Estimated Loss Overview

Please note that the loss percentages below are subject to any potential recovery from any of the defaulted banks.
Updated 28/12/2011.

Losses in ScandiNotes II are following RA Events of EBH Bank A/S, Fionia Bank A/S and Amagerbanken A/S

ScandiNotes II

ISIN Code

Original Tranche Amount

Amount Left in Tranche

% Loss of Tranche

Current Rating

- Senior

DK0003454742

DKK 728,375,000

DKK 77,675,000*

12.73

C

- Junior

DK0003454825

DKK 133,600,000

DKK 0

100

n.r.

 

 

 

 

 

 

Sum:

 

DKK 861,975,000

 

 

* Scandi Notes II Senior tranche was partially redeemed on November 1, 2009 down to DKK 152,675,000.


Losses in ScandiNotes III are following RA Events of Roskilde Bank A/S, EBH Bank A/S, Spron, Icebank, Fionia Bank A/S, Amagerbanken A/S, Fjordbank Mors A/S and Max Bank A/S

ScandiNotes III

ISIN Code

Original Tranche Amount

Amount Left in Tranche

% Loss of Tranche

Current Rating

- Senior

DK0030015128

EUR 201,600,000

EUR 45,289,812**

24.42

Ca

- Mezzanine

DK0030015201

DKK 413,370,000

DKK 0

100

C

- Junior

DK0030015391

DKK 279,050,000

DKK 0

100

n.r.

 

 

 

 

 

 

Sum:

 

EUR 294,500,000

 

 

** ScandiNotes III Senior tranche was partially redeemed on November 1, 2010 down to EUR 95,231,400. After Amagerbanken`s default the amount left in tranche was down to EUR 68,231,400, and furthermore partially redeemed by EUR 5,000,000 on 02/05/2011 plus a principal payment of EUR 441,588. After Fjordbank Mors A/S default in June 2011 the amount left in tranche was further reduced to EUR 55,289,812 and after Max Bank A/S´s default in October 2011 to EUR 45,289,812. Please note, the amount left in tranche is not reflected in the VP System as losses are not allocated in VP systems yet.


Losses in ScandiNotes IV are following RA Events of Roskilde Bank A/S, EBH Bank A/S, Fionia Bank A/S, Amagerbanken A/S, Fjordbank Mors A/S and Max Bank A/S

ScandiNotes IV

ISIN Code

Original Tranche Amount

Amount Left in Tranche

% Loss of Tranche

Current Rating

- Senior

DK0030039573

EUR 170,011,000

EUR 24,668,869.38***

0

B3

- Mezzanine

DK0030039656

DKK 879,571,000

DKK 376,106,930****

57.24

Ca

- Junior

DK0030039730

DKK 300,135,000

DKK 0****

100

n.r.

 

 

 

 

 

 

Sum:

 

DKK 2,447,988,060

 

 


*** ScandiNotes IV Senior tranche was partially redeemed on November 17, 2011 down to EUR 24,668,869.38.
**** ScandiNotes IV Junior tranche suffered a total loss after the above mentioned defaults of EBH Bank A/S and Roskilde Bank A/S. The Mezzanine tranche was reduced down to DKK 376,106,930 after defaults of Fionia Bank A/S, Amagerbanken A/S, Fjordbank Mors A/S and Max Bank A/S.


Losses in ScandiNotes V are following an RA Event of Roskilde Bank A/S, Amagerbanken A/S and Max Bank A/S

ScandiNotes V

ISIN Code

Original Tranche Amount

Amount Left in Tranche

% Loss of Tranche

Current Rating

- Class A

DK0030071386

DKK 218,100,000

DKK 218,100,000

0

Ba3

- Class B

DK0030071469

DKK 672,000,000

DKK 672,000,000

0

Caa3*****

- Class C

DK0030071543

DKK 417,900,000

DKK 417,900,000

0******

Ca*****

- Class D

DK0030071626

DKK 255,000,000

DKK 0

100

C

 

 

 

 

 

 

Sum:

 

DKK 1,563,000,000

 

 

***** the rating shown is the underlying rating, interest and principal payments on Class B and Class C are guaranteed by the European Investment Fund (EIF)
****** without the guarantee of interest and principal the amount left in tranche of Class C would be DKK 218,657,414 and % loss of tranche would be 51.13 %