Fremtidssikring af dansk realkredit en udsteders perspektiv

Fremtidssikring af dansk realkredit en udsteders perspektiv Vicedirektør, head of group treasury Henrik Hjortshøj-Nielsen Den Danske Finansanalytikerforening, 12. december 2013

Agenda 1 Refinansieringsrisiko 2 Afdragsfrihed 3 EU krav 4 2

Hvornår er refinansieringsrisiko relevant? Valutakrise Er refinansiering eller variabel rente det største problem? Krise i et specifikt institut Finanstilsynet Finansiel Stabilitet Nationalbanken Ombytning af obligationer Markedskrise 2008 var den ultimative test 6 5 4 Bid-to-cover på Nykredits RTL-auktioner men Danmark var i en meget gunstig økonomisk position 3 2 Næste gang kan være anderledes jf. S&P 1 0 mar/yy sep/yy dec/yy mar/yy sep/yy dec/yy mar/yy sep/yy dec/yy mar/yy sep/yy dec/yy mar/yy sep/yy dec/yy mar/yy sep/yy dec/yy mar/yy aug/yy 3

Sektoren er i gang med at reducere refinansieringsvolumen Realkreditinstitutterne har lanceret nye CITA-lån som alternativ til F1-lån Renten er baseret på 6M Cita Nykredits låneportefølje 13% 2% 24% Funding target på 3-6 års løbetider 13% Fleksibel funding, hvor realkreditinstituttet hjemtager refinansieringsbeslutningen 27% 12% 9% 1Y ARM 5Y ARM Floating Rate Others 3Y ARM Fixed rate Capped Floating 4

Hvordan håndteres refinansieringsrisiko? Særligt efter december auktionen i 2008 opstod tanken, "hvad nu hvis"? Hvad nu hvis det ikke var lykkedes at sælge obligationerne? Det korte svar er, at Nationalbanken - som for banker - vil være lender-of-last resort, hvis der er tale om et solvent realkreditinstitut, der kan stille passende sikkerhed. Realkreditobligationer, også institutternes egne udstedte obligationer, er i dag en del af Nationalbankens belåningsgrundlag, dvs. at realkreditinstitutterne kan belåne dem i Nationalbanken. Det er en mulighed, som vil inddæmme et scenarie, hvor der måtte opstå afsætningsproblemer. MEN det betyder ikke, at det er hensigtsmæssigt med en forretningsmodel i private finansielle selskaber, der er baseret på Nationalbanken som back-stop. Det er ikke en holdbar løsning. Nationalbankdirektør Lars Rohde på Realkreditrådets årsmøde 2013. 5

Nykredits bruttoudstedelse peger mod længere obligationer 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 2011 2012 2013 YTD Fast rente Floatere Euro RenteMax F1 F2-F10 6

Lovforslaget To scenarier 1) Refinansieringen mislykkes => Løbetiden forlænges med 1 år (ad gangen) 2) Renten stiger mere end 5 procentpoint => løbetiden forlænges med 1 år. Et slags loft på 5 % over boligejerens rente i tilfælde af en krise. Tilsvarende loft på obligationen Omdannelse til lang obligation med fast rente i tilfælde af udsteders konkurs Gradvis implementering fra 1. april 2014 Grandfathering af alle udestående obligationer Loven skaber klarhed i en krisesituation, og det er godt The devil is in the detail. Bekendtgørelser skal laves Afgørende at modellen accepteres af investorerne i ind- og udland Er der fortsat behov for en længere gennemsnitlig funding i realkreditten? 7

Agenda 1 Refinansieringsrisiko 2 Afdragsfrihed 3 EU krav 4 8

Afdragsfrihed er populært Afdragsfrihed introduceret i 2003 Cirka 55% af alle realkreditlån er i dag uden afdrag DKKbn Husholdningers indlån på anfordring De danske husholdninger har udskudt afdrag for ca. 85 mia. kr. siden 2003 men danskerne er sparsommelige I samme periode er husholdningernes anfordringsindlån i banker steget ~250 mia. kr. Maturity Udløb afof afdragsfrihed IO (number) på Nykredits udlån (antal) 50000,0 Friværdi er med det nuværende boligmarked noget man sparer op til Nykredit har indført krav om afdrag i forbindelse med tolagsbelåning 40000,0 30000,0 20000,0 10000,0,0 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 LTV>100% 80%<LTV<100% 60%<LTV<80% LTV 60% Source: Macrobond and Nykredit * IO loans with LTV>100% and IO period maturing until 2018. Low rating = low credit quality. 9

Tolagsbelåning Capital Center I 80% LTV Capital Center G Lån med afdrag RenteMax, F5 eller fast rente 2. lag 1. lag AAA RO Capital Center E AAA SDO 60% LTV AAA RO Capital Center H AAA SDO Funding 5-10 år Mulighed for afdragsfrihed Korte RTL og lignende Funding ned til 1 år Classic - 30 år konverterbart m. afdrag Fundet til udløb Refinansiering 10

32 Tilsynsdiamanter Banker Realkreditinstitutter Summen af store engagementer Udlånsvækst Ejendomseksponering Funding ratio Likviditetsoverdækning Store engagementer? Udlånsvækst? Koncentrationsrisiko? Afdragsfrihed? Årlige refinansiering? Behov for supplerende sikkerhed? Lån med hyppig rentetilpasning? 11

Agenda 1 Refinansieringsrisiko 2 Afdragsfrihed 3 EU krav 4 12

Regulering og ratinginstitutter kræver ændret funding Regulatoriske krav Liquid Assets LCR = > 100 % Net cash outflow 30 days Available stable funding ASF (> 1 year) NSFR = > 100 % Required stable funding - RSF Rating krav Længere løbetid på funding Liquidity ratio Funding ratio: Svarer til NSFR Broad liquid assets Short term wholesale funding (1 year) 13

Nykredit s overholdeler nye regulatorisk krav Liquidity Coverage Ratio for Nykredit-koncernen pr. 30./9. 2013* Nykredit Realkredit koncern 193% Nykredit Realkredit A/S 156% Totalkredit A/S 187% Nykredit Bank A/S 116% * Incl. beholdning af egne obligationer Basel III leverage ratio (CET1) 5% 4% 3% 2% 1% 0% Nordea SEB Danske Bank Nykredit Swedbank Handelsbanken DNB Kilde: Årsrapporter og egne beregninger. Note: Repoer reducer leverage ratio. 14

15

Nykredit koncernen krav til egenkapitalen Target capital ratio >17,5% Efterstillet kapital 15 mia. kr. Total capital ratio 20,0% Hybrid kapital 11 mia. kr. Årlig indtjening 2 mia. kr. Egenkapitalkrav 11 mia. kr. Krav 70 mia. kr. Buffer 28 mia. kr. Egenkapital 59 mia. kr. Egenkapital 59 mia. kr. Inklusiv 2% SIFI buffer 2.5% Cyclical buffer 1% own Egenkapital krav 31 mia. kr. H1/2012 H1/2013 H1/2012 2019, expected 2019, expected 2019, forventet 16

Konklusioner Det danske realkreditsystem er i fin form Risikoen for en fejlet refinansiering er lille, men konsekvenserne er store hvis det sker Nykredit er positiv overfor den nye refinansieringslov, men der er meget teknik der skal på plads Loven ændrer ikke på behovet for at reducere refinansieringsvolumen Fornuftigt at begrænse afdragsfrihed friværdi er noget man sparer op Udfasning af egne obligationer i LCR er en non-event men det er Level 1 statusen ikke! Det er vigtigt med den nye lovgivning, at man ikke flytter problemerne fra realkredit over i banksektoren! 17

18

Disclaimer and disclosure Disclaimer The information in this material (hereinafter the Information ) has been compiled by Nykredit Bank A/S (hereinafter Nykredit ) for informational purposes only. The Information is primarily based on information accessible to the public. The Information is believed to be reliable. However, Nykredit does not guarantee the timeliness, sequence, accuracy, correctness, adequacy, or completeness of the Information or opinions contained therein, nor does Nykredit make any representations or warranties of any kind, whether express or implied. The Information does not constitute an offer to sell or the solicitation of an offer to buy any securities mentioned in the Information. Nykredit makes no representation or warranties and gives no advice concerning the appropriate legal treatment, regulatory treatment, accounting treatment or possible tax consequences in connection with an investment in securities mentioned in the Information. Before proceeding with any such investment investors should determine, without reliance upon Nykredit, the economic risk and merits, as well as the legal, tax, regulatory and accounting characteristics and consequences, of such an investment and that investors are able to assume these risks. Investors should conduct their own analysis, using such assumptions as they deem appropriate in making an investment decision. Nykredit does not accept any liability for any loss, howsoever arising, directly or indirectly from the issue of the Information or its contents including transactions made based on information therein. The Information contains certain tables and other statistical analyses (the Statistical Information ) which have been prepared in reliance upon information accessible to the public. Numerous assumptions were used in preparing the Statistical Information, which may not be reflected herein. As such, no assurance can be given as to the Statistical Information s accuracy, appropriateness or completeness in any particular context, nor as to whether the Statistical Information and or the assumptions upon which they are based reflect present market conditions or future market performance. The Statistical Information should not be construed as either projections or predictions or as legal, tax, financial or accounting advice. Calculations and presentations are based on ordinary econometric and financial tools and methods as well as publicly available sources. Assessments and recommendations, if any, made in the Information may involve substantial risks. Such risks, including a sensitivity analysis based on relevant assumptions, have been described in the Information. continues 19

Disclaimer and disclosure Disclaimer (continued) Information on previous returns, simulated previous returns or future returns presented in the material cannot be used as a reliable indicator of future returns, and returns may be negative. Information on price developments presented in this material cannot be used as a reliable indicator of future price developments, and price developments may be negative. If the material contains information on a specific tax treatment, it should be borne in mind that the tax treatment depends on the investor's individual situation and may change in future. If the material contains information based on gross returns, however, fees, commissions and other costs may reduce returns. Nykredit and/or other companies of the Nykredit Group are financial institutions and banks that trade in securities. Any company in the Nykredit Group may buy, sell or hold positions in the securities mentioned in the Information, just as these companies may be involved in activities involving companies mentioned herein. The Information is being directed at you solely in your capacity as a relevant person for your information and may not be reproduced or redistributed or passed on to any other person or published in whole or in part, for any purpose, without the prior written consent of Nykredit. Relevant persons are persons who have professional experience in matters relating to investments in securities mentioned in the Information and to whom the Information may be lawfully communicated. The Information may not be acted on or relied on by persons who are not relevant persons. DISCLOSURE This Information is marketing material and cannot be considered to be investment research or investment recommendations. No prohibition applies to trading in any financial instruments referred to in the Information prior to distribution. The Information may contain short term recommendations from Sales. Nykredit - Kalvebod Brygge 1-3 DK-1780 Copenhagen V - Tel +45 44 55 18 00 - Fax +45 44 55 18 01 20