The Nykredit Group financial and regulatory update. Capital Markets Day 2013 Søren Holm, Group Managing Director
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1 The Nykredit Group financial and regulatory update Capital Markets Day 2013 Søren Holm, Group Managing Director
2 Agenda 1 Nykredit's current situation 2 Financial regulation 3 Nykredit's response 4 Nykredit's focus going forward 2
3 1 Nykredit largest lender in Denmark A full-service financial institution Strategy to maintain a leading position in the Danish financial sector Denmark's fourth largest bank Denmark's largest mortgage lender Denmark's second largest asset manager More than 1 million customers 55 customer centres 69 partner banks within mortgage lending 31% of all domestic lending was provided by Nykredit in 2012 Strong capital base National SIFI Strategy statements Denmark is the primary geographical focus Increase business volumes through organic growth Continue developing mortgage lending and banking Continue cultivating cross-selling opportunities The Totalkredit partnership is strategically important 3
4 1 Investors and ratings Nykredit Realkredit A/S Nykredit Realkredit - investor base 2012 Private sector Public sector Foreign investors Bank- and mortgage providers Short A-1+ A-1 1 A-2 A-3 B C D Long AAA 2 AA+ AA AA- A+ 3 A A- BBB+ BBB 4 BBB- D Short F1+ F1+ F1+ F1+ F1/F1+ F1 5 F1/F2 F2 F2/F3 F3 D Long AAA AA+ AA AA- A+ A 6 A- BBB+ BBB BBB- D Insurance companies and pension funds Nykredit Bank A/S Source: Annual Report 2012 The Nykredit Realkredit Group Short Long Short Long One of the largest private bond issuers in Europe Most Nykredit bonds are top-rated (AAA) Almost all Nykredit bonds are listed on NASDAQ OMX Copenhagen A/S A-1+ A-1 7 A-2 A-3 B C D AAA AA+ AA AA- A+ 8 A A- BBB+ BBB BBB- D F1+ F1+ F1+ F1+ F1/F1+ F1 9 F1/F2 F2 F2/F3 F3 D AAA AA+ AA AA- A+ A 10 A- BBB+ BBB BBB- D 1 Short-term unsecured rating, 2 Cap. Centre E (covered bonds, SDO), Cap. Centre D (covered bonds, RO), Cap. Centre C (covered bonds, RO), Cap. Centre H (covered bonds, SDO), Cap. Centre G (covered bonds, RO), Cap. Centre I (covered bonds, RO), Nykredit in General (covered bonds, RO) and Totalkredit Cap. Centre C (covered bonds, RO), 3 Long-term unsecured rating, Cap. Centre D (senior secured bonds, JCB) Cap. Centre E (senior secured bonds, JCB) and Cap. Centre H (senior secured bonds, JCB), 4 Hybrid capital (Tier 1), 5 Short-term unsecured rating, 6 Long-term unsecured rating, 7 Short-term deposit rating, short-term senior debt (Euro MTN Programme) and short-term senior debt (Euro Commercial Paper and Certificate of Deposit Programme), 8 Long-term senior debt (Euro MTN Programme), 9 Short-term deposit rating, short-term senior debt (Euro MTN Programme) and short-term senior debt (Euro Commercial Paper and Certificate of Deposit Programme), 10 Long-term deposit rating and long-term senior debt (Euro MTN Programme). 4
5 1 Business development activity Bank lending and deposits, excl repo and reverse transact. Mortgage lending Management and administration End-period data 5
6 1 Business development income Income, Markets and Asset Management Income, other banking activities Income, mortgage lending Total business operations 6
7 1 Cost and staff Group costs Cost:income ratio Staff 7
8 1 Arrears, repossessed properties and LTVs Group 75-day arrears Repossessed properties Arrears Development in LTV ratios, private residential 8
9 1 Losses on private residential property Recognised losses over the past four quarters Recognised losses in 2011 Losses as % of total lending Losses as % of total lending
10 1 Nykredit Group strong asset quality Loan impairment rates H1/2012 H1/2013 Nykredit, total lending Mortgage lending Banking
11 1 Investment portfolio income Investment portfolio income Yield spread for two-tier bonds DKKm H1/2012 H1/2013 Investment portfolio income value adjusted through profit or loss 1,533 1,000 Investment portfolio income, strategic equities value adjusted against equity 84 (432) Total investment portfolio income 1, of which bonds 1, of which strategic equities of which other items 99 (19) Danmarks Nationalbank's lending rate Historically low yields Y government bond yield ,7 %
12 1 Preliminary Q3 results for the Nykredit Group DKK million Core income Q1-Q3 /2013 Q1-Q3 /2012 Change % - business operations 7,671 7, value adjustment of derivatives and corporate bonds (561) (514) 9 - junior covered bonds (356) (318) 12 - securities Total 6,843 6,902-1 Operating costs excl special value adjustments 4,233 4,254 0 Special value adjustments and Guarantee Fund (1) (165) -99 Core earnings before impairment losses 2,611 2,813-7 Impairment losses on loans and advances 1,604 1,533 5 Core earnings after impairment losses 1,007 1, Investment portfolio income 1,394 2, Profit before cost of capital 2,401 3, Net interest on hybrid capital (343) (348) -1 Profit before tax 2,058 3,
13 1 Danish FSA's changed view of cooperative housing The Danish FSA has adopted a more conservative approach to determination of the assets of a housing cooperative. Implications of the new practice: o Calculation of the assets will be based on a more conservative rental income estimate (about 15% lower than market rent) with a 30-year cash flow o If the assets, determined based on a 30-year cash flow, are negative, the exposure will be deemed to show OEI, and value adjustment and impairment provisions must be made o This also applies to housing cooperatives which make timely payments on their loans. The new practice has caused the Danish FSA to order Nykredit to make additional impairment provisions and adjustment of interest rate swaps totalling DKK 619m in Q3/
14 1 Capital Ratios for the Nykredit Group Total capital ratio, % Core Tier 1 capital ratio, %
15 Agenda 1 Nykredit's current situation 2 Financial regulation 3 Nykredit's response 4 Nykredit's focus going forward 4 15
16 2 Two contradictory political aims "We want to increase economic growth capital requirements for the financial sector should be doubled" Source: Picture from politiken.dk 16
17 2 Regulatory initiatives 8+ method Responsible lending Supervisory Diamond, banks Supervisory Diamond, mortgage lenders MiFID II Crisis manage ment? Impairment rules Single supervisory mechanism Bank counterparty rating Banking union? Staff certification New hybrid capital SIFI NSFR - ARMs problem? Risk labelling Capital requirements LCR shortterm liquidity Solven cy II (Danish frontrunning) Leverage ratio?
18 2 New capital requirements Source: ECOFIN, 2 May
19 2 SIFIs Systemically Important Financial Institutions Increasing systemic importance Increasing capital surcharge 3% 2% 1.5% 1% SIFIs will have to meet a higher capital requirement of % A significantly larger proportion of the capital must be equity Mortgage lenders whose main shareholders are associations or funds may issue shares without voting rights (non-voting shares) Establishment of a governing board for the Danish FSA to provide professional, organisational and management sparring to the Executive Management of the FSA and make supervisory decisions on matters of principle etc. 19
20 2 Nykredit's capital policy I Nykredit core tier 1 target 15.5% Nykredit buffer 1 % Pillar II 1.5% SIFI requirement 2 % Tier 2 2 % Nykredit today Countercyclical buffer 2.5 % Capital conservation buffer 2.5 % Pillar I 2 % CET % 9,5 % Pillar I 6 % 20
21 2 Capital policy calibrated to future booms and busts we aim for a CET1 ratio of 15.5% Nykredit takes into account both future booms and future recessions Currently Boom Recession Unemployment Low Low High Probability of default Low Low High Capital requirement incl 1% buffer 13.0% 15.5% 13.0% RWA DKK 400bn DKK 400bn DKK 500bn Capital requirement incl 1% buffer DKK 52bn DKK 62bn DKK 65bn Capital reductions DKK 6bn-8bn DKK 6bn-8bn DKK 6bn-8bn Total equity DKK 60bn DKK 70bn DKK 73bn Changes in net unemployment in the period % 12% 10% 8% 6% 4% 2% 0%
22 2 Nykredit's capital policy II (RWA buffer) we aim for RWA of DKK 400bn Regulatory changes: DKK bn - LCR induced shift away from holding self issued bonds - Transfer of risk charges from Pillar II to Pillar I Nykredit Bank transition to Advanced-IRB: DKK bn - Increased capital requirements for LGD and Non-Performing Loans Nykredit Holding Risk Weighted Assets: DKK 20 bn - Loan loss guarantee vis-a-vis Nykredit Bank Nykredit Realkredit RWA, June 2013: 332 mia. kr. DKK 400 bn * Nykredit Bank is implementing Advanced IRB method to calculate risk weighted assets for the commercial loan book. The implementation has been pending sufficient loan performance data. 22
23 2 Nykredit's capital policy III Of all SIFIs, Nykredit complies with the new requirements with the greatest margin. With a current total capital ratio of 21.9%, Nykredit must meet a capital requirement of 15.5% by This should not be a problem." Berlingske, discussion, 21 October This is because: We aim for a CET1 ratio of 15.5% (not only 13.0%) We aim for RWA of DKK 400bn (not only DKK 332bn) Basel III Basel II Need DKK ~12bn Equity DKK 58bn Buffer DKK 26bn Equity requirement DKK 32bn Equity DKK 58bn Equity requirement DKK ~70bn 23
24 22 The Rangvid report Large financial institutions - Internal models to be supplemented by standardised approach - Lower risk weight limit Small financial institutions - Assessment of tighter leverage ratio requirements - Foreign activities should be operated via independent companies - Upper limit to size of financial undertakings Corporate governance Mortgage lenders - Supervisory Diamond - Two-tier mortgaging should be introduced by law (minority opinion) Financial supervision Audit Consumer area Guarantee Fund for Depositors and Investors Maintenance of systemic stability 24
25 322 Sensible to have two Supervisory Diamonds Banks Mortgage lenders Sum of large exposures Lending growth Property exposure Stable funding Excess liquidity coverage Large exposures? Lending growth? Concentration risk? Interest-only lending? Annual refinancing? Need for supplementary collateral? Lending subject to frequent refinancing? 25
26 22 Risk weighting Risk weights should mainly be compared with those of other SIFIs across national borders Misconception about Basel I standardised approach is true: Example 1: Home loan with low LTV vs high LTV Example 2: Loan to pizza bakery vs loan to Novo Nordisk Example 3: Low-risk financial transactions Example 4: According to Standard & Poor's: Swedish Handelsbanken is considered a well-run, low-risk bank, irrespective of Basel I. The same applies to Nykredit. 26
27 22 Leverage ratio (an overrated financial ratio) Nykredit is just below the EU average excluding HSBC Is Totalkredit (Nykredit) the riskiest institution? Why are government bond repos risky transactions? Conclusion: The leverage ratio will penalise home loans and the Danish bond market Leverage ratios of Danish financial institutions % 16% 14% 12% 10% 8% 6% 4% 2% Note: Approximated as booked equity relative to total assets plus off-balance sheet items. Red indicates distressed institutions during the financial crisis 0% 27
28 Agenda 1 Nykredit's current situation 2 Financial regulation 3 Nykredit's response 4 Nykredit's focus going forward 28
29 3 Nykredit's specific initiatives Initiatives Consequences Price increases Cost reduction improvement of profitability improvement of profitability Reduction of ARMs, 1-year funding Reduction of Interest-only option Two-tier mortgaging Simpler product range reduction of refinancing risk reduction of credit risk reduction of liquidity risk improvement of profitability and transparency New capital instruments Optimisation of capital structure 29
30 3 New CET1 instrument: Shares without voting rights Included in the SIFI agreement (Bank Rescue Package VI) ensures interests of minority shareholders The new CET1 instrument capital policy: strengthening CET1 in times of increasing lending a conversion instrument if capital triggers are breached An active CET1 instrument is a rating positive Time frame of 1 to 2 years to resolve legal issues 30
31 3 Local banks and Totalkredit launch new secured homeowner loan Covered bond (SDO) funding of secured homeowner loans a new, competitive home loan offered at very attractive prices The new home loan was developed in close cooperation with local partner banks Partner banks' competitiveness has been improved by the new loan The new loan also strengthens the Totalkredit partnership The product will be fully integrated on Totalkredit's existing IT platform A term of up to 30 years and an LTV limit of 60% of the property value. 31
32 3 New adjustable-rate mortgage (ARM) to be introduced in November The new ARM may be issued with longer refinancing intervals The new ARM is funded by bonds with the following characteristics: o The coupon rate may be adjusted on the basis of the Cita reference rate o The coupon rate is fixed for a period of six months o The bonds may be issued with opening periods of more than three years A competitive product compared with ARMs with 1-year funding 32
33 Agenda 1 Nykredit's current situation 2 Financial regulation 3 Nykredit's response 4 Nykredit's focus going forward 4 33
34 4 Our focus moving towards 2015 Focus on advisory services o Nykredit certification helps ensure that Nykredit's advisers are among the most competent in Denmark o Structured adviser training that, in level and scope, extends beyond official requirements Digitisation o Nykredit was ranked the no 1 digital company in Denmark in 2010, 2011 and 2012 Moving towards Nykredit 2015 o To remain robust when facing the changes o Group management and a number of key staff will discuss and analyse themes regarding the way we conduct business 34
35 4 Moving towards 2019 The Nykredit Group's equity must be increased to about DKK 70bn-80bn by 2019 Prices Costs Consumption of capital 35
36 Conclusion Focus on earnings Top-line growth Cost:income Full-service customers No dense branch network Digitisation Compliance with new capital and liquidity requirements New capital instruments New products (secured homeowner loans, ARMs, etc). 36
37 The Nykredit Group financial and regulatory update Capital Markets Day 2013 Søren Holm, Group Managing Director
38 Disclaimer and disclosure Disclaimer The information in this material (hereinafter the Information ) has been compiled by Nykredit Bank A/S (hereinafter Nykredit ) for informational purposes only. The Information is primarily based on information accessible to the public. The Information is believed to be reliable. However, Nykredit does not guarantee the timeliness, sequence, accuracy, correctness, adequacy, or completeness of the Information or opinions contained therein, nor does Nykredit make any representations or warranties of any kind, whether express or implied. The Information does not constitute an offer to sell or the solicitation of an offer to buy any securities mentioned in the Information. Nykredit makes no representation or warranties and gives no advice concerning the appropriate legal treatment, regulatory treatment, accounting treatment or possible tax consequences in connection with an investment in securities mentioned in the Information. Before proceeding with any such investment investors should determine, without reliance upon Nykredit, the economic risk and merits, as well as the legal, tax, regulatory and accounting characteristics and consequences, of such an investment and that investors are able to assume these risks. Investors should conduct their own analysis, using such assumptions as they deem appropriate in making an investment decision. Nykredit does not accept any liability for any loss, howsoever arising, directly or indirectly from the issue of the Information or its contents including transactions made based on information therein. The Information contains certain tables and other statistical analyses (the Statistical Information ) which have been prepared in reliance upon information accessible to the public. Numerous assumptions were used in preparing the Statistical Information, which may not be reflected herein. As such, no assurance can be given as to the Statistical Information s accuracy, appropriateness or completeness in any particular context, nor as to whether the Statistical Information and or the assumptions upon which they are based reflect present market conditions or future market performance. The Statistical Information should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Calculations and presentations are based on ordinary econometric and financial tools and methods as well as publicly available sources. Assessments and recommendations, if any, made in the Information may involve substantial risks. Such risks, including a sensitivity analysis based on relevant assumptions, have been described in the Information. continues 38
39 Disclaimer and disclosure Disclaimer (continued) Information on previous returns, simulated previous returns or future returns presented in the material cannot be used as a reliable indicator of future returns, and returns may be negative. Information on price developments presented in this material cannot be used as a reliable indicator of future price developments, and price developments may be negative. If the material contains information on a specific tax treatment, it should be borne in mind that the tax treatment depends on the investor's individual situation and may change in future. If the material contains information based on gross returns, however, fees, commissions and other costs may reduce returns. Nykredit and/or other companies of the Nykredit Group are financial institutions and banks that trade in securities. Any company in the Nykredit Group may buy, sell or hold positions in the securities mentioned in the Information, just as these companies may be involved in activities involving companies mentioned herein. The Information is being directed at you solely in your capacity as a relevant person for your information and may not be reproduced or redistributed or passed on to any other person or published in whole or in part, for any purpose, without the prior written consent of Nykredit. Relevant persons are persons who have professional experience in matters relating to investments in securities mentioned in the Information and to whom the Information may be lawfully communicated. The Information may not be acted on or relied on by persons who are not relevant persons. DISCLOSURE This Information is marketing material and cannot be considered to be investment research or investment recommendations. No prohibition applies to trading in any financial instruments referred to in the Information prior to distribution. The Information may contain short term recommendations from Sales. Nykredit - Kalvebod Brygge 1-3 DK-1780 Copenhagen V - Tel Fax
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