Nordea Kredit, Investor Presentation, Q3 2011Published 28 November 2011

• This Investor Presentation has been compiled by Nordea Kredit for information purposes only, and offers facts and figures on Nordea Kredit, and the mortgage collateral supporting outstanding mortgage bonds and covered mortgage bonds.

• If you have any questions, please feel free to contact either of us:

• Finn Nicolaisen, Nordea Group Treasury, Head of Group Funding Copenhagen, phone +45 3333 1625Kamilla H. Skytte, Nordea Group Treasury, Chief Dealer, Group Funding Copenhagen, phone +45 3333 1626

Contents:

• Nordea Kredit – in brief• Asset quality, losses and arrears• Loan‐to‐value (For detailed information on LTV please refer to “LTV Report 2011 Q3”)• Legislation• Macro‐economic factors

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Nordea Kredit – in brief I

• Founded in 1993, number of employees 150 (as per 2011, Q2)

• Nordea Kredit issues covered mortgage bonds, exclusively

• All bonds issued by Nordea Kredit are rated AAA (by S&P) and Aaa (by Moody’s)

• Profit before tax 1st half 2011: 529 m DKK, RoE 3.5% and Cost/Income ratio 16.9%

• Mortgage loans at nominal value 2011, Q3: 329.3 bn DKK

• Mortgage loans at fair value 2011, Q3: 333.4 bn DKK

• Market share 2011, Q3: 13.8% (2011, Q2: 13.7%)(Mortgage loans at fair value as a share of all Danish mortgage loans)

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Nordea Kredit – in brief II

• Late payments by borrowers 2011 Q3: 0.38% (2011 Q2: 0.42%) Residential properties and holiday homes, 3½ month after due date

• Average LTV 2011 Q3: 68% (2011 Q2: 66%)

• Total capital ratio 9.0% and Tier 1 capital ratio 9,0% (incl. transition rules)

• Total capital ratio 15.4% and Tier 1 capital ratio 15.4% (excl. transition rules)

• Completely match funded “Pass Through” setup - strict ALM (Asset Liability Management)

• Danish MCIs are closely regulated and supervised by Finanstilsynet(The Danish FSA)

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Nordea Kredit – market shares in per cent of total market

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2009 Q3 2009 Q4 2010 Q1 2010 Q2 2010 Q3 2010 Q4 2011 Q1 2011 Q2 2011 Q3

per cen

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0

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4

6

8

10

12

14

16

18

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Other properties

Private rentalhousing

Commercial

Agriculture

Owner occupieddwellings andholiday homes

All segments

-

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Nordea Kredit – profit and increase in net lending

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5

10

15

20

25

30

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1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011,1h

0

200

400

600

800

1000

1200

1400<< Increase in net lending DKK bn     Profit before tax DKK m (rhs) >>

Profit before tax for the 1st half of 2011 was 529 m DKK

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CC I, RO: 87.5 bn, 26.3 per cent

• Nordea Kredit has two capital centres:• CC I: Mortgage Bonds (Realkredit-

obligationer, “RO”) are issued out of CC I (1993 - ). More than 97% of the bonds in CC I are grandfathered covered bonds according to UCITS/CRD.

• CC II: Covered Mortgage Bonds (Særligt dækkede realkreditobligationer,”SDRO”) are issued out of CC II (2007 - ). All bonds in CC II are covered bonds according to UCITS/CRD.

• All new issuance in 2011 exclusively in covered mortgage bonds (SDROs)

Nordea Kredit – mortgage loans at fair value CCs I&II, 2011 Q3: DKK 333.4 bn

CC I, RODKK 97.9 bn 30.2%

CC II, SDRO: 245.9 bn, 73.7 per cent 

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Match funded setup due to the strict Balance Principle

Investor

NordeaKredit

Interestpayment

Interestpayment

Principalpayment

Contribu‐tion fee

Principalpayment

Nordea Kredit complies with the strict Balance Principle, and has a completely match funded “Pass Through” setup. Nordea Kredit has no prepayment risk and only negligible interest rate risk and foreign exchange risk.

Borrower

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All property categories ‐ CCs I & II, 2011 Q3 at fair value: 333.4 bn DKK 

Nordea Kredit – distribution of loans by property category

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All property categories ‐ CCs I & II, 2011 Q3 at fair value: 333.4 bn DKK 

DKK 20.7 bn6.2 %

DKK 13.4 bn4.0 %

DKK 73.4 bn22.0%

DKK 65.7 bn19.7%

DKK 54.5 bn16.4%

DKK 1.8 bn0.5%

DKK 2.4 bn0.7 %

DKK 101.6 bn30.5 %

FixedFixed IOARMARM IOFRN cappedFRN capped IOFRN FRN IO

Nordea Kredit – distribution of loans by type

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Residential properties and holiday homes ‐ CCs I & II, 2011 Q3 at fair value: 230.5 bn DKK

DKK 0.0 bn0.0%

DKK 0.0 bn0.0%

DKK 61.3 bn26.6 %

DKK 58.8 bn25.5 %

DKK 31.7 bn13.7%

DKK 1.6 bn0.7%

DKK 2.3 bn1.0%

DKK 74.8 bn32.5%

FixedFixed IOARMARM IOFRN cappedFRN capped IOFRNFRN IO

Nordea Kredit – distribution of loans by type

Fixed rate loans account for 52.1% of the total loan portfolio

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Nordea Kredit – geographical distribution of loans Q3, 2011

• Total number of citizens 5.56 m January 2011 – Source: Statistics Denmark

14.7 bn DKK 4.4%*9.7 bn DKK 4.2%**(0.58 m citizens – 10.4%)

79.1 bn DKK 23.7%*50.3 bn DKK 21.8%**(1.26 m citizens – 22.7%)

50.9 bn DKK 15.3%*283 bn DKK 12.3%**(1.20 m citizens – 21.6%) 66.6 bn DKK 20.0%*

48.5 bn DKK 21.0%**(0.82 m citizens – 14.7%)*    All segments

** Residential properties and holiday homes

NorthDenmarkRegion

CentralDenmarkRegion

SouthDenmarkRegion

RegionZealand

CapitalRegion ofDenmark

122.0 bn DKK 36.6%*93.7 bn DKK 40.7%**(1.70 m citizens – 30.6%)

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Fair value, all segments: 333.4 bn DKK, residential properties & holiday homes: 230.5 bn DKK 

• Nordea Bank Danmark takes “first losses” on Nordea Kredit loans according to the table below:

Property type Guarantee period *

Guarantee level **

Owner occupied dwellings 5 years 25 per cent

Holiday homes 5 years 25 per cent

Subsidized property 10 years 10 per cent

Housing for youth/elderly 10 years 10 per cent

Agricultural property 10 years 25 per cent

Commercial property 10 years 25 per cent

Asset quality - loss guarantee by Nordea Bank Danmark

*)   Guarantee period starts when a loan is issued or remortgaged**) As a percentage of the original principal – disregarding all amortisation

The guarantee amount is not reduced during the guarantee period, but cannot exceed the debt outstanding. A new guarantee period starts when the loan is changed e.g. due to remortgaging.

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Asset quality - late payments by borrowers - 3½ month after due date

0,00

0,10

0,20

0,30

0,40

0,50

0,60

2001Q1

2001Q2

2001Q3

2001Q4

2002Q1

2002Q2

2002Q3

2002Q4

2003Q1

2003Q2

2003Q3

2003Q4

2004Q1

2004Q2

2004Q3

2004Q4

2005Q1

2005Q2

2005Q3

2005Q4

2006Q1

2006Q2

2006Q3

2006Q4

2007Q1

2007Q2

2007Q3

2007Q4

2008Q1

2008Q2

2008Q3

2008Q4

2009Q1

2009Q2

2009Q3

2009Q4

2010Q1

2010Q2

2010Q3

2010Q4

2011Q1

2011Q2

per cen

t

Residential properties and holiday homesArrears as a percentage of the total amount due

All Danish MCIs * Nordea Kredit0.41%(last 0.41%)

0.38%(last 0.42%)

*) Including Nordea Kredit

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Losses in per cent of mortgage loans at nominal value

0

50.000

100.000

150.000

200.000

250.000

300.000

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011, 1h

Mortgage loans no

minal value

, mDKK

0,000%

0,005%

0,010%

0,015%

0,020%

0,025% Losses % of m

ortgage loans, nom

inal value

Mortgage loans at nominal value

Loss for the year in per cent of mortgageloans at nominal value (rhs)

Nordea Kredit did not experience any losses prior to 1997. In the 1st half of 2011, losses amounted to 21.5 m DKK –total accumulated losses in Nordea Kredit since 1997: 83.5 m DKK

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Nordea Kredit – LTV, loan-to-value 2011 Q3 (2011 Q2)

LTV CC I & II LTV CC I LTV CC II

2011Q3 2011Q2 2011Q3 2011Q2 2011Q3 2011Q2

Owner occupied dwellings

74 71 69 65 77 74

Private rental housing 64 62 57 61 67 63

Commercial 61 55 44 46 63 59

Agriculture 49 49 44 44 50  50

Other properties 40 41 41 41 40 41

Total 68 66 65 61 70 68

Refinancing of Cibor6 loans affects LTV figures in the segments “Private rental housing” and “Commercial”, as loans are being refinanced from the grandfathered RO capital center I, to the SDRO based capital center II. Machineries and other movables can under RO legislation be included in valuation of property, but isn’t possible under SDRO legislation. Hence, the changed LTV figures for the categories “Private rental housing” and “Commercial”.

For more detailed information on LTV – please refer to “LTV Report 2011 Q3”

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Legislation

• Danish mortgage financing is closely regulated and supervised by the DFSA (Finanstilsynet): www.ftnet.dk

• Some legislation can be found in English at the DFSA’s English website:http://www.finanstilsynet.dk/en/Regler-og-praksis/Translated-regulations.aspx

• All relevant legislation can be found in Danish at the DFSA’s Danish website:http://www.finanstilsynet.dk/da/Regler-og-praksis/Lovsamling.aspx

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The Danish economy - house prices and foreclosures

7.0009.000

11.00013.00015.00017.00019.00021.00023.00025.000

2003 Q2

2003 Q4

2004 Q2

2004 Q4

2005 Q2

2005 Q4

2006 Q2

2006 Q4

2007 Q2

2007 Q4

2008 Q2

2008 Q4

2009 Q2

2009 Q4

2010 Q2

2010 Q4

2011 Q2

DKK pe

r sqm

Detached housesApartments

0

250

500

750

1.000

1.250

1.500

1993 jan

1994 jan

1995 jan

1996 jan

1997 jan

1998 jan

1999 jan

2000 jan

2001 jan

2002 jan

2003 jan

2004 jan

2005 jan

2006 jan

2007 jan

2008 jan

2009 jan

2010 jan

2011 jan

Foreclosures, seasonally

 adj. 

‐ all segm

ents

For a number of years house prices increased but by mid‐2006 house prices peaked and  subsequently declined. Recently, however, increases have been seen. 

For more information on macroeconomics please refer to the current issue of “Economic Outlook” published by Nordea Markets, Economic Research.

Please note that the top graph to the left is based on new, recalculated data for actual sales prices. The data in this new form were first published in December, 2010 and the latest available data are as of end June 2011.

Source: Federation of Danish Mortgage Banks (Realkreditforeningen), Association of Danish Mortgage Banks (Realkreditrådet),The Danish Bankers Association (Finansrådet) and The Danish Association of Chartered Estate Agents (Dansk Ejendomsmæglerforening).

Source: Statistics Denmark (Danmarks Statistik)18

Source: The Danish National Statistical Office. Latest data are as per October 2011 

Danish housing market: Hesitant buyers – but with high net wealth• After a rebound house prices have started to decrease moderately again.

• The housing market is affected by elevated uncertainties and a non-positive (currently flat) development in employment.

• Sales are suffering and both dwellings for sale and exposure time are at record-high levels.

• Affordability ratios are low and prices are near a long term fundamental equilibrium.

• Less than 0.5% of total repayments on homeowners’ mortgage have not been paid 3½ months after the due date. Arrears and forced sales have flattened and are now at 3-6 times lower levels than during the 1980s and early 1990s.

• We expect house prices to decrease 3% this year and 1% next year.

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DISCLAIMER – IMPORTANT NOTICE

• This presentation and any information contained in this presentation or supplied in connection therewith, whether in writing or not, are provided for information purposes only. Nordea is not acting as your financial adviser or in any other fiduciary capacity and this presentation should not be treated as giving investment advice.

• This presentation and any information contained in this presentation or supplied in connection therewith, whether in writing or not, do not constitute or form a part of, and should not be construed as, an offer, recommendation, advertisement of an offer or invitation to subscribe for or purchase any securities of any Nordea Group company anywhere in the world or a solicitation of any such offer, and shall neither form the basis of, or be relied on in connection with, any offer or commitment whatsoever.

• Information contained in this presentation is derived from publicly available sources which Nordea believes are reliable, and includes market information based on data provided by third party sources identified herein and estimates, assessments, adjustments and judgments that are based on Nordea's experience and familiarity with the sectors in which it operates. There is no assurance that such estimates, assessments and judgments are the most appropriate for making determinations relating to market information or that market information prepared by other sources will not differ materially from the market information included herein.

• This presentation contains forward-looking statements that reflect management's current views with respect to certain future events and potential financial performance. Although Nordea believes that the expectations reflected in such forward-looking statements are reasonable, no assurance can be given that such expectations will prove to have been correct. Accordingly, results could differ materially from those set out in the forward-looking statements as a result of various factors. Important factors that may cause such a difference for Nordea include, but are not limited to: (i) the macroeconomic development, (ii) change in the competitive climate and (iii) change in interest rate and foreign exchange rate levels. This presentation does not imply that Nordea has undertaken to revise these forward-looking statements, beyond what is required by applicable law or applicable stock exchange regulations if and when circumstances arise that will lead to changes compared to the date when these statements were provided.

• Neither Nordea nor any of its directors, officers, employees or advisors nor any other person makes any representation or warranty, express or implied, as to the accuracy or completeness of the information contained in this presentation. Neither Nordea nor any its directors, officers, employees or advisors nor any other person shall have any liability whatsoever for loss howsoever arising, directly or indirectly, from any use of this presentation.

• [This presentation (i) does not and will not constitute or include an invitation to tender for purchase or sale, an advertisement or an offer of any securities in circumstances which could qualify as a public offer (oferta pública) or as a private offer (oferta particular) pursuant to the Portuguese Securities Code (Código dos Valores Mobiliários) enacted by Decree Law no. 486/99, of 13 November, and published by Decree Law no. 357-A/2007 of 31 October, as amended from time to time and (ii) complies with all applicable laws and regulations of the Republic of Portugal.][1]

• You may not distribute this presentation, in whole or part, without our prior express written permission. This presentation is not for release, directly or indirectly, in or into the United States of America, Australia or Japan.

•[1] For presentations in Portugal.

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