Credit flash. Ændringer af anbefalinger på Nordiske bankhybrider. Investeringsanalyse

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1 : TDCDC 6,5% 2012 EUR 713 mio. seniorgæld Moody's/S&P (senior) Ba3/BB- Kurs EUR 105,75 Credit flash Effektiv rente til udløb 3,70% Spænd til stat 270bp Ændringer af anbefalinger på Nordiske bankhybrider Sælg Investeringsanalyse Vi ændrer anbefaling på følgende hybrider: Danica EUR 4,35% call 2011 fra Køb til Hold DnB NOR USD 7,729% call 2011fra Køb til Hold Nordea USD 8,375% call 2015 fra Hold til Salg Vi tager dækning af: DnB NOR GBP 6,0116% call 2017 Køb Af senioranalytiker Jan Høgskilde, jhk@nykredit.dk, Vurdering og anbefaling Vi vurderer, at enkelte hybrider i vores univers nu er sådan prissat, at vi ændrer vores anbefaling. I løbet af de seneste måneder er kursen på en række hybrider steget pænt. Det gør, at investor bør overveje, om det ikke er tid at hjemtage profit på nogle udvalgte papirer, hvor yderligere potentiale ikke er til stede. På den baggrund ændrer vi anbefaling på nedenstående tre obligationer. Danica Pension EUR 4,35% call (Danske Bank) : Vi ændrer anbefaling til hold. Bemærk: Obligationen handler tæt mod kurs 100. Der vil derfor være begrænset up-side i kursen, og call er om seks måneder. Vi forventer, at Danske Bank udnytter denne call til at indfri obligationen. Hybridobligationen er et Tier 2-instrument, og rentebetaling kan ikke frivilligt fravælges af banken. Vi vurderer ikke, at obligationen vil kvalificere til de nye Basel III-regler. DANPEN 4,35% perp. XS EUR 400 mio. Tier 2 Første call-dato 6. oktober 2011 NR/BBB+ neg./nr Kurs EUR 99,50 Effektiv rente til call 5,3% 419bp Direkte rente 4,4% 3M Euribor +208bp Hold DnB NOR USD 7,729% call : Vi ændrer anbefaling til Hold. Bemærk: Hybridobligationen handler omkring kurs 100, hvorfor der ikke er udsigt til yderligere gevinst. Investor bør overveje sin holdning til valutakursen og dermed måske overveje et salg af hybridobligationen. Som det ses i tabellen har hybridobligationen call i juni. DNBNOR 7,729% perp. XS USD 400 mio. hybridkapital Første call-dato 29. juni 2011 Baa3 sta./bbb+/nr Kurs USD 101 Effektiv rente til call 2,9% 286bp Direkte rente 7,6% 3M USD Libor +272bp Hold Nordea USD 8,375% call : Vi ændrer anbefaling til Sælg Bemærk: Kursen på denne hybridobligation nærmer sig 110, og hybridobligationen vil efter vores vurdering ikke kvalificere sig til Basel III-reglerne. Idet obligationen ikke indeholder en Make Whole kan banken kalde en Capital Event og nøjes med at give investor kurs 100. En Capital Event kan udløses fra 1. januar 2013, når hybridobligationen begynder at amortisere med 1/10 del pr. år jf. Basel III reglerne. NBHSS 8,375% perp. XS USD mio. hybridkapital Første call-dato 25. marts 2015 Baa2 sta./a- sta./a sta. Kurs USD 109,375 Effektiv rente til call 5,9% 337bp Direkte rente 7,6% 5Y US Tbill +598,5bp Sælg DnB NOR GBP 6,012% call 2017 : Vi indleder dækning med køb Bemærk: Hybridobligationen har først call i 2017, mens den allerede fra 1. januar 2013 vil begynde at miste værdi som Tier 1- kapital, idet den ikke lever op til de nye Basel III-regler. Banken vil derfor kunne kalde en Capital Event, men da dokumentationen indeholder en Make Whole, er investor sikret at blive godtgjort ved en sådan call. Så DnB NOR står med en af tre muligheder: 1) Banken kan kalde en Capital Event efter 1. januar 2013 og betale den dermed forbundne Make Whole.

2 2) Banken kan vente med at udnytte call til 2017, hvor hybridobligationen kun vil have en værdi på 50% som Tier 1-kapital. 3) Banken kan inden 2017 gennemføre et tilbagekøbstilbud, som investor så kan tage imod eller lade være. Uanset hvilken af de ovennævnte tre muligheder banken måtte vælge, er vores anbefaling Køb, hvis investor i øvrigt er komfortabel med en investering i GBP. Bemærk at denne hybridobligation er forholdsvis illikvid. DANBNK 5,684% perp. XS GBP 500 mio. hybridkapital Første call-dato 15. februar 2017 Baa3 sta./bb+ neg./a- sta. Kurs GBP 92 Effektiv rente til call 7,3% 443bp Direkte rente 6,2% 3M GBP Libor +170bp Køb DNBNOR 6,0112% perp. XS GBP 350 mio. hybridkapital Første call-dato 29. marts 2017 Baa3/BBB+ Kurs GBP 101 Effektiv rente til call 5,7% 286bp Direkte rente 6,0% 3M GBP Libor +169,5bp Køb Alternativ i USD Danske Bank USD 5,914% call 2014 Hvis investor fortsat ønsker eksponering i USD efter call af DnB NOR og salg af Nordea, vil vores anbefaling være Danske Bank USD 5,914%. Denne hybridobligation kvalificerer ikke til de fremtidige Basel III- regler, og banken forventes derfor at udnytte call i DANBNK 5,914% perp. USK22272CP99 USD 750 mio. hybridkapital Første call-dato 16. juni 2014 Baa3 sta./bb+ neg./a- sta. Kurs USD 98,5 Effektiv rente til call 6,4% 511bp Direkte rente 6,0% 3M USD Libor +166bp Køb Alternativ i GBP Danske Bank GBP 5,683% call 2017 Et alternativ til investering i DnB NOR GBP 6,012% kunne være Danske Bank 5,683% med call i Hybridobligationen er kendetegnet ved, at den er udstedt under et gammelt prospekt, der ikke indeholder en Capital Event, hvorfor banken må vælge enten at lade obligationen løbe til call, hvor den kun vil have en værdi på 50% i bankens kapitalregning, eller give investor et tilbagekøbstilbud. Samtidig er hybridobligationen fra Danske Bank noget mere likvid end DnB NOR hybriden i GBP.

3 Overview of rating categories Moody's S&P Comments Investment grade: Non-investment grade: Aaa Aa A Baa Ba B Caa Ca C Default AAA AA A BBB BB B CCC CC C Default Obligations rated Aaa are judged to be of the highest quality with minimal credit risk Obligations rated Aa are judged to be of high quality and are subject to very low credit risk Obligations rated A are considered upper-medium grade and are subject to low credit risk Obligations rated Baa are subject to moderate credit risk. They are considered medium-grade and as such may possess certain speculative characteristics Obligations rated Ba are judged to have speculative elements and are subject to substantial credit risk Obligations rated B are considered speculative and are subject to high credit risk Obligations rated Caa are judged to be of poor standing and are subject to very high credit risk Obligations rated Ca are highly speculative and are likely to be in, or very near, default with some prospect of recovery of principal and interest Obligations rated C are the lowest rated class of bonds and are typically in default with little prospect of recovery of principal or interest Note: Moody's appends numerical modifiers 1, 2 and 3 to each generic rating classification from Aa through Caa. The modifier 1 indicates that the obligation ranks in the higher end of its generic rating category. Modifier 2 indicates a mid-range ranking. Modifier 3 indicates a ranking in the lower end of that generic rating category. S&P also appends modifiers to the rating categories Aa through Caa, where + corresponds to 1 and corresponds to 3. DISCLOSURE Investment research and marketing material Research available to the public or distribution channels produced by Nykredit Markets's analysts is considered as investment research. Recommendations to the public or distribution channels concerning financial instruments not produced by Nykredit Markets's analysts are not considered as investment research, and no prohibition applies to trading in any financial instruments referred to in the material prior to distribution. Such recommendations are considered as marketing material. Recommendation and risk assessment structure of corporate bonds Nykredit Markets does not cover a predefined corporate bond universe on a continuous basis but focuses research on the identification of specific attractive investment opportunities. Consequently, the majority of issued recommendations will be recommendations to buy. Corporate bond recommendations Our recommendations are absolute, but are also expressed relative to the German government bond market. BUY: HOLD: SELL: We consider the pricing of the bond issue to be too low and expect the return to be positive and higher than that of German government bonds within the next three to six months. We consider the bond issue to be fairly priced and expect the return to be level with that of German government bonds within the next three to six months. We consider the pricing of the bond issue to be too high and expect the return to be lower than that of the peer group within the next three to six months.

4 Corporate bonds OVERWEIGHT: We expect the sector return to be positive and higher than that of German government bonds within the next three to six months. NEUTRAL: We expect the sector return to be on a par with that of German government bonds within the next three to six months. UNDERWEIGHT: We expect the sector return to be lower than that of German government bonds within the next three to six months. Credit risk assessment The risk assessment of non-rated companies is based on individual analyses and therefore reflects Nykredit Markets's subjective attitude towards the individual company/bond issue. The credit risk assessment of companies rated by either Moody's or S&P is reflected in the rating in question. SPECULATIVE: HIGH: MEDIUM: LOW: Issues rated from Caa to C by Moody's. Issues rated from CCC to C by S&P. Issues rated from Ba1 to B3 by Moody's. Issues rated from BB+ to B- by S&P. Issues rated from Baa1 to Baa3 by Moody's. Issues rated from BBB+ to BBB- by S&P. Issues rated from Aaa to A3 by Moody's. Issues rated from AAA to A- by S&P. Distribution of recommendations The distribution of direct investment recommendations made by Nykredit Markets in investment research on corporate bonds published within the past quarter appears from the figure below. The share of issuers within each category of investment recommendation on whose behalf Nykredit Bank has carried out significant investment bank transactions in the past 12 months is also seen below. Distribution of direct investment recommendations in investment research on corporate bonds published in Q1/2011. Hold 12% Sell 18% Buy 70% The share of issuers within each category above on whose behalf Nykredit Bank A/S has carried out significant investment bank transactions in the past 12 months: Sell 0% Buy 0% Hold 0%

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