FactBookQ4/2016 TheNykredit Realkredit Group. Unaudited

Transcription

1 FactBookQ4/216 TheNykredit Realkredit Group Unaudited

2 Table of contents Group chart 2 Expiry of interest-only period mortgage lending 28 Contacts and other information 3 Interest-only loans prevalent where LTVs are low 29 The Nykredit Realkredit Group history 4 Impairment provisions and write-offs mortgage lending 3 Rating 5 Imapirment provisions and losses mortgage lending 31 Market share lending 6 Geographical distribution of write-offs mortgage lending 32 Results the Nykredit Realkredit Group 7 Write-offs mortgage lending 33 Balance sheet summary the Nykredit Realkredit Group 8 Loans, advances and guarantees bank lending 34 Lending and deposits 1 Provisions bank lending 35 Breakdown of core earnings the Nykredit Realkredit Group 11 Weak customers and non-performing loans (NPL) mortgage lending 36 Breakdown of costs 12 Non-performing loans (NPL) bank lending 37 Results the Nykredit Bank Group 13 Business areas 38 Balance sheet summary the Nykredit Bank Group 14 Core income business areas 39 Income from securities 15 Retail 4 Ratios and keyfigures the Nykredit Realkredit Group 16 Totalkredit Partners 41 Capital ratios and keyfigures 17 Wholesale clients 42 Mortgage lending 18 Wealth Management 43 Arrears mortgage lending 22 Group items 44 Geographical distribution of arrears mortgage lending 23 The Danish economy 45 Repossessed properties and forced sales 24 Regional housing prices 45 Risk relating to mortgage lending 25 Key figures 46 LTV 27 Definitions 47

3 Group chart Foreningen Foreningen Nykredit Nykredit Industriens Industriens Fond Fond Østifterne Foreningen f.m.b.a Østifterne PRAS A/S PRAS A/S Ownership 89.8% Ownership 89.8% Ownership 4.7% Ownership 4.7% Ownership 3.25% Ownership 3.25% Ownership 2.25% Ownership 2.25% Nykredit Holding Holding A/S A/S Nykredit Realkredit Group Group Nykredit Nykredit Realkredit Realkredit A/S A/S Nykredit Ejendomsselskabeselskabet Kalvebod Bolighed A/S Ejendoms- Totalkredit Nykredit Bank Nykredit Nykredit Mægler Nykredit Totalkredit A/S Nykredit Bank A/S Ejendomme A/S A/S Mægler A/S A/S Ejendomme A/S A/S Kalvebod A/S A/S Nykredit Nykredit Portefølje Nykredit Nykredit Portefølje Adm. A/SLeasing A/SLeasing A/S Adm. A/S 2

4 Contacts and other information Morten Bækmand Nielsen Head of Investor Relations Erik Holbek Chief Investor Relations Manager Tel: Tel: Mobile: Mobile: mobn@nykredit.dk ehol@nykredit.dk Our investor website contains: General information Press releases Financial and CSR reports Risk and capital reports Bond data Prospectuses Publications on markets Cover pool data 3

5 The Nykredit Realkredit Group history Foreningen Nykredit Foreningen Nykredit (the Nykredit Association) owns just below 9% of Nykredit and is thus the largest shareholder. Members 1. Mortgage customers of Nykredit Realkredit 2. Customers with facilities with Nykredit Bank of at least DKK 5, Establishment of various mortgage associations mortgage associations merge into two 1972 Two mortgage associations merge into 1985 Deregulation of the Danish mortgage sector 1989 Nykredit is one of Denmark's leading financial services groups Mortgage customers of Totalkredit (optional) Development in activities Committee of Representatives The ultimate authority of Foreningen Nykredit is the Committee of Representatives, which has 14 representatives elected by and among the members (mortgage customers of Nykredit Realkredit) and bondholders. The Committee of Representatives elects the Board of Directors of Foreningen Nykredit and approves annual reports and amendments to the Articles of Associations Set-up of estate agency business 1994 Set-up of Nykredit Bank 1998 Set-up of Markets and Asset Management 1998 Set-up of Nykredit Forsikring 2 Merger with Østifterne Forsikring 23 Acquisition of Totalkredit 28 Acquisition of Forstædernes Bank 21 Sale of Nykredit Forsikring 4

6 Rating Nykredit Realkredit A/S Covered bonds Capital Centre H (SDO covered bonds) Capital Centre E (SDO covered bonds) Capital Centre G (RO covered bonds) Capital Centre I (RO covered bonds) Capital Centre D (RO covered bonds) Capital Centre C (RO covered bonds) Nykredit in General (RO covered bonds) Senior secured bonds (junior covered bonds) Capital Centre D (JCB senior secured debt (section 15 bonds)) Capital Centre H (JCB senior secured debt (section 15 bonds)) Unsecured debt S&P AAA AAA AAA AAA AAA AAA AAA Short-term senior unsecured debt A-1 F1 Long-term senior unsecured debt A A Senior Resolution Notes BBB+ A Capital instruments Tier 2 BBB A- Fitch Contingent Capital Notes (Tier 2) BBB BBB Additional Tier 1 BB+ BB+ Ratings history Long term senior unsecured debt Nykredit Realkredit and Nykredit AA- AA- AA AA- A+ A A- BBB+ BBB BBB- BB Standard & Poor's Fitch Totalkredit A/S Capital Centre C (RO covered bonds) S&P AAA Fitch Nykredit Bank A/S Short-term deposit A-1 F1 S&P Long-term deposit A A Euro MTN Program - Short-term senior unsecured debt A-1 F1 - Long-term senior unsecured debt A A Euro Commercial Paper and Certificate of Deposit Program - Short-term senior unsecured debt A-1 F1 Fitch 5

7 Market share lending Market share* DKK billion Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Bank lending Mortgage lending 1,55 1,49 1,5 1,51 1,53 Total 1,121 1,116 1,119 1,122 1,134 Market share Bank lending 5.8% 5.7% 5.9% 6.3% 7.2% Mortgage lending 41.8% 41.6% 41.4% 41.3% 41.2% Total 3.6% 3.2% 3.3% 3.5% 3.8% Mortgage Market share, lending, % Bank Mortgage Lending, Nykredit vs market, DKK billion Bank 44.% 8.% 2,8 1,4 43.5% 7.5% 2,4 1,2 43.% 7.% 2, 1, 42.5% 42.% 41.5% 41.% 6.5% 6.% 5.5% 5.% 1,6 1, % 4.5% % Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 4.% Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Mortgage lending (lhs) Bank lending (rhs) Mortgage lending Nykredit (lhs) Mortgage lending market (lhs) Bank lending Nykredit (rhs) *Note: MFI statistics lending and distribution of market share in Denmark Bank lending includes reverse transactions. Mortgage lending at fair value excl monetary and financial institutions. Bank lending market (rhs) 6

8 Results the Nykredit Realkredit Group The Nykredit Realkredit Group DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income from Business operations 2,892 2,831 2,933 3,11 3,285 Senior and subordinated debt (127) (118) (114) (164) (98) Securities Income from core business 2,774 2,724 2,829 2,958 3,2 Operating costs, depreciation and amortisation 1,41 1,165 1,21 1,214 1,542 Mortgage business contribution to Resolution Fund Profit from core business before impairment losses 1,358 1,525 1,593 1,79 1,624 Impairment losses on mortgage lending 261 (35) Impairment losses on bank lending (34) (16) (7) 28 (82) Profit from core business 1,131 1,576 1,417 1,449 1,329 Legacy derivatives 129 (741) (51) Gain on sale of owner-occupied properties Impairment of goodwil and customer relationships (58) Investment portfolio income Investment portfolio income, capital gains from the sale of strategic equities Profit (loss) before tax 1, ,38 2,95 2,338 Tax Profit (loss) for the period 1,2 75 1,98 1,66 1,866 Minority interests (2) Profit for the period excluding minority interests 1,2 75 1,97 1,66 1,868 Note: Largely all the Group's investment activities are marked to market, for which reason group earnings exhibit a certain degree of volatility. 7

9 Balance sheet summary the Nykredit Realkredit Group The Nykredit Realkredit Group DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Assets Receivables from credit institutions and central banks 23,253 28,798 43,76 41,685 34,829 Mortgage loans at fair value 1,119,11 1,122,218 1,127,725 1,127,516 1,124,693 Bank lending - excl reverse transactions 46,747 48,972 49,554 53,115 55,4 Bonds and equities 11, ,892 16,387 18, ,555 Remaining assets 84,394 83,278 79,923 74,91 69,525 Total assets 1,383,789 1,4,158 1,47,294 1,45,8 1,4,66 Liabilities and equity Payables to credit institutions and central banks 3,226 44,15 28,131 19,362 21,681 Deposits 62,599 59,583 69,547 64,897 65,415 Bonds in issue at fair value 1,137,314 1,135,251 1,142,561 1,151,669 1,152,383 Subordinated debt 11,6 11,24 11,26 11,276 11,78 Remaining liabilities 77,184 83,931 88,778 89,72 79,92 Equity 65,46 66,137 67,17 68,877 7,957 Total liabilities and equity 1,383,789 1,4,158 1,47,294 1,45,8 1,4,66 Equity, DKKbn

10 Balance sheet summary the Nykredit Realkredit Group Total lending, DKKbn 1,4 Total mortgage lending, DKKbn 1,4 1,2 1, ,42 1,89 1,14 1,186 1,184 1,188 1,166 1,18 1,2 1, ,3 1,84 1,136 1,137 1,137 1,119 1, Total bank lending, DKKbn Total bank deposits, DKKbn Note: Mortgage lending based on fair value. Bank lending excludes reverse transactions

11 Lending and deposits Nominal mortgage lending, DKKbn Bank lending and bank deposits, DKKbn 1,4 1,2 1, 8 1,19 1,12 1,112 1,114 1, Assets under administration, DKKbn Private Commercial Bank lending Bank deposits Assets under management Assets under administration 1

12 Breakdown of core income the Nykredit Realkredit Group Core income from business operations, DKKm216 4, 3,5 3, 2,5 2,895 2,83 2, ,285 3, , 1,5 1, 1,945 2,37 1,935 2,298 2,288 5 Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Mortgage lending Banking Other Mortgage - Core income from business operations by business area excl Group items, DKKm216 Banking - Core income from business operations by business area excl Group items, DKKm216 1,4 1,2 1, ,19 1,154 1, Retail Totalkredit Partners Wholesale clients & Wealth Management Retail Wholesale clients Wealth Management Q2/216 Q3/216 Q4/216 Q2/216 Q3/216 Q4/216 Note: Wealth Management is included in Wholesale Clients in earlier periods. 11

13 Breakdown of costs Operating costs, the Nykredit Realkredit Group, DKKm Average number of full-time employees 7, 6, 5, 5,594 6,47 5,13 5,5 5,26 4,5 4, 3,5 3, 4,115 4,52 3,971 3,757 3,648 4, 2,5 3, 2, 2, 1,5 1, 1, Note: Operating costs incl mortgage business contribution to Resolution Fund and provisions for restructuring Cost:income ratio, % 7% 65% 6% 55% 55.7% 56.9% 5% 45.8% 45% 4% 35% 4.7% 4.1% 3% Note: Operating costs, depreciation and amortisation, excl mortgage business contribution to Resolution Fund and provisions for restructuring as % of core earnings from business operations 12

14 Results the Nykredit Bank Group The Nykredit Bank Group DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income from Business operations Securities Income from core business Operating costs, depreciation and amortisation Value adjustment of associate Profit from core business before impairment losses Impairment losses on bank lending (34) (16) (7) 27 (83) Profit from core business Legacy derivatives 129 (741) (51) Impairment of goodwill Investment portfolio income 11 (5) 3 1 (1) Profit (loss) before tax 6 (459) Tax 137 (12) (5) Profit (loss) for the period 463 (357) Income from core business Q4/216, DKKm and previous quarters 1,2 1, 8 1, Q1/215 Q2/215 Q3/215 Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Note: Largely all the Group's investment activities are marked to market, for which reason group earnings exhibit a certain degree of volatility. 13

15 Balance sheet summary the Nykredit Bank Group The Nykredit Bank Group DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Assets Cash balance and receivables from credit institutions and central banks 13,425 2,34 37,41 35,49 35,723 Loans, advances and other receivables at fair value 39,467 34,963 3,35 24,871 3,91 Loans, advances and other receivables at amortised cost 46,747 48,972 49,554 53,115 55,3 Bonds at fair value and equities 4,412 42,688 38,144 41,167 42,576 Remaining assets 34,288 37,849 39,558 38,893 31,533 Total assets 174, , ,16 193, ,926 Liabilities and equity Payables to credit institutions and central banks 34,957 41,552 4,25 47,668 51,66 Deposits and other payables 62,758 59,747 69,643 65,31 66,263 Bonds in issue at amortised cost 2,15 18,31 14,99 12,71 1,158 Other non-derivative financial liabilities at fair value 11,776 17,537 21,75 19,598 21,348 Remaining payables 28,267 31,868 33,81 32,85 26,546 Provisions Subordinated debt , Equity 16,117 15,76 15,81 16,65 16,744 Total liabilities and equity 174, , ,16 193, ,926 Nykredit Bank A/S Supervisory diamond (calculated at parent level) Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Lending growth (limit value <2%) (7.5) 4, Large exposures (limit value <125%) ,1... Property exposure (limit value <25%) , Funding ratio (limit value < 1.%).5, Excess liquidity coverage (limit value >5%) ,

16 Income from securities - the Nykredit Realkredit Group Net income from securites DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income from securities Investment portfolio income Total investment portfolio income through profit or loss Investment portfolio income through equity (261) (29) (149) Total investment portfolio income of which bonds of which equity (22) (46) of which strategic equities (261) (1) (17) of which others Ten year Danish government bond yield, % Note: Largely all of the Group's investment activites is marked to market, for which reason group earnings exhibit a certain degree of volatility. 15

17 Ratios and keyfigures the Nykredit Realkredit Group Keyfigures DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Net interest margin, %* The Nykredit Realkredit Group.84%.83%.78%.85%.91% Impairment losses for the period as % of lending Mortgage lending.2% (.%).2%.2%.3% Banking (.3%) (.2%) (.7%).3% (.8%) Write-offs, year to date Mortgage lending 1, Banking Swaps ,287 Total provisions for loan impairment Mortgage lending 5,694 5,471 5,494 5,65 5,751 Banking (including guarantees excluding financial institutions) 2,952 2,852 2,649 2,661 2,59 Swaps 5,88 5,723 6,11 5,978 4,16 Total provisions for loan impairment/write-offs Mortgage lending Banking Swaps * Net interest margin has been annualized Ratios Year to date Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Return on average equity, before tax, p.a., % 9.9% 5.4% 8.4% 12.7% 13.8% Return from core business on average equity, p.a., % 7.% 9.8% 8.7% 8.7% 7.7% Return on assets, p.a. %.44%.2%.26%.33%.38% Return on REA, % 5.5%.91% 1.44% 1.86% 2.14% Note: Nykredit's earnings should be seen relative to the balance sheet structure. A prevailing part of the assets consists of mortgage loans with low risk and low margins. 16

18 Capital ratios and keyfigures Capital ratios - The Nykredit Realkredit Group % Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Total capital ratio, % 23.9% 24.% 24.8% 22.% 23.% Common Equity Tier 1 (CET1) capital ratio, % 19.4% 19.5% 2.2% 17.9% 18.8% Leverage ratio, %* 4.4% 4.3% 4.4% 4.6% 4.6% * Previous years not computed. Exposure - weighted average risk weights (A-IRB method) % Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Retail - Mortgage 12,6% 12,4% 12,4% 12,9% 12,6% Commercial - Mortgage 24,1% 22,5% 22,4% 28,6% 27,8% Total Mortgage ,6% 17,1% Retail - Banking 53,3% 53,4% 53% 42% 42,3% Business - Banking 34,4% 36,1% 37,1% 7,1% 64,5% Retail - Group 14,3% 14% 14% 14,1% 13,8% Commercial - Group 26,1% 25,4% 25,7% 38,8% 37,2% Note: These risk weights only relates to credit risk. Pillar II and operational risk is therefore not included. Ratios DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 The Nykredit Realkredit Group CET1, fully loaded 1 6,257 6,458 61,36 63,926 65,635 Distance to MDA, not fully loaded 2 38,351 38,58 39,898 37,886 4,86 Distance to MDA, fully loaded 1, 3 35,589 35,872 37,196 37,826 29,89 Available Distributable Items (ADI) 26,23 26,371 27,33 3,138 29,89 4 Asset encumbrance (Q4/216 figure based on Q1-Q3/216) 84% 85% 84% 84% 84% Nykredit Realkredit A/S Internal capital adequacy requirement, % % CET1, fully loaded 1 6,249 6,699 61,76 64,52 66,718 Distance to MDA, not fully loaded 2 34,465 35,85 36,238 36,9 4,978 Distance to MDA, fully loaded 1, 3 32,453 33,174 34,416 36,34 28,839 Available Distributable Items (ADI) 27,427 28,39 28,47 29,375 19, In the above table CET1 CRR fully loaded is calculated under the assumption that all deductions are taken in CET1. 2 Maximum Distributable Amount (MDA): Estimated MDA buffers calculated under the assumption that AT1 and T2 requirements are covered by relevant capital instruments and that the CET1 requirement is 7.157% for Nykredit Realkredit Group and 6.597% for Nykredit Realkredit A/S. 3 Maximum Distributable Amount (MDA): Estimated MDA buffers calculated under the assumption that AT1 and T2 requirements are covered by relevant capital instruments and that the CET1 requirement is 1.232% for Nykredit Realkredit Group and 9.672% for Nykredit Realkredit A/S (CET1 requirements are fully implemented except for countercyclical buffer and under the assumption that Pillar II level is equal to current level). 4 According to Danish legislation, capital cannot be distributed if dividend payments impair any regulatory capital requirements. Nykredit Realkredit Group s total capital amounts to DKK 8.6bn. Maximum capital requirement is the transitional floor of DKK 48.3bn. However retained earnings amount to DKK 29.8bn and that is the maximum amount available for distribution. 5 According to Danish legislation, capital cannot be distributed if dividend payments impair any regulatory capital requirements. Nykredit Realkredit A/S total capital amounts to DKK 81.4bn. Maximum capital requirement is the internal capital adequacy requirement (Pillar I and Pillar II) of DKK 36.bn. However retained earnings amount to DKK 19.9bn and that is the maximum amount available for distribution. 17

19 Mortgage lending Mortgage lending, nominal value, DKKm 8, 7, 6, 5, 4, 3, 2, 1, Owner-occupied dwellings Other Mortgage lending by property type (excl.private residential property), nominal value,dkkm 12, 1, 8, 6, 4, 2, Private rental Industry and trades Office and retail Agriculture Non-profit housing Cooperative housing Other 18

20 Mortgage lending Mortgage lending by property type DKK million, nominal value Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Average impairment losses Q1/216 - Q4/216 Average write-offs Q1/216 - Q4/216 Owner-occupied dwellings 68,41 68,79 683, , ,759.3%.3% Private rental 87,757 85,62 81,77 8,847 82, %.3% Industry and trades 22,999 22,643 22,814 22,398 21, % -.6% Office and retail 111,93 19,312 19,25 17,466 19,625.2%.4% Agriculture 94,438 93,98 93,624 93,414 92,976.82%.14% Non-profit housing 61,941 62,699 62,766 63,294 63, %.% Cooperative housing 38,318 38,82 37,98 37,78 37, %.% Other 17,374 17,145 16,972 16,759 16, %.5% Total 1,114,321 1,19,712 1,18,385 1,14,242 1,17,135.7%.4% Non-profit housing 6% Cooperative housing 3% Other 2% Agriculture 8% Office and retail 1% Industry and trades 2% Private rental 7% Owneroccupied dwellings 62% Note: The breakdown by property type is not directly comparable with the Group's business areas. Impairment losses and write-offs has been annualized for the calculation of average impairment losses and average write-offs. 19

21 Mortgage lending Mortgage lending at nominal value by geography DKK billion Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Copenhagen Outskirts of Copenhagen Remaining Sealand Faroe Islands and Greenland Eastern Jutland Funen Northern Jutland Southern Jutland Western Jutland Foreign lending Q4/216 (DKK billion) Western Jutland 1% Foreign lending 5% Copenhagen 9% Southern Jutland 4% Outskirts of Copenhagen 18% Northern Jutland 17% Funen 8% Eastern Jutland 2% Remaining Sealand 9% Faroe Islands and Greenland % 2

22 Mortgage lending Bond dept outstanding by loan and interest type, all segments 1% 9% 8% 7% 56% 53% 51% 6% 5% 4% 3% 2% 44% 47% 49% 1% % Variable-rate loans with refinancing within one year (ARMs, money marked-linked and index-linked), debt outstanding with maturity less than 1 year, all segments, variable-rate loans. 45, 4, 35, 3, 25, 2, 15, 1, 5, % 35% 3% 25% 2% 15% 1% 5% % Loans excl interest-only option Loans with interest-only option Debt (DKK million) Total share of debt (%) Mortgage lending by loan type, private residential properties, 216 Mortgage lending by loan type, commercial, 216 2% 19% 4% Fixed-rate loans Adjustable-rate mortgage loans (ARMs) 53% Fixed-rate loans Adjustable-rate mortgage loans (ARMs) Money market-linked loans and index-linked loans 28% Money market-linked loans and index-linked loans 4% 21

23 Arrears mortgage lending Arrears - 75 days past due, % Note: Totalkredit has been consolidated with Nykredit Realkredit from 1 November write-offs has not been annualized. 9.% 8.% 7.% 6.% 5.% 4.% 3.% 2.% 1.%.%.9%.8%.7%.6%.5%.4%.3%.2%.1%.% Arrears, 75 days past due, % Cooperative housing Owner-occupied dwellings Industry and trades Office and retail Agriculture Non-profit housing Other Private residential rental 26 Nykredit - Owner-occupied dwellings Totalkredit Write-offs %.6%.5%.4%.3%.2%.1%.% % 1.6% 1.4% 1.2% 1.%.8%.6%.4%.2%.%

24 Geographical distribution of arrears/total mortgage lending owneroccupied dwellings, mortgage lending 75 day-arrears, end of year day-arrears, end of year

25 Repossessed properties and forced sales Repossessions in Denmark, The Nykredit Realkredit Group Stock Stock, owner-occupied dwellings Forced sales in Denmark 6, 5,222 5,2 5,13 5, 4, 3, 3,666 2,824 2,426 2,397 2,584 2,682 3,41 3,39 2,64 2,84 4,14 4,439 3,499 3,544 2,818 2, 1, , ,392 1, ,258 1,282 1,611 1,621 1,185 1, The Nykredit Realkredit Group Market 24

26 Risk relating to mortgage lending Debt outstanding relative to estimated property values, continous distribution Q4/216 Fair value 216 LTV (loan-to-value), The Nykredit Realkredit Group DKK million Over 1 Non-profit Total LTV-median Average LTV housing % % Owner-occupied dwellings 419,786 16,466 93,35 15,32 3, , Private rental 77,675 26,93 11,319 2,528 1,49-118, Industry and trades 16,934 3, , Office and retail 84,963 2,82 3, , Agriculture 67,63 18,534 7,34 1, , Other 13,159 2, , Total Q , , ,67 2,763 6,91 7,52 1,124, Total Q , ,22 116,41 22,317 6,986 67,24 1,119, ,4% of total lending is outside statutory LTV limits Debt outstanding relative to estimated property values, Q4/216 Statutory LTV limits by continous distribution, The Nykredit Realkredit Group property category % Over 1 Private residential property for allyear 8%* Owner-occupied dwellings habitation Private rental Private cooperative housing 8% Industry and trades Private residential rental properties 8% Office and retail Non-profit housing 8% Agriculture Youth housing 8% Other Senior housing 8% Total Q Properties used for social, cultural 6% or educational purposes Note: The average LTV is determined as the top part of the debt outstanding relative to estimated property values. The figures are actual LTV ratios including any financed costs. Public authority guarantees reduce the credit risk relating to subsidised housing that forms part of lending to the non-profit housing segment. For this reason, LTVs of non-profit housing offer no relevant risk data. In the table, debt outstanding is distributed continuously by LTV category. Loans with security covering for example between % and 6% of the mortgageable value are distributed with two thirds of the debt outstanding in the LTV range -4% and one third in the LTV range 4-6%. (*) Some loan types offered for residential properties are subject to a lower LTV limit than 8%, but no supplementary collateral is required unless the LTV ratio subsequently exceeds 8%. (**) The LTV limit may be extended up to 7% against supplementary collateral for the part in excess in 6%. Holiday homes Agricultural and forestry properties, market gardens etc** Office and retail properties** Industry and trades properties** Utilites Other properties - including undeveloped land 6% 6% 6% 6% 6% 4% 25

27 Risk relating to mortgage lending Debt outstanding distributed by the top part relative to estimated property values, Q4/216 Fair value 216 LTV (loan-to-value), The Nykredit Realkredit Group DKK million Over 1 Non-profit Total LTV-median Average LTV housing % % Owner-occupied dwellings 73,18 156, , ,52 3,35-692, Private rental 31,991 43,194 28,396 9,573 5,58-118, Industry and trades 8,461 1,226 1, , Office and retail 47,262 47,698 9,959 3,114 2,332-11, Agriculture 4,841 31,869 15,446 5,223 2,61-95, Other 9,196 5,13 1, , Total Q4/216 21, , ,86 152,36 41,173 7,52 1,124, Total Q4/215 21,739 35, , ,556 46,12 67,24 1,119, ,71% of total lending is outside statutory LTV limits Debt outstanding distributed by the top part relative to estimated property Statutory LTV limits by values, Q3/216, The Nykredit Realkredit Group property category % Over 1 Private residential property for allyear 8%* Owner-occupied dwellings habitation Private rental Private cooperative housing 8% Industry and trades Private residential rental properties 8% Office and retail Non-profit housing 8% Agriculture Youth housing 8% Other Senior housing 8% Total Q4/ Properties used for social, cultural 6% or educational purposes Note: The average LTV is determined as the top part of the debt outstanding relative to estimated property values. The figures are actual LTV ratios including any financed costs. Public authority guarantees reduce the credit risk relating to subsidised housing that forms part of lending to the non-profit housing segment. For this reason, LTVs of non-profit housing offer no relevant risk data. (*) Some loan types offered for residential properties are subject to a lower LTV limit than 8%, but no supplementary collateral is required unless the LTV ratio subsequently exceeds 8%. (**) The LTV limit may be extended up to 7% against supplementary collateral for the part in excess in 6%. Holiday homes Agricultural and forestry properties, market gardens etc** Office and retail properties** Industry and trades properties** Utilites Other properties - including undeveloped land 6% 6% 6% 6% 6% 4% 26

28 LTV Average LTV - all segments, % Q4/213 Q1/214 Q2/214 Q3/214 Q4/214 Q1/215 Q2/215 Q3/215 Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Average LTV - private residential properties, % Q4/213 Q1/214 Q2/214 Q3/214 Q4/214 Q1/215 Q2/215 Q3/215 Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 27

29 9 Expiry of interest-only period mortgage lending LTV distribution - size of loans by interest-only expiry, DKKbn LTV <6% LTV 6-8% LTV 8-1% LTV >1% Debt outstanding over 8% LTV with expiry of interest-only period, by year, DKKbn (Only the amount of the loan that excess 8%)

30 Interest-only loans prevalent where LTVs are low LTV ratios, end of year 216 Distribution of interest-only loans, end of year 216 Note: Private residential lending in municipalities with above 8% LTVs and low marketability (above national average of 2 days on market) amounts to 6,3% of total private residential mortgage lending at end-q

31 Impairment provisions and write-offs mortgage lending 1.2% Provisions and write-offs as % of loans and advances 1.%.8%.6%.4%.2%.% Provisions Write-offs Impairment provisions and write-offs, DKKm 7, 6, 5, 4, 3, 2, 1, Total provisions Write-offs 3

32 Impairment provisions and losses mortgage lending Total impairment provisions by property type DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Owner-occupied dwellings ,28 99 Private rental Industry and trades Office and retail Agriculture 1,96 1,49 1,233 1,36 1,447 Non-profit housing Cooperative housing Other Total Nykredit Realkredit 4,351 4,158 4,269 4,45 4,62 Totalkredit 1,339 1,313 1,226 1,2 1,13 Total impairment provisions from mortgage lending 5,69 5,471 5,494 5,611 5,751 Note: Provisions include individual and collective provisions (including provisions from management judgement) Impairment losses by property type DKK million, year to date Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Owner-occupied dwellings Private rental 174 (18) (38) (128) (67) Industry and trades 43 (19) (2) (45) (7) Office and retail 16 (1) (24) (3) 35 Agriculture Non-profit housing (57) (32) (71) 2 (79) Cooperative housing (126) (2) (6) (71) (8) Other (2) (3) (2) 2 (6) Total Nykredit Realkredit 586 (78) Totalkredit Total impairment losses from mortgage lending 1, Set-offs, Totalkredit (349) (57) (124) (179) (24) Total impairment losses from mortgage lending after set-offs 1,121 (36)

33 Geographical distribution of write-offs/total mortgage lending before set-offs private residential property, mortgage lending Loss as % of total mortgage lending last 4 quarters, end of year 215 Loss as % of total mortgage lending last 4 quarters, end of year

34 Write-offs mortgage lending Write-offs after set-offs by property type DKK million, year to date Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Owner-occupied dwellings Private rental Industry and trades 136 (7) (7) (14) (23) Office and retail Agriculture Non-profit housing (8) Cooperative housing - () (2) - Other Total Nykredit Realkredit Totalkredit Total write-offs from mortgage lending 1, Set-offs, Totalkredit (349) (57) (124) (179) (24) Total write-offs from mortgage lending after set-offs 1, Note: Write-offs for the year regardless whether the loan has been recognised through profit or loss for the same year. Note: Due to intercompany balancing, set-offs may differ from Nykredit Realkredit Annual Report

35 Loans, advances and guarantees bank lending Loans and advances DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Public sector Agriculture, hunting and forestry 1,785 1,88 1,957 2,16 2,91 Other corporate 72,565 7,277 66,312 64,361 7,352 Total commercial 74,35 72,157 68,269 66,377 72,443 Personal customers 11,624 11,543 11,253 11,23 12,25 Total 86,214 83,936 79,95 77,986 85,94 Guarantees DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Public sector Agriculture, hunting and forestry Other corporate 6,55 5,97 5,64 5,98 6,473 Total commercial 6,654 6,53 6,19 6,755 7,43 Personal customers 8,47 7,95 7,48 8,773 9,958 Total 15,18 13,615 13,688 15,528 17,152 34

36 Provisions bank lending Provisions for individual loan impairments and guarantees DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Public sector Agriculture, hunting and forestry Other corporate 2,189 2,53 1,877 1,833 1,786 Total commercial 2,278 2,13 1,96 1,917 1,871 Personal customers Total 2,811 2,699 2,516 2,55 2,459 Collective impairment provisions DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Public sector Agriculture, hunting and forestry Other corporate Total commercial Personal customers Total Total impairment provisions DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Public sector Agriculture, hunting and forestry Other corporate 2,264 2,143 1,949 1,914 1,874 Total commercial 2,366 2,234 2,52 2,35 1,969 Personal customers Total 2,952 2,85 2,649 2,661 2,59 Note: Following the Danish FSA's inspection of the Group's credits area, Nykredit Bank has made a more conservative assessment of cooperative housing exposures. There is objective evidence of impairment (OEI) when a conservatively assessed rent is not sufficient to restore positive equity in a housing cooperative over a 3-year cash flow. In some cases, this results in negative value adjustment of interest rate swaps and impairment of loans and advances. Individual value adjustment of interest rate swaps generally follows the principles applying to impairment of loans and advances in respect of the same customer, and the swaps are value adjusted to zero if the unsecured part of the loan is written off. 35

37 Weak customers and non-performing loans (NPL) mortgage lending Exposure to weak customers (rating ) DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Total impairment provisions, rating (DKK million) Bond debt outstanding with OEI (DKK million) 14,732 13,84 13,642 12,774 13,213 Total bond debt outstanding (DKK million) 1,114,324 1,19,712 1,18,385 1,14,245 1,17,135 Bond debt outstanding with OEI/total bond debt 1.3% 1.2% 1.2% 1.2% 1.2% Non-performing loans (rating -1) DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Total impairment provisions, NPL (DKK million) 3,173 2,948 3,321 3,115 3,689 Bond debt outstanding, NPL (DKK million) 25,474 24,836 24,591 25,715 25,74 Total bond debt outstanding (DKK million) 1,114,324 1,19,712 1,18,385 1,14,245 1,17,135 Bond debt outstanding, NPL/total bond debt 2.3% 2.2% 2.2% 2.3% 2.3% 36

38 Non-performing loans (NPL) bank lending Non performing bank loans (rating NPL) DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Individual impairment provisions 2,711 2,62 2,451 2,455 2,46 Non-performing loans of which loans and advances subject to individual impairment provisioning 4,92 3,849 3,624 3,462 3,493 Individual impairment provisions as % of loans and advances subject to individual impairment provisioning 66.3% 67.6% 67.6% 7.9% 68.9% Note: Exposures in default includes loans and advances provided for individually and loans and advances to customers with an elevated risk of future default, but not necessarily a high risk of future losses, as the loss risk also depends on any security provided for a loan Nykredit Bank Market Value, derivatives, fixed-rate swaps and step-up interest rate instruments Q4/216 DKK billion / % Negative market value Total impairment provisions* Total impairment provision as % Housing cooperatives % Agriculture % Other % Total % * Individual value adjustments, management judgement and CVA 37

39 Business areas Retail Private and Commercial Totalkredit Partners Responsible for the Group's mortgage lending to personal and business customers arranged by local and regional banks. Wholesale clients Comprises Corporate & Institutional Banking (CIB) and Nykredit Markets. Wealth Management Group Items Comprises Nykredit Asset Management, Nykredit Portefølje Administration and Private Banking Elite. Comprises income and costs not allocated to the business areas as well as core income from securities and investment portfolio income. 38

40 Core income business areas Core income business areas DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income Retail 1,588 1,48 1,494 1,544 1,649 Totalkredit Partners Wholesale clients *Wealth Management Group items (4) (16) (19) (86) 7 Income from core business 2,776 2,724 2,829 2,958 3,2 *Wealth Management is included in Wholesale Clients prior to 216 Lending and deposits business areas DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Mortgage lending (nominal) Retail 435, ,56 429, , ,61 -of which Nykredit Realkredit 361, , , ,93 337,888 -of which Totalkredit 74,454 76,632 78,65 81,321 83,713 Totalkredit Partners 494,25 495, ,543 5,32 53,767 Wholesale clients 18, ,5 175, , ,45 Wealth Management 3,312 3,378 3,526 4,419 5,362 Total mortgage lending 1,114,321 1,19,712 1,18,385 1,14,24 1,17,135 Bank lending Retail 27,54 27,59 27,721 28,741 3,79 Wholesale clients 17,763 18,762 18,656 2,582 21,554 Wealth Management 1,922 2,63 2,289 2,341 2,63 Group items , Total bank lending 46,747 48,972 49,554 53,115 55,3 Deposits Retail 4,799 41,36 43,628 42,983 43,37 Wholesale clients 13,7 1,475 15,28 11,68 12,27 Wealth Management 7,828 6,787 8,564 7,646 9,522 Group items ,327 2, Total deposits 62,599 59,583 69,547 64,9 65,415 39

41 Business areas Retail Result Retail DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income from Business operations 1,616 1,55 1,517 1,575 1,67 Senior debt (27) (25) (23) (3) (22) Income from core business 1,588 1,48 1,494 1,545 1,649 Total costs Profit from core business before impairment losses Impairment losses on mortgage lending 265 (25) Impairment losses on bank lending (52) (3) 5 66 (26) Profit from core business Activity Retail DKK million, year to date Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Mortgage lending Gross new lending 78,379 12,36 24,51 38,396 57,189 Portfolio at nominal value, end of period 435, ,56 429, , ,61 Impairment losses for the period as % of lending.17% -.1%.6%.11%.22% Total impairment provisions, end of period Individual impairment provisions 2,556 2,472 2,548 2,736 2,784 Collective impairment provisions 1,369 1,313 1,383 1,344 1,562 Total impairment provisions as % of lending.9%.88%.92%.96% 1.3% Banking Lending, end of period 27,54 27,59 27,721 28,741 3,79 Deposits, end of period 4,799 41,36 43,628 42,983 43,37 Impairment losses for the period as % of lending*.21% -.1%.4%.24%.15% Total impairment provisions, end of period Individual impairment provisions 1,696 1,631 1,596 1,632 1,628 Collective impairment provisions Total impairment provisions as % of lending 6.19% 5.86% 5.71% 5.69% 5.39% Guarantees, end of period 4,342 3,98 4,212 4,567 4,51 Provisions for guarantees, end of period *Including impairment losses from guarantees 4

42 Business areas Totalkredit Partners Result Totalkredit partners DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income from Business operations Senior debt (35) (34) (38) (39) (25) Income from core business Total costs Profit from core business before impairment losses Impairment losses on mortgage lending 4 25 (16) 16 (14) Profit from core business Activity Totalkredit partners DKK million, year to date Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Mortgage lending Gross new lending 137,478 17,226 39,444 79,791 17,713 Portfolio at nominal value, end of period 494,25 495, ,543 5,32 53,767 Impairment losses for the period as % of lending.8%.%.%.%.% Total impairment provisions, end of period Individual impairment provisions Collective impairment provisions Total impairment provisions as % of lending.25%.24%.22%.21%.2% 41

43 Business areas Wholesale clients Result Wholesale clients DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income from Business operations Senior debt (2) (2) (2) (2) (2) Income from core business Total costs Profit from core business before impairment losses Impairment losses on mortgage lending (46) (33) (26) (1) (39) Impairment losses on bank lending 18 (4) (68) (34) (49) Profit from core business Activity Wholesale clients DKK million, year to date Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Mortgage lending Gross new lending 36,578 5,231 13,98 17,287 28,47 Portfolio at nominal value, end of period 18, ,5 175, , ,45 Impairment losses for the period as % of lending (.6%) (.2%) (.3%) (.3%) (.6%) Total impairment provisions, end of period Individual impairment provisions Collective impairment provisions Total impairment provisions as % of lending.29%.28%.26%.27%.24% Banking Lending, end of period 17,762 18,762 18,657 2,582 21,554 Deposits, end of period 13,7 1,475 15,3 11,678 12,27 Impairment losses for the period as % of lending* (.92%) (.19%) (.42%) (.46%) (.67%) Total impairment provisions, end of period Individual impairment provisions Collective impairment provisions Total impairment provisions as % of lending 5.39% 4.84% 4.49% 3.97% 3.6% Guarantees, end of period 1,565 1,559 1,471 1,465 1,445 Provisions for guarantees, end of period *Including impairment losses from guarantees *Asset management is incluced in

44 Business areas Wealth Management Result Wealth Management DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income from Business operations Senior debt - - () () () Income from core business Total costs Profit from core business before impairment losses Impairment losses on mortgage lending - (1) () Impairment losses on bank lending - 26 (2) (4) (5) Profit from core business Activity Wealth Management DKK million, year to date Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Assets under management 143, , , ,47 157,56 Assets under administration Nykredit Portefølje Administration A/S 7, , , , ,549 of which the investment funds of the Nykredit Group 66,394 66,647 67,874 72,816 74,648 *Wealth Management is included in Wholesale Clients prior to

45 Business areas Group items Result Group items DKK million Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Core income from Business operations (7) 44 Senior and subordinated debt (62) (57) (51) (92) (5) Securities Income from core business (4) (16) (19) (86) 7 Total costs Profit from core business before impairment losses (189) (19) (27) (118) (263) Impairment losses on mortgage lending Impairment losses on bank lending - - (6) - - Profit from core business (189) (19) (21) (118) (263) Activity Group items DKK million, year to date Q4/215 Q1/216 Q2/216 Q3/216 Q4/216 Banking Lending, end of period , Deposits, end of period ,327 2, Total impairment provisions, end of period Individual impairment provisions Collective impairment provisions Total impairment provisions as % of lending 86.49% 8.69% Guarantees, end of period

46 The Danish economy Nykredit's regional housing price forecasts % F 218F Houses Denmark Copenhagen North Sealand East Sealand West and South Sealand (2.) Bornholm Funen (.5) South Jutland (.) East Jutland (.3) West Jutland (.2) North Jutland Owner-occupied flats Denmark Copenhagen Municipality of Aarhus Holiday homes - Denmark (2.5) 1.5 (.) Note: F indicates forecast Price growth is stated as annual averages. Selected regions. 45

47 The Danish economy Danish economy - key figures % Real GDP growth (21 chained values) 1.3%.2%.9% 1.7% 1.6% Inflation 2.8% 2.4%.8%.6%.5% Public deficit as % of nominal GDP (2.1%) (3.5%) (1.%) 1.4% (1.3%) *Balance of payment as % of nominal GDP 6.6% 6.3% 7.8% 8.9% 9.2% Net unemployment 4.% 4.5% 4.4% 4.% 3.8% Government net foreign assets (DKKm) 512, , , , ,66 Note: Actual 216 data is not yet available Source: The above key figures present a general overview of the Danish economy. For household financial indicators, please refer to the economic statement and budget report, December 216 (Økonomisk Redegørelse, december 216), pp (in Danish), of the Danish Ministry of Economics and Interior ( * The balance of payments as a percentage of nominal GDP has been revised for Q3/216 and is consequently no longer comparable with Fact Books from and earlier than Q3/

48 Definitions Ratio Return on avarage equity, % Tier 1 capital ratio, % Common Equity Tier 1 (CET1) capital ratio, % Leverage ratio, % Net interest margin, % Return on assets, % Return on REA, % Average number of full-time employees Core income from business operations Total impairment provisions Impairment losses Total provisions for loan impairment and guarantees Write-offs Avarage impairment losses Avarage write-offs Arrears 75 days past due Total impairment provisions as % of loans and advances Return on equity before tax Asset encumbrance Definitions Profit (loss) for the year/period divided by average equity. Tier 1 capital after deductions divided by risk exposure amount (REA). Capital excl tier 1 after deductions divided by risk expusre amount (REA). Tier 1 capital after deductions divided by leverage ratio exposures. Net interest income divided by the difference between average interest-bearing assets and average interest-bearing liabilities for the period. Result for the period dividied by avarage total assets. Profit (loss) for the year/period after tax divided by average risk exposure amount. The average number of full-time staff, determined on the basis of the Danish ATP method, excluding Nykredit Forsikring A/S and JN Data A/S. Including value adjustment of derivatives, corporate bonds and junior covered bonds. The group's aggregate provisions for loan losses. Impairment losses equal the earnings impact of loan losses and loan loss provisions for the period concerned. Total individual and collective impairment provisions as well as provisions for guarantees at year-end/end of period. Realized loan losses. Avarage impairment losses divided by avarage amount of mortgage lending at nominal value. Avarage write-offs after set-offs divided by avarage amount of mortgage lending at nominal value. 75-day mortgage loan arrears as % of total mortgage payments. Due date at the beginning of the period. Total provisions for loan impairment and guarantees at year-end/end of period divided by the sum of loans and advances at fair value, arrears and outlays, loans and advances at amortised cost, guarantees and total provisions for loan impairment and guarantees at year-end/end of period. Annualized profit (loss) before tax including interest on AT1 divided by average equity for the period Encumbered assets, collateral received and self-issued debt Instruments divided by total assets and collateral. Nykredit Realkredit A/S Kalvebod Brygge 1-3 DK-178 Copenhagen V Denmark Website: nykredit.com Tel: CVR no: Financial year: 1 January - 31 December Municipality of registered office: Copenhagen 47