Mortgage Covered Bond Information

Sabadell Mortgage Covered Bond Information

June 2021

2

Disclaimer

Banco Sabadell cautions that this presentation may contain forward looking statements with respect to the

business, financial condition, results of operations, strategy plans and objectives of the Banco Sabadell Group.

While these forward looking statements represent our judgement and future expectations concerning the

development of our business. a certain number of risks. uncertainties and other important factors could cause

actual developments and results to differ materially from our expectations. These factors include but are not limited

to (1) general market. Macroeconomic. governmental. political and regulatory trend (2) movements in local and

international securities markets. currency exchange rate and interest rates (3) competitive pressures (4) technical

developments (5) changes in the financial position or credit worthiness of our customers. obligors and counterparts.

These risk factors could adversely affect our business and financial performance published in our past and future

filings and reports. including those with the Spanish Securities and Exchange Commission (Comisión Nacional del

Mercado de Valores).

Banco Sabadell is not nor can it be held responsible for the usage, valuations, opinions, expectations or decisions

which might be adopted by third parties following the publication of this information.

Financial information by business areas is presented according to GAAP as well as internal Banco Sabadell group´s

criteria as a result of which each division reflects the true nature of its business. These criteria do not follow any

particular regulation and can include forecasts and subjective valuations which could represent substantial

differences should another methodology be applied.

The distribution of this presentation in certain jurisdictions may be restricted by law. Recipients of this presentation

should inform themselves about and observe such restrictions.

These slides do not constitute or form part of any offer for sale or subscription of or solicitation or invitation of any

offer to buy or subscribe to any securities nor shall they or any one of them form the basis of or be relied on in

connection with any contract or commitment whatsoever.

Index

1

2

3

General Overview

Total Covered Highlights

Residential Covered Highlights

Commercial Covered Highlights

4

General Overview

5

Executive Summary

• Covered Bond Label issuer since 1st of January 2013.

• Recurrent issuer in Capital Markets with almost one benchmark transaction per

year. Banc Sabadell has at June 2021 five benchmark covered bond issues in

the market.

• Covered bonds are LCR eligible as HQLA Level 1.

• Rating Upgrades Banc Sabadell Covered Bond programme:

√ On April 2018 Moody’s Upgraded to Aa1 from Aa2.

√ On July 2018 DBRS Upgraded to AAA from AA.

6

Covered Bonds RATING and CRR compliance

CRR compliance

Accomplishing eligibility criteria as HQLA:

A minimum rating of AA-* √ Aa1 (Moody’s) / AAA (DBRS)

At least over 500 MM EUR issuance amount √ > € 500 million

Transparency requirements √

Collateralization over 102% √ 257% (*)

Following CRR Banco Sabadell’s mortgage covered bonds are LCR eligible as HQLA Level 1.

NOTE: Banco Sabadell is member of the Covered Bond Label initiative with the aim of enhancing the Covered

Bonds’market transparency.

All the information about Banco Sabadell covered bonds in: https://www.coveredbondlabel.com/issuer/27/

(*) Calculation of Collateralization Ratio = Mortgage Portfolio / Outstanding Cédulas Hipotecarias

Aa1

17 April 2018

AAA

4 July 2018

Covered Bond Rating:

(1)

(1) Moodys Cédulas Territoriales (Covered Bonds) Rating Aa1 as of 17 April 2018

*Equivalent to Moody’s Aa3 and DBRS AA (low)

https://www.coveredbondlabel.com/issuer/27/

Issuer Issue DateCurrent Rating

Moodys/DBRSCurrency

Amount

(€ in million)Coupon (%) Maturity Date

Banco Sabadell 12/11/2014 Aa1(M)/AAA(D) EUR 1,350 0.875% 12/11/2021





TOTAL 5,450 0.579%

7

Mortgage Covered Bonds in the Market

Until 2017 Sabadell has tapped the European Covered Bond market

at least once per year to build its covered bond yield curve.

In January 2020 Banc Sabadell issued a new 8 years covered Bond.

Five outstanding benchmark covered bonds issues at June 2021

3,2502,389

1,438

2,6003,086

2,390 2,100

1,0001,508 1,139 1,388

1,850

836390

1,100 985

43,424

40,784

36,046

31,712

27,819

24,266

21,146

18,326

15,856

33,62731,463

27,660

24,289

21,173

18,367

15,91013,685

11,791

30/06/2021 2021 2022 2023 2024 2025 2026 2027 >2027

8

Maturities BS Covered Bonds

Data as of June 2021. Euros in Million

*Assuming 5% CPR static mortgage portfolio and no new issuances.

Banco SabadellCovered Pool Amortization Profile

Maturities BS Covered Bonds (allocated)

Covered Pool*

Eligible Covered

Pool*

8295

12413

20708

Mortgage

Covered Pool43,424 Total Eligible

33,627

Total Not Eligible

9,796

Maximum

Issuance Amount26,902

Covered Bonds (Allocated)9,197

(Retained)9,057

9

Over-collateralization Ratio

Data as of June 2021. Euros in Million

Moody’s Over-Collateralization Analysis(Moody´s covered bond report as of 30/06/2021)

Current Situation

Current Over-Collateralization (OC) (1) 138.0%

OC Level to maintain current rating 21.0%

Moody’s Stressed scenario

Estimated OC to maintain current rating if Banco Sabadell is

downgrade by 1 notch:25%

* Calculation of OC Ratio = Mortgage Portfolio / Outstanding

Cédulas Hipotecarias

** Calculation of OC Ratio over-eligible portfolio = Eligible

Covered Pool / Outstanding Cédulas Hipotecarias

(1) Calculation of OC (by Moody’s) = (Mortgage Portfolio – Outstanding Cédulas Hipotecarias) / Outstanding Cédulas Hipotecarias

Over-collateralization

Ratio 238%*

OC

Ratio over-eligible

portfolio

184%**

Total Covered Pool Highlights

Residencial70.3%

Comercial29.7%

Data as of June 30 2021 Residential Commercial Eligible

Outstanding amount (€ M) 43,424 30,510 12,913 33,627

Weighted average LTV 58% 61% 51% 48%

Weighted average seasoning (years) 6.6 7.2 5.1 6.4

Weighted average maturity (years) 17.1 19.6 11.4 16.6

Weighted average interest rate % 1.6 1.4 2.0 1.6

Numbers of Loans 443,247 377,385 65,862 375,940

Average Loan Size (€) 97,967 80,846 196,068 89,448

Of whichCovered

Pool

11

Covered Pool Highlights

Type of Colateral (as of June 30 2021)

Balance per region % Pool % GDP

Catalunya 37.4% 19.0%

Valencia 14.4% 9.3%

Madrid 13.6% 19.3%

Andalucia 9.9% 13.3%

Baleares 5.2% 2.7%

Murcia 4.3% 2.6%

Asturias 2.9% 1.9%

Pais Vasco 3.0% 6.0%

Galicia 2.2% 5.2%

Canarias 1.6% 3.8%

Castilla León 1.6% 4.8%

Aragón 1.4% 3.1%

Castilla La Mancha 1.0% 3.4%

Navarra 0.5% 1.7%

Cantabria 0.3% 1.1%

Extremadura 0.3% 1.7%

La Rioja 0.2% 0.7%

Ceuta y Melilla 0.1% 0.4%

Total 100.0%

37.4%

14.4%

13.6%

4.3%

9.9%

5.2%

2.9%3.0%

2.2%

1.6%

Top 10 per region (as of June 30 2021)

12

Regional distribution Covered Pool

Regional distribution vs %GDP (*)

* Source: INE- %GDP Estimated 2019.

The mortgage portfolio is mainly concentrated in the

wealthiest regions of Spain (east and north of Spain,

Madrid).

% of the portfolio

14.3% 12.7% 11.2%16.8%

45.0%

65.0%60.0%

59.0%54.0% 56.0%

0%

10%

20%

30%

40%

50%

60%

70%

80%

0%

20%

40%

60%

80%

100%

0 - 12 months 12 - 24 months 24 - 36 months 36 - 60 months > 60 months

Balance per Seasoning (LHS) WA LTV (RHS)

27.5%

13.9% 14.5% 14.6%13.0%

16.5%

0%

5%

10%

15%

20%

25%

30%

0-40% 40-50% 50-60% 60-70% 70-80% >80%

Balance per LTV (as of June 30 2021)

13

Covered Pool Banco Sabadell

Balance per Seasoning (as of June 30 2021)

% of the portfolio

% of the portfolio

WA LTV: 57.96%

27.5% of the mortgage portfolio have

LTV lower than 40%

83.5% of the mortgage portfolio have a

LTV lower than 80%

Weighted average seasoning: 6.6

years

61.8% of the pool has a seasoning

above 3 years

% LTV

Residential Covered Pool Highlights

Fixed Interest

Rate 47.8%

Floating Interest

Rate 52.2%

1st

residence

2nd

residence

WA LTV 62.0% 54.0%

WA seasoning 7.3 years 6.3 years

WA maturity 20.1 years 16.2 years

WA interest rate 1.4% 1.8%

First Residence

85.7%

Second Residence

14.3%

15

Residential Pool Banco Sabadell (I)

Type of Residence (as of June 30 2021)

(% of the portfolio)

Balance per interest rate (as of June 30 2021)

99.5% of the loans pay monthly installments.

Weighted average interest rate: 1.4%

Weighted average interest rate of the portfolio

referenced to fixed interest rate: 2.0%

% of the portfolio

12.2%

39.2%

47.0%

1.7%

0%

10%

20%

30%

40%

50%

0 > 10 years 10 > 20 years 20 > 30 years > 30 years

15.1%10.8% 9.4%

14.6%

50.1%

69.0%66.0%

62.0%

58.0% 58.0%

40%

50%

60%

70%

80%

0%

20%

40%

60%

80%

100%

< 12 Months < 24 Months < 36 Months < 60 Months > = 60 Months

16

Residential Pool Banco Sabadell (II)

Balance per Seasoning combined with LTV (as of June 30 2021)

% of the portfolio

Balance per Seasoning (LHS)WALTV (RHS)

Weighted average seasoning: 7.2

years

64.7% of the pool has a seasoning

above 3 years

Loans with seasoning lower than 12

months have a weighted average LTV

of 69.0%

% LTV

Balance per Average Maturity (as of June 30 2021)

% of the portfolio

Weighted average maturity: 19.6

years.

• WA maturity first residence:

20.1 years

• WA maturity second residence:

16.2 years

Commercial Covered Pool Highlights

0%

5%

10%

15%

20%

25%

30%

0 10 20 30 40 50 60 70 80 90 100

Number of Borrowers

40.8%

16.9%13.6%

10.1%5.5%

13.2%

0%

10%

20%

30%

40%

50%

60%

0-40% 40-50% 50-60% 60-70% 70-80% >80%

18

Commercial Pool Banco Sabadell (I)

Cum Top 100 Borrowers (as of June 30 2021)

Balance per LTV (as of June 30 2021)

% of the portfolio

LTV Range

Weighted average LTV: 50.8%

The 81.4% of the commercial

mortgage portfolio have a LTV

lower than 70%

A very granular portfolio: the 100

principal borrowers account for

less than 21.1% of the portfolio.

51,004 Commercial Borrowers

% of the portfolio

12.4%17.0% 15.5%

22.2% 32.9%

56.0%

52.0%

55.0%

48.0% 48.0%

30%

40%

50%

60%

70%

0%

20%

40%

60%

80%

100%

< 12 Months < 24 Months < 36 Months < 60 Months >= 60 Months

48.6%

39.5%

3.9% 5.7%2.3%

0%

20%

40%

60%

0 > 10 Years 10 > 20 Years 20 > 25 Years 25 > 30 Years > 30 Years

19

Commercial Pool Banco Sabadell (II)Balance per Average Maturity (as of June 30 2021)

Balance per Seasoning (as of June 30 2021)

% of the portfolio

% of the portfolio

Balance per Seasoning (LHS)WALTV (RHS)

Weighted average maturity: 11.4

years

88.1% of the loans have average

maturity below 20 years

Weighted average seasoning: 5.1 years

55.1% of the pool has a seasoning above 3 years

The 67.9% of the commercial

mortgages with a seasoning less than

2 years have a WALTV lower than

60%

% LTV

20

Commercial Pool Banco Sabadell (III)

Balance per interest rate (% of the portfolio as of June 30 2021)

Balance per property type (% of the portfolio as of June 30 2021)

70.3% of the loans pay monthly installments.

Weighted average interest rate 2.0%

Fixed interest rate 39.0%

Floating interest rate

61.0%

Flat 18.8%

Plot 3.7%

Establishm. /Shops 22.2%

Warehouse13.3%

Hotels 15.4%

Real Estate Developer

16.9%

Others 9.6%

There, wherever you are

Documents

Mortgage Covered Bond Information