Investor Presentation

24 June 2011

p2

Key Messages

Realkredit Danmark has discontinued Moody’s ratings on covered bonds issued out of Capital Centre S and

the General Capital Centre with immediate effect

The discontinuation follows a dialogue with Moody’s since mid2010 on the methodology applied for the rating

of Realkredit Danmark and the covered bonds issued out of Realkredit Danmark capital centres

Realkredit Danmark believes the Moody’s methodology applied for the rating of Realkredit Danmark and the

resulting requirements for maintaining the covered bond Aaa rating be misaligned with the underlying

strength and risk profile of the mortgage bank

Realkredit Danmark further believes Moody’s to underestimate the fundamental strength of the market and

the Danish mortgage banking model evidenced by the performance during the recent crisis and the more

than 200 year history of no defaults

Realkredit Danmark plans to raise fees to a level at which Realkredit Danmark remains competitive and

funding costs are maintained at a low level

For the purpose of adding to the long term robustness of the Danish mortgage banking system Realkredit

Danmark will establish a new capital centre for the funding of interest reset loans

Covered bonds issued out of Capital Centre S and the General Capital Centre will remain AAA rated by

Standard & Poor’s

p3

The Moody’s Rating Approach to Realkredit Danmark

Since mid2010 Moody’s have assigned a privately

monitored issuer rating to Realkredit Danmark

The issuer rating is assigned pursuant to the

Special Covered Bond Issuer method designed to

apply only to those financial institutions that

specialise in the issuance of covered bonds on

behalf of an owner bank. In addition the institution

may also have very limited lending activities

Based on this approach the issuer rating of

Realkredit Danmark has been pegged to the

Danske Bank issuer rating with a two notch

deduction to reflect the level of formal parent

support

The downgrades of Danish banks during 2011 in

response to the Danish bank restructuring scheme

(Bankpakke III) and the collapse of Amagerbanken

impacted Realkredit Danmark directly though

Realkredit Danmark was explicitly excluded from

the scheme

Aaa

Aa1

Aa2

Aa3

A1

A2

A3

Baa1

Baa2

Baa3

Danske Bank

Realkredit Danmark

Mid2010

p4

The Moody’s Rating Approach to Realkredit Danmark (continued)

The 20 May downgrade of Danish banks would

have implied a further downgrade of the issuer

rating of Realkredit Danmark to Baa1 but at this

stage Moody’s initiated a complete review of their

rating approach towards Realkredit Danmark

Before concluding this review Moody’s lowered

Timely Payment Indicators and raised refinancing

margins. This had an impact on requirements at

par with the impact from an issuer rating

downgrade

Realkredit Danmark believes the approach is

misguided

The financial strength of Realkredit Danmark is not

factored in

The history of Realkredit Danmark is not factored

in

The Realkredit Danmark brand value is not

factored in

Realkredit Danmark clearly has lending activities

of its own

Realkredit Danmark is clearly not a SPV

Aaa

Aa1

Aa2

Aa3

A1

A2

A3

Baa1

Baa2

Baa3

Danske Bank

Realkredit Danmark

Mid2011

p5

Over Collateralisation Requirements by Moody’s

0

40

80

120

160

Original OC Mid 2010 February 2011 May 2011 June 2011 Downgrade

scenario

Billion

29

5463

Pending on

Moody’s

review

97

147

The TPI for Danish covered bonds changed from Very High

to High

If the single notch

downgrade materialises

Special Covered Bond Issuer

approach first applied

RD issuer rating of A2

Downgrade of Danish banks

RD issuer rating automatically

changed from A2 to A3

Gen. Cap. 5.0%

Cap. S 10.5%

Gen. Cap. 5.5%

Cap. S 11.5%

Gen. Cap. 9.0%

Cap. S 27.0%Gen. Cap. 5.5%

Cap. S 18.0%

p6

Over Collateralisation Requirements Contrasted by Performance

The over collateralisation requirement of 18% on covered bonds issued out of Capital Centre S is

contrasted by loan impairment charges not exceeding 1% during the 1988 to 1992 crisis and 0.2% during

the recent crisis

-1%

1%

3%

5%

1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010

Loan impairment charges to loan book ratio

p7

Over Collateralisation Requirements Contrasted by Performance(continued)

From beginning of 2008 to year to date 2011 Danish covered bonds have been traded in a 8.1:1 ratio to

Danish public debt

The liquidity of the market is deepest among peers which has also been testified to by Nationalbanken

Covered bond markets remained open to issuers throughout the financial crisis

The 1 January 2009 refinancing was completed in November and December 2008 at a time when liquidity

in most financial markets had vanished. Since then efforts have been made to reduce the volume of end

year refinancing

0

200

400

600

800

1000

1200

1400

1600

1800

2000

01-2008 07-2008 01-2009 07-2009 01-2010 07-2010 01-2011

Covered bonds Government bonds

Market value monthly turnover non repo

Billion

p8

Over Collateralisation Requirements Contrasted by Performance(continued)

During the financial crisis asset swap spreads on Danish covered bonds remained low relative to peers

This reflected investors remained confident in both the credit quality and liquidity of Danish covered bond

and the underlying strength of the market

-25

25

75

125

175

225

275

325

375

425

475

525

2-Feb-08 2-Dec-08 2-Oct-09 2-Aug-10 2-Jun-11

iBoxx EUR UK iBoxx EUR Ireland iBoxx EUR Spain iBoxx EUR France

iBoxx EUR Germany DM SEK Sweden DM DKK Denmark

Covered bond asset swap spreadsBps

p9

Over Collateralisation Requirements Contrasted by Performance(continued)

30000

35000

40000

45000

50000

55000

0

200

400

600

800

1000

1200

1400

q3 2008 q1 2009 q3 2009 q1 2010 q3 2010 q1 2011

Capital - rha Loan impairment charges Net profit

Million Million

Net profits recorded quarter by quarter throughout the crisis

Loan impairment charges kept in check by strong risk management

Funding windows remained open to Realkredit Danmark

Realkredit Danmark increased its capital position from retained earnings

Net profits and loan impairment charges during the crisis

p10

OC Requirements and Regulatory Capital Requirements

Realkredit Danmark’s Core Tier I capital ratio stood at 35.5% end 2011Q1

The binding regulatory capital requirement is the CRD transition rules at 24.6 billion

The gap between Moody’s OC requirement and regulatory capital requirements has grown into the extreme

Pillar 1+ Economic capital Transition Capital base Senior

unsecured

Standard &

Poor's

Moody's

11.2bn

24.6bn

45.5bnCapitalisation

Capitalisation floor20.9bn

17.0bn

49bn

97bn

15.1bn

Capitalisation end 2011Q1

p11

Stress Suggest Capitalisation be more than adequate

1447

1956

998799

391 381

2768

4427

115 119

22.0 20.7

135145

20.9 19.2

2011 2012 2011 2012 2011 2012 2011 2012

Net profit (DKKm) Loss impairment charges

(DKKm)

Risk weighted assets

(DKKbn)

Capital buffer (DKKbn)

Base scenario

Stress scenario

FSA assumptions Base Scenario Stress scenario

In % 2011 2012 2011 2012

GDP (Y/Y) 1.7 2.0 -1.6 -2.4

Unemployment 4.2 3.8 5.6 8.3

House prices (Y/Y) 1.5 2.0 -14.3 -14.6

Short term interest rate 0.7 0.9 2.0 2.4

Long term interest rate 2.9 3.4 5.1 6.1

FSA stress test indicate adequate capital level

within Realkredit Danmark

Capacity to generate net profit even in a stressed

scenario of sharply declining house prices

Capital buffer estimated to remain fairly stable at

approx. 20 billion

Solvency ratio impacted by substantial growth in

risk weighted assets

FSA stress test in line with credit crunch scenario

employed in ICAAP

Stress test results do not factor in the option to

increase administration fees

p12

Stress Suggest Capitalisation be more than adequate (continued)

0

5

10

15

20

25

30

35

2010 2011 2012 2013 2014

ICAAP Stress test capital buffers

Credit crunch

Mild recession

Severe recession

Base

Interest rateincrease

Billion

p13

The Loan Book is Secure

Total loan book split by indexed loan to value ratio and borrower classification 2011Q1

DKK billion 0-20% 20-40% 40-60% 60-80% 80-100% Total

1 5 4 2 0 0 11

2 14 10 5 2 0 32

3 37 25 16 8 6 92

4 38 26 15 6 2 87

5 48 40 28 14 3 134

6 43 37 28 16 5 130

7 33 31 25 14 4 107

8 19 17 13 8 3 60

9 6 6 5 3 2 21

10 3 3 3 2 1 12

11 3 2 2 1 1 9

Total 250 201 141 75 28 695

Loan to value ratios has gone up in response to house price deflation

Yet 85% of the loan book is secured by a less than 60% loan to value mortgage on a marked to market

basis

The majority of high loan to value loans are granted to borrowers with a high classification

p14

The Way Forward

New capital centre will be established for the financing and refinancing of interest reset loans to enhance the

robustness of the Danish mortgage banking system

Capital Centre S and the General Capital Centre will remain AAA rated by Standard & Poor’s Realkredit

Danmark will seek a AAA rating of the new capital centre

Two tier issuance will be further analysed

0

100

200

300

400

500

600

Now End2011 End2012 End2013 End2014

Interest reset

Fixed rate

0

100

200

300

400

500

600

Now End2011 End2012 End2013 End2014

Interest reset

Capital Centre S New Capital Centre Billion Billion

p15

The Way Forward(continued)

Capital Centre S New Capital Centre Estimated

Average loan to value 64% Average loan to value 66%

1 month arrears 1.28% 1 month arrears 1.46%

Impairments 0.13% Impairments 0.16%

Average Seasoning 41 months Average Seasoning 45 months

Residential to total ratio 60% Residential to total ratio 56%

New Capital Centre is planned to operate from the end 2011 refinancing but the time schedule is not yet

confirmed

New series will be opened for the financing and refinancing of interest reset loans in DKK or EUR maturing

on either January 1 (for refinancing only) or April 1

Issuance in series 10S and 10Q from Capital Centre S will be ceased

Fixed rate loans and Capped floating rate loans will remain in Capital Centre S

Decision on which capital centre to refinance floating rate loans from is pending

p16

Cooperation with Moody’s continues for Danske Bank Group

Danske Bank Group continues its cooperation with Moody’s on ratings

Methodology is well described and Danske Bank has a strong ongoing dialogue with the ratings team

Danske Bank has the following ratings with Moody’s

Long-term rating: A2 (negative outlook)

Short-term rating: P1

Covered Bonds: Aaa

p17

Slide 17

p18

-

50

100

150

200

250

Financial institutions Life and pension funds Public sector Other domestic Foreign

Investors

Investor segmentation long term bonds

In billion

-

50

100

150

200

250

Financial institutions Life and pension

funds

Public sector Other domestic Foreign

Investor segmentation short term bonds

In billion