million).

Balance sheet development

The lending volume has increased by NOK 1.2 billion since the end of 2020 and amounted to NOK 22.3 billion (NOK 21.1 billion). Storebrand Bank ASA and Storebrand Boligkreditt AS operate with restrictive lending practices. The average loan-to-value ratio in the portfolio was 51 per cent (52 per cent) at the end of the quarter. On the date of transfer, the loan-to-value ratio never exceeds 75 per cent. The company has over-collateralisation of 116 per cent (116 per cent).

Defaulted loans at the end of the first quarter amounted to NOK 31 million (NOK 41 million), equivalent to 0.14 per cent of gross loans in the company (0.19 per cent). All the loans have a loan-to-value ratio within 75 per cent of market value or have mainly been written down. Loan loss provisions amounted to NOK 3 million (NOK 4 million) at the end of the first quarter.

The company's loan programme is AAA rated by S&P Global Ratings.

At the end of the first quarter of 2021, the company had a liquidity portfolio consisting of fixed-income securities with a AAA rating and AA+ rating from S&P Global Ratings with a market value of NOK 1,297 million, of which NOK 41 million is classified at amortised cost and NOK 1.256 million is classified at fair value in the balance sheet with changes in value through profit or loss.

The company's total assets as of 31 March 2021 were NOK 23.8 billion (NOK 22.6 billion), an increase of NOK 1.2 billion compared with the end of 2020.

At the end of the first quarter, Storebrand Boligkreditt AS had issued covered bonds with a total carrying amount of NOK 20.0 billion with remaining terms of approximately 3 months to 10 years. NOK 18.9 billion of these bonds has been placed in the market, while NOK 1.1 billion is being held by the parent bank.

Storebrand Boligkreditt AS has two credit facilities with Storebrand Bank ASA. One of these is a normal overdraft facility, with a ceiling of NOK 6.0 billion. This has no expiry date, but can be terminated by the bank on 15 months' notice. The other facility may not be terminated by Storebrand Bank ASA until at least 3 months after the maturity date of the covered bond and the associated derivatives with the longest period to maturity. Both agreements require a sufficient ceiling at all times to be able to cover interest and repayment on covered bonds and associated derivatives for the next 31 days.

Capital adequacy

Equity in the company at the end of the first quarter amounted to NOK 1.6 billion (NOK 1.6 billion) after group contributions paid/received. The eligible capital (Tier 1 capital + Tier 2 capital) at the end of the quarter amounted to NOK 1.6 billion (NOK 1.6 billion). The capital base of Storebrand Boligkreditt AS consists entirely of Core Equity Tier 1 (CET1). The CET1 adequacy ratio in the company was 18.6 per cent (19.7 per cent) at the end of the fourth quarter. The requirement for the capital base was 15.8 per cent as of 31 March 2021. The company has satisfactory solvency and liquidity based on the company's business activities. The company satisfied the combined capital and capital buffer requirements by a good margin at the end of the quarter.

Storebrand Boligkreditt AS must comply with an LCR of 100 per cent. At the end of the first quarter of 2021, the company's LCR was 978 per cent.

Credit risk

The loan portfolio at 31 March 2021 is not significantly changed from previous quarters. The portfolio mainly consists of loans and credits secured in real estate. The average LTV's are low and have not changed significantly from previous quarters. Loans in arrear and defaulted loans are on similar levels as in previous quarters.

The macroeconomic environment is significantly different compared to year end 2019. During 2020 the unemployment rate, including furloughs, increased significantly, however, was reduced considerably during second half of 2020. The present unemployment rate is approximately 1 percentage point above the level year end 2019, at 4.8%. According to Statistics Norway there are signs of macroeconomic improvement. The economic activity is set to increase due to increased vaccination of the Norwegian population during the next quarters. The scale and timing of the increased economic activity is uncertain, caused by uncertainties on timing of vaccination of the population, its effectiveness, including effectiveness on different variations of the corona virus as well as effectiveness on reducing infection levels. There will probably be corona containment measures during 2021 and into 2022. Unemployment and housing prices are dependent on economic activity, which default levels and loan losses in the loan portfolio are dependent on.

The macro economic uncertainty is still reflected in the IFRS 9 expected credit losses, even though there are signs of improvement. Storebrand Boligkreditt AS has not changed the outlook significantly from the first quarter of 2020, and the parameters in the model remains unchanged. The expected credit losses are therefore not significantly changed in the first quarter. There is still a higher uncertainty in the point estimate of expected credit losses compared to credit losses pre-COVID-19 at year end 2019, as well as a higher possibility for larger variations in expected credit losses in future quarters.

Strategy and future prospects

In 2021, Storebrand Boligkreditt AS will continue its core activity, which is the acquisition and management of mortgages from Storebrand Bank ASA. The company is aiming for moderate growth in collateralisation during 2021. Storebrand Boligkreditt AS will continue to monitor the development of Covid-19 and adjust its operations to the changing conditions, both in terms of macroeconomic development and impact on individual customers.

The market trends and the non-performing loans are being closely monitored. Efforts to ensure good working procedures and high data quality will continue and thereby ensure that government and rating requirements continue to be fulfilled. Developments in the Norwegian and international capital markets, interest rates, unemployment and the property market are regarded as the key risk factors that can affect the results of Storebrand Boligkreditt AS in 2021.

New issues of covered bonds will be made available when the company decides it is favourable to do so and there is sufficient collateral. Storebrand Boligkreditt AS will continue to contribute to Storebrand Bank ASA having diversified financing.

The Board of Directors are not aware of any events of material importance to the preparation of the interim financial statements that have occurred since the balance sheet date.

Lysaker, 27 April 2021 The Board of Directors of Storebrand Boligkreditt AS

Storebrand Boligkreditt AS Key figures

	Q1	Q1	Full Year
NOK million and percentage	2021	2020	2020
Profit and loss account: (as % of avg. total assets) 1)
Net interest income	1.01 %	0.91 %	0.93 %
Profit before other comprehensive income as % of total assets	0.54 %	0.25 %	0.14 %
Main balance sheet figures:
Total assets	23,804.8	21,545.6	22,587.5
Average total assets	23,072.3	20,785.6	21,249.2
Gross loans to customers	22,262.9	21,348.4	21,069.7
Equity	1,640.5	1,549.3	1,609.0
Other key figures:
Loan losses and provisions as % of average total lending	-0.01 %	0.08 %	0.01 %
Individual loan loss provisions as % of gross loss-exposed loans 2)	15.3 %	22.1 %	12.5 %
Cost/income ratio	35.3 %	49.4 %	46.7 %
Core equity Tier 1 (CET1) capital ratio	18.6 %	18.9 %	19.7 %
LCR 3)	978.0 %	892.0 %	991.0 %

Definitions:

1) Average total assets is calculated on the basis of monthly total assets for the quarter and for the year respectively..

2) Gross loss-exposed loans with evidence of impairment.

3) Liquidity coverage requirement.

Storebrand Boligkreditt AS Income statement

	Q1	Full year
(NOK million) note	2021	2020	2020
Interest income and similar income
Interest income calculated by using the effective interest method	99.2	154.1	462.7
Other interest income	1.9	0.5	3.2
Total interest income and similar income	101.1	154.6	465.8
Interest expenses and similar expenses
Interest expenses calculated by using the effective interest method	-42.9	-106.6	-265.0
Other interest expenses	-0.5	-0.9	-3.4
Total interest expenses and similar expenses	-43.4	-107.4	-268.4
Net interest income 12	57.7	47.2	197.5
Fee and commission income from banking services			0.1
Fee and commission expense for banking services		-0.1	-0.3
Net change in fair value and gain/loss on foreign exchange and
financial instruments	3.8	-4.5	-16.2
Staff expenses			-0.2
Other operating expenses	-21.7	-21.0	-84.2
Total operating expenses	-21.7	-21.1	-84.5
Total credit loss on loans, guarantees and interest-bearing securities 14	0.6	-4.3	-2.7
Profit before tax for continued operations	40.4	17.3	93.8
Tax on profit from continued operations 3	-8.9	-3.8	-20.6
Profit before other comprehensive income	31.5	13.5	73.2
Other comprehensive income
Other income and expenses not to be reclassified to profit/loss
Other income and expenses
Tax on other income and expenses not to be reclassified to profit/loss
Other income and expenses that may be reclassified to profit/loss
Other income and expenses
Tax on other income and expenses that may be reclassified to profit/loss
Total other income and expenses	0.0	0.0	0.0
Total comprehensive income for the period	31.5	13.5	73.2

Storebrand Boligkreditt AS Statement of financial position

(NOK million)	note	31.03.2021	31.03.2020	31.12.2020
Loans to and deposits with credit institutions	6	4.5	4.7	8.3
Loans to customers 6, 11, 13, 15,16, 17		22,259.4	21,342.6	21,065.6
Interest-bearing securities	6	1,297.5	142.6	1,497.8
Derivatives	6
Other current assets	6	243.4	55.8	15.8
Total assets		23,804.8	21,545.6	22,587.5
Loans and deposits from credit institutions	6, 8	2,122.3	2,575.8	1,712.7
Debt securities issued	6, 9	20,024.5	17,413.6	19,243.1
Derivatives	6	0.7
Other current liabilities	6	1.3	1.8	0.7
Tax payable		8.9	3.8	15.3
Deferred tax		6.6	1.3	6.6
Provisions for guarantees and unused credit facilities	17
Total liabilities		22,164.3	19,996.3	20,978.5
Share capital		490.0	490.0	490.0
Share premium		550.1	550.1	550.1
Other paid in equity		521.4	467.0	467.0
Total paid in equity		1,561.5	1,507.0	1,507.0
Other equity		79.1	42.3	102.0
Total retained earnings		79.1	42.3	102.0
Total equity	10	1,640.5	1,549.3	1,609.0
Total liabilities and equity		23,804.8	21,545.6	22,587.5

Lysaker, 27 April 2021 The Board of Directors of Storebrand Boligkreditt AS

Storebrand Boligkreditt AS Statement of changes in equity

	Share	Share	Other paid in	Total paid in	Other	Total retained	Total
(NOK million)	capital	premium	equity	equity	equity	earnings	equity
Equity at 31.12.2019	490.0	550.1	404.3	1,444.4	91.4	91.4	1,535.8
Profit for the period					73.2	73.2	73.2
Other comprehensive income
Total comprehensive income for the
period	0.0	0.0	0.0	0.0	73.2	73.2	73.2
Equity transactions with the owner:
Group contribution received			62.6	62.6			62.6
Group contribution paid					-62.6	-62.6	-62.6
Equity at 31.12.2020	490.0	550.1	467.0	1,507.0	102.0	102.0	1,609.0
Profit for the period					31.5	31.5	31.5
Other comprehensive income
Total comprehensive income for the
period	0.0	0.0	0.0	0.0	31.5	31.5	31.5
Equity transactions with the owner:
Group contribution received			54.4	54.4			54.4
Group contribution paid					-54.4	-54.4	-54.4
Equity at 31.03.2021	490.0	550.1	521.4	1,561.5	79.1	79.1	1,640.5

Storebrand Boligkreditt AS is 100 per cent owned by Storebrand Bank ASA. Number of shares are 35 000 000 of nominal value NOK 14 per share.

Storebrand Boligkreditt AS Statement of cash flow

(NOK million)	31.03.2021	31.03.2020
Cash flow from operating activities
Net receipts of interest, commissions and fees from customers	96.8	151.3
Net disbursements/payments on customer loans	-1,220.1	-988.4
Net receipts/payments on securities	2.9	-3.2
Payments of operating costs	-21.8	-21.0
Net cash flow from operating activities	-1,142.2	-861.2
Cash flow from financing activities
Payments - repayments of loans and issuing of bond debt		-4,041.5
Receipts - new loans and issuing of bond debt	780.0	3,534.3
Payments - interest on loans	-35.9	-81.8
Net receipts/payments of liabilities to credit institutions	409.6	1,465.7
Receipts - group contribution	54.4	62.6
Payments - group contribution	-69.8	-80.3
Net cash flow from financing activities	1,138.4	859.1
Net cash flow in the period	-3.9	-2.1
Cash and bank deposits at the start of the period	8.3	6.8
Cash and bank deposits at the end of the period	4.5	4.7

Storebrand Boligkreditt AS has credit facility agreements with Storebrand Bank ASA .The amount drawn on the credit facilities is recognised in the item "Liabilities to credit institutions" as at 31.03.2021. See also Note 8.

Storebrand Boligkreditt AS Notes

Accounting principles

The financial statements are prepared in accordance with IAS 34 Interim Financial Reporting. The interim financial statements do not contain all the information that is required in full annual financial statements. The financial statements of Storebrand Boligkreditt AS have been prepared in accordance with International Financial Reporting Standards (IFRS) and appurtenant interpretations.

A description of the accounting policies applied in the preparation of the financial statements is provided in the 2020 annual report, and the interim financial statements are prepared with respect to these accounting policies.

There are none new or changed accounting standards that entered into effect in 2021.

Estimates

Critical accounting estimates and judgements are described in the 2020 annual financial statements' note 2 and valuation of financial instruments at fair value are described in note 8.

In preparing financial statements the management are required to make judgements, estimates and assumptions of uncertain amounts. The estimates and underlying assumptions are reviewed on an ongoing basis and are based on historical experience and expectations of future events and represent the management's best judgment at the time the financial statements were prepared.

Actual results may differ from these estimates.

The uncertainty of the economic development causes an increase in expected credit losses from year end 2020. There is also a higher uncertainty in the point estimate of expected credit losses, and there is a higher possibility in larger variations in expected credit losses in the next quarters. See further information in note 5 financial risk and note 16 non-performing loans and loan losses

Tax Note 03

Storebrand Boligkreditt AS has activities within "Section K" (financing and insurance activities as defined in Standard Industrial Classification 2007) which exceed 30 per cent and are therefore subject to the financial tax, but since the company does not have any employees it is not subject to finance tax. A tax rate of 22 per cent has been used for capitalizing deferred tax asset in the balance sheet.

Related Parties Note

04

Issued covered bonds

Storebrand Bank ASA has invested NOK 1.1 billion in covered bonds issued by Storebrand Boligkreditt AS as of 31 March 2021.

Loans transferred from Storebrand Bank ASA

Storebrand Bank ASA sells loans to the mortgage company Storebrand Boligkreditt AS. Once the loans are transferred, Storebrand Boligkreditt AS assumes all the risks and benefits of owning the loan portfolio. It is Storebrand Boligkreditt AS that receives all the cash flows from the loan customer. Storebrand Bank ASA shall arrange the transfer and return of loans when changes have to be made in case of change from variable to fixed interest and conversion to a flexible mortgage. In some cases Storebrand Bank ASA shall arrange the transfer and return of loans when changes of loan amount or conversion to another mortgage product have to be made. The costs are included in the contractual administration fee.

Non-performing loans in Storebrand Boligkreditt AS remain in the company. These loans will, pursuant to the service agreement with Storebrand Bank ASA, be treated in the same way as non-performing loans in the bank. Specific reports are prepared for non-performing loans in Storebrand Boligkreditt AS. These loans are not included in the cover pool. Loans to employees can be transferred to Storebrand Boligkreditt AS. The difference between the market interest rate and the subsidised

interest rate is covered monthly by the company in which the debtor is employed.

Storebrand Bank ASA has not pledged any guarantees in connection with loans to Storebrand Boligkreditt AS.

Credit facilities with Storebrand Bank ASA

Storebrand Boligkreditt AS has two credit facilities with Storebrand Bank ASA. See note 8 for more information.

Other

Storebrand Boligkreditt AS has no employees, and purchases personnel resources from Storebrand Bank ASA and services including accounting functions from Storebrand Livsforsikring AS.

Storebrand Boligkreditt AS conducts transactions with close associates as part of its normal business activities. The terms for transactions with senior employees and related parties are stipulated in note 27 in the 2020 annual report for Storebrand Boligkreditt AS.

Financial risk Note 05

Notes 4 to 8 in the 2020 annual report provide a detailed overview of the company's financial risk. The descriptions are applicable at 31 March 2021.

Credit Risk – credit exposure

There are no significant changes to PD, EAD and LGD estimates from 31 December 2020 to 31 March 2021. The LTV's are not significantly changed. There are no significant changes to loans in arrear and defaulted loans at 31 March 2021 compared to previous quarters.

The first quarter has also been affected by the development linked to the Coronavirus spread. From the last part of February, the contagion, and the consequence of containment both in Norway and globally, has led to financial turmoil with falling economic activity, increased unemployment, and falling oil price. In Norway the unemployment has fallen significantly from the peak in the beginning of the second quarter to approximately 4.8%. According to Statistics Norway there are signs of macroeconomic improvement. The economic activity is set to increase due to increased vaccination of the Norwegian population during the next quarters, however, the uncertainty going forward is still elevated. Storebrand Bank ASA has not altered the outlook significantly, and the parameters in the model remains unchanged. There are some improvements in risk levels on unsecured credits which cause the provisions for these credits to be reduced.

Loan-to-value ratio, secured loans

	31.03.2021
	Distribution in	Book value	Unused	Total
(NOK million)	per cent	(gross)	credit limits	commitments
0% - 40%	26.9 %	5,262.3	1,013.3	6,275.6
40% - 60%	36.2 %	8,384.8	65.2	8,450.0
60% - 80%	34.6 %	8,064.6	6.5	8,071.1
80% - 90%	1.6 %	382.7	0.0	382.7
90% - 100%	0.5 %	117.3	0.2	117.5
> 100%	0.2 %	51.1	0.1	51.1
Total secured loans	100.0 %	22,262.6	1,085.3	23,348.0
Loan commitments and financing certificates, secured
Total secured loans incl. loan commitments and financing certificates		22,262.6	1,085.3	23,348.0

	31.12.2020
(NOK million)	Distribution in per cent	Book value (gross)	Unused credit limits	Total commitments
0% - 40%	27.2 %	4,999.2	1,023.7	6,023.0
40% - 60%	31.9 %	7,013.7	62.0	7,075.8
60% - 80%	39.8 %	8,806.7	4.9	8,811.6
80% - 90%	0.6 %	139.8	0.0	139.8
90% - 100%	0.3 %	69.2	-	69.2
> 100%	0.2 %	40.7	0.0	40.7
Total secured loans	100.0 %	21,069.4	1,090.7	22,160.1
Loan commitments and financing certificates, secured
Total secured loans incl. loan commitments and financing certificates		21,069.4	1,090.7	22,160.1

Risk related to secured loans

	31.03.2021
(NOK million)	Distribution in per cent	Book value (gross)	Unused credit limits	Total commitments
Low risk	94.7 %	21,020.1	1,083.5	22,103.5
Medium risk	4.9 %	1,139.5	1.8	1,141.4
High risk	0.3 %	72.6	0.0	72.6
Non-performing and loss-exposed loans incl. loans with evidence of
impairment	0.1 %	30.4		30.4
Total secured loans incl. loan commitments and financing certificates	100.0 %	22,262.6	1,085.3	23,348.0
Loan commitments and financing certificates, secured
Total secured loans incl. loan commitments and financing certificates		22,262.6	1,085.3	23,348.0

	31.12.2020
	Distribution in	Book value	Unused	Total
(NOK million)	per cent	(gross)	credit limits	commitments
Low risk	94.2 %	19,795.3	1,088.6	20,884.0
Medium risk	5.2 %	1,144.8	2.1	1,146.8
High risk	0.4 %	88.7	0.0	88.8
Non-performing and loss-exposed loans incl. loans with evidence of
impairment	0.2 %	40.6		40.6
Total secured loans	100.0 %	21,069.4	1,090.7	22,160.1
Loan commitments and financing certificates, secured
Total secured loans incl. loan commitments and financing certificates		21,069.4	1,090.7	22,160.1

Note 06

Valuation of financial instruments

The Storebrand group categorises financial instruments on three different levels. Criteria for the categorisation and processes associated with valuing are described in more detail in note 8 in the 2020 annual report for Storebrand Boligkreditt AS.

The levels express the differing degrees of liquidity and different measurement methods used. The company has established valuation models to gather information from a wide range of well-informed sources with a view to minimising the uncertainty of valuations.

Valuation of financial instruments at fair value through profit and loss (FVTPL)

	Stage 1	Stage 2	Stage 3
	Quoted	Observable	Non-observable	Book value	Book value
(NOK million)	prices	assumptions	assumptions	31.03.2021	31.12.2020
Government and government guaranteed bonds
Mortgage and asset backed bonds		1,255.9		1,255.9	1,456.1
Total interest-bearing securities 31.03.2021	0.0	1255.9	0.0	1255.9
Total interest-bearing securities 31.12.2020		1,456.1
Interest rate derivatives		-0.7		-0.7
Total derivatives 31.03.2021	0.0	-0.7	0.0	-0.7
Derivatives with a positive fair value
Derivatives with a negative fair value		-0.7		-0.7
Total derivatives 31.12.2020

There have not been any changes between quoted prices and observable assumptions on the various financial instruments in the quarter.

Valuation of financial instruments at fair value through other comprehensive income (FVOCI)

Total loans to customers			22,259.4	22,259.4	21,065.6
Loans to customers - retail market			22,259.4	22,259.4	21,065.6
(NOK million)	Stage 1	Stage 2	Stage 3	Book value 31.03.2021	Book value 31.12.2020

Valuation of financial instruments at amortised cost

(NOK million)	Fair value 31.03.2021	Book value 31.03.2021	Fair value 31.12.2020	Book value 31.12.2020
Financial assets
Loans to and deposits with credit institutions	4.5	4.5	8.3	8.3
Loans to customers - retail market
Other current assets	243.4	243.4	15.8	15.8
Interest-bearing securities	41.6	41.6	41.8	41.7
Financial liabilities
Liabilities to credit institutions	2,122.3	2,122.3	1,712.7	1,712.7
Debt securities issued	20,122.5	20,024.5	19,325.3	19,243.1
Other liabilities	1.3	1.3	0.7	0.7

Segment information

Business segments are the company's primary reporting segments. The company has only one segment, Retail Lending. This segment comprises lending to private individuals, and all loans are purchased from Storebrand Bank ASA. The company's accounts for the 1st quarter of 2021 therefore relate entirely to the Retail Lending segment.

Liabilities to credit institutions

Storebrand Boligkreditt AS has two credit facilities with Storebrand Bank ASA.

One of these facilities is a normal overdraft facility, with a commitment of NOK 6 billion. This has no expiry date, but can be terminated by the bank on 15 months' notice.

The amount of the other facility is the payment obligations of Storebrand Boligkreditt the following 31 days on interest and principal amounts regarding Covered Bonds, including any connected derivatives. This facility may not be terminated by Storebrand Bank ASA until at least 3 months after the maturity date of the covered bond and the associated derivatives with the longest period to maturity.

In 2021 all covenant requirements are fulfilled.

Debt securities issued Note 09

Covered bonds

(NOK million)					Book value
ISIN Code	Nominal value	Currency	Interest	Maturity 1)	31.03.2021
NO0010760192	1,067.0	NOK	Floating	16.06.2021	1,068.0
NO0010786726	4,000.0	NOK	Floating	15.06.2022	4,007.4
NO0010813959	4,000.0	NOK	Floating	20.06.2023	4,002.9
NO0010873177	5,000.0	NOK	Floating	19.06.2024	4,997.5
NO0010894199	5,000.0	NOK	Floating	25.06.2025	5,157.7
NO0010936917	300.0	NOK	Floating	21.02.2031	314.3
NO0010951528	480.0	NOK	Fixed	15.04.2031	476.8
Total debt securities issued 2)	19,847.0				20,024.5
Total debt securities issued as at 31.12.2020	19,067.0				19,243.1

1) Maturity date in this summary is the first possible maturity date (Call date).

2) For covered bonds (CBs) that are allocated to the company's security, regulatory requirements for over-collateralisation of 102 per cent and an over-collateralisation requirement of 109.5 per cent apply for bonds issued prior to 21 June 2017. In 2021 all covenants are fulfilled. See note 11.

Note 10

Capital Adequacy

Eligible captital

(NOK million)	31.03.2021	31.12.2020
Share capital	490.0	490.0
Other equity	1,150.5	1,119.0
Total equity	1,640.5	1,609.0
Deductions
Profit not included in the calculation of eligible capital	-31.5
AVA adjustments	-23.5	-22.5
Provision for group contribution		-54.4
Additions
Group contribution received		54.4
Core Equity Tier 1 (CET1)	1,585.5	1,586.6
Additional Tier 1 capital
Capital instruments eligible as Additional Tier 1 capital
Additions
Tier 1 capital	1,585.5	1,586.6
Tier 2 capital
Subordinated loans
Tier 2 capital deductions
Eligible capital (Tier 1 capital + Tier 2 capital)	1,585.5	1,586.6

Minimum capital requirement

(NOK million)	31.03.2021	31.12.2019
Credit risk	658.2	621.3
Of which:
International organisations
Local and regional authorities
Institutions	4.0	0.3
Loans secured against real estate	617.8	584.5
Loans past-due	2.5	3.3
Covered bonds	10.0	11.6
Other	23.8	21.6
Total minimum requirement for credit risk	658.2	621.3
Total minimum requirement for market risk	0.0	0.0
Operational risk	24.3	22.6
CVA risk 1)	0.9
Deductions
Minimum requirement for net primary capital	683.4	644.0

1) Regulation on own funds requirements for credit valuation adjustment risk.

Capital adequacy

	31.03.2021	31.12.2020
Capital ratio	18.6 %	19.7 %
Tier 1 capital ratio	18.6 %	19.7 %
Core equity Tier 1 (CET1) capital ratio	18.6 %	19.7 %

The standard method is used for credit risk and market risk and the basis method is used for operational risk. Total requirement to Core Equity Tier 1 (CET1) and eligible capital (Tier 1 capital + Tier 2 capital) are 12.3 per cent and 15.8 per cent. The countercyclical capital buffer requirement has decreased to 1.0 percentage from 31 March 2020.

Basis of calculation (risk-weighted volume)

(NOK million)	31.03.2021	31.12.2020
Credit risk	8,227.3	7,766.6
Of which:
International organisations
Local and regional authorities
Institutions	49.8	3.7
Loans secured against real estate	7,723.0	7,306.2
Loans past-due	31.7	41.7
Covered bonds	125.5	145.5
Other	297.3	269.5
Total basis of calculation credit risk	8,227.3	7,766.6
Total basis of calculation market risk	0.0	0.0
Operational risk	304.1	283.0
CVA risk	11.7
Deductions
Total basis of calculation of minimum requirements for capital base	8,543.1	8,049.6

Note 11

Loan to value ratios and collateral

(NOK million)	31.03.2021	31.12.2020
Gross loans 1)	22,262.9	21,069.7
Average loan balance per customer	2.4	2.3
No. of loans	9,834	9,560
Weighted average seasoning (months)	35	36
Weighted average remaining term (months)	282	279
Average loan to value ratio	51 %	52 %
Over-collateralisation 2)	116 %	116 %
Cover pool:
Residential mortgages 1)	22,163.4	20,966.3
Supplementary security	1,156.9	1,355.7
Total	23,320.3	22,321.9

1) In accordance with the Regulation for credit institutions that issue covered bonds, lending cannot exceed 75% of the value of collateral (i.e. value of properties pledged as collateral). As per 31 March 2021, the company had NOK 68 million that exceeds the loan to value limit and has therefore not been included in the cover pool. As per 31 March 2021, the company has 13 non-performing loans without evidence of impairment, equivalent to NOK 23 million. There are 5 non-performing loans with evidence of impairment of NOK 7 million where the impairment is assessed to be NOK 1.2 million. Non-performing loans with and without evidence of impairment, are not included in the cover pool.

2) Over-collateralisation has been calculated based on total volume of issued covered bonds of NOK 19.8 billion (nominal value).

Note 12

Net interest income

	Q1		Full Year
(NOK million)	2021	2020	2020
Interest on loans to credit institutions		0.2	0.5
Interest on loans to customers - loans valued at fair value with change in value through other comprehensive income (OCI)	99.2	153.8	461.8
Interest on interest-bearing securities valued at amortised cost		0.2	0.4
Total interest income calculated by using the effective interest method	99.2	154.1	462.7
Interest on interest-bearing securities valued at fair value with change in value
through profit and loss	1.9	0.5	3.2
Total other interest income	1.9	0.5	3.2
Total interest income	101.1	154.6	465.8
Interest on loans from credit institutions	-4.3	-12.4	-27.1
Interest on debt securities issued	-38.6	-94.1	-237.8
Total interest expenses calculated by using the effective interest method	-42.9	-106.6	-265.0
Interest on derivatives	0.4
Other interest expenses	-0.9	-0.9	-3.4
Total other interest expenses	-0.5	-0.9	-3.4
Total interest expenses	-43.4	-107.4	-268.4
Net interest income	57.7	47.2	197.5

Off balance sheet liabilities and contingent liabilities

(NOK million)	31.03.2021	31.12.2020
Unused credit facilities	1,085.3	1,090.7
Total contingent liabilities	1,085.3	1,090.7

Unused credit facilities encompass unused flexible mortgage facilities.

Per 31 March 2021, the company has not pledged any collateral.

Note 14

Losses on loans, guarantees and unused credits

		31.03.2021			31.03.2020
	Loans to customers			Loans to customers
	and securities			and securities
	valued at amortisert	Guarantees and		valued at amortisert	Guarantees and
	cost and loans to	unused credit		cost and loans to	unused credit
	customers valued	limits which not		customers valued	limits which not
	at fair value through	are valued at fair		at fair value through	are valued at fair
	other comprehensive	value through		other comprehensive	value through
(NOK million)	income (OCI)	profit and loss	Total	income (OCI)	profit and loss	Total
The periods change in impairment
losses stage 1	-0.3		-0.3	-1.3		-1.3
The periods change in impairment
losses stage 2	0.7		0.7	-2.4		-2.4
The periods change in impairment
losses stage 3	0.2		0.2	-0.6		-0.6
Realised losses			0.0			0.0
Recoveries on previously realised
losses			0.0			0.0
Credit loss on interest-bearing
securities			0.0			0.0
Other changes			0.0			0.0
Loss expense for the period	0.6	0.0	0.6	-4.3	0.0	-4.3

The company has no outstanding contractual amounts for realised losses during 1st quarter 2020 and 2021 that still are subject to enforcement activities.

Loan portfolio and guarantees Note 15

Loan portfolio and guarantees

	Book Value	Book Value
(NOK million)	31.03.2021	31.12.2020
Loans to customers at fair value through other comprehensive income (OCI)	22,262.9	21,069.7
Total gross loans to customers	22,262.9	21,069.7
Provision for expected loss Stage 1	-1.1	-0.8
Provision for expected loss Stage 2	-1.3	-2.0
Provision for expected loss Stage 3	-1.2	-1.4
Net loans to customers	22,259.4	21,065.6

Change in gross loans to customers valued at fair value through other comprehensive income (OCI)

(NOK million)	Stage 1	Stage 2	Stage 3	Total gross loans
Gross loans 01.01.2021	19,211.8	1,817.1	40.9	21,069.7
Transfer to stage 1	705.5	-705.5	0.0	0.0
Transfer to stage 2	-166.4	176.3	-10.0	0.0
Transfer to stage 3	0.0	-10.3	10.3	0.0
New loans	2,731.4	138.1	0.0	2,869.5
Derecognition	-1,366.9	-137.0	-10.1	-1,514.0
Other changes	-158.7	-3.2	-0.4	-162.3
Gross loans 31.03.2021	20,956.7	1,275.6	30.7	22,262.9
(NOK million)	Stage 1	Stage 2	Stage 3	Total gross loans
Gross loans 01.01.2020	19,225.6	1,144.6	34.8	20,404.9
Transfer to stage 1	221.3	-218.4	-2.9	0.0
Transfer to stage 2	-775.6	782.8	-7.1	0.0
Transfer to stage 3	-8.5	-23.2	31.7	0.0
New loans	6,863.7	559.0	2.3	7,425.1
Derecognition	-5,959.2	-401.8	-17.4	-6,378.4
Other changes
	-355.4	-26.0	-0.5	-381.9

Change in maximum exposure for guarantees and unused credits

(NOK million)	Stage 1	Stage 2	Stage 3	Total exposure
Maximum exposure 01.01.2021	1,073.3	17.4		1,090.7
Transfer to stage 1	13.4	-13.4		0.0
Transfer to stage 2	-0.9	0.9		0.0
Transfer to stage 3				0.0
New loans	5.1			5.1
Derecognition	-37.3	-0.2		-37.5
Other changes	27.0			27.0
Maximum exposure 31.03.2021	1,080.5	4.8	0.0	1,085.3

(NOK million)	Stage 1	Stage 2	Stage 3	Total exposure
Maximum exposure 01.01.2020	1,225.3	3.9		1,229.2
Transfer to stage 1	2.6	-2.6		0.0
Transfer to stage 2	-14.6	14.6		0.0
Transfer to stage 3				0.0
New loans	19.4	1.1		20.5
Derecognition	-239.8	-0.7		-240.5
Other changes	80.4	1.0		81.5
Maximum exposure 31.12.2020	1,073.3	17.4	0.0	1,090.7

Note 16

Non-performing loans and loan losses

(NOK million)	31.03.2021	31.12.2020
Non-performing loans
Non-performing loans without evidence of impairment	23.2	33.1
Loss-exposed loans with evidence of impairment	7.5	7.8
Gross non-performing and loss-exposed loans	30.7	40.9
Loan loss provisions on individual loans excl. statistical provisions (IFRS9)	-1.2	-1.2
Net non-performing and loss-exposed loans	29.5	39.7
Key figures
Net non-performing and loss-exposed loans as % of gross loans	0.14 %	0.19 %

Loans are regarded as non-performing and loss-exposed:

• when a credit facility has been overdrawn for more than 90 days and the overdrawn amount minimum is NOK 2,000

• when an ordinary mortgage has arrears older than 90 days and thee arrears minimum is NOK 2,000

• when a credit card has arrears older than 90 days

When one of the three situations described above occurs, the specific loan is considered as non-performing.

without taking into account the customers other engagements.

Overview of loan loss provisions and securities on loans in stage 3

	31.03.2021
	Gross	Loan loss		Value of	Type of
(NOK million)	amount	provisions	Net value	collateral	collateral
Overview of loan loss provisions and securities on loans in stage 3
- retail exposures secured by mortgages on					residential
immovable property	23.2		23.2	49.7	property
- unsecured retail exposures including credit cards exposures
- other exposures including SME exposures
Total non-performing loans without evidence of
impairment	23.2	0.0	23.2
Loss-exposed loans with evidence of impairment
- retail exposures secured by mortgages on					residential
immovable property	7.2	-1.1	6.1	22.2	property
- unsecured retail exposures including credit cards
exposures
- other exposures including SME exposures	0.3	-0.1	0.2
Total loss-exposed loans with evidence of
impairment	7.5	-1.2	6.3

The company has loans of NOK 13.9 million in stage 3 where no loan loss provisions have been made due to the value of collateral.

			31.12.2020
	Gross	Loan loss		Value of	Type of
(NOK million)	amount	provisions	Net value	collateral	collateral
Non-performing loans without evidence of impairment
- retail exposures secured by mortages on immovable					residential
property	33.1	-0.2	32.9	83.1	property
- unsecured retail exposures including creditt cards exposures
- other exposures including SME exposures
Gross non-performing loans without evidence of
impairment	33.1	-0.2	32.9
Loss-exposed loans with evidence of impairment
- retail exposures secured by mortages on immovable					residential
property	7.5	-1.1	6.4	17.6	property
- unsecured retail exposures including creditt cards
exposures
- other exposures including SME exposures	0.3	-0.1	0.2
Gross loss-exposed loans with evidence of
impairment	7.8	-1.2	6.6

The company has loans of NOK 23.1 million in stage 3 where no loan loss provisions have been made due to the value of collateral.

Loan loss provisions Note 17

	Stage 1	Stage 2	Stage 3
		Lifetime ECL - no	Lifetime ECL -
	12-month	objective evidence	objective evidence
(NOK million)	ECL	of impairment	of impairment	Total
Loan loss provisions 01.01.2021	0.8	2.0	1.4	4.1
Transfer to stage 1 (12-month ECL)	0.3	-0.3		0.0
Transfer to stage 2 (lifetime ECL - no objective evidence of impairment)				0.0
Transfer to stage 3 (lifetime ECL - objective evidence of impairment)				0.0
Net remeasurement of loan losses	-0.2	0.1		-0.2
New financial assets originated or purchased	0.4	0.1		0.5
Financial assets that have been derecognised	-0.1	-0.2	-0.2	-0.5
ECL changes of balances on financial assets without changes in stage in the period	-0.2	-0.3		-0.5
Changes due to modification without any effect in derecognition				0.0
ECL allowance on written-off (financial) assets				0.0
Changes in models/risk parameters				0.0
Foreign exchange and other changes				0.0
Loan loan loss provisions 31.03.2021	1.1	1.3	1.2	3.5
Loan loss provisions on loans to customers valued at amortised cost				0.0
Loan loss provisions on loans to customers valued at fair value
through other comprehensive income (OCI)	1.1	1.3	1.2	3.5
Loan loss provisions on guarantees and unused credit limits				0.0
Total loan loss provisions	1.1	1.3	1.2	3.5

The macro economic uncertainty is still reflected in the IFRS 9 expected credit losses, even though there are signs of improvement. Storebrand Boligkredit AS has not changed the outlook significantly from the first quarter of 2020, and the parameters in the model remains unchanged. The expected credit losses are therefore not significcantly changed in the first quarter. There is still a higher uncertainty in the point estimate of expected credit losses compared to credit losses pre-COVID-19 at year end 2019, as well as a higher possibility in larger variations in expected credit losses in future quarters.

	Stage 1	Stage 2	Stage 3
		Lifetime ECL - no	Lifetime ECL -
	12-month	objective evidence	objective evidence
(NOK million)	ECL	of impairment	of impairment	Total
Loan loss provisions 01.01.2020	0.3	0.6	0.8	1.6
Transfer to stage 1 (12-month ECL)	0.1		-0.1	0.0
Transfer to stage 2 (lifetime ECL - no objective evidence of impairment)				0.0
Transfer to stage 3 (lifetime ECL - objective evidence of impairment)				0.0
Net remeasurement of loan losses	-0.1	0.5	0.8	1.2
New financial assets originated or purchased	0.4	0.3		0.7
Financial assets that have been derecognised	-0.1	-0.2		-0.3
ECL changes of balances on financial assets without changes in stage
in the period	0.2	0.8	0.1	1.1
Changes due to modification without any effect in derecognition				0.0
ECL allowance on written-off (financial) assets			-0.2	-0.2
Changes in models/risk parameters				0.0
Foreign exchange and other changes				0.0
Loan loan loss provisions 31.12.2020	0.8	2.0	1.4	4.1
Loan loss provisions on loans to customers valued at amortised cost				0.0
Loan loss provisions on loans to customers valued at fair value
through other comprehensive income (OCI)	0.8	2.0	1.4	4.1
Loan loss provisions on guarantees and unused credit limits				0.0
Total loan loss provisions	0.8	2.0	1.4	4.1

Note 18

Distribution of loan loss provisions and exposure on secured and unsecured retail exposures

Distribution of loan loss provisions

	31.03.2021
				Total loan loss
(NOK million)	Stage 1	Stage 2	Stage 3	provisions
Retail exposures secured by mortgages on immovable property	1.1	1.3	1.1	3.5
Unsecured retail exposures including credit cards exposures				0.0
Other exposures including SME exposures			0.1	0.1
Total loan loss provisions	1.1	1.3	1.2	3.5

	31.12.2020
				Total loan loss
(NOK million)	Stage 1	Stage 2	Stage 3	provisions
Retail exposures secured by mortgages on immovable property	0.8	2.0	1.3	4.1
Unsecured retail exposures including credit cards exposures				0.0
Other exposures including SME exposures			0.1	0.1
Total loan loss provisions	0.8	2.0	1.4	4.1

Distribution of exposure incl. unused credit facilities and guarantees

	31.03.2021
(NOK million)	Stage 1	Stage 2	Stage 3	Total exposure
Retail exposures secured by mortgages on immovable property	22,037.2	1,280.3	30.4	23,348.0
Unsecured retail exposures including credit cards exposures				0.0
Other exposures including SME exposures			0.3	0.3
Total exposure	22,037.2	1,280.3	30.7	23,348.3

	31.12.2020
(NOK million)	Stage 1	Stage 2	Stage 3	Total exposure
Retail exposures secured by mortgages on immovable property	20,285.1	1,834.5	40.6	22,160.1
Unsecured retail exposures including credit cards exposures				0.0
Other exposures including SME exposures			0.3	0.3
Total exposure	20,285.1	1,834.5	40.9	22,160.4

Quarterly income statement

	Q1	Q4	Q3	Q2	Q1
(NOK million)	2021	2020	2020	2020	2020
Interest income	101.1	101.1	99.0	111.1	154.6
Interest expense	-43.4	-36.5	-40.9	-83.5	-107.4
Net interest income	57.7	64.6	58.1	27.6	47.2
Net gains on financial instruments	3.8	0.4	-12.3	0.2	-4.5
Other income		-0.1	-0.1	-0.1
Total other operating income	3.8	0.3	-12.4	0.1	-4.5
Staff expenses		-0.1		-0.1
General administration expenses	-21.7
Other operating expenses		-21.3	-20.5	-21.4	-21.0
Total operating expenses	-21.7	-21.4	-20.5	-21.5	-21.1
Operating profit before loan losses	39.7	43.5	25.2	6.3	21.6
Loan losses for the period	0.6	1.5	-0.4	0.5	-4.3
Profit before tax	40.4	45.0	24.8	6.8	17.3
Tax	-8.9	-9.9	-5.5	-1.5	-3.8
Profit before other comprehensive income	31.5	35.1	19.3	5.3	13.5

Financial calender 2021

14 July Results Q2 2021 27 October Results Q3 2021 09 February 2022 Results Q4 2021

Investor Relations contacts

Einar Leikanger Statutory Chief Executive Officer einar.andreas.leikanger@storebrand.no +47 934 20 379 Kjetil Ramberg Krøkje Group Head of Finance, Strategy and M&A kjetil.r.krokje@storebrand.no +47 934 12 155 Daniel Sundahl Head of Investor Relations and Rating daniel.sundahl@storebrand.no +47 913 61 899