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ScandiNotes® III

ScandiNotes® III is a static true sale Collateralized Loan Obligation (CLO) based on 22 subordinated term loans to regional Nordic financial institutions with a legal maturity of 10 years and an expected maturity of 5 years

ScandiNotes® III is listed on the Copenhagen Stock Exchange and include three loan series: Senior, mezzanine and junior. The senior tranche is floating rate with quarterly interest payments, while the mezzanine and junior tranches are ordinary notes with a fixed coupon rate.

The senior tranche makes up about 68.5% of the value of the total issue and is senior to the mezzanine tranche, which makes up the next 18.8%. Lastly the junior tranche represents the remaining 12.7% and is subordinated to both the senior and mezzanine tranche.

The total issue size is approximately EUR 294 million, or approximately DKK 2.2 bn(exchange rate: 7.46), and is divided in three tranches:

• ScandiNotes® III Senior 2010/2015, EUR 201.6 million; 6M Euribor + 0.38 %, rated Aa2
• ScandiNotes® III Mezzanine 2010/2015, DKK 413.4 million; fixed rate 2 %, rated Baa2
• ScandiNotes® III Junior 2010/2015, DKK 279.1 million; fixed rate 2 %, not rated

The notes are issued by Mare Baltic PCC Ltd, which is a Guernsey-based SPV with a protected cell company structure which has bankruptcy remote cells, thus isolating each cells’ creditor claims to the individual cells.