Nordea Kredit, Investor Presentation, Q3 2011 Published 28 November 2011
• This Investor Presentation has been compiled by Nordea Kredit for information purposes only, and offers facts and figures on Nordea Kredit, and the mortgage collateral supporting outstanding mortgage bonds and covered mortgage bonds. • If you have any questions, please feel free to contact either of us: • Finn Nicolaisen, Nordea Group Treasury, Head of Group Funding Copenhagen, phone +45 3333 1625 Kamilla H. Skytte, Nordea Group Treasury, Chief Dealer, Group Funding Copenhagen, phone +45 3333 1626 Contents: Nordea Kredit – in brief • Asset quality, losses and arrears • Loan ‐ to ‐ value (For detailed information on LTV please refer to “LTV Report 2011 Q3”) • Legislation • Macro ‐ economic factors • 2
Nordea Kredit – in brief I • Founded in 1993, number of employees 150 (as per 2011, Q2) • Nordea Kredit issues covered mortgage bonds, exclusively • All bonds issued by Nordea Kredit are rated AAA (by S&P) and Aaa (by Moody’s) • Profit before tax 1st half 2011: 529 m DKK, RoE 3.5% and Cost/Income ratio 16.9% • Mortgage loans at nominal value 2011, Q3: 329.3 bn DKK • Mortgage loans at fair value 2011, Q3: 333.4 bn DKK • Market share 2011, Q3: 13.8% (2011, Q2: 13.7%) (Mortgage loans at fair value as a share of all Danish mortgage loans) 3
Nordea Kredit – in brief II • Late payments by borrowers 2011 Q3: 0.38% (2011 Q2: 0.42%) Residential properties and holiday homes, 3½ month after due date • Average LTV 2011 Q3: 68% (2011 Q2: 66%) • Total capital ratio 9.0% and Tier 1 capital ratio 9,0% (incl. transition rules) • Total capital ratio 15.4% and Tier 1 capital ratio 15.4% (excl. transition rules) • Completely match funded “Pass Through” setup - strict ALM (Asset Liability Management) • Danish MCIs are closely regulated and supervised by Finanstilsynet (The Danish FSA) 4
Nordea Kredit – market shares in per cent of total market 20 20 18 18 16 16 Other properties 14 14 Private rental 12 12 housing per cent 10 10 Commercial - 8 8 Agriculture 6 6 Owner occupied 4 4 dwellings and holiday homes 2 2 All segments 0 0 2009 Q3 2009 Q4 2010 Q1 2010 Q2 2010 Q3 2010 Q4 2011 Q1 2011 Q2 2011 Q3 5
Nordea Kredit – profit and increase in net lending 35 1400 << Increase in net lending DKK bn Profit before tax DKK m (rhs) >> 30 1200 25 1000 20 800 15 600 10 400 5 200 0 0 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011, 1h Profit before tax for the 1st half of 2011 was 529 m DKK 6
Nordea Kredit – mortgage loans at fair value CCs I&II, 2011 Q3: DKK 333.4 bn CC I, RO: 87.5 bn, 26.3 per cent • Nordea Kredit has two capital centres: • CC I: Mortgage Bonds (Realkredit- obligationer, “RO”) are issued out of CC I (1993 - ). More than 97% of the bonds in CC I are grandfathered covered bonds CC II, SDRO: 245.9 bn, 73.7 per cent CC I, RO according to UCITS/CRD. DKK 97.9 bn • CC II: Covered Mortgage Bonds (Særligt dækkede realkreditobligationer,”SDRO”) 30.2% are issued out of CC II (2007 - ). All bonds in CC II are covered bonds according to UCITS/CRD. • All new issuance in 2011 exclusively in covered mortgage bonds (SDROs) 7
Match funded setup due to the strict Balance Principle Interest Interest payment payment Borrower Investor Principal Principal payment payment Contribu ‐ tion fee Nordea Kredit complies with the strict Balance Principle, and has a completely match funded “Pass Through” setup. Nordea Kredit has no prepayment risk and Nordea only negligible interest rate risk and foreign Kredit exchange risk. 8
Nordea Kredit – distribution of loans by property category All property categories ‐ CCs I & II, 2011 Q3 at fair value: 333.4 bn DKK 9
Nordea Kredit – distribution of loans by type All property categories ‐ CCs I & II, 2011 Q3 at fair value: 333.4 bn DKK DKK 101.6 bn 30.5 % DKK 54.5 bn 16.4% DKK 1.8 bn 0.5% Fixed DKK 65.7 bn DKK 20.7 bn Fixed IO 19.7% 6.2 % ARM DKK 2.4 bn ARM IO 0.7 % FRN capped FRN capped IO FRN DKK 73.4 bn FRN IO DKK 13.4 bn 22.0% 4.0 % 10
Nordea Kredit – distribution of loans by type Residential properties and holiday homes ‐ CCs I & II, 2011 Q3 at fair value: 230.5 bn DKK Fixed Fixed IO ARM DKK 31.7 bn ARM IO 13.7% FRN capped DKK 74.8 bn DKK 58.8 bn 32.5% FRN capped IO 25.5 % FRN FRN IO DKK 1.6 bn 0.7% DKK 61.3 bn DKK 2.3 bn 26.6 % 1.0% DKK 0.0 bn 0.0% DKK 0.0 bn 0.0% Fixed rate loans account for 52.1% of the total loan portfolio 11
Nordea Kredit – geographical distribution of loans Q3, 2011 Fair value, all segments: 333.4 bn DKK, residential properties & holiday homes: 230.5 bn DKK • Total number of citizens 5.56 m January 2011 – Source: Statistics Denmark 14.7 bn DKK 4.4%* 9.7 bn DKK 4.2%** North (0.58 m citizens – 10.4%) Denmark Region 122.0 bn DKK 36.6%* 93.7 bn DKK 40.7%** 79.1 bn DKK 23.7%* (1.70 m citizens – 30.6%) 50.3 bn DKK 21.8%** Central Capital Denmark (1.26 m citizens – 22.7%) Region of Region Denmark 50.9 bn DKK 15.3%* 283 bn DKK 12.3%** Region 66.6 bn DKK 20.0%* South (1.20 m citizens – 21.6%) Zealand Denmark 48.5 bn DKK 21.0%** Region (0.82 m citizens – 14.7%) * All segments ** Residential properties and holiday homes 12
Asset quality - loss guarantee by Nordea Bank Danmark • Nordea Bank Danmark takes “first losses” on Nordea Kredit loans according to the table below: Property type Guarantee period Guarantee level * ** Owner occupied dwellings 5 years 25 per cent Holiday homes 5 years 25 per cent Subsidized property 10 years 10 per cent Housing for youth/elderly 10 years 10 per cent Agricultural property 10 years 25 per cent Commercial property 10 years 25 per cent *) Guarantee period starts when a loan is issued or remortgaged **) As a percentage of the original principal – disregarding all amortisation The guarantee amount is not reduced during the guarantee period, but cannot exceed the debt outstanding. A new guarantee period starts when the loan is changed e.g. due to remortgaging. 13
Asset quality - late payments by borrowers - 3½ month after due date 0,60 Residential properties and holiday homes Arrears as a percentage of the total amount due 0,50 0.41% All Danish MCIs * Nordea Kredit (last 0.41%) 0,40 per cent 0.38 % 0,30 (last 0.42%) 0,20 0,10 0,00 2001Q1 2001Q2 2001Q3 2001Q4 2002Q1 2002Q2 2002Q3 2002Q4 2003Q1 2003Q2 2003Q3 2003Q4 2004Q1 2004Q2 2004Q3 2004Q4 2005Q1 2005Q2 2005Q3 2005Q4 2006Q1 2006Q2 2006Q3 2006Q4 2007Q1 2007Q2 2007Q3 2007Q4 2008Q1 2008Q2 2008Q3 2008Q4 2009Q1 2009Q2 2009Q3 2009Q4 2010Q1 2010Q2 2010Q3 2010Q4 2011Q1 2011Q2 *) Including Nordea Kredit 14
Losses in per cent of mortgage loans at nominal value 0,025% Mortgage loans at nominal value Mortgage loans nominal value, 300.000 Losses % of mortgage loans, 0,020% Loss for the year in per cent of mortgage 250.000 nominal value loans at nominal value (rhs) 200.000 0,015% mDKK 150.000 0,010% 100.000 0,005% 50.000 0 0,000% 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011, 1h Nordea Kredit did not experience any losses prior to 1997. In the 1st half of 2011, losses amounted to 21.5 m DKK – total accumulated losses in Nordea Kredit since 1997: 83.5 m DKK 15
Nordea Kredit – LTV, loan-to-value 2011 Q3 ( 2011 Q2 ) LTV CC I & II LTV CC I LTV CC II 2011Q3 2011Q2 2011Q3 2011Q2 2011Q3 2011Q2 Owner occupied 74 71 69 65 77 74 dwellings Private rental housing 64 62 57 61 67 63 Commercial 61 55 44 46 63 59 Agriculture 49 49 44 44 50 50 Other properties 40 41 41 41 40 41 Total 68 66 65 61 70 68 Refinancing of Cibor6 loans affects LTV figures in the segments “Private rental housing” and “Commercial”, as loans are being refinanced from the grandfathered RO capital center I, to the SDRO based capital center II. Machineries and other movables can under RO legislation be included in valuation of property, but isn’t possible under SDRO legislation. Hence, the changed LTV figures for the categories “Private rental housing” and “Commercial”. For more detailed information on LTV – please refer to “LTV Report 2011 Q3” 16
Legislation • Danish mortgage financing is closely regulated and supervised by the DFSA (Finanstilsynet): www.ftnet.dk • Some legislation can be found in English at the DFSA’s English website: http://www.finanstilsynet.dk/en/Regler-og-praksis/Translated-regulations.aspx • All relevant legislation can be found in Danish at the DFSA’s Danish website: http://www.finanstilsynet.dk/da/Regler-og-praksis/Lovsamling.aspx 17
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