ECBC CB Label Transparency Template for Danish Issuers

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Winifred Robbins
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1 ECBC CB Label Transparency Template for Danish Issuers Overview Issuer: Nordea Krit Realkritaktieselskab Issuer type: Specializ mortgage bank Cover pool: Capital centre 2 Cover pool setup: Single cover pool Link to cover pool IR website: Homepage: Format of transparency template: pdf Frequency of updates: Quarterly This transparency template is us with ECBC labell cover bonds issues by the three issuer categories below. Please note that not all tables are applicable to each issuer type. Information on applicability is given below where relevant in connection with the tables in the template. Specialis mortgage banks o Tables A, G1.1, G2-4, M1-M11, X1-2 Ship finance institutes o Tables A, G1.1, G2-4, S1-S11, X1-2 Non-specialis bank CBs issuers o Tables G1.2, G2-4, B1-B4, B6, B9-B11, X1-2

2 General issuer information (Group level) - not relevant for (non-specialis) bank CBs issuers Table A. General Issuer Detail Not all data is updat on a quarterly basis. Data from earlier or different periods must be mark an note. Q Key information regarding issuers' balance sheet (DKKbn except Tier 1 Solvency ratio) 409.2*) Balance Sheet Assets Customer Loans(fair value) of which: Us/register for cover bond collateral pool Tier 1 Ratio (%) 16.7*) Solvency Ratio (%) 16.7*) Outsting Cover Bonds (fair value) 345.5*) Outsting Senior Unsecur Liabilities 33.9 Junior Cover Bonds / 33e Senior debt **) Guarantees (e.g. provid by states, municipals, banks) Net loan losses (Net loan losses net loan loss provisions) -0.2*) Value of acquir properties / ships (temporary possessions, end quarter) Customer loans (mortgage) (DKKbn) 0.2*) customer loans (market value) Composition by Maturity - 0 <= 1 year - < 1 <= 5 years - over 5 years Currency - DKK - EUR - USD - Other customer type - Residential (owner-occ., private rental, corporate housing, holiday ) - Commercial (office business, industry, agriculture, manufacture, social, ships) - eligibility as cover bond collateral ***) ***) Non-performing loans (See definition in table X1) 0.4*) Loan loss provisions (sum of total individual group wise loss provisions, end of quarter) *): Figures as per June 30, 2012 **): Not relevant as Nordea Krit does not use such debt or capital instruments ***): Nordea Krit only has loans denominat in Danish kroner (DKK) euros (EUR) : Data are being develop will be publish with the Q1, 2013 ition of Nordea Krit s cover bond labelling template

3 General cover pool information DKKbn / Percentage of nominal outsting CBs Q Nominal cover pool 1 (total value) Transmission or liquidation proces to CB holders (for remption of CBs maturing 0-1 day) Overcollateralisation Overcollateralisation ratio Matory (percentage of risk weigt assets,general, by law) Nominal value of outsting CBs hereof amount maturing 0-1 day Senior secur debt 2 Senior unsecur debt, DKK bn 29.6 Tier 2 capital Additional tier 1 capital (e.g. hybrid core capital) Core tier 1 capital 1) CRD eligible collateral assets for CBs issuance. 2) Senior debt with a secondary claim on the cover pool assets (in markets referr as Junior Cover Bonds). : Data are being develop will be publish with the Q1, 2013 ition of Nordea Krit s cover bond labelling template

4 DKKbn / Percentage of nominal outsting CBs Q Nominal value of outsting CBs 297,1 Fair value of outsting CBs (mark 302,1 value) Maturity of issu CBs 0-1 day 0 1 day 1 year 124,0 1-5 years 86, years 10, years 4,2 > 20 years 71,9 Amortisation profile of issu CBs Non-callable 218,3 Callable 78,8 Fix rate (Fix rate constant for 150,6 Interest rate profile of issu CBs more than 1 year) Floating rate ( Floating rate constant for less than 1 year) 145,8 0,7 Capp floating rate Currency denomination profile of issu 271,3 CBs DKK 25,8 EUR *) SEK *) CHF *) NOK *) Other Yes UCITS compliant Yes CRD compliant Yes Eligible for central bank repo Aaa Rating Moody s AAA S&P **) Fitch : Data are being develop will be publish with the Q1, 2013 ition of Nordea Krit s cover bond labelling template *): Nordea Krit only issues bonds denominat in Danish kroner (DKK) euros (EUR) **): Nordea Krit is not rat by Fitch Table G3 Legal ALM (balance principle) adherence 1 General balance principle Specific balance principle 1) Cf. the Danish Executive Order on bond issuance, balance principle risk management Issue adherence No Yes Issue adherence Table G4 Additional characteristics of ALM business model for issu CBs Yes No One-to-one balance between terms of grant loans bonds issu, i.e. daily tap issuance? X Pass-through cash flow from borrowers to investors? X Asset substitution in cover pool allow? X

5 Tables M1-M11 only relevant for specialis mortgage bank CBs issuers Tables B1-B4 only relevant for (non-specialis) bank CBs issuers Property categories are defin according to Danish FSA s AS-reporting form. Table M1/B1 Number of loans by property category e rental ing Office Agriculture purposes Other * 4329** 3827*** # Table M2/ B2 Lending by property category e rental ing Office Agriculture purposes Other * 17805** 35223*** Table M3/B3 Lending, by loan size DKK 0-2m DKK 2-5m DKK 5-20m DKK 20-50m DKK m > DKK 100m Table M4 / B4 Lending, by-loan to-value, current property value (LTV) - per cent , , , , , , , , > 100 Owner-occupi e rental ing Office Agricultuta Properties for social purposes Other *Comprises lending to owner occupi as well as to holiday **Comprises lending to subsidiz cooperative housing as well as to private rental housing ***Comprises lending to office business as well as to manufacturing manual industries # Comprises lending to social purposes as well as to l for construction : Data for table M4 as well as data mark are being develop will be publish with the Q1, 2013 ition of Nordea Krit s cover bond labelling template. Nordea Krit has publish less detail data on the LTV-distribution of loans in the LTV Report for Q3, 2012.

6 Table M5 Lending by region Greater Copenhagen area (Region Hovstaden) Remaining Zeal & Bornholm (Region Sjæll) Northern Jutl (Region Nordjyll) Eastern Jutl (Region Midtjyll) Southern Jutl & Funen (Region Syddanmark) Outside Denmark Owner-occupi * e 0 rental** ing 0 Office *** Agri properties Properties for social purposes 0 Other# Table M6 Lending by loan type - IO Loans * e rental** ing Office *** Agricultura purposes Other # Index Loans Fix-rate loans Adjustable Rate Mortgages Money market bas loans of which: Non Capp floaters Capp floaters Other * Interest-only loans at time of compilation. Interest-only is typically limit to a maximum of 10 years. *Comprises lending to owner occupi as well as to holiday **Comprises lending to subsidiz cooperative housing as well as to private rental housing ***Comprises lending to office business as well as to manufacturing manual industries # Comprises lending to social purposes as well as to l for construction : Data are being develop will be publish with the Q1, 2013 ition of Nordea Krit s cover bond labelling template

7 Table M7 Lending by loan type - Repayment Loans/Amortizing Loans * e rental** ing Office *** Agricultura purposes Other # Index Loans Fix-rate loans Adjustable Rate Mortgages Money market bas loans of which Non Capp floaters Capp floaters Other Table M8 Lending by loan type all loans * e rental** ing Office *** Agricultura purposes Other# Index Loans Fix-rate loans Adjustable Rate Mortgages Money market bas loans of which Not Capp floaters Capp floaters Other *Comprises lending to owner occupi as well as to holiday **Comprises lending to subsidiz cooperative housing as well as to private rental housing ***Comprises lending to office business as well as to manufacturing manual industries # Comprises lending to social purposes as well as to l for construction : Data are being develop will be publish with the Q1, 2013 ition of Nordea Krit s cover bond labelling template

8 Table M9 Lending by Seasoning (Seasoning defin by duration of customer relationship) e rental ing Office Agricultuta purposes Other < 12 months months months months 60 months Table M10 Lending by remaining maturity e rental ing Office Agricultuta purposes Other < 1 Years 1-3 Years 3-5 Years 5-10 Years Years > 20 Years Table M11 90 day Non-performing loans by property type % e rental ing Office Agricultuta purposes Other 90 day NPL : Data for tables M9-M11 are being develop will be publish with the Q1, 2013 ition of Nordea Krit s cover bond labelling template

9 X1. Key Concepts Explanation General practice in Danish market If issuers Key Concepts Explanation differs from general practice: State explain in this column. 2. Residential versus commercial mortgages Description of the difference made between residential/owner occupi commercial properties The Danish FSA sets guidelines for the grouping of properties in categories. The property type is determin by the primary use of the property. Describe when you classify a property as commercial? E.g.: rental, ing, Offices, Agriculture. 3. NPL (Non-performing loans) Describe how you define NPLs Explain how you distinguish between performing nonperforming loans in the cover pool? Property whose primary purpose is owner occupation is characteris as residential. Whereas properties primarily us for commercial purposes are classifi as commercial (cf. below). The Danish FSA sets guidelines for the grouping of properties in categories. Below are some examples of properties classifi as commercial by the Danish FSA: Offices Retail/shops Ware Restaurants, inns etc. Hotels resorts Congress conference centres. Campsites. Traffic terminals, service stations, fire stations, auction export. Agriculture Forestry Nurseries Ships A loan is categoris as non-performing when a borrower neglects a payment failing to pay instalments / or interests. The NPL rate is calculat at different time periods after the original payment date. Stard in Table A is 90 day arrear. No distinctions are made. Asset substitution is not allow for specialis mortgage banks. Are NPLs parts of eligible assets in cover pool? Are NPL parts of non eligible assets in cover pool? Asset substitution is not allow for specialis mortgage banks, hence NPLs are part of the cover pool. Are loans in foreclosure procure part of eligible assets in cover pool? Asset substitution is not allow for specialis mortgage banks, hence loans in foreclosure procure are part of the cover pool. If NPL /or loans in foreclosure procure are part of the cover pool which provisions are made in respect of the value of these loans in the cover pool? The Danish FSA set rules for loss provisioning. In case of objective evidence of impairment provisioning for loss must be made.

10 X2. Key Concepts Explanation Issuer specific (N/A for some issuers) 4. Guarante loans (if part of the cover pool) How are the loans guarante? Please provide details of guarantors 5. Loan-to-Value (LTV) Describe the method on which your LTV calculation is bas Frequency of real estate valuation for the purpose of calculating the LTV Describe your valuation techniques Loans to customers are cover by a first loss guarantee amounting to 10 or 25 per cent of original loan amount a duration of either 5 or 10 years depending on the property category. All loans to owner occupi are back by a 25 per cent guarantee during the first 5 years. All loan guarantees are provid by Nordea Bank Danmark A/S LTVs are calculat as: (Prior des plus Nordea Krit loans at fair value)/the market value of the property. The LTVs are calculat for each loan. Property values are updat on an on-going basis to take most recent market developments into account Nordea Krit observes valuation guidelines laid down in an executive order of the Danish FSA. For the purpose of LTV monitoring Nordea Krit uses statistical models approv by the Danish FSA. 6. Rating Describe your current st-alone ratings recent rating history on issuer level Nordea Krit does not have a public st alone rating. For the past almost 10 years all cover bonds issu by Nordea Krit have receiv an Aaa an AAA rating from Moody s Stard & Poor s, respectively.

ECBC CB Label Transparency Template for Danish Issuers

ECBC CB Label Transparency Template for Danish Issuers Overview Issuer: Nordea Kredit Realkreditaktieselskab Issuer type: Specialized mortgage bank Cover pool: Capital centre 2 Cover pool setup: Single