Upload
others
View
12
Download
0
Embed Size (px)
Citation preview
January 2018
DNB Bank
DNB Boligkreditt
2
Content
• DNB – A Brief Overview
• The Norwegian Economy
• Financial Targets, Performance and Capital
• Loan Book and Asset quality
• Funding
• Appendix: • Cover Pool Portfolio Information and LCR eligibility • Digitalization / Vipps • The Norwegian Mortgage Market • Capital and Tier 1 • Additional slides – Financial Performance and Other information • CRO Presentation Capital Markets Day 2017
3
DNB – A Brief Overview
4
DNB - Norway’s Leading Financial Services Group
• Approximately 30 % market share in Norway
• 34 % owned by the Norwegian Government
• Credit Ratings: • Moody's: Aa2 (negative)
• S&P: A+ (stable)
5
The DNB Group
100% owned by DNB Bank and functionally an integrated part of the parent
Mortgages originated within DNB Bank’s distribution network in accordance with the bank's credit policy
DNB Bank ASA
Aa2 / A+
(Senior/ short term issuance)
DNB Life and
Asset Management
DNB ASA
DNB
Boligkreditt AS
(Covered Bonds: AAA / Aaa)
6
The Norwegian Economy
7
A Solid Norwegian Economy
Source: 1) OECD Economic Outlook No. 102, November 2017
2) Ministry of Finance (National Budget 2018)
3) Statistics Norway, November 2017
2016 2017 2018
Budget surplus 1) 4.0 % 5.4 % 5.8 %
Oil fund 2) ~ EUR 769 bn ~ EUR 809 bn ~ EUR 843 bn
Unemployment 3) 4.7 % 4.2 % 3.9 %
GDP growth 3) + 1.0 % + 1.9 % + 2.5 %
Central Bank Rate 3) 0.5 % 0.5 % 0.5 %
8
Government Finances are Rock-Solid
Annual budget deficit/surplus forecast for 20181) General government net financial liabilities1)
As per cent of nominal GDP 2018
1) Source: OECD Economic Outlook No. 102, November 2017
-300
-250
-200
-150
-100
-50
0
50
100
150
200
9
0
100
200
300
400
500
600
2006 2008 2010 2012 2014 2016
Annual return, GPFG
Annual net petro cash flow
Annual actual "spending of oil-money"
Government Pension Fund Global 2001 – 3Q 2017, NOK billion
Oil income versus spending 2006 – 2017, NOK billion
0
1000
2000
3000
4000
5000
6000
7000
8000
9000
2001 2004 2007 2010 2013 2016
Source: Ministry of Finance (National Budget 2017), DNB Markets, NBIM
The Growth of the Sovereign Wealth Fund Adds Flexibility
10
Forecasted unemployment Per cent
4.7 4.2 3.9 3.8 3.7
0
2
4
6
8
10
2009 2010 2011 2012 2013 2014 2015 2016 2017F 2018F 2019F 2020F
Statistics Norway (Nov 17)
Among the lowest unemployment in Europe Per cent
Source: OECD Economic Outlook No. 102, November 2017
Unemployment - Among the Lowest in Europe
0
2
4
6
8
10
12
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Denmark Finland Norway Sweden United Kingdom Euro area (16 countries)
11
Economic Growth in Norway is Picking up Again
1.9 % 1.9 %
3.7 %
2.3 % 2.2 %
1.4 % 1.0 %
1.8 % 2.0 % 1.9 %
2.5 % 2.4 %
-1%
0%
1%
2%
3%
4%
5%
6%
2010 2011 2012 2013 2014 2015 2016 2017e 2018e 2019e
DNB Markets (Dec 17) Statistics Norway (Nov 17)
GDP growth Year on year, per cent
-2%
-1%
0%
1%
2%
3%
4%
5%
2013 2014 2015 2016 2017 2018 2019
Norway
Sweden
Denmark
Finland
Euro Area
GDP growth Per cent
Source: DNB Markets, Economic Outlook August 2017
12
0
1
2
3
4
5
6
7
8
9
10
0
50
100
150
200
250
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016
2018
2020
Constant 2015 prices (lha) Share of GDP (rha)
Oil Investments are Stabilising at a High Level – Lower break-even price ensures a competitive continental shelf
Source: Thomson Datastream, DNB Markets Source: Rystad Energy, Statoil, Wall Street Journal
Break-even price: Sanctioned vs April 2017 USD per barrel, Brent Blend
Petroleum investments in Norway NOK billion, share of GDP in per cent
March 2016 September 2016 Sanctioned
Johan Sverdrup Johan Castberg
80
38
52
35
45
3035
25
April 2017
13
Financial Targets, Performance and Capital
14
Financial Ambitions Towards Year-End 2019
~ 16.1 per cent CET1 ratio 1)
Key performance indicator As capital level
ROE > 12 per cent
Overriding target
< 40 per cent C/I ratio
Dividend policy
Payout ratio > 50 per cent
1) Based on transitional rules.
15
Norway is a Digital Front Runner – Enabling Change
73 83 85 86 83 92 83
1 2
9 49
113
156 200
2010 2011 2012 2013 2014 2015 2016
Desktop Mobile
Mobile platform driving growth in digital banking Annual visits to our digital platforms in millions
220
116
57
2010 2015 2016
Transforming our branch network Number of branch offices
• 96 % of Norwegians use the internet
• 91 % of Norwegians use online banking services
• 61 % of Norwegian population is using Vipps (payment app)
• 6 % of payments are made in cash
16
DNB Delivers Solid Profit
18.7
28.7
34.1
30.8
21.3
7.7
1.6 2.3
7.4
2.0
0
5
10
15
20
25
30
35
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 30.09.17
Pre-tax operating profit before impairment Impairment of loans
Pre-tax operating profit before impairment NOK billion
17
Reduced Volume of Non-Performing and Doubtful Loans
Includes non-performing commitments and commitments subject to individual impairment. Accumulated individual impairment is deducted.
Includes the Baltics, reclassified as assets held for sale.
There are no signs of spill-over effects from oil-related industries
18
Key Financial Ratios
30.09.17 2016 2015 2014 2013 2012 2011 2010
Return on equity (%) 10.2 10.1 14.5 13.8 13.1 11.7 11.4 13.6
Cost income (%) 43.8 40.9 36.9 41.9 45.7 49.1 47.1 47.6
Comb. weighted total average spread (%) 1.30 1.32 1.32 1.31 1.31 1.18 1.12 1.15
Write down ratio (%) 0.17 0.48 0.15 0.12 0.17 0.24 0.28 0.26
Common Equity tier 1 ratio (%) 16.3 16.0 14.4 12.7 11.8 10.7 9.4 9.2
Total capital ratio (%) 19.6 19.5 17.8 15.2 14.0 12.6 11.4 12.4
19
DNB CET1 Capital Generation
CET1 build up and dividend Basis points (bps) – transitional rules
138
101 92
175
160 32
40 55
65 89
2012 2013 2014 2015 2016
CET1 build up Dividends
CET1 capital ratio – transitional rules Per cent
8.5 9.2 9.4
10.7
11.8
12.7
14.4
16.0 16.3
2009 10 11 12 13 14 15 16 sep.
17
Equity development NOK bn
118 127
142
159
190
206 211
2011 2012 2013 2014 2015 2016 sep.
17
20
7.1
4.9 4.7 4.7
4.4
DNB Nordea SEB Swedbank SHB
Leverage Ratio – DNB versus Nordic Peers
Leverage ratio Per cent, 30 September 2017
DNB’s leverage ratio requirement 1)
1) The Norwegian leverage ratio requirement for banks is 5 per cent effective as from 30 June 2017. For systemically important banks, such as DNB,
the minimum requirement is 6 per cent. A potential breach of the leverage ratio requirement will not trigger automatic restrictions on AT1 coupon
payments.
6.0
21
4.5 % 4.5 % 4.5 % 4.5 % 4.5 % 4.5 %
2.5 % 2.5 % 2.5 % 2.5 % 2.5 % 2.5 %
2.0 % 3.0 % 3.0 % 3.0 % 3.0 % 3.0 %
1.0 % 2.0 % 2.0 % 2.0 %
1.0 %
1.2 % 1.2 % 1) 1.6 % 1) 1.5 %
1.5 % 1.5 % 1.6 %
11.8 %
12.7 %
14.4 %
16.0 % 16.3 %
YE 2013 YE 2014 YE 2015 YE 2016 30.09.2017 YE 2017
Pillar 1 Minimum Requirement Conservation Buffer Systemic Risk Buffer
SIFI Buffer Countercyclical Buffer Pillar 2 Requirement
SREP Requirement Management Buffer DNB CET 1
DNB Bank Group CET 1
Target YE 2017
SREP – CET1 Capital Requirements
1) In accordance with CRD IV, the institution-specific CCyB rate will be a weighted average of the rates in the jurisdictions in which the institution
operates. In Norway the countercyclical buffer is currently 1.5 % and DNB Bank’s effective CCyB rate is approximately 1.2 %. As from YE 2017 the
CCyB in Norway will increase to 2.0 % increasing DNB’s effective CCyB to approximately 1.6 %.
SREP 15.2 %
~ 16.1 %
SREP includes Pillar 2 requirements
Pillar 2 requirements in Norway are not included in the MDA trigger level
SREP 14.7%
22
MDA – DNB Well Above CET 1 MDA Trigger Level Pillar 2 requirements in Norway are not included in the MDA trigger level
1) In accordance with CRD IV, the institution-specific CCyB rate will be a weighted average of the rates in the jurisdictions in which the institution
operates. In Norway the countercyclical buffer is currently 1.5 %. DNB Bank’s effective CCyB rate is approximately 1.2 %. As from YE 2017 the
CCyB in Norway will increase to 2.0 % increasing DNB Bank’s effective CCyB to approximately 1.6 %.
~16.1 % target YE 2017
10.0 %
12.0 %
13.2 % 13.2 %1) 13.6 %1) 12.7 %
14.4 %
16.0 % 16.3 %
YE 2014 YE 2015 YE 2016 30.09.2017 YE 2017
MDA Trigger Level DNB CET 1 DNB Bank Group CET1 CET Target
23
DNB: Significantly Higher RW Density than Nordic Peers
Risk Weighted Assets Per cent of total assets, 30 September 2017
Core Equity Tier 1 With and without transitional rules, 30 September 2017
16.3
10.8 12.0
10.5 9.4
23.8 1)
19.2 19.2
23.9 23.6
DNB SEB Nordea Swedbank SHB
CET1 ratio transitional rules CET1 ratio Basel III
1) This is just an illustration of a “comparable” CET1- ratio. DNB’s CET1-ratio is calculated based on the average risk-weights on Swedish peers IRB portfolios (corporate
and mortgages) as of 30 September 2017.
38.1 %
21.0 % 20.8 % 17.1 % 17.0 %
DNB SEB Nordea Swedbank SHB
24
Loan Book and Asset Quality
25
Commercial real estate
10 % Shipping
5 %
Oil, gas and offshore
6 %
Power and renewables
2 %
Healthcare
2 %
Public sector
2 %
Fishing and fish farming
2 %
Trade
3 %
Manufacturing
4 %
Technology, media and
telecom
2 %
Services
2 %
Residential property
5 %
Mortgages and other
exposures, personal
customers **)
51 %
Other corporate
customers
4 %
Loan Book EAD by Segments as of 30 September 2017
Including net non-performing and net doubtful loans and guarantees. Includes portfolio in the Baltics.
Exposures at default are based on full implementation of IRB. The portfolio banks and financial institutions is still subject to final IRB approval from the Norwegian
FSA (Finanstilsynet).
**) Of which mortgages 45 per cent.
26
Aiming to Reduce Volatility and Increase Profitability Through Rebalancing of the Portfolio
Reducing Exposure in Cyclical Industries USD billion
Rebalancing Between Large Corporates
and Personal Customers
21
11
2012 3Q17
Shipping
20
14
2014 3Q17
Oil, gas and offshore
46% 54%
Mortgages and other exposures, personal customers
Corporate loans
51% 49%
2Q 2015 3Q 2017
27
DNB’s Loan Book is Robust No Signs of Spill-over Effects to Other Loan Portfolios From the Oil-related Downturn
Personal customers EAD 1) in NOK billion
Corporate customers excl.
oil-related portfolio EAD 1) in NOK billion
Oil-related portfolio
EAD 1) in NOK billion
1) EAD = Exposure at default
726
173
16 2
Low risk Medium risk High risk Net non-
performing and
net doubtful
commitments
599
233
53 13
Low risk Medium risk High risk Net non-
performing and
net doubtful
commitments
31.03.2016 30.06.2016 30.09.2016 31.12.2016
31.03.2017 30.06.2017 30.09.2017
48 18
39 10
Low risk Medium risk High risk Net non-
performing and
net doubtful
commitments
Probability of default (per cent)
Low risk 0.01 – 0.75
Medium risk 0.75 – 3.00
High risk 3.00 - impaired
28
2%
7%
Currentmortgage rate
Mortgage rateincluding stress
test
Mortgage Lending in DNB is Based on Cash Flow
5
%
Willingness to repay the loan
Credit history
Capability of repaying the loan Including 5 per cent interest rate stress
Amortization requirement above 60 % LTV
Max 5x gross income
Collateral LTV max 85 %
Monthly behavior scoring of
borrowers
1.
2.
3.
4.
29
House Prices Fundamental Factors Explaining the Past House Price Increase
Norwegian House Prices
Source: Real Estate Norway, Statistics Norway
Completed housings less
growth in households
Source: Norges Bank, Statistics Norway
Nominal House Prices 2000-2017
Source: Eiendomsverdi AS
(member of the European AVM Alliance)
0
100
200
300
400
500
600
700
800
1985
1988
1991
1994
1997
2000
2003
2006
2009
2012
2015
Nominal prices
CPI-deflated prices
Income per capita-deflated prices
50
100
150
200
250
300
350
2000
2002
2004
2006
2008
2010
2012
2014
2016
Norway UK
Sweden Denmark
USA
-18,000
-16,000
-14,000
-12,000
-10,000
-8,000
-6,000
-4,000
-2,000
0
2,000
4,000
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
30
• House prices peaked in April 2017
• House prices are now 2.1 % lower than 12 months ago and on level with July 2016
• DNB expects a further modest house price drop in 2018
House Price Development in Norway and Oslo Prices are Now Back on July 2016 Levels
House Price Growth All-time-high = April 2017
As of December 2017
-6.7 %
-11.5 %
-2.1 %
-6.5 %
Norway Oslo
Since all-time-high (April 17)
Last 12 months (Dec 17)
Source: Eiendomsverdi AS
(member of the European AVM Alliance)
75
100
125
150
175
200
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
Norway Oslo
Source: Eiendomsverdi AS
(member of the European AVM Alliance)
House Price Growth 1 Jan 2007 = Index 100
31
Mortgage Lending Regulation Tightened Regulation from January 2017 has Impacted House Price Growth
• Max 5x gross income
• Max 85 % LTV
• 60 % for secondary home in Oslo
• Debt servicing capacity
• 5 percentage points interest rate increase
• Amortization requirement above 60 % LTV
• 2.5 % of approved loan or principal payment as for 30 year annuity
• Banks have some flexibility
• Banks can deviate in 10 % of mortgage applications each quarter
• In Oslo this flexibility is limited to 8 % 75
100
125
150
175
200
2014
2015
2016
2017
Norway Oslo
House Price Growth 1 Jan 2007 = Index 100
32
The Cover Pool is Robust Against House Price Declines
House Price Decline Current 10 % 20 % 30 %
WA Indexed LTV 52.8 % 58.7 % 66.0 % 75.4 %
Eligible OC 55.9 % 53.7 % 48.3 % 39.5 %
41%
50% 57%
0%
20%
40%
60%
2015 2016 sep. 17
OC above 50 %
LTV below 55 % (Weighted average)
Stresstest
55% 54% 53%
40%
50%
60%
70%
2015 2016 Sep. 17
33
A Very Robust Residential Loan Portfolio
18%
34%
30%
13%
6%
0-40 40-60 60-75 75-85 >85
Loan-to-Value (LTV) Per Cent of Residential Mortgage Book, 30 September 2017
- Includes mortgages in DNB Bank and DNB Boligkreditt
34
Oil-Related Portfolio Represents 5.9 % of Total EaD
6 %
8 %
7 %
11 %
Total loan portfolio – EaD NOK 1 930 billion Per cent, as at 30 September 2017
Oil-related portfolio – EAD NOK 114 billion 5.9 per cent of DNB’s total EaD as at 30 September 2017
3.8 %
2.2 %
2.8 %
1.0 %
2.2 %
• The oil-related portfolio has been reduced significantly
• Down from NOK 167.1bn (8.4 % of total EaD) in September 2015
Oil & Gas
Oilfield services
Offshore
35
48
18
39
10
Low risk Medium risk High risk Net non-performingand net doubtful
commitments
2 3
28
9
Low risk Medium risk High risk Net non-performingand net doubtful
commitments
Oil-Related Portfolio Offshore the Most Challenging Sector
DNB’s oil-related portfolio split by sub-segment in terms of exposure (EaD) and by risk grade
EaD: Exposure at Default, PD: Probability of default. Figures from Fact book as at 31 March 2017.
Based on DNB's risk classification system, where 1 represents the lowest risk and 10 the highest risk.
Total Oil related segments EaD in NOK billion
Offshore EaD in NOK billion
Oil and Gas EaD in NOK billion
Oilfield Service EaD in NOK billion
37
9 7 1
Low risk Medium risk High risk Net non-performingand net doubtful
commitments
10 6 4
1
Low risk Medium risk High risk Net non-performingand net doubtful
commitments
31.12.2015 31.03.2016 30.06.2016 30.09.2016
31.12.2016 31.03.2017 30.06.2017 30.09.2017
36
Offshore Exposure is 2.2 % of DNB’s Total Loan Portfolio
Total loan portfolio – EaD NOK 1 930 billion Per cent, as at 30 September 2017
2.2 %
1.1 %
0.7 %
0.4 %
Offshore exposure – EaD NOK 42 billion Per cent of DNB’s portfolio, as at 30 September 2017
Offshore Supply Vessels (OSV)
Other offshore
Rig
37
Shipping Exposure is 4.7 % of DNB’s Total Loan Portfolio The Shipping Portfolio is Well Diversified
6 %
8 %
7 %
11 %
Total loan portfolio – EaD NOK 1 930 billion Per cent, as at 30 September 2017
Shipping portfolio* – EaD NOK 91 billion Per cent of DNB’s total EAD, as at 30 September 2017
4.7 %
1.0 %
0.9 %
0.7 %
0.8 %
0.6 %
0.6 % Crude oil tankers
Dry bulk
Gas
Container
Other shipping
Chemical and product tankers
* Excluding offshore portfolio. Offshore is included in oil-related portfolio.
• The shipping portfolio has been reduced significantly
• Down from NOK 138.1bn (6.9 % of total EAD) in September 2015
38
Risk Classification and Migration DNB’s Shipping Book - Excluding Offshore
Shipping* – EaD distribution by PD bracket NOK billion
14
57
17
3
Low risk Medium risk High risk Net non-performing and net doubtful
commitments
31.12.2015 31.03.2016 30.06.2016 30.09.2016 31.12.2016 31.03.2017 30.06.2017 30.09.2017
* Numbers for the Shipping Offshore and Logistics Division excluding offshore
portfolio. Offshore is included in oil-related portfolio.
39
Previous Shipping Experience Provides Comfort
Accumulated shipping impairments, 2010-2014 Per cent of lending book
2.4
5.1
8.6
21.5
DNB (shipping) Nordic peer (shipping and offshore) Norwegian banks (shipping and pipe
transportation)*
European peer (Shipping)
*Aggregate numbers for Norwegian banks are from the 2009-2013 period (including DNB)
Source: DNB Markets, company reports. Presented at DNB CMD 2015.
40
Funding
41
DNB Funding Structure
79%
105%
2012 2013 2014 2015 2016 2017
Net Stable Funding Ratio (NSFR)
2.4
4.1
2008 2010 2012 2014 2016
Average Life of Long-term Funding
Senior debt and covered bonds, years
Ratio of Deposits to Net Loans
Per Cent
53 55
58
63 65 65
61 62
66 65 66
2009
2010
2011
2012
2013
2014
2015
2016
Q1 1
7
Q2 1
7
Q3 1
7
42
DNB is a Well Established International Borrower With a Strong Focus on Diversification of Funding Sources
• DNB Bank
• EMTN program of EUR 45 billion
• Samurai Shelf (JPY) JPY 500 billion
• USD 144A program USD 10 billion
• USCP program of USD 18 billion
• Yankee CD program of USD 15 billion
• ECP/CD program of EUR 15 billion
• DNB Boligkreditt (Covered Bonds)
• Covered Bond program of EUR 60 billion
• Covered Bond program of USD 12 billion
43
Issuance of Long Term Debt
2017 EURO bill Tenor
Covered Bonds 7.5 7.8
Senior Bonds 1.7 3.0
Sum 9.1 6.9
Tier 1 / Tier 2 1.1
Total 10.2
2016 EURO bill Tenor
Covered Bonds 7.0 7.7
Senior Bonds 2.8 5.7
Sum 9.8 7.1
Tier 1 / Tier 2 0.9
Total 10.7
2015 EURO bill Tenor
Covered Bonds 5.1 6.0
Senior Bonds 1.8 5.0
Sum 6.9 5.7
Tier 1 / Tier 2 1.3
Total 8.3
44
A Well Established International Covered Bond Issuer
Volume
Tenor
Maturity
EUR 1,500 mn 5 years 2018 – Jan
EUR 1,500 mn 5 years 2018 – Nov
EUR 1,500 mn 7 years 2019 – Jun
EUR 1,250 mn 5 years 2019 – Oct
EUR 1,250 mn 5 years 2020 – Oct
EUR 1,500 mn 5 years 2021 – Jan
EUR 1,500 mn 10 years 2021 – Jun
EUR 2,000 mn 5 years 2022 – Jan
EUR 2,000 mn 10 years 2022 – Mar
EUR 1,000 mn 10 years 2022 – Nov
EUR 1,500 mn 7 years 2023 – Apr
EUR 1,500 mn 7 years 2024 - Nov
EUR 1,500 mn 10 years 2026 – Sep
EUR 1,000 mn (FRN) 5 years 2019 – Jan
EUR 1,000 mn (FRN) 7 years 2021 – Nov
USD 2,000 mn 5 years 2018 - Mar
USD 1,250 mn 5 years 2020 - May
USD 1,500 mn 5 years 2022 - Mar
GBP 500 mn (FRN) 5 years 2020 - Feb
45
DNB Senior Curve
Volume
Tenor
Maturity
EUR 1,000 mn 10 years 2020 – Jun
EUR 2,000 mn 10 years 2021 – Feb
EUR 1,000 mn 10 years 2022 – Jan
EUR 750 mn 7 years 2023 – Feb
EUR 1,000 mn (FRN) 5 years 2019 – Jan
EUR 1,000 mn (FRN) 5 years 2020 – Jan
EUR 650 mn (FRN) 5 years 2020 – Aug
USD 1,250 mn 3 years 2020 – Oct
USD 1,250 mn 5 years 2021 – Jun
USD 500 mn (FRN) 3 years 2020 – Oct
USD 250 mn (FRN) 5 years 2021 – Jun
46
Funding Contacts
Long Term Funding: Short Term Funding:
• Thor Tellefsen
Senior Vice President, Head of Long Term Funding
Phone direct: + 47 24 16 91 22
Mobile: + 47 915 44 385
E-mail: [email protected]
• Håkon Røsand
Senior Vice President, Long Term Funding
Phone direct: + 47 24 16 91 27
Mobile: + 47 906 16 892
E-mail [email protected]
• Kristine Øvrebø
Senior Vice President, Long Term Funding
Phone direct: + 47 24 16 91 25
Mobile: + 47 916 08 005
E-mail: [email protected]
• Åsmund Midttun
Senior Dealer, Rates, FICC
Phone direct: +47 24 16 90 28
Mobile: +47 901 13 559
E-mail: [email protected] / [email protected]
• Erik Brække
Senior Vice President, Rates, FICC
Phone direct: +47 24 16 90 31
Mobile: +47 930 47 504
E-mail: [email protected] / [email protected]
• Stephen Danna
First Vice President, FX/Rates/Commodities, New York
Phone direct: +1 212 681 2550
Mobile: +1 646 824 0072
E-mail: [email protected] / [email protected]
https://www.ir.dnb.no/funding-and-rating
47
Appendix
Appendix A:
Cover Pool Portfolio Information and LCR
Eligibility
48
Future Updates On Cover Pool Developments
DNB has implemented the common Harmonised Transparency Template of
the European Covered Bond Council which is available on the DNB website.
Information about the cover pool of DNB Boligkreditt may be accessed via
DNB’s web page:
https://www.ir.dnb.no/funding-and-rating/cover-pool-data
Contacts DNB Boligkreditt AS:
- Per Sagbakken, CEO: [email protected] +47 906 61 159
Portfolio information is updated when DNB quarterly results are released
49
Cover Pool
Data
DNB Boligkreditt Covered Bonds – Cover Pool Data
Rating (Moody’s/S&P) Aaa/AAA
Cover Pool Size (million) 618,015
No. of Mortgages in the Cover Pool 416,869
Average Loan Balance (thousands) 1,483
Regulatory Overcollateralisation Requirement 2.0 %
Overcollateralisation 56.8 %
Weighted Average LTV (Indexed) 52.8 %
Pool statistics as of 30 September 2017. Cover pool reporting coincides with DNB quarterly financial reporting.
Stresstest
House Price Decline Current 10 % 20 % 30 %
WA Indexed LTV 52.8 % 58.7 % 66.0 % 75.4 %
Eligible Overcollateralisation 55.9 % 53.7 % 48.3 % 39.5 %
Cover Pool Sensitivity Analysis
50
Well diversified residential mortgage book within Norway
DNB Boligkreditt cover pool as of 30 September 2017
Eastern Norway 66 %
Western Norway 16 %
Northern Norway 8 %
Southern Norway 5 %
Mid- Norway 5 %
1.3 %
2.7 %
3.7 %
1.1 %
4.2 % 1.6 %
0.3 %
7.8 %
6.4 %
1.6 % 1.4 %
2.1 %
6.1 %
6.5 %
3.0 %
1.9 %
5.7 %
18.8 %
23.8 %
51
Portfolio Characteristics
Report date: 30.09.2017
Report currency: NOK
Key Characteristics Overcollateralisation
Total cover pool, nominal balance* (mill.) 618,015 Cover pool size:
Number of mortgages 416,869 Residential mortgages, loan balance (mill.) 618,015
Number of borrowers 350,133 Covered bonds outstanding (mill.) 394,057
Average loan balance (thousands) 1,483 Overcollateralisation 56.8 %
Outstanding covered bonds, nominal balance (mill.) 394,057
Substitute assets (% of total cover pool) 0.0
WA indexed LTV (%) 52.8
WAL of cover pool (contractual maturity in years) 12.7
WAL of outstanding covered bonds (extended maturity in years) 5.1
* All cover pool assets are denominated in NOK.
** Seasoning indicates the number of months since collateral for the loan was established.
Maturity Structure Cover Pool Maturity Structure Covered Bonds
Contractual maturity (years) Loan balance (mill.) % Extended maturity (years) Loan balance (mill.) %
≥ 0 ≤ 1 21,136 3.4 % ≥ 0 ≤ 1 6,276 1.6 %
1 ≤ 2 22,274 3.6 % 1 ≤ 2 51,162 13.0 %
2 ≤ 3 23,784 3.8 % 2 ≤ 3 42,100 10.7 %
3 ≤ 5 51,787 8.4 % 3 ≤ 5 116,588 29.6 %
5 ≤ 10 117,703 19.0 % 5 ≤ 10 151,795 38.5 %
> 10 381,331 61.7 % > 10 26,137 6.6 %
Total 618,015 100.0 % Total 394,057 100.0 %
Expected maturity (years) Loan balance (mill.) %
≥ 0 ≤ 1 52,816 13.4 %
1 ≤ 2 42,481 10.8 %
2 ≤ 3 50,810 12.9 %
3 ≤ 5 143,837 36.5 %
5 ≤ 10 78,228 19.9 %
> 10 25,884 6.6 %
Total 394,057 100.0 %
52
Portfolio Characteristics cont.
Loan Size Concentration Risk
Private individuals Loan balance (mill.) Number of loans %
≤ 1,000,000 79,045 182,255 10 largest exposures 0.2 %
> 1,000,000 ≤ 2,000,000 187,175 126,306 10 largest exposures excl. housing cooperatives 0.1 %
> 2,000,000 ≤ 3,000,000 155,226 63,675
> 3,000,000 ≤ 4,000,000 84,728 24,640 Property Types
> 4,000,000 ≤ 5,000,000 43,176 9,705 Loan balance (mill.) %
> 5,000,000 50,470 7,674 Residential 618,015 100.0 %
Total 599,818 414,255 Commercial 0 0.0 %
Other 0 0.0 %
Housing Cooperatives Loan balance (mill.) Number of loans Total 618,015 100.0 %
≤ 5,000,000 2,964 1,684
> 5,000,000 ≤ 10,000,000 3,115 433 o/w Housing Cooperatives / Multi-family assets 18,196 2.9 %
> 10,000,000 ≤ 20,000,000 4,392 310 o/w Forest & Agriculture 0 0.0 %
> 20,000,000 ≤ 50,000,000 4,786 151
> 50,000,000 ≤ 100,000,000 2,043 30 Occupancy Type
> 100,000,000 897 6 %
Total 18,196 2,614 Owner occupied 87.4%
Second homes / Holiday houses 0.4%
LTV buckets Buy to let / Non owner occupied houses 0.1%
Indexed LTV Loan balance (mill.) % Other 12.2%
≥ 0 ≤ 40 138,633 22.4 % Total 100.0%
40 ≤ 50 97,558 15.8 %
50 ≤ 60 139,928 22.6 % Repayment Type
60 ≤ 70 145,873 23.6 % %
70 ≤ 80 84,593 13.7 % Amortization 73.6 %
80 ≤ 90 7,475 1.2 % Interest only* 26.4 %
90 ≤ 100 2,119 0.3 % Total 100.0 %
>100 1,835 0.3 % *No principal payments for a limited period of time.
Total 618,015 100.0 %
53
Portfolio Characteristics cont.
Seasoning Non Performing
% Non performing loans 0.10 %
Up to 12months 19.7 %
≥ 12 - ≤ 24 months 15.6 % Arrears
≥ 24 - ≤ 36 months 12.7 % ≥ 30 - < 60 days 0.11 %
≥ 36 - ≤ 60 months 16.2 % ≥ 60 - < 90 days 0.03 %
≥ 60 months 35.7 % ≥ 90 - < 180 days 0.03 %
Total 100.0 % ≥ 180 days 0.07 %
Interest Rate Type
Fixed Rate 6.9 %
Floating Rate 93.1 %
Geographical Distribution
Loan balance (mill.) % Eastern Norway: 66 %
Østfold 35,521 5.7 % Western Norway: 16 %
Akershus 116,345 18.8 % Northern Norway: 8 %
Oslo 147,037 23.8 % Southern Norway: 5 %
Hedmark 11,439 1.9 % Mid-Norway: 5 %
Oppland 18,468 3.0 %
Buskerud 37,537 6.1 %
Vestfold 39,991 6.5 %
Telemark 12,853 2.1 %
Aust-Agder 8,590 1.4 %
Vest-Agder 9,910 1.6 %
Rogaland 39,739 6.4 %
Hordaland 48,433 7.8 %
Sogn og Fjordane 1,700 0.3 %
Møre og Romsdal 9,777 1.6 %
Sør-Trøndelag 25,862 4.2 %
Nord-Trøndelag 7,064 1.1 %
Nordland 22,758 3.7 %
Troms 16,836 2.7 %
Finmark 8,144 1.3 %
Svalbard 9 0.0 %
Total 618,015 100.0 %
54
Cover Pool Sensitivity Analysis and Overcollateralisation History
Cover Pool Overcollateralisation History
Latest overcollateralisation requirement
for AAA/Aaa rating:
• S&P: 16.0 %
• Moody’s: 0 %
Stresstest - House price decline
House price decline Current 10 % 20 % 30 %
Total cover pool balance (nominal, NOKbn) 618,015 618,015 618,015 618,015
WA indexed LTV (%) 52.8 58.7 66.0 75.4
Eligible cover pool balance (nominal, NOKbn) 614,509 605,572 584,517 549,529
Total outstanding covered bonds (nominal, NOKbn) 394,057 394,057 394,057 394,057
Eligible overcollateralization 55.9 % 53.7 % 48.3 % 39.5 %
0.0 %
10.0 %
20.0 %
30.0 %
40.0 %
50.0 %
60.0 %
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Actual OC Rating requirements
55
Net Non Performing Loans in DNB Boligkreditt AS
0.00%
0.10%
0.20%
0.30%
90+ days Arrears
9 bp
56
Covered Bonds Issued by DNB Boligkreditt AS Qualifies for Level 1-Assets Pursuant to LCR-regulation (Slide 1 of 2)
Covered bonds issued by DNB Boligkreditt AS fulfil the requirements to qualify as
Level 1-assets pursuant to Commission Delegated Regulation (EU) 2015/61
regarding liquidity coverage requirement for credit institutions (“LCR-regulation”).
With reference to Article 10(1)(f) of the LCR-regulation, DNB Boligkreditt AS
confirms the following:
• Covered bonds issued by DNB Boligkreditt AS meet the requirements to be
eligible for the treatment set out in Article 129(4) of Regulation (EU) No
575/2013 (“CRR”) and the requirements referred to in Article 52(4) of Directive
2009/65/EC, cf. the European Commission’s website:
http://ec.europa.eu/finance/investment/legal_texts/index_en.htm
• The exposures to institutions in the cover pool meet the conditions laid down
in Article 129(1)(c) and in Article 129(1) last subparagraph of CRR
57
Covered Bonds Issued by DNB Boligkreditt AS Qualifies as Level 1-Assets Pursuant to LCR-regulation (Slide 2 of 2)
With reference to Article 10(1)(f) of the LCR-regulation, DNB Boligkreditt AS
confirms the following (cont.):
• DNB Boligkreditt AS gives the information required in Article 129(7) of CRR
to its investors
• Covered bonds issued by DNB Boligkreditt AS are assigned a credit
assessment by a nominated ECAI which is at least credit quality step 1 in
accordance with Article 129(4) of CRR, and the equivalent credit quality step
in the event of short term credit assessment
• The cover pool does at all times meet an asset coverage requirement of at
least 2 % in excess of the amount required to meet the claims attaching to
the covered bonds issued by DNB Boligkreditt AS
58
ECB Eligibility and CRD-Compliance of Covered Bonds Issued by DNB Boligkreditt AS
• All covered bonds issued by DNB Boligkreditt AS fulfil the eligibility criteria for
marketable assets set by the Eurosystem and are thus eligible for Eurosystem monetary
policy operations.
• The Eurosystem set additional criteria for own use of eligible instruments in the
Eurosystem monetary policy operations. In the case of covered bonds, the instruments
must be issued in accordance with the criteria set out in Part 1, points 68 to 70 of Annex
VI to Directive 2006/48/EC. The covered bonds issued by DNB Boligkreditt AS fulfil these
criteria, but the Eurosystem has not checked the fulfilment of these conditions for
Norway, since Norway is not part of the EU. Therefore, covered bonds issued by DNB
Boligkreditt AS are marked with a "N/A" what regards ‘own-use covered bonds’ in ECB's
eligible asset database.
• DNB Boligkreditt AS confirms that the covered bonds it issues are compliant with
the CRD-requirement set forth in the Eurosystem guidelines. In addition, DNB
Boligkreditt AS confirms that it gives the information required in Regulation (EU) No
575/2013 ("CRR") article 129 (7) to its investors, so that the covered bonds issued by DNB
Boligkreditt AS are eligible for the preferential treatment set out in CRR article 129 (4).
59
Appendix
Appendix B:
Digitalization/Vipps
60
Strategic Partnership to Fend Off International Competition
105 Norwegian banks rally around the Vipps payment platform, while an additional four banks have a distribution agreement
109 out of 128
Norwegian banks
are distributing
Vipps
Vipps – a single, strong and distinct payment service
provider
Two main bank-backed competitors in the mobile payment
market have terminated their operations
Norwegian banks stand united behind the Vipps platform;
ensures strong distribution
Vipps spun off as an autonomous joint venture
105 banks as owners
Four banks with distribution agreements
DNB as the majority shareholder
61
Norway Loves Vipps
95%
The fastest growing brand in Norway
Brand recognition
Growth in user base by age group
Source: Statistics Norway
60+
15-29
40-49
50-59
30-39
Per cent of population Age group
2017 2016
79%
62%
76%
57%
50%
71%
41%
14%
63%
29%
62
Expanding from a P2P service to a leading payment platform
Strong link between P2P customer base and
P2B attractiveness
61 per cent of the Norwegian population (above the age
of 15) is using Vipps P2P
>45 000 businesses, associations and sports clubs accept
payments via Vipps P2B
InStore solution in pilot with McDonalds
22 per cent of transactions are generating fees
Expanding to the Nordics
Ambition to make Vipps the preferred payment partner for
companies operating across the Nordics
Will make our technological platform available across the
Nordics
1.8
1.4
0.6
0.2
2.2
2.6
1.0
P2P users (lhs)
Fee-based transactions, per cent (P2B share of total transactions)
5%
15%
25%
35%
45%
May15 Sept.15 Jan.16 May16 Sept.16 Jan.17 May17 Sept.17
Vipps roadmap
P2P eCom Invoice Spinoff
Leveraging on a strong P2P customer base to increase the number of fee-based transactions
22%
2.6
P2B InStore
Active users, million
Highlights
Settle
63
Appendix
Appendix C:
The Norwegian Mortgage Market
64
The Norwegian Residential Mortgage Market
• Nearly 80% of Norwegians own their home: • Few mortgages are buy-to-let.
• Norway is primarily a floating interest rate market: • The large majority of mortgages originated by DNB are floating rate.
• Rates on floating rate mortgages can be reset at any time and at the bank’s own
discretion, by giving debtors six weeks’ notice.
• Loans are normally underwritten with a term of 15-25 years: • Average size for new mortgages originated by DNB is approximately NOK 1,000,000
(EUR 110,000).
• In Norway, all borrowing costs are deductible from taxable income at
the current rate of 24 %: • Households are therefore better able to withstand an increase in interest rates.
Source: Finance Norway - FNO
65
Appendix
Appendix D:
Capital and Tier 1
66
Capital Adequacy Across the Key Relevant Entities
DNB has to meet all capital requirements on DNB ASA group level (“DNB”), DNB Bank Group level
(“DNB Bank Group” ) and DNB Bank ASA solo level (“DNB Bank”)
16.3 % 16.3 %
18.4 % 19.6 %
20.6 %
23.7 %
DNB DNB Bank Group DNB Bank ASA
CET1 Total Capital Ratio
CET1 and Total Capital Ratio Transitional rules, per 30.09.17
67
DNB versus Nordic peers: S&P RAC Ratio
13.0
12.4
10.7 10.5 10.4
9.9
DNB Swedbank Nordea Danske Bank SHB SEB
S&P Risk Adjusted Capital Ratios (RAC Ratios) 31 December 2016
68
Overall Capital Requirements under SREP
• Pillar 1 capital requirements in Norway consist of minimum requirements and
combined buffer requirements
• As a result of the SREP, the supervisors may decide on additional capital add-on (pillar
2), which together with the pillar 1 requirements form the Overall capital
requirement
• If there is a breach of the combined buffer requirements under Pillar 1, there will be
automatic restrictions on dividends etc. (ref. CRD IV article 141)
• However a breach of the Overall capital requirement under SREP will not cause
automatic restrictions:
• The Bank will have to present a plan to the NFSA how to restore the capital ratios
• If the plan is not sufficient, the NFSA will consider other measures.
• The measures will depend on the reasons behind the breach
69
Pillar 2 not Included in the MDA Trigger Level in Norway
MDA restrictions will only apply if there is a breach of the
Pillar 1 requirements
(Minimum capital requirements + Combined buffer requirements)
Pillar 2 requirements in Norway do not influence the MDA
trigger level
• Stated in a letter from the Ministry of Finance dated 15 January 2016
• Confirmed by the NFSA in a response letter dated 15 February 2016, and stated in a
circular from the NFSA dated 27 June 2016
70
DNB’s Solid Profitability Should Ensure AT1 Coupon Payments
Dividend payments on ordinary shares and coupon
payments on Additional Tier 1 (AT1) instruments are at the
discretion of the issuer
* Statement given at the DNB Capital Markets Day (27 November 2014)
31.9
23.4
0.1 0.5 1.0 1.0 1) 2.9
7.3 9.3
0
5
10
15
20
25
30
35
40
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Profit Before Tax AT1 Coupon Payments Dividend
DNB will give due consideration to
the capital hierarchy and look to
preserve the seniority of claims
going forward*
1) Estimated AT1 coupon payments.
71
Leverage Ratio Requirement
• Norwegian leverage ratio requirement effective as from 30 June 2017:
• Minimum leverage ratio 3 % 1)
• Bank requirement 2 %
• SIFI requirement 1 %
Total SIFI/DNB requirement 6 %
• As at 30 September 2017, DNB Group reported a leverage ratio of 7.1 %
Well above regulatory requirement
• A breach of the leverage ratio requirements will not trigger automatic
restrictions on AT1 coupon payments.
• If there is a breach of the leverage ratio requirement, the financial
institution will have to present to the NFSA a plan how to restore the
leverage ratio.
Regulation dated 20 December 2016
1) Requirement for credit institutions such as DNB Boligkreditt AS.
72
The DNB Bank Group will need to record a significant net loss in order to reach the MDA trigger level
Average profit before loan losses 2014 – 2016: NOK 31.2 bn
+ Buffer to MDA: (16.3 % - 13.6 %): NOK 28.5 bn
= “Loan loss capacity” 12 month horizon NOK 59.7 bn
Note:
“Loan loss capacity” in per cent of net loans: 3.9 per cent.
73
ADI – Available Distributable Items
• Items available for distribution is defined in the Norwegian Public Limited
Company Act:*
Following this definition the ADI level is calculated as follows:
ADI = total equity – share capital – fund for unrealized gains
DNB Bank ASA (31 December 2016):
ADI = NOK 168bn – 18bn – 2bn = NOK 148bn
=> Due to the significant amount available for distribution, we don’t assess the
ADI as a potential restriction for coupon payments.
74
Appendix
Appendix E:
Additional Slides
- Financial performance and Other information
75
Strong improvement in key figures
Cost/income ratio Per cent
Return on equity 2)
Per cent Earnings per share
NOK
Profits affected by:
‒ Gains of NOK 754 million related to the demerger of Vipps 1)
‒ Negative exchange rate effects of NOK 624 million related to AT1 capital
1) Net gains on fixed and intangible assets
2) Return on equity is calculated on the assumption that additional Tier 1 capital is classified as a liability
8.5
10.4 11.2
3Q16 2Q17 3Q17
40.6 43.1 42.7
3Q16 2Q17 3Q17
2.43
3.07 3.34
3Q16 2Q17 3Q17
76
Income Statement
Jan.-Sep. Jan.-Sep.
Amounts in NOK million 3Q17 2Q17 3Q16 2017 2016
Net interest income 9 007 9 031 8 481 26 559 25 738
Net commissions and fees 2 150 2 161 2 016 6 384 6 143
Net gains on financial instruments at fair value 1 065 982 1 411 2 855 4 824
Net financial and risk result, DNB Livsforsikring 335 454 154 1 029 432
Net insurance result, DNB Forsikring 176 189 148 519 467
Other operating income 197 196 200 517 1 957
Net other operating income, total 3 922 3 982 3 929 11 303 13 823
Total income 12 929 13 014 12 409 37 863 39 561
Operating expenses (5 321) (5 518) (5 042) (16 082) (15 481)
Restructuring costs and non-recurring effects (199) (97) (1) (493) (658)
Pre-tax operating profit before impairment 7 409 7 399 7 366 21 288 23 421
Net gains on fixed and intangible assets 750 17 20 773 (7)
Impairment of loans and guarantees (867) (597) (2 176) (2 026) (5 672)
Pre-tax operating profit 7 292 6 819 5 209 20 035 17 743
Tax expense (1 677) (1 568) (1 130) (4 608) (3 850)
Profit from operations held for sale, after taxes 33 (14) 1 2 (22)
Profit for the period 5 648 5 237 4 080 15 429 13 871
Profit attributable to shareholders 5 430 5 000 3 952 14 734 13 513
77
Higher Net Impairments due to Lower Reversals
1) Not adjusted for the reorganisation in September
Stabilising economic
conditions in shipping
and oil-related
industries
Continued positive
trend in collective
impairment
Jan.-Sep. Jan.-Sep.
Amounts in NOK million 3Q17 2Q17 2017 2016
Personal customers (60) (84) (109) 265
- Mortgage loans (2) (7) (47) 493
- Other exposures (58) (77) (61) (228)
Small and medium-sized enterprises (135) (156) (360) (755)
Large corporates and international customers 1)
(791) (313) (1 533) (3 211)
- Shipping, Offshore and Logistics Division (238) (176) (876) (2 144)
- Energy Division (189) (173) (368) (888)
- International Corporates Division (238) 2 (231) 80
- Nordic Corporates Division (94) (66) (108) (174)
- Other units (32) 99 50 (86)
Total individual impairment (985) (553) (2 003) (3 700)
Total collective impairment of loans 118 (44) (24) (1 971)
Impairment of loans and guarantees (867) (597) (2 026) (5 672)0 0 0 0
Total impairment in relation to average volumes, annualised (0.22) (0.15) (0.17) (0.49)
78
Balance Sheet
30 Sep. 30 June
Amounts in NOK billion 2017 2017
Cash and deposits with central banks 326 266
Due from credit institutions 156 161
Loans to customers 1 536 1 552
Other assets 749 745
Total assets 2 767 2 723
Due to credit institutions 246 216
Deposits from customers 1 010 1 009
Short-term debt securities issued 183 157
Long-term debt securities issued 573 602
Other liabilities and provisions 544 533
Additional Tier 1 capital 16 16
Other equity 195 191
Total liabilities and equity 2 767 2 723
Ratio of deposits to net loans (%) 65.8 65.0
Adjusted ratio of deposits to net loans (%) 1)
61.8 62.1
Total combined assets 3 076 3 026
Currency-adjusted loans to customers 1 544 1 545
Currency-adjusted deposits from customers 1 018 1 004
Liquidity coverage ratio 118 123
DNB Group
1) Excluding short-term money market deposits
DNB is well positioned for regulatory changes
*Bank Recovery and Resolution Directive 79
Implications of IFRS 9 and BRRD* for DNB Other regulatory changes
IFRS 9
BRRD* MiFID II
BASEL IV
The EU transitional rules will be reflected in similar Norwegian
regulations and thus have very limited effects on the CET1 ratio
An estimate of full implementation of IFRS 9 from 1 January
2018 would give a reduction in equity of NOK 3.0-4.0 billion,
corresponding to a 20-30 bps reduction in the CET1 ratio
The sum of the deposit guarantee fund levy and the
resolution fund fee is estimated to reduce NII by around
NOK 400 million from 2019
MiFID II is expected to increase pre- and post-trade
transparency in the markets
DNB Markets is well positioned as a regional and industry
specialist and has a leading position in Norway
Basel IV is not expected to have any material effect on total
RWA due to the Norwegian version of the Basel I floor
More level playing field with respect to risk weights and capital
requirements
80
Oil Price - Assumptions from DNB Markets (Aug 2017)
81
Appendix
Appendix F:
Terje Turnes - CRO
- Presentation Capital Markets Day 2017
– Improved overall portfolio quality
– Robust mortgage book
– De-risked oil-related portfolio
– Reduced and stabilised risk after rebalancing of the large corporate portfolio
Reduced and stabilised risk after rebalancing of the large corporate portfolio
High portfolio quality
Terje Turnes – CRO
45%
4%
23%
6%
5%
10%
7%
Residential mortgages Manufacturing
Other corporate customers Oil, gas, oilfield services and offshore
Shipping Commercial real estate
Consumer finance
Portfolio quality back to pre-2016 levels
0.94
0.91
Dec.
2012
Dec.
2013
Dec.
2014
Dec.
2015
Dec.
2016
Mar.
2017
June
2017
Sept.
2017
83
Well-diversified portfolio – concentration risk reduced 30 September 2017
Probability of default – DNB Group Per cent of EAD, excluding non-performing and doubtful loans
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
Dec.
2012
Dec.
2013
Dec.
2014
Dec.
2015
Dec.
2016
Mar.
2017
June
2017
Sept.
2017
Norway Oslo
Robust mortgage portfolio
76%
19%
4%
1%
<1%
71%
21%
6%
1%
<1%
0% 20% 40% 60% 80%
0-40%
40-60%
60-75%
75-85%
85-100%
Norway Oslo
84
Low and stable probability of default for mortgages Per cent of EAD, excluding non-performing and doubtful loans
Loan-to-value ratio provides significant buffers Marginal LTV distribution as at 30 September 2017
0
0.2
0.4
0.6
0.8
1
1.2
1.4
2012 2013 2014 2015 2016 Sept. 2017
Total* Large corporates*
General corporate* portfolio quality improving – Healthy and stable residential and commercial real estate portfolios
*All segments excl. shipping, oil & gas, commercial real estate and residential real estate
85
Stable probability of default Per cent of EAD, excluding non-performing and doubtful loans
Robust residential and commercial real estate portfolios PD, per cent of EAD, excluding non-performing and doubtful loans
0
0.2
0.4
0.6
0.8
1
1.2
1.4
2012 2013 2014 2015 2016 Sept. 2017
Commercial real estate Residential building loans
Rebalancing in the large corporate segment results in a less cyclical portfolio – Only 2.2 per cent of DNB’s portfolio is exposed to the offshore industry
86
Total loan portfolio – EAD NOK 1 895 billion As at 30 September 2017
Reduced exposure in cyclical industries Exposure at default, NOK billion
166
134
118
92
Oil, gas and offshore
Shipping
2015 Sept. 2017
2015 Sept. 2017
45%
4%
23%
3.8%
2.2%
4.8%
10%
7%
Residential mortgages Manufacturing
Other corporate customers Oil, gas and oilfield services
Offshore Shipping
Commercial real estate Consumer finance
Revised impairment guiding up to year-end 2018
87
Impairment approaching normalised levels Impairment guiding 2016-2018
1 000
2 000
2 500
500
0
-500
3 000
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1 500
Net individual impairment
Total impairment in relation to average volumes, annualised
Reassessed impairment and recoveries
Change in collective impairment
2017-2018: Around 17 basis points of EAD
Impairment levels will vary from quarter to quarter
3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17
88
Disclaimer
• This material has been prepared on the basis of the information provided by DNB Bank ASA (referred to as "DNB Bank") and public available sources. DNB ASA – the holding company of the DNB group is referred to as "DNB " in this presentation.
• This material is presented solely for information purposes and is not to be construed as a solicitation or an offer to buy or sell any securities or related financial instruments and should not be treated as giving investment advice. It has no regard to the specific investment objectives, financial situation or particular needs of any recipient. No representation or warranty, either express or implied, is provided in relation to the accuracy, completeness or reliability of the information contained herein. It should not be regarded by recipients as a substitute for the exercise of their own judgment. Any opinions expressed in this material are subject to change without notice and DNB Bank is not under any obligation to update or keep current the information contained herein. In addition, institutions mentioned in this material, their affiliates, agents, directors, partners and employees may make purchases and/or sales of the Notes as principal or agent or may act as market maker or provide investment banking or other services in respect of the Program or the Notes which may be issued from time to time thereunder. DNB, the Arranger and the Dealers and their respective affiliates, agents, directors, partners and employees accept no liability whatsoever for any loss or damage of any kind arising out of the use of all or any part of this material.
• The Notes are not to be offered or sold in any jurisdiction in circumstances in which the distribution of this document or the Notes would be prohibited in such jurisdiction. This document must not be acted on or relied on by persons who are not eligible to invest in the Notes. Any investment or investment activity to which this communication relates is available only to persons eligible to invest in the Notes and will be engaged in only with such persons.
• Furthermore, you should consult with your own legal, regulatory, tax, business, investment, financial and accounting advisers to the extent that you deem it necessary, and make your own investment, hedging and trading decisions (including decisions regarding the suitability of an investment in the Notes which may be offered from time to time) based upon your own judgment and advice from such advisers as you deem necessary and not upon any view expressed in this presentation.