Capital and Risk Management Report 2016 Appendix D Nordea Bank Norge
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 2 Contents Table/Figure Table/Figure name Page Tables D1 Mapping of own funds to the balance sheet 3 D2 Transitional own funds, Nordea Bank Norge Group 4 D3.1 Amount of institution-specific countercyclical capital buffer 8 D3.2 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer 9 D4.1 LRSum: Summary reconciliation of accounting assets and leverage ratio exposures 10 D4.2 LRCom: Leverage ratio common disclosure 11 D4.3 LRQua: Free format text boxes for disclosure on qualitative items 11 D5 Minimum capital requirements and REA 12 D6 On-balance, off-balance, EAD and average risk weights for exposures where IRB models are used 13 D7 Minimum capital requirements for credit risk, split by exposure class 14 D8 Exposure split by exposure class and geography 15 D9 Exposure split by industry group and by main exposure class 16 D10 Exposure secured by collaterals, guarantees and credit derivatives, split by exposure class 17 D11 Distribution of collateral 17 D12 Counterparty credit risk exposures, split by type of counterparty 18 D13 Counterparty credit risk exposures and REA split by exposure class 18 D14 Exposure split by residual maturity 19 D15 Obligor-weighted PD vs. ADF 20 D16 Exposure-weighted estimated vs. realised LGD & EAD, IRB portfolio 20 D17 Exposure, impaired exposures, past due exposures and allowances, split by industry 20 D18 Exposure, impaired exposures and past due exposures, split by significant geographical areas 21 D19 Reconciliation of allowance accounts for impaired loans 21 D20 REA and minimum capital requirements for market risk 21 D21 Market risk for the banking book 22 D22 Market risk for the trading book 22 D23 Interest rate sensitivities for the banking book, instantaneous interest rate movements 22 D24 Equity holdings in the banking book 23 D25 Specification of undertakings 23 D26 Liquidity Coverage Ratio 23 D27 Transitional own funds, Nordea Eiendomskreditt 24 D28 Minimum capital requirement and REA for Nordea Eiendomskreditt 29 D29 Transitional own funds, Nordea Finans Norge 30 D30 Minimum capital requirement and REA, Nordea Finans Norge 35 D31 Transitional own funds, Nordea Norge ASA 36 D32 Minimum capital requirement and REA for Nordea Bank Norge ASA 41 Figures D1 Mitigation of derivative exposures 19 D2 Back-test of VaR for the trading book 2016: Profit/loss (actual, excluding commissions) against one-day VaR 22
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 3 Table D1 Mapping of own funds to the balance sheet, 31 December 2016 Nordea Bank Norge Group Row in transitional own funds template (Table D2) Assets Intangible assets 14 of which: Goodwill and other intangible assets -14 8 Deferred tax assets of which: Deferred tax assets that rely on future profitability excluding those arising from temporary differences 10 Retirement benefit assets 5 of which: Retirement benefit assets net of tax 0 15 Liabilities Deferred tax liabilities 266 of which: Deductible deferred tax liabilities associated with deferred tax assets that rely on future profitability and do not arise from temporary differences 101 Subordinated liabilities 1,151 of which: AT1 Capital instruments and the related share premium accounts 352 30 of which: Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 275 33 of which: Direct and indirect holdings by an institution of own AT1 Instruments 37 of which: T2 Capital instruments and the related share premium accounts 522 46 of which: Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2 of which: Direct and indirect holdings by an institution of own T2 instruments and subordinated loans 47 52 Equity Share capital 546 1 Share premium reserve 974 of which: Capital instruments and the related share premium accounts 974 1 of which: Retained earnings 2 Other reserves 59 of which: Retained earnings 0 2 of which: Accumulated other comprehensive income 59 3 of which: Fair value reserves related to gains or losses on cash flow hedges -4 11 Retained earnings net of proposed dividend 5,024 of which: Profit/loss for the year 571 5a of which: Retained earnings 4,637 2 of which: Direct holdings by an institution of own CET1 instruments 16 No differences exist with regards to the scope and method for consolidation used for the balance sheet in the financial statements and the scope and method for prudential consolidation according to the Capital Requirements Regulation.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 4 Table D2 Transitional own funds, Nordea Bank Norge Group, 31 December 2016 (A) amount at disclosure date (B) regulation (eu) No 575/2013 article reference (C) amounts subject to pre-regulation (eu) No 575/2013 treatment or prescribed residual amount of regulation (eu) no 575/2013 Common Equity Tier 1 capital: instruments and reserves 1 Capital instruments and the related share premium accounts 1,520 26 (1), 27, 28, 29, EBA list 26 (3) of which: Share Capital 546 EBA list 26 (3) 2 Retained earnings 26 (1) (c) 3 Accumulated other comprehensive income (and other reserves, to include unrealised gains and losses under the applicable accounting standards) 26 (1) 3a Funds for general banking risk 4,637 26 (1) (f) 4 Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET 1 59 486 (2) Public sector capital injections grandfathered until 1 January 2018 483 (2) 5 Minority interests (amount allowed in colsolidated CET1) 84, 479, 480 5a Independently reviewed interim profits net of any foreseeable charge or dividend 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments 6,786 571 26 (2) Common Equity Tier 1 (CET1) capital: regulatory adjustments 7 Additional value adjustments -7 34, 105 8 Intangible assets (net of related tax liability) -14 36 (1) (b), 37, 472 (4) 9 Empty Set in the EU NA 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) 36 (1) (c), 38, 472 (5) 11 Fair value reserves related to gains or losses on cash flow hedges -4 33 (a) 12 Negative amounts resulting from the calculation of expected loss amounts -5 36 (1) (d), 40, 159, 472 (6) 13 Any increase in equity that result from securitised assets 32 (1) 14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing -34 33 (b) 15 Defined-benefit pension fund assets 0 36 (1) (e), 41, 472 (7) 16 Direct and indirect holdings by an institution of own CET1 instruments 17 Holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to artificially inflate the own funds of the institution 18 Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) 19 Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where th institution has a significatn investment in those entities (amount above 10% threshold and net of eligible short positions) 36 (1) (f), 42, 472 (8) 36 (1) (g), 44, 472 (9) 36 (1) (h), 43, 45, 46, 49 (2) (3), 79, 472 (10) 36 (1) (i), 43, 45, 47, 48 (1) (b), 49 (1) to (3), 79, 470, 472 (11) 20 Empty Set in the EU NA 20a Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative 36 (1) (k) 20b of which: qualifing holdings outside the financial sector 36 (1) (k) (i), 89 to 91 20c of which: securitisation positions (negative amounts) 36 (1) (k) (ii) 243 (1) (b) 244 (1) (b) 258 20d of which: free deliveries 36 (1) (k) (iii), 379 (3) 21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in 38 (3) are met) 36 (1) (c), 38, 48 (1) (a), 470, 472 (5) 22 Amount exceeding the 15% threshold 48 (1)
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 5 Table D2, cont. 23 of which: direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (A) amount at disclosure date 24 Empty Set in the EU NA (B) regulation (eu) No 575/2013 article reference 36 (1) (i), 48 (1) (b), 470, 472 (11) 25 of which: deferred tax assets arising from temporary differences 36 (1) (c), 38, 48 (1) (a), 470, 472 (5) 25a Losses for the current financial year 36 (1) (a), 472 (3) 25b Foreseeable tax charges relating to CET1 items 36 (1) (l) 26 Regulatory adjustments applied to Common Equity Tier 1 in respect of amounts subject to pre-crr treatment 26a 26b Regulatory adjustments relating to unrealised gains and losses pursuant to Articles 467 and 468 Of which: filter for unrealised loss 1 467 Of which: filter for unrealised loss 2 467 Of which: filter for unrealised gain 1 468 Of which: filter for unrealised gain 2 468 Amount to be deducted from or added to Common Equity Tier 1 capital with regard to additional filters and deductions required pre-crr Of which: 481 27 Qualifying AT1 deductions that exceed the AT1 capital of the institution 28 Total regulatory adjustments to Common equity Tier 1 (CET1) -64 29 Common Equity Tier 1 (CET1) capital 6,722 467 481 36 (1) (j) (C) amounts subject to pre-regulation (eu) No 575/2013 treatment or prescribed residual amount of regulation (eu) no 575/2013 Additional Tier 1 (AT1) capital: instruments 30 Capital instruments and the related share premium accounts 352 51, 52 31 of which: classifies as equity under applicable accounting standards 32 of which: classified as liabilities under applicable accounting standards 352 33 Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 132 486 (3) 143 Public sector capital injections grandfathered until 1 January 2018 486 (3) 34 Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties 85, 86, 480 35 of which: instruments issued by subsidiaries subject to phase out 486 (3) 36 Additional Tier 1 (AT1) capital before regulatory adjustments 484 Additional Tier 1 (AT1) capital: regulatory adjustments 37 Direct and indirect holdings by an institution of own AT1 Instruments 38 Holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution 39 Direct and indirect holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) 40 Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above the 10% threshold net of eligible short positions) 41 Regulatory adjustments applied to additional tier 1 in respect of amounts subject to pre-crr treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) 52 (1) (b), 56 (a), 57, 475 (2) 56 (b), 58, 475 (3) 56 (c), 59, 60, 79, 475 (4) 56 (d), 59, 79, 475 (4)
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 6 Table D2, cont. 41a 41b 41c Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013 Of which items to be detailed line by line, e.g. Material net interim losses, intangibles, shortfall of provisions to expected losses etc Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Tier 2 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013 Of which items to be detailed line by line, e.g. Reciprocal cross holdings in Tier 2 instruments, direct holdings of non-significant investments in the capital of other financial sector entities, etc Amount to be deducted from or added to Additional Tier 1 capital with regard to additional filters and deductions required pre- CRR (A) amount at disclosure date Of which: possible filter for unrealised losses 467 Of which: possible filter for unrealised gains 468 Of which: 481 42 Qualifying T2 deductions that exceed the T2 capital of the institution 43 Total regulatory adjustments to Additional Tier 1 (AT1) capital 44 Additional Tier 1 (AT1) capital 484 45 Tier 1 capital (T1 = CET1 + AT1) 7,206 (B) regulation (eu) No 575/2013 article reference 472, 472(3)(a), 472 (4), 472 (6), 472 (8), 472 (9), 472 (10) (a), 472 (11) (a) 477,477 (3), 477 (4) (a) 467, 468, 481 56 (e) (C) amounts subject to pre-regulation (eu) No 575/2013 treatment or prescribed residual amount of regulation (eu) no 575/2013 Tier 2 (T2) capital: instruments and provisions 46 Capital instruments and the related share premium accounts 522 62, 63 47 Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2 486 (4) Public sector capital injections grandfathered until 1 January 2018 483 (4) 48 Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties 87, 88, 480 49 of which: instruments issued by subsidiaries subject to phase out 486 (4) 50 Credit risk adjustments 50 62 (c) & (d) 51 Tier 2 (T2) capital before regulatory adjustments 572 Tier 2 (T2) capital: regulatory adjustments 52 Direct and indirect holdings by an institution of own T2 instruments and subordinated loans 53 Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution 54 Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) 54a 54b Of which new holdings not subject to transitional arrangements Of which holdings existing before 1 January 2013 and subject to transitional arrangements 55 Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) 56 Regulatory adjustments applied to tier 2 in respect of amounts subject to pre-crr treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) 63 (b) (i), 66 (a), 67, 477 (2) 66 (b), 68, 477 (3) 66 (c), 69, 70, 79, 477 (4) 66 (d), 69, 79, 477 (4)
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 7 Table D2, cont. 56a 56b 56c Residual amounts deducted from Tier 2capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013 Of which items to be detailed line by line, e.g. Material net interim losses, intangibles, shortfall of provisions to expected losses etc Residual amounts deducted from Tier 2 capital with regard to deduction from Additional Tier 1 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013 Of which items to be detailed line by line, e.g. reciprocal cross holdings in at1 instruments, direct holdings of non significant investments in the capital of other financial sector entities, etc Amount to be deducted from or added to Tier 2 capital with regard to additional filters and deductions required pre CRR (A) amount at disclosure date Of which: possible filter for unrealised losses 467 Of which: possible filter for unrealised gains 468 Of which: 481 57 Total regulatory adjustments to Tier 2 (T2) capital 58 Tier 2 (T2) capital 572 59 Total capital (TC = T1 + T2) 7778 59a Risk weighted assets in respect of amounts subject to pre-crr treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013(i.e. CRR residual amounts) Of which: items not deducted from CET1 (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Deferred tax assets that rely on future profitability net of related tax liablity, indirect holdings of own CET1, etc) Of which: items not deducted from AT1 items (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Reciprocal cross holdings in T2 instruments, direct holdings of non-significant investments in the capital of other financial sector entities, etc) Items not deducted from T2 items (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Indirect holdings of own t2 instruments, indirect holdings of non significant investments in the capital of other financial sector entities, indirect holdings of significant investments in the capital of other financial sector entities etc) 60 Total risk weighted assets 39,519 (B) regulation (eu) No 575/2013 article reference 472, 472(3)(a), 472 (4), 472 (6), 472 (8), 472 (9), 472 (10) (a), 472 (11) (a) 475, 475 (2) (a), 475 (3), 475 (4) (a) 467, 468, 481 472, 472 (5), 472 (8) (b), 472 (10) (b), 472 (11) (b) 475, 475 (2) (b), 475 (2) (c), 275 (4) (b) 477, 477 (2) (b), 477 (2) (c), 477 (4) (b) (C) amounts subject to pre-regulation (eu) No 575/2013 treatment or prescribed residual amount of regulation (eu) no 575/2013 Capital ratios and buffers 61 Common Equity Tier 1 (as a percentage of risk exposure amount) 17.0% 92 (2) (a), 465 62 Tier 1 (as a percentage of risk exposure amount) 18.2% 92 (2) (b), 465 63 Total capital (as a percentage of risk exposure amount) 19.7% 92 (2) (c) 64 Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount) 8.7% CRD 128, 129, 130 65 of which: capital conservation buffer requirement 2.5% 66 of which: countercyclical buffer requirement 1.2% 67 of which: systemic risk buffer requirement 3.0% 67a of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer 68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) 69 [non relevant in EU regulation] NA 70 [non relevant in EU regulation] NA 71 [non relevant in EU regulation] NA 2.0% CRD 131 11.7% CRD 128
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 8 Table D2, cont. (A) amount at disclosure date (B) regulation (eu) No 575/2013 article reference (C) amounts subject to pre-regulation (eu) No 575/2013 treatment or prescribed residual amount of regulation (eu) no 575/2013 Amounts below the thresholds for deduction (before risk weighting) 72 Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) 73 Direct and indirect holdings by the institution of the CET 1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions) 75 Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met) 9 36 (1) (h), 45, 46, 472 (10) 56 (c), 59, 60, 475 (4) 66 (c), 69, 70, 477 (4) 36 (1) (i), 45, 48, 470, 472 (11) 36 (1) (c), 38, 48, 470, 472 (5) Applicable caps on the inclusion of provisions in Tier 2 76 Credit risk adjustments included in T2 in respect of exposures subject to standardized approach (prior to the application of the cap) 77 Cap on inclusion of credit risk adjustments in T2 under standardised approach 78 Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) 79 Cap for inclusion of credit risk adjustments in T2 under internal ratingsbased approach 62 62 18,170 62 109 62 Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022) 80 Current cap on CET1 instruments subject to phase out arrangements 484 (3), 486 (2) & (5) 81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) 484 (3), 486 (2) & (5) 82 Current cap on AT1 instruments subject to phase out arrangements 132 484 (4), 486 (3) & (5) 83 Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) -143 484 (4), 486 (3) & (5) 84 Current cap on T2 instruments subject to phase out arrangements 484 (5), 486 (4) & (5) 85 Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) -143 484 (5), 486 (4) & (5) Table D3.1 Amount of institution-specific countercyclical capital buffer, 31 December 2016 Column Row 010 010 Total risk exposure amount 39,519 020 Institution specific countercyclical capital buffer rate 1.2% 030 Institution specific countercyclical capital buffer requirement 475
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 9 Table D3.2 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer, 31 December 2016 General credit exposures Trading book exposures Securitization exposures Own Funds Requirements Sum of long and short positions of Exposure trading book Value exposures for IRB for SA Value of Trading book exposures for internal models of which: Own funds Countercyclical Breakdown of which: of which: securitiza- Capital require- by Exposure Exposure Exposure credit trading book tion ments Buffer rate Country value for SA value SA value IRB exposures exposures exposures Total weights % 010 020 030 040 050 060 070 080 090 100 110 120 AE 58 2 2 0.1 AU BE 8 228 13 13 0.9 BM 1,396 64 64 4.3 CA 0 105 5 5 0.4 CH 2 0 0 0.0 CL 77 8 8 0.6 CN 9 1 1 0.0 CY 366 38 38 2.5 CZ DE 0 145 4 4 0.3 DK 0 270 12 12 0.8 DZ EE 0 0 0 0.0 ES 0 0 0 0.0 ET FI 1 56 2 2 0.1 FO 79 0 2 0 2 0.1 FR 57 3 3 0.2 GB 0 179 16 16 1.1 GR 17 1 1 0.0 HK 22 1 1 0.1 HU ID IE 33 0 0 0.0 IL IN IS 69 1 1 0.1 IT 68 0 0 0.0 1.5 JP KE KR KW KY 87 4 4 0.3 LR 642 30 30 2.0 LT 0 0 0 0.0 LU 250 5 5 0.3 MA MH 535 16 16 1.1 MT 21 1 1 0.1 MX NL 505 23 23 1.5 NO 1,496 55,605 114 0 1,198 0 1,198 80.0 NZ PH PK PL PT 11 0 0 0.0 QA 96 4 4 0.3 SA SE 441 16 16 1.0 SG 301 20 20 1.3 SK TH
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 10 Table D3.2, cont. Breakdown by Country General credit exposures Trading book exposures Securitization exposures Own Funds Requirements Exposure value for SA Sum of long and short positions of Exposure trading book Value exposures for IRB for SA Value of Trading book exposures for internal models Exposure value SA Exposure value IRB of which: of which: credit trading book exposures exposures of which: securitization exposures Total TW UG US 79 4 4 0.3 VC 0 0 0 0.0 ZA Total 1,504 61,808 114 0 1,497 0 1,497 100.0 Own funds Countercyclical Capital requirements Buffer rate weights % LU 250 5 5 0.3 MA MH 535 16 16 1.1 MT 21 1 1 0.1 MX NL 505 23 23 1.5 NO 1,496 55,605 114 92 1,200 0 1,200 80.1 1.5 NZ PH PK PL PT 11 0 0 0.0 QA 96 4 4 0.3 SA SE 441 16 16 1.0 SG 301 20 20 1.3 US 79 4 4 0.3 VC 0 0 0 0.0 Total 1,504 61,808 114 92 1,499 0 1,499 100.0 Table D4.1 LRSum: Summary reconciliation of accounting assets and leverage ratio exposures, 31 December 2016 Applicable Amounts 1 Total assets as per published financial statements 73,676 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation 3 (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio exposure measure in accordance with Article 429(13) of Regulation (EU) No 575/2013 "CRR") 4 Adjustments for derivative financial instruments -252 5 Adjustments for securities financing transactions "SFTs" -115 6 Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) 7,319 EU-6a EU-6b (Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (7) of Regulation (EU) No 575/2013) (Adjustment for exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (14) of Regulation (EU) No 575/2013) 7 Other adjustments 697 8 Total leverage ratio exposure 81,260-64
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 11 Table D4.2 LRCom: Leverage ratio common disclosure, 31 December 2016 CRR leverage ratio exposures On-balance sheet exposures (excluding derivatives and SFTs) 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 73,709 2 (Asset amounts deducted in determining Tier 1 capital) -64 3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) 73,645 Derivative exposures 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 40 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 239 EU-5a Exposure determined under Original Exposure Method 6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework 7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) -29 8 (Exempted CCP leg of client-cleared trade exposures) 9 Adjusted effective notional amount of written credit derivatives 10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) 11 Total derivative exposures (sum of lines 4 to 10) 250 Securities financing transaction exposures 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 119 13 (Netted amounts of cash payables and cash receivables of gross SFT assets) -73 14 Counterparty credit risk exposure for SFT assets 0 EU 14a Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation (EU) No 575/2013 15 Agent transaction exposures EU 15a (Exempted CCP leg of client-cleared SFT exposure) 16 Total securities financing transaction exposures (sum of lines 12 to 15a) 46 Other off-balance sheet exposures 17 Off-balance sheet exposures at gross notional amount 16,353 18 (Adjustments for conversion to credit equivalent amounts) -9,035 19 Total other off-balance sheet exposures (sum of lines 17 to 18) 7,319 Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet) EU 19a EU 19b (Exemption of intragroup exposures (solo basis) in accordance with Article 429 (7) of Regulation (EU) No 575/2013 (on and off balance sheet)) (Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet)) Capital and total exposures 20 Tier 1 capital 7,206 21 Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU 19a and EU 19b) 81,260 Leverage ratio 22 Leverage ratio 8.9% Choice on transitional arrangements and amount of derecognised fiduciary items EU 23 Choice on transitional arrangements for the definition of the capital measure Transitional EU 24 Amount of derecognised fiduciary items in accordance with Article 429 (11) of Regulation (EU) NO 575/2013 Table D4.3 LRQua: Free format text boxes for disclosure on qualitative items 1 Description of the processes used to manage the risk of excessive leverage 2 Description of the factors that had an impact on the leverage Ratio during the period to which the disclosed leverage Ratio refers Nordea has policies and processes in place for the identification, management and monitoring of the risk of excessive leverage. The leverage ratio is also part of Nordea s risk appetite framework. The leverage ratio has improved 130 basis points (1.3%) from Q4 2015. During the period, the leverage ratio benefited from an increase in Tier 1 Capital as well as decreased leverage ratio exposures, mainly seen in the off balance portfolio.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 12 Table D5 Minimum capital requirements and REA Minimum capital requirement 31 December 2016 31 December 2015 REA Minimum capital requirement Credit risk 1,584 19,796 1,598 19,971 of which counterparty credit risk 10 129 25 311 IRB 1,454 18,170 1,456 18,205 of which corporate 1,088 13,602 1,062 13,272 of which advanced 1,015 12,682 1,002 12,530 of which foundation 74 921 59 742 of which institutions 44 550 64 796 of which retail 294 3,671 305 3,816 of which secured by immovable property 225 2,808 228 2,849 of which other retail 57 707 62 775 of which SME 12 156 15 192 of which other 28 347 26 321 Standardised 130 1,626 141 1,766 of which central governments or central banks 0 0 0 0 of which regional governments or local authorities 2 24 2 28 of which public sector entities 0 1 0 1 of which multilateral development banks of which international organisations of which institutions 41 512 61 761 of which corporate 2 26 1 11 of which retail 60 753 54 669 of which secured by mortgages on immovable property of which in default 0 4 0 6 of which associated with particularly high risk of which covered bonds of which securitisation positions of which institutions and corporates with a short term credit assessment of which collective investments undertakings (CIU) of which equity 4 55 6 81 of which other items 20 253 17 210 Credit Value Adjustment risk 3 38 6 72 Market risk 3 37 28 355 of which trading book, Internal Approach 3 32 25 311 of which trading book, Standardised Approach 0 5 3 43 of which banking book, Standardised Approach Operational risk 208 2,605 190 2,377 Standardised 208 2,605 190 2,377 Additional risk exposure amount due to Article 3 CRR 8 102 15 188 Sub total 1,806 22,579 1,837 22,963 Additional capital requirement due to Basel I floor1 1,355 16,940 1,114 13,925 Total 3,162 39,519 2,951 36,887 1) Norwegian regulatory requirement as reported under the Basel II regulation framework. REA
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 13 Table D6 On-balance, off-balance, EAD and average risk weights for exposures where IRB models are used, 31 December 2016 On-balance exposure Off-balance exposure Exposure1 - of which off-balance Exposure-weighted average risk weight (%) Corporate, foundation IRB: 1,255 81 1,349 61 68% of which rating grades 6 15 1 16 1 16% of which rating grades 5 222 9 234 7 32% of which rating grades 4 693 19 713 14 65% of which rating grades 3 210 52 272 39 97% of which rating grades 2 40 0 39 0 172% of which rating grades 1 17 17 238% of which unrated 8 6 106% of which defaulted 50 50 Corporate, advanced IRB: 24,174 10,281 29,642 5,730 43% of which rating grades 6 1,206 1,837 2,245 1,030 11% of which rating grades 5 5,201 4,021 7,722 2,326 26% of which rating grades 4 12,576 3,467 14,263 1,849 38% of which rating grades 3 2,788 565 2,952 320 62% of which rating grades 2 1,389 249 1,463 142 115% of which rating grades 1 248 93 238 54 164% of which unrated 69 12 72 8 79% of which defaulted 695 38 687 1 166% Institutions, foundation IRB: 6,106 192 6,570 163 8% of which rating grades 6 5,026 5,133 20 5% of which rating grades 5 979 113 1,196 84 13% of which rating grades 4 53 79 219 59 47% of which rating grades 3 27 0 117% of which rating grades 2 9 0 9 0 168% of which rating grades 1 of which unrated 13 0 13 0 68% of which defaulted 0 0 Retail, of which secured by immovable property: 24,892 4,444 26,369 1,476 11% of which scoring grades A 18,563 3,513 19,723 1,161 5% of which scoring grades B 3,416 499 3,582 166 11% of which scoring grades C 1,291 185 1,354 63 23% of which scoring grades D 750 112 789 39 43% of which scoring grades E 620 118 662 42 67% of which scoring grades F 131 15 136 5 111% of which not scored 9 1 10 0 41% of which defaulted 112 1 113 0 227% Retail, of which other retail: 3,556 1,220 4,102 546 20% of which scoring grades A 2,091 792 2,436 345 8% of which scoring grades B 622 197 712 90 17% of which scoring grades C 278 106 328 51 33% of which scoring grades D 190 58 218 29 46% of which scoring grades E 284 48 307 23 49% of which scoring grades F 41 8 46 4 71% of which not scored 7 4 9 2 43% of which defaulted 43 5 45 2 251% Other non credit-obligation assets: 406 347 100% Nordea Bank Norge does not have the following IRB exposure classes: equity exposures, items representing securitisation positions, central governments and central banks, qualifying revolving retail. 1) Includes EAD for on-balance, off-balance, derivatives and securities financing.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 14 Table D7 Minimum capital requirements for credit risk, split by exposure class, 31 December 2016 Original exposure Exposure Average exposure during the year - of which off-balance sheet items CCF Average risk weight REA Capital requirement IRB exposure classes Institution 6,577 6,570 6,367 163 72% 8% 550 44 Corporate 35,792 30,991 30,173 5,791 57% 44% 13,602 1,088 of which Advanced 34,455 29,642 28,896 5,730 57% 43% 12,682 1,015 Retail 34,112 30,470 29,345 2,022 36% 12% 3,671 294 of which secured by immovable property 29,244 26,279 25,279 1,473 33% 11% 2,808 225 of which other retail 4,571 3,932 3,797 513 45% 18% 707 57 of which SME 297 259 269 36 50% 60% 156 12 Other non-credit obligation assets 406 347 387 100% 347 28 Total IRB approach 76,886 68,378 66,272 7,977 50% 27% 18,170 1,454 Standardised exposure classes Central government and central banks 7,562 7,896 6,932 13 53% 0% 0 0 Regional governments and local authorities 386 332 267 54 50% 7% 24 2 Institution 2,353 2,348 3,652 3 100% 22% 512 41 Corporate 25 26 15 100% 26 2 Retail 1,009 1,003 966 0 29% 75% 753 60 Exposures secured by real estate Other1 1,284 1,278 1,181 0 50% 24% 313 25 Total standardised approach 12,619 12,884 13,013 70 51% 13% 1,626 130 Total 89,505 81,262 79,285 8,047 50% 24% 19,796 1,584 1) Includes exposures classes public sector entities, multilateral development banks, exposures in default, equity and other items.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 15 Table D8 Exposure split by exposure class and geography, 31 December 2016 Nordic countries of which Denmark of which Finland of which Norway of which Sweden Baltic countries Russia US Other Total IRB exposure classes Institution 5,698 805 2 4,426 465 0 47 825 6,570 Corporate 25,556 270 56 24,789 441 0 79 5,356 30,991 of which Advanced 24,257 268 56 23,492 441 0 79 5,306 29,642 Retail 30,470 0 0 30,470 0 0 0 30,470 of which secured by immovable property 26,279 26,279 26,279 of which other retail 3,932 3,932 3,932 of which SME 259 0 0 258 0 0 0 259 Other non-credit obligation assets 347 347 0 347 Total IRB approach 62,070 1,075 57 60,031 906 0 126 6,182 68,378 Standardised exposure classes Central governments and central banks 3,622 192 599 2,532 300 2,417 1,856 7,896 Regional governments and local authorities 332 236 97 332 Institution 2,211 114 1,054 718 326 0 137 2,348 Corporate 26 0 25 26 Retail 1,003 0 1,003 0 1,003 Exposures secured by real estate Other 1) 470 0 0 470 808 1,278 Total standardised approach 7,665 306 1,653 4,984 723 2,417 2,801 12,884 Total exposure 69,735 1,381 1,710 65,015 1,629 0 2,544 8,983 81,262 1) Includes exposures classes public sector entities, multilateral development banks, exposures in default, equity and other items.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 16 Table D9 Exposure split by industry group and by main exposure class, 31 December 2016 IRB approach Institution Corporate - of which SME Retail Construction and engineering 2,635 1,203 25 Consumer durables (cars, appliances, etc.) 733 231 2 Consumer staples (food, agriculture, etc.) 1,876 666 10 Energy (oil, gas, etc.) 1,211 7 0 Health care and pharmaceuticals 149 75 6 Industrial capital goods 74 23 2 Industrial commercial services 2,467 536 33 IT software, hardware and services 234 102 4 Media and leisure 399 165 14 Metals and mining materials 141 44 0 Other financial institutions 6,570 1,309 428 8 Other materials (chemical, building materials, etc.) 694 175 6 Other non-credit obligation assets Other, public and organisations 335 26 30,216 347 Paper and forest materials 3 3 1 Real estate management and investment 9,259 6,162 95 Retail trade 1,028 337 41 Shipping and offshore 5,836 641 1 Telecommunication equipment 1 Telecommunication operators 487 24 0 Transportation 745 296 5 Utilities (distribution and production) 1,374 377 1 Total exposure 6,570 30,991 11,521 30,470 347
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 17 Table D10 Exposure secured by collaterals, guarantees and credit derivatives, split by exposure class, 31 December 2016 Original exposure Exposure of which secured by guarantees and credit derivatives of which secured by collateral Average weighted LGD IRB exposure classes Institution 6,577 6,570 27 247 13.8% Corporate 35,792 30,991 1,923 17,417 28.0% of which Advanced 34,455 29,642 1,902 16,795 27.4% Retail 34,112 30,470 17 25,694 21.0% of which secured by immovable property 29,244 26,279 25,572 19.5% of which other retail 4,571 3,932 1 10 30.1% of which SME 297 259 16 111 37.9% Other non-credit obligation assets 406 347 1 57 n.a. Total IRB approach 76,886 68,378 1,968 43,415 Standardised exposure classes Central governments and central banks 7,562 7,896 16 Regional governments and local authorities 386 332 Institution 2,353 2,348 5 Corporate 25 26 Retail 1,009 1,003 2 Exposures secured by real estates Other1 1,284 1,278 0 Total standardised approach 12,619 12,884 18 5 Total 89,505 81,262 1,986 43,420 1) Includes exposures classes public sector entities, multilateral development banks, exposures in default, equity and other items. Table D11 Distribution of collateral, 31 December 2016 % Financial collateral 0.7% Receivables 2.0% Residential real estate 61.8% Commercial real estate 20.7% Other physical collateral 14.8% Total 100.0%
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 18 Table D12 Counterparty credit risk exposures, split by type of counterparty 31 December 2016 31 December 2015 Current exposure net Exposure Current exposure net Exposure To central banks and credit institutions 42 553 718 1,510 - of which credit institutions 6 279 22 467 - of which central banks 0 0 - of which group internal 36 274 696 1,044 To the public 56 94 52 98 - of which corporate 56 94 52 98 Central counterparties 56 94 52 97 Construction and engineering Consumer durables (cars, appliances, etc.) Consumer staples (food, agriculture, etc.) Energy (oil, gas, etc.) Health care and pharmaceuticals Industrial capital goods Industrial commercial services, etc. IT software, hardware and services Media and leisure Metals and mining materials 1 Other financial institutions Other materials (chemical, building materials, etc.) Other, public and organisations Paper and forest materials Real estate management and investment Retail trade Shipping and offshore Telecommunication equipment Telecommunication operators Transportation Utilities (distribution and production) - of which public sector Total 98 647 769 1,608 Table D13 Counterparty credit risk exposures and REA split by exposure class 31 December 2016 31 December 2015 Exposure REA Exposure REA IRB exposure classes Institution 279 39 564 76 Corporate 1 0 Retail 0 0 Total IRB approach 565 77 Standardised exposure classes Central government and central banks Other 368 90 1,044 234 - of which cleared through CCPs 94 16 97 15 Total standardised approach 368 90 1,044 234 Total 647 129 1,608 311 Exposures include derivatives as well as securities financing transactions.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 19 Figure D1 Mitigation of derivative exposures, 31 December 2016 1 800 1 600 1 400 1 200 1 000 800 600 400 200 0 571 Current Exposure Gross 231 Reduction from closeout netting agreements 188 Reduction from held collateral 98 Current Exposure Net Regulatory Potential Exposure 1 549 1 648 Regulatory Exposure 1 519 Risk weight reduction 129 REA Table D14 Exposure split by residual maturity, 31 December 2016 < 1 year 1 3 years 3 5 years >5 years Total exposure IRB exposure classes Institution 954 3,028 1,889 699 6,570 Corporate 6,517 8,006 9,617 6,850 30,991 of which Advanced 6,375 7,648 9,090 6,530 29,642 Retail 1,441 968 1,823 26,238 30,470 of which secured by immovable property 684 816 1,616 23,163 26,279 of which other retail 676 128 176 2,951 3,932 of which SME 81 24 30 124 259 Other non-credit obligation assets 119 108 72 47 347 Total IRB approach 9,032 12,111 13,401 33,835 68,378 Standardised exposure classes Central governments and central banks 3,457 1,725 1,039 1,675 7,896 Regional governments and local authorities 227 63 20 23 332 Institution 99 0 2,249 2,348 Corporate 0 1 2 23 26 Retail 28 193 326 457 1,003 Exposures secured by real estates Other1) 315 365 332 266 1,278 Total standardised approach 4,125 2,348 1,718 4,693 12,884 Total exposure 13,157 14,458 15,119 38,528 81,262 1) Includes exposures classes public sector entities, multilateral development banks, exposures in default, equity and other items.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 20 Table D15 Obligor-weighted PD vs. ADF, 2015 Average PD Average ADF Retail 1.05% 0.82% - of which SME 2.98% 2.80% Corporate & Institution 1.09% 1.01% Table D16 Exposure-weighted estimated vs. realised LGD & EAD, IRB portfolio, 2015 Estimated Realised Retail LGD 21.3% 9.1% Retail CCF 36.0% 34.3% Retail EAD3, 26 14 Corporate LGD 28.7%2) 13.6% Corporate CCF 51.8% 45.6% Corporate EAD3, 4.3 3.3 1) Figures provided for 2014. Updates will be publicly available as soon as the validation process for is finalised. 2) Defaulted customers not included. 3) Only for exposures with an off-balance part Table D17 Exposure, impaired exposures, past due exposures and allowances corporate, split by industry, 31 December 2016 Impaired loans Past due exposures Credit risk adjustments1 - of which charges during the reporting period Construction and engineering 23 50 34 14 Consumer durables (cars, appliances, etc.) 60 1 43 11 Consumer staples (food, agriculture, etc.) 27 11 15 8 Energy (oil, gas, etc.) 54 0 35 34 Health care and pharmaceuticals 58 40 2 Industrial capital goods 0 2 1 0 Industrial commercial services 0 0 0 0 IT software, hardware and services 62 36 51 12 Media and leisure 1 22 0-2 Metals and mining materials 4 6 2-1 Other financial institutions 30 2 10 1 Other materials (chemical, building materials, etc.) 14 3 6-7 Other, public and organisations -1 1 1-1 Paper and forest materials 0 6 0 0 Real estate management and investment 59 2 34 7 Retail trade 8 8 8 0 Shipping and offshore 135 1 108 59 Telecommunication equipment 1 0 0 Telecommunication operators 4 0 7-4 Transportation 5 14 5-1 Utilities (distribution and production) 16 1 14 13 Total in banking operations 559 165 414 144 1) Nordea only has specific credit risk adjustments due to use of IFRS accounting.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 21 Table D18 Exposure, impaired exposures and past due exposures, split by significant geographical areas, 31 December 2016 Original exposure Impaired loans Past due exposures Nordic countries 77,620 635 779 of which Denmark 1398.37 3 0 of which Finland 1,719 0 of which Norway 72,832 628 778 of which Sweden 1,670 4 1 Baltic countries 0.59 0 0 Russia US 2,554 0 1 Other1 9,330 67 Total 89,505 701 780 1) Includes International Units. Table D19 Reconciliation of allowance accounts for impaired loans Specific credit risk adjustments1 Individually assessed Collectively assessed Opening balance, 1 Jan 2016 224 85 309 Changes through the income statement 94 71 164 Of which Provisions 135 130 265 Of which Reversals 41 59 100 Allowances used to cover write offs 44 44 Currency translation differences 16 5 20 Closing balance, 31 Dec 2016 290 160 450 1) Nordea Bank Norge does not have general credit risk adjustment due to use of IFRS accounting. Total For loan losses directly recognised through the income statement (not affecting the allowance accounts), refer to the note Net loan losses in the Annual Report. Table D20 REA and minimum capital requirements for market risk, 31 December 2016 Trading book, IA Trading book, SA REA Minimum capital requirement REA Minimum capital requirement Interest rate risk and other 1) 1 0 4 0 Equity risk 12 1 1 0 Foreign exchange risk Commodity risk Settlement risk Diversification effect 1 0 Stressed VaR 21 2 Incremental risk charge Comprehensive risk measure Total 32 3 5 0 1) Interest rate risk in the column Trading Book IA includes both general and specific interest-rate risk which is elsewhere referred to as interest-rate VaR and credit spread VaR.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 22 Table D21 Market risk for the banking book, 31 December 2016 Measure 31 Dec 2016 2016 high 2016 low 2016 avg 31 Dec 2015 Total risk VaR 17.6 18.5 11.6 14.3 16.5 Interest rate risk VaR 17.4 18.9 12.3 14.8 16.9 Equity risk VaR Credit spread risk VaR 2.4 0.9 Foreign exchange risk VaR 0.3 4.1 0.1 1.1 1.3 Diversification effect 1% 39% 1% 11% 52% Table D22 Market risk for the trading book, 31 December 2016 Measure 31 Dec 2016 2016 high 2016 low 2016 avg 31 Dec 2015 Total risk VaR 0.2 3.1 0.1 0.9 1.4 Interest rate risk VaR 0.1 0.4 Equity risk VaR 0.2 3.1 0.1 0.9 1.4 Credit spread risk VaR Foreign exchange risk VaR Diversification effect 28% 29% 0% 2% 4% Total stressed VaR svar 0.3 8.3 0.3 2.2 5.2 FIgure D2 Back-test of VaR for the trading book 2016: Profit/loss (actual, excluding commissions) against one-day VaR One-day VaR P&L 0,80 0,60 0,40 0,20 0,00 0,20 0,40 0,60 0,80 1,00 1,20 January Febuary March April May June July August September October November December Table D23 Interest rate sensitivities for the banking book, instantaneous interest rate movements, 31 December 2016 +200bp +100bp +50bp 50bp 100bp 200bp NOK 81.5 40.7 20.4 20.4 40.7 81.5 DKK 0.5 0.3 0.1 0.1 0.3 0.5 SEK 0.2 0.1 0.1 0.2 USD 2.7 1.4 0.7 0.7 1.4 2.7 EUR 24.6 12.3 6.2 6.2 12.3 24.6 Total 104.8 52.4 26.2 26.2 52.4 104.8 The totals are netted and include currencies not specified. In accordance with an analysis of account holder behaviour, a portion of non-maturing deposit accounts are assumed to be fixed term.
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 23 Table D24 Equity holdings in the banking book, 31 December 2016 Book value Fair value Unrealised gains/losses Realised gains/losses3 Capital requirement Investment portfolio1 Other2 20 20 9 2 Total 20 20 9 2 1) Of which listed equity holdings, Book value EUR 0m. 2) Of which listed equity holdings, Book value EUR 0m. 3) Result from 2016 Table D25 Specification of undertakings, 31 December 2016 Owner Company name Voting power of holding, % Domicile Consolidation method Nordea Bank AB (publ) Nordea Bank Norge ASA 100 Norway Purchase method Nordea Bank Norge ASA Nordea Eiendomskreditt AS 100 Norway Purchase method Nordea Finans Norge AS 100 Norway Purchase method Eksportfinans ASA 23 Norway Equity method Nordea Utvikling AS 100 Norway Purchase method Nordea Utvikling AS Tomteutvikling Norge AS 100 Norway Purchase method Table D26 Liquidity Coverage Ratio, 31 December 2016 Combined NOK EUR USD Nordea Bank Norge Group Liquidity Coverage Ratio 172% 84% 187% 1151% Nordea Bank Norge ASA Liquidity Coverage Ratio 205% 93% 187% 1151% Nordea Eiendomskreditt Liquidity Coverage Ratio 449% 445% N/A N/A
Capital and Risk Management Report Nordea 2016 Appendix D Nordea Bank Norge 24 Table D27 Transitional own funds, Nordea Eiendomskreditt, 31 December 2016 (A) amount at disclosure date (B) regulation (eu) No 575/2013 article reference (C) amounts subject to pre-regulation (eu) No 575/2013 treatment or prescribed residual amount of regulation (eu) no 575/2013 Common Equity Tier 1 capital: instruments and reserves 1 Capital instruments and the related share premium accounts 598 26 (1), 27, 28, 29, EBA list 26 (3) of which: Share Capital 187 EBA list 26 (3) 2 Retained earnings 693 26 (1) (c) 3 Accumulated other comprehensive income (and other reserves, to include unrealised gains and losses under the applicable accounting standards) 7 26 (1) 3a Funds for general banking risk 26 (1) (f) 4 Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET 1 486 (2) Public sector capital injections grandfathered until 1 January 2018 483 (2) 5 Minority interests (amount allowed in colsolidated CET1) 67 84, 479, 480 5a Independently reviewed interim profits net of any foreseeable charge or dividend 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments 1,351 26 (2) Common Equity Tier 1 (CET1) capital: regulatory adjustments 7 Additional value adjustments 34, 105 8 Intangible assets (net of related tax liability) 36 (1) (b), 37, 472 (4) 9 Empty Set in the EU NA 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) 36 (1) (c), 38, 472 (5) 11 Fair value reserves related to gains or losses on cash flow hedges 6 33 (a) 12 Negative amounts resulting from the calculation of expected loss amounts 7 36 (1) (d), 40, 159, 472 (6) 13 Any increase in equity that result from securitised assets 32 (1) 14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing 2 33 (b) 15 Defined-benefit pension fund assets 36 (1) (e), 41, 472 (7) 16 Direct and indirect holdings by an institution of own CET1 instruments 17 Holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to artificially inflate the own funds of the institution 18 Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) 19 Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where th institution has a significatn investment in those entities (amount above 10% threshold and net of eligible short positions) 36 (1) (f), 42, 472 (8) 36 (1) (g), 44, 472 (9) 36 (1) (h), 43, 45, 46, 49 (2) (3), 79, 472 (10) 36 (1) (i), 43, 45, 47, 48 (1) (b), 49 (1) to (3), 79, 470, 472 (11) 20 Empty Set in the EU NA 20a Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative 36 (1) (k) 20b of which: qualifing holdings outside the financial sector 36 (1) (k) (i), 89 to 91 20c of which: securitisation positions (negative amounts) 36 (1) (k) (ii) 20d of which: free deliveries 243 (1) (b) 21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in 38 (3) are met) 244 (1) (b) 258 22 Amount exceeding the 15% threshold 48 (1) 23 of which: direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities 36 (1) (i), 48 (1) (b), 470, 472 (11)