DNB Bank : Disclosures according to Pillar 3 requirements (Excel) Q1 2022
April 28, 2022 at 03:46 am EDT
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COVER
DNB Group
Risk and capital management
Disclosure according to Pillar 3
2022 Q1
CONTACT INFORMATION
Contact information
Group Chief Executive Officer
Kjerstin R. Braathen
For further information, please contact
Sverre Krog, Chief Risk Officer
sverre.krog@dnb.no
+47 93 42 03 02
Rune Helland, Investor Relations
rune.helland@dnb.no
+47 23 26 84 00
Mathias Bruvik, Head of Group Financial Reporting
mathias.bruvik@dnb.no
+47 91 75 87 74
Address
DNB Bank ASA, P.O.Box 1600 Sentrum, N-0021 Oslo
Visiting address: Dronning Eufemias gate 30, Bjørvika, 0191 Oslo
Telephone numbers
From outside Norway: +47 91 50 48 00
In Norway: 91 50 48 00
Investor Relations
E-mail: investor.relations@dnb.no
Information on the Internet
DNB's Investor Relations page: dnb.no/ir
CONTENTS
DNB Risk and capital management / Pillar 3 additional disclosures
Appendixes
31 March 2022
Unless otherwise stated, figures in the templates are figures for DNB Group - regulatory consolidation
Article in CRR/BRRD
Updated
A00
Regulatory framework and implementation in Norway
Disclosure of own funds
A01
Own funds and capital ratios, DNB Bank ASA and DNB Group
Article 437
Quarterly
A03
Own funds and capital ratios, DNB Boligkreditt AS
Article 437
Quarterly
Disclosure of key metrics and overview of risk exposure amounts
EU OV1
Overview of risk exposure amounts
Point (d) of Article 438
Quarterly
EU KM1
Key metrics (at consolidated group level)
Points (a) to (g) of Article 447 and point (b) of Article 438
Quarterly
A02
Specification of risk exposure amounts and capital requirements, DNB Bank ASA
Article 438
Quarterly
A03
Specification of risk exposure amounts and capital requirements, DNB Boligkreditt AS
Article 438
Quarterly
A04
Specification of risk exposure amounts and capital requirements subsidiaries and associated companies
Article 438
Quarterly
Disclosure of the use of the IRB approach to credit risk
EU CR8
REA flow statements of credit risk exposures under the IRB approach
Article 438 point (h)
Quarterly
Key Metrics
EU KM2
Key metrics - MREL
Article 45 BRRD
Quarterly
Disclosure of leverage ratio
EU LR1
Summary comparison of accounting assets and leverage ratio exposure
Point (b) of Article 451(1)
Quarterly
EU LR2
Leverage ratio common disclosure
Article 451(3) - Rows 28 to 31a Points (a), (b) and (c) of Article 451(1) and
Quarterly
Article 451(2) - Rows up to row 28
Disclosure of liquidity requirements
EU LIQ1
Quantitative information of LCR
Article 451a(2)
Quarterly
Disclosure of interest rate risk in the banking book
EU CCA
Disclosure of main features of regulatory capital instruments as at 31 December 2021
Points (b) and (c) of Article 437
Ad-hoc
CCA footnotes
Disclosure of main features of regulatory capital instruments - footnotes
Ad-hoc
A00
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Regulatory framework and implementation in Norway
EU Banking Package to enter into force in Norway on 1 June 2022
Amendments to the Financial Institutions Act implementing the EU Banking Package in Norwegian law were adopted by the Storting (Norwegian parliament) last year. The aim of the Norwegian Ministry of Finance is that the amended Act and associated regulatory provisions should enter into force on 1 June 2022. The Banking Package consists of the EU's revised Capital Requirements Regulation and Capital Requirements Directive (CRR II and CRD V), as well as amendments to the Bank Recovery and Resolution Directive (BRRD II). Among the changes introduced in the CRR II is an expansion of the SME supporting factor, which reduces banks' capital requirements for lending to small and medium-sized enterprises (SMEs).
Pillar 2 process to be made more transparent
In the Ministry of Finance's view, considerations relating to the rule of law may indicate that the parameters for setting bank-specific additional capital requirements (Pillar 2 requirements) should to a greater extent than today be laid down in legislation and regulations. In addition, the Ministry is of the opinion that rules of this kind should be implemented in Norwegian rules and legislation due to EEA-related legal obligations. The Ministry of Finance also highlights the need for transparency in the justification and structuring of Pillar 2 requirements. Finanstilsynet (the Financial Supervisory Authority of Norway) has therefore been tasked with giving an account of the current Pillar 2 practice, clarifying the parameters for the Authority's setting of Pillar 2 requirements, and proposing statutory and regulatory provisions that implement the rules on Pillar 2 requirements and the Pillar 2 guidance that follow from the CRD V. The task is due to be completed by 25 October 2022, and the Ministry of Finance is expected to submit its proposals for public consultation.
Decision on Internal Model Method for counterparty risk
In 2019, Finanstilsynet granted DNB permission to use the Internal Model Method (IMM) for calculating own funds requirements for counterparty risk associated with interest rate and foreign exchange derivatives. The permission was granted on a number of conditions. In 2020, DNB submitted a complaint about the condition that the scaling factor alpha should not be lower than 1.8. In February 2022, DNB received a reply from the Ministry of Finance stating that the complaint was upheld, and that DNB should use an alpha value not lower than 1.4. DNB is planning to start using the IMM permission from the second quarter of 2022.
A01
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A01 - Own funds and capital ratios, DNB Bank ASA and DNB Group
On 16 March 2022 DNB's acquisition of Sbanken was approved. The share purchase was completed 10 business days later, and Sbanken became a fully owned subsidiary of DNB on 30 March 2022. At the end of the first quarter, Sbanken was fully consolidated into the DNB Group.
The CET1 capital ratio including 50 per cent of interim profits was 18.1 per cent at end-March, down from 19.4 per cent at end-December 2021. The acquisition of Sbanken had a negative impact of around 120 basis points, while earnings in the period contributed with 40 basis points.
The table below gives an overview of the capital situation for DNB Bank ASA and DNB Group.
Own funds
DNB Bank ASA
DNB Group
31 March
31 Dec.
31 March
31 Dec.
Amounts in NOK million
2022
2021
2022
2021
Total equity
203,169
205,399
244,481
243,912
Effect from regulatory consolidation
(6,859)
(6,605)
Adjustment to retained earnings for foreseeable dividends
(2,271)
(3,359)
Additional Tier 1 capital instruments included in total equity
(10,474)
(16,595)
(11,176)
(16,595)
Net accrued interest on additional Tier 1 capital instruments
(141)
(285)
(141)
(285)
Common equity Tier 1 capital instruments
190,283
188,520
222,946
220,427
Regulatory adjustments
Goodwill
(2,372)
(2,391)
(9,129)
(4,794)
Deferred tax assets that rely on future profitability, excluding temporary differences
(25)
(25)
(442)
(439)
Other intangible assets
(1,028)
(1,047)
(1,879)
(1,814)
Proposed dividends and group contributions 1)
(15,116)
(15,116)
Deduction for investments in insurance companies 2)
(5,832)
(5,242)
IRB provisions shortfall (-)
(1,465)
(1,427)
(2,494)
(2,540)
Additional value adjustments (AVA)
(985)
(914)
(1,198)
(1,002)
Insufficient coverage for non-performing exposures
(26)
(42)
(Gains) or losses on liabilities at fair value resulting from own credit risk
(28)
8
(111)
(45)
(Gains) or losses on derivative liabilities resulting from own credit risk (DVA)
(317)
(336)
(148)
(88)
Common equity Tier 1 capital
184,063
182,386
186,572
189,305
Additional Tier 1 capital instruments
10,474
16,595
11,176
16,595
Deduction of holdings of Tier 1 instruments in insurance companies 3) in insurance companies 3)
(1,500)
(1,500)
Non-eligible Tier 1 capital, DNB Group 4)
(134)
Additional Tier 1 capital instruments
10,474
16,595
9,542
15,095
Tier 1 capital
194,537
198,981
196,114
204,400
Perpetual subordinated loan capital
4,939
5,752
4,939
5,752
Term subordinated loan capital
20,629
29,237
21,529
29,237
Deduction of holdings of Tier 2 instruments in 3) insurance companies 3)
(5,588)
(5,588)
Non-eligible Tier 2 capital, DNB Group 4)
(149)
Additional Tier 2 capital instruments
25,569
34,989
20,732
29,401
Own funds
220,106
233,970
216,846
233,801
Total risk exposure amount
872,299
833,707
1,030,327
973,431
Minimum capital requirement
69,784
66,697
82,426
77,875
Capital ratios
Common equity Tier 1 capital ratio
21.10
21.88
18.11
19.45
Tier 1 capital ratio
22.30
23.87
19.03
21.00
Total capital ratio
25.23
28.06
21.05
24.02
Own funds and capital ratios excluding interim profit
Common equity Tier 1 capital
181,791
182,824
Tier 1 capital
192,265
192,366
Own funds
217,834
213,098
Common equity Tier 1 capital ratio
20.84
17.74
Tier 1 capital ratio
22.04
18.67
Total capital ratio
24.97
20.68
1) The Annual General Meeting in DNB Bank ASA has decided to pay a dividend of NOK 9.75 per share for 2021
2) Deductions are made for significant investments in financial sector entities when the total value of the investments exceeds 10 per cent of common equity Tier 1 capital. The amounts that are not deducted are given a risk weight of 250 per cent.
3) Investments in Tier 1 and Tier 2 instruments issued by the Group's insurance companies are deducted from the Group's Tier 1 and Tier 2 capital.
4) Tier 1 and Tier 2 capital in subsidiaries not included in consolidated own funds in accordance with Articles 85-88 of the CRR.
A03
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A03 - Own funds and capital ratios DNB Boligkreditt AS
Own funds
DNB Boligkreditt AS
31 March
31 Dec.
Amounts in NOK million
2022
2021
Share capital
4,527
4,527
Other equity
34,441
34,406
Total equity
38,968
38,933
Deductions
Expected losses exceeding actual losses, IRB-portfolios
(957)
(1,046)
Value adjustments due to the requirements for prudent valuation (AVA)
(453)
(341)
Adjustments for unrealised losses/(gains) on liabilites recorded at fair value
(12)
23
Adjustments for unrealised losses/(gains) arising from the institution's own credit risk related to derivative liabilities (DVA)
(30)
(18)
Group contributions
(2,843)
(2,843)
Common equity Tier 1 capital
34,673
34,708
Tier 2 capital
5,200
5,200
Own funds
39,873
39,908
Total risk exposure amount
185,324
185,640
Minimum capital requirement
14,826
14,851
Common equity Tier 1 capital ratio, (in per cent)
18.71
18.70
Capital ratio (in per cent)
21.52
21.50
A03 - Specification of risk exposure amounts and capital requirements, DNB Boligkreditt AS
Specification of risk exposure amounts and capital requirements
DNB Boligkreditt AS
Original
Exposure at
Average risk
Risk exposure
Capital
Capital
exposure
default EAD
weights in per cent
amount REA
requirements
requirements
31 March
31 March
31 March
31 March
31 March
31 Dec.
Amounts in NOK million
2022
2022
2022
2022
2022
2021
IRB approach
Corporate
350
350
32.22
113
9
9
Retail - residential property
758,160
758,160
21.19
160,646
12,852
12,887
Total credit risk, IRB approach
758,510
758,510
21.19
160,759
12,861
12,895
Standardised approach
Institutions
9,438
9,438
20.00
1,888
151
153
Corporate
20,279
20,255
27.90
5,652
452
450
Retail
540
399
75.00
299
24
25
Retail - secured by immovable property
687
621
35.41
220
18
39
Other assets
3,231
3,212
241.80
7,766
621
590
Total credit risk, standardised approach
34,176
33,924
46.64
15,824
1,266
1,257
Total credit risk
792,685
792,434
22.28
176,583
14,127
14,152
Credit value adjustment (CVA)
Operational risk
8,741
699
699
Total risk exposure amounts and capital requirements
185,324
14,826
14,851
EU OV1
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EU OV1 - Overview of risk exposure amounts
The risk exposure amount increased by NOK 57 billion from end-December 2021, to NOK 1 030 billion at end-March 2022. The main driver behind the increase in REA was the aquisiton of Sbanken.
The table shows REAs for credit, counterparty, market and operational risk at the end of the previous and current period.
As Norway has not yet implemented the EU banking package, reporting items are still reported according to CRR.
Risk weighted exposure amounts (REAs)
Total own funds requirements
31 March
31 Dec.
31 March
Amounts in NOK million
2022
2021
2022
1
Credit risk (excluding CCR) 1)
838,090
785,865
67,047
2
Of which the standardised approach
257,283
204,087
20,583
3
Of which the foundation IRB (FIRB) approach
4
Of which slotting approach
4a
Of which equities under the simple riskweighted approach
5
Of which the advanced IRB (AIRB) approach
580,807
581,778
46,465
6
Counterparty credit risk - CCR
32,845
31,509
2,628
7
Of which the standardised approach
7a*
Of which mark to market
22,117
19,099
1,769
7b*
Of which: financial collateral comprehensive method (for SFTs)
3,950
3,922
316
8
Of which internal model method (IMM)
8a
Of which exposures to a CCP
210
244
17
8b
Of which credit valuation adjustment - CVA
5,253
6,777
420
9
Of which other CCR
1,315
1,466
105
15
Settlement risk
16
Securitisation exposures in the non-trading book (after the cap)
17
Of which SEC-IRBA approach
18
Of which SEC-ERBA (including IAA)
19
Of which SEC-SA approach
19a
Of which 1250%/ deduction
20
Position, foreign exchange and commodities risks (Market risk)
10,614
8,459
849
21
Of which the standardised approach
10,614
8,459
849
22
Of which IMA
22a
Large exposures
23
Operational risk
101,154
98,381
8,092
23a
Of which basic indicator approach
23b
Of which standardised approach
101,154
98,381
8,092
23c
Of which advanced measurement approach
24
Amounts below the thresholds for deduction (subject to 250% risk weight) 2)
47,624
49,218
3,810
29
Total
1,030,327
973,431
82,426
1) Excluding amounts below the thresholds for deduction (subject to 250 per cent risk weight).
- 0
2) Includes equity exposures and deferred tax assets.
EU KM1
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EU KM1 - Key metrics (at consolidated group level)
The combined buffer requirement (CBR) is the sum of the capital conservation buffer, the systemic risk buffer, the buffer for systemically important institutions and the counter-cyclical buffer. These buffer requirements must be met by CET1 capital. If the combined buffer requirements are not being met, the institution cannot pay dividends to shareholders, interest on Additional Tier 1 (AT1) instruments or variable renumeration to employees without the consent of Finanstilsynet.
The institution-specific countercyclical buffer requirement amounted to 0.78 per cent in the 1st quarter, slightly up compared with year-end 2021. This requirement is set as a weighted average of the prevailing countercyclical buffer requirements in the countries in which the bank operates.
Norway's central bank, Norges Bank, sets the level of the countercyclical capital buffer, which is a time-varying capital requirement for banks. On 24 March 2022, Norges Bank decided to increase the requirement to 2.5 per cent with effect from 31 March 2023, in line with previous signals. It has previously been decided to increase the buffer requirement from 1.0 per cent to 1.5 per cent with effect from 30 June 2022, and to 2.0 per cent with effect from 31 December 2022. In March 2020, the Ministry of Finance reduced the buffer requirement from 2.5 to 1 per cent. The reduction was made in the context of the COVID-19 infection control measures that had led to a sharp decline in activity in the Norwegian economy. The level of activity in the Norwegian economy has continued to increase since the infection control measures were removed this winter. The increase to 2.5 per cent was therefore expected, and had already been incorporated into DNB's capital planning.
Amounts in NOK million
a
b
c
d
e
31 March
31 Dec.
30 Sept.
30 June
31 March
2022
2021
2021
2021
2021
Available own funds (amounts)
1
Common Equity Tier 1 (CET1) capital
182,824
189,305
179,706
180,456
180,318
2
Tier 1 capital
192,366
204,400
194,801
192,613
193,439
3
Total capital
213,098
233,801
220,285
211,269
211,461
Risk-weighted exposure amounts
4
Total risk exposure amount
1,030,327
973,431
982,349
976,567
954,083
Capital ratios (as a percentage of risk-weighted exposure amount)
5
Common Equity Tier 1 ratio (%)
17.74
19.45
18.29
18.48
18.90
6
Tier 1 ratio (%)
18.67
21.00
19.83
19.72
20.27
7
Total capital ratio (%)
20.68
24.02
22.42
21.63
22.16
Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount)
7a
Additional own funds requirements to address risks other than the risk of excessive leverage (%)
1.90
1.90
1.98
1.99
2.03
7b
of which: to be made up of CET1 capital (percentage points)
1.90
1.90
1.98
1.99
2.03
7c
of which: to be made up of Tier 1 capital (percentage points)
1.90
1.90
1.98
1.99
2.03
7d
Total SREP own funds requirements (%)
9.90
9.90
9.98
9.99
10.03
Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)
8
Capital conservation buffer (%)
2.50
2.50
2.50
2.50
2.50
8a
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)
9
Institution specific countercyclical capital buffer (%)
0.78
0.77
0.73
0.75
0.75
9a
Systemic risk buffer (%)
2.00
2.00
2.00
2.00
2.00
10
Global Systemically Important Institution buffer (%)
10a
Other Systemically Important Institution buffer
3.20
3.10
3.16
3.18
3.20
11
Combined buffer requirement (%)
8.49
8.37
8.38
8.43
8.44
11a
Overall capital requirements (%)
18.39
18.27
18.36
18.41
18.48
12
CET1 available after meeting the total SREP own funds requirements (%)
2.85
4.68
3.43
3.57
3.92
Leverage ratio
13
Total exposure measure
3,002,460
2,788,704
3,008,963
2,952,716
2,851,245
14
Leverage ratio (%)
6.41
7.33
6.47
6.52
6.78
Liquidity Coverage Ratio
15
Total high-quality liquid assets (HQLA) (Weighted value - average)
867,408
984,934
773,268
725,378
668,459
16
Total net cash outflows (adjusted value)
676,168
756,108
514,133
490,730
419,439
17
Liquidity coverage ratio (%)
128.28
130.00
150.40
147.82
159.37
Net Stable Funding Ratio
18
Total available stable funding
1,630,920
1,564,433
1,569,686
1,614,043
1,579,381
19
Total required stable funding
1,477,417
1,402,917
1,388,292
1,412,965
1,395,199
20
NSFR ratio (%)
110.39
111.51
113.07
114.23
113.20
A02
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A02 - Specification of risk exposure amounts and capital requirements, DNB Group
Specification of risk exposure amounts and capital requirements
DNB Group
Original
Exposure at
Average risk
Risk exposure
Capital
Capital
exposure
default EAD
weights in per cent
amount REA
requirements
requirements
31 March
31 March
31 March
31 March
31 March
31 Dec.
Amounts in NOK million
2022
2022
2022
2022
2022
2021
IRB approach
Corporate
1,063,927
849,765
44.44
377,647
30,212
30,188
Of which: Specialised Lending (SL)
12,941
12,288
42.20
5,186
415
278
Of which: SME
208,637
183,049
46.63
85,361
6,829
7,057
Of which: Other Corporates
842,348
654,428
43.87
287,100
22,968
22,852
Retail
989,789
972,952
22.18
215,796
17,264
17,294
Of which: Secured by mortgages on immovable property
898,854
898,854
21.54
193,592
15,487
15,503
Of which: Other retail
90,936
74,099
29.97
22,204
1,776
1,791
Total credit risk, IRB approach
2,053,716
1,822,718
32.56
593,443
47,475
47,481
Standardised approach
Central governments and central banks
380,568
379,796
0.00
1
49
Regional governments or local authorities
48,210
42,076
2.77
1,164
93
93
Public sector entities
56,184
55,549
0.64
356
29
29
Multilateral development banks
32,575
32,504
International organisations
6,355
6,355
Institutions
94,239
69,536
29.75
20,687
1,655
1,701
Corporates
200,018
175,162
73.79
129,255
10,340
9,143
Retail
179,436
66,098
74.68
49,362
3,949
3,527
Secured by mortgages on immovable property
135,545
117,934
40.71
48,009
3,841
1,186
Exposures in default
3,471
2,449
132.75
3,251
260
238
Items associated with particular high risk
649
647
149.92
970
78
79
Covered bonds
41,702
41,702
10.00
4,171
334
268
Collective investment undertakings
895
895
23.13
207
17
18
Equity positions
23,863
23,862
218.77
52,203
4,176
4,251
Other assets
22,896
22,895
44.66
10,226
818
724
Total credit risk, standardised approach
1,226,606
1,037,461
30.83
319,863
25,589
21,304
Total credit risk
3,280,322
2,860,178
31.93
913,306
73,064
68,785
Market risk
Position and general risk, debt instruments
9,724
778
621
Position and general risk, equity instruments
862
69
53
Currency risk
29
2
2
Commodity risk
0
0
0
Settlement risk
10,614
849
Total market risk
10,614
849
677
Credit value adjustment risk (CVA)
5,253
420
542
Operational risk
101,154
8,092
7,870
Total risk exposure amounts and capital requirements
1,030,327
82,426
77,875
A02 - Specification of risk exposure amounts and capital requirements, DNB Bank ASA
Specification of risk exposure amounts and capital requirements
DNB Bank ASA
Original
Exposure at
Average risk
Risk exposure
Capital
Capital
exposure
default EAD
weights in per cent
amount REA
requirements
requirements
31 March
31 March
31 March
31 March
31 March
31 Dec.
Amounts in NOK million
2022
2022
2022
2022
2022
2021
IRB approach
Corporate
856,078
682,139
44.69
304,835
24,387
24,205
Of which: Specialised Lending (SL)
12,662
12,008
41.56
4,991
399
272
Of which: SME
208,555
182,967
46.63
85,313
6,825
7,053
Of which: Other Corporates
634,861
487,163
44.04
214,531
17,162
16,880
Retail
231,713
214,876
25.66
55,131
4,410
4,407
Of which: Secured by mortgages on immovable property
140,778
140,778
23.39
32,927
2,634
2,616
Of which: Other retail
90,936
74,099
29.97
22,204
1,776
1,791
Total credit risk, IRB approach
1,087,791
897,015
40.13
359,966
28,797
28,612
Standardised approach
Central governments and central banks
367,284
366,206
0.00
1
49
Regional governments or local authorities
40,300
35,912
1.09
393
31
36
Public sector entities
55,033
54,862
0.02
13
1
1
Multilateral development banks
30,892
30,821
-
-
International organisations
6,327
6,327
-
-
Institutions
631,544
554,593
21.11
117,059
9,365
8,260
Corporates
146,602
127,479
74.89
95,465
7,637
6,625
Retail
165,002
57,723
74.92
43,248
3,460
3,323
Secured by mortgages on immovable property
3,458
3,246
38.39
1,246
100
98
Exposures in default
1,505
981
137.10
1,345
108
150
Items associated with particular high risk
458
458
150.00
687
55
55
Covered bonds
86,963
86,963
10.00
8,696
696
692
Collective investment undertakings
-
-
-
-
Equity positions
142,113
142,113
100.00
142,113
11,369
10,621
Other assets
10,865
10,865
61.35
6,666
533
592
Total credit risk, standardised approach
1,688,346
1,478,549
28.20
416,933
33,355
30,502
Total credit risk
2,776,137
2,375,564
32.70
776,899
62,152
59,114
Market risk
Position and general risk, debt instruments
9,679
774
620
Position and general risk, equity instruments
862
69
53
Currency risk
29
2
2
Commodity risk
0
0
0
Settlement risk
Total market risk
10,569
846
675
Credit value adjustment risk (CVA)
4,820
386
506
Operational risk
80,011
6,401
6,401
Total risk exposure amounts and capital requirements
872,299
69,784
66,697
A04
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A04 - Specification of risk exposure amounts and capital requirements, subsidiaries and associated companies
Specification of risk exposure amounts and capital requirements, 31 March 2022
Specification of risk exposure amounts and capital requirements, 31 December 2021
DNB Poland
DNB Luxembourg
DNB Poland
DNB Luxembourg
Risk exposure
Capital
Risk exposure
Capital
Risk exposure
Capital
Risk exposure
Capital
Amounts in NOK million
EAD
amount REA
requirements
EAD
amount REA
requirements
Amounts in NOK million
EAD
amount REA
requirements
EAD
amount REA
requirements
Standardised approach
Standardised approach
Central government
5,348
1,291
1
0
Central government
8,033
1,331
1
0
Institutions
2,388
460
37
111
115
9
Institutions
2,578
502
40
83
83
7
Corporate
2,843
2,447
196
3
41
3
Corporate
4,445
3,985
319
43
43
3
Retail - other exposures
103
66
5
339
360
29
Retail - other exposures
53
38
3
98
98
8
Retail - mortgage loans
4,974
6,893
551
7,771
2,720
218
Retail - mortgage loans
5,346
7,372
590
8,056
2,820
226
Equity
9
9
1
Equity
9
9
1
Other assets
69
74
6
112
146
12
Other assets
141
102
8
91
147
12
Total credit risk, standardised approach
15,735
9,949
796
9,626
3,383
271
Total credit risk, standardised approach
20,605
12,008
961
9,702
3,191
255
Position and general risk, debt instruments
Position and general risk, debt instruments
Currency risk
Currency risk
Total market risk
Total market risk
Credit value adjustment risk (CVA)
Credit value adjustment risk (CVA)
64
5
Operational risk
808
65
406
33
Operational risk
808
65
406
33
Total risk exposure amounts and capital requirements
10,757
861
3,789
303
Total risk exposure amounts and capital requirements
12,816
1,025
9,702
3,661
293
Specification of risk exposure amounts and capital requirements, 31 March 2022
Specification of risk exposure amounts and capital requirements, 31 December 2021
Luminor 19.95%
Eksportfinans 40%
Luminor 19.95%
Eksportfinans 40%
Risk exposure
Capital
Risk exposure
Capital
Risk exposure
Capital
Risk exposure
Capital
Amounts in NOK million
EAD
amount REA
requirements
EAD
amount REA
requirements
Amounts in NOK million
EAD
amount REA
requirements
EAD
amount REA
requirements
Standardised approach
Standardised approach
Central government
5,117
206
16
173
Central government
7,984
195
Institutions
843
7,504
600
3,843
939
75
Institutions
838
228
18
3,796
925
74
Corporate
8,160
2,028
162
2
2
0
Corporate
6,444
5,793
463
2
2
0.19264
Retail - other exposures
3,053
3,163
253
Retail - other exposures
3,161
2,095
168
Retail - mortgage loans
9,054
217
17
Retail - mortgage loans
9,175
3,205
256
Equity
149
0
0
Equity
167
244
20
Other assets
638
393
31
Other assets
717
497
40
10
7
1
Total credit risk, standardised approach
27,015
13,510
1,081
4,019
941
75
Total credit risk, standardised approach
28,487
12,062
965
3,994
927
74
Position and general risk, debt instruments
77
6
Position and general risk, debt instruments
49
4
Currency risk
Currency risk
Total market risk
77
6
Total market risk
49
4
Credit value adjustment risk (CVA)
24
2
349
28
Credit value adjustment risk (CVA)
19
1
367
29
Operational risk
1,293
103
129
10
Operational risk
1,293
103
129
10
Total risk exposure amounts and capital requirements
14,904
1,192
- 0
4,019
1,419
114
Total risk exposure amounts and capital requirements
13,423
1,074
1,423
114
EU CR8
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EU CR8 - REA flow statements of credit risk exposures under the IRB approach
Asset size: Increase in REA due to increased credit volume in the large corporate portfolio. Asset quality: The defaulted portfolio was reduced. Credit quality in the performing portfolio slightly improved. Foreign exchange movements: Decrease in REA due to appreciation of the Norwegian Krone relative to USD and EUR.
31 December 2021
Risk exposure amount
31 March
31 Dec.
30 Sept.
30 June
31 March
Amounts in NOK million
2022
2021
2021
2021
2021
1
Risk exposure amount as at the end of the previous reporting period
581,778
570,570
556,565
556,027
567,078
2
Asset size (+/-)
6,920
14,943
11,039
2,293
(2,953)
3
Asset quality (+/-)
(4,860)
(3,701)
(185)
(3,366)
(19,489)
4
Model updates (+/-)
5
Methodology and policy (+/-)
14,000
6
Acquisitions and disposals (+/-)
7
Foreign exchange movements (+/-)
(3,031)
(34)
1,458
1,611
(2,609)
8
Other (+/-)
1,693
9
Risk exposure amount as at the end of the reporting period
580,807
581,778
570,570
556,565
556,027
EU KM2
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EU KM2: Key metrics - MREL
MREL shall be measured as a percentage of an adjusted total risk exposure amount, and shall at all times be met by own funds instruments or debt instruments with lower priority than senior unsecured debt (subordination requirement) and should be issued from the Group parent to external investors.
The subordination requirement is subject to a transitional period and shall be met by 1 January 2024. This means that up until that date, ordinary unsecured senior debt with a residual maturity of at least one year may be included as eligible debt.
The resolution entity is the Group parent entity excluding the new aquired subsidiary Sbanken. Covered-bond entities are excluded from the MREL-requirement. The Group's risk exposure amount, which includes the risk exposure amount from these entities is therefore adjusted. Likewise, when calculating own funds to be included in the fulfillment of MREL, The Group's own funds in DNB Boligkreditt AS and in Sbanken are excluded.
Minimum requirement for own funds and eligible liabilities (MREL)
Amounts in NOK million
31 March 2022
31 December 2021
Own funds and eligible liabilities, ratios and components
1
Own funds and eligible liabilities
314,856
326,126
EU-1a
Of which own funds and subordinated liabilities
203,817
232,393
2
Risk exposure amount of the resolution group (REA)
871,858
844,196
3
Own funds and eligible liabilities as a percentage of REA (row1/row2)
36.11
38.63
EU-3a
Of which own funds and subordinated liabilities, per cent
23.38
27.53
4
Total exposure measure of the resolution group
2,511,115
2,318,299
5
Own funds and eligible liabilities as percentage of the total exposure measure
12.54
14.07
EU-5a
Of which own funds or subordinated liabilities
8.12
10.02
Minimum requirement for own funds and eligible liabilities (MREL)
EU-7
MREL requirement expressed as percentage of the total risk exposure amount
35.75
35.75
EU-8
Of which to be met with own funds, subordinated liabilities or other eligible liabilities
21.99
21.95
EU-9
MREL requirement expressed as percentage of the total exposure measure
6.00
6.00
The figures for the 1st quarter are excluding interim profits
EU LR1
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EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures
Leverage ratio is a non-risk supplement to the risk-weighted capital adequacy regime. The basis for the calculation consists of assets and off-balance sheet items converted by means of the conversion factors used in the standardised approach for calculating ordinary capital adequacy. In addition, some special adjustments are made for derivatives and repo transactions. The Norwegian leverage ratio requirement consists of a minimum requirement of 3 per cent that will apply to all credit institutions, a mandatory 2 per cent buffer for banks and an additional mandatory buffer of 1 per cent for systematically important banks. DNB is the only institution in Norway that will be required to have a leverage ratio of 6 per cent.
31 March
31 Dec.
30 Sept.
30 June
31 March
Amounts in NOK million
2022
2021
2021
2021
2021
1
Total consolidated assets as per published financial statements
3,147,909
2,919,244
3,146,308
3,080,095
2,989,220
2
Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation
(345,749)
(339,354)
(330,185)
(327,448)
(320,571)
3
Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure
4
Adjustments for derivative financial instruments
(73,579)
(58,432)
(82,858)
(73,630)
(85,709)
5
Adjustment for securities financing transactions (ie repos and similar secured lending)
3,740
2,361
1,871
4,096
2,113
6
Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)
282,702
271,207
265,430
261,526
258,188
7
Other adjustments
(12,563)
(6,321)
8,396
8,077
8,004
8
Leverage ratio exposure measure
3,002,460
2,788,704
3,008,963
2,952,716
2,851,245
EU LR2
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EU LR2 - LRCom: Leverage ratio common disclosure
The leverage ratio including YTD results was 6.5 per cent at end-March, down from 6.9 per cent from the year-earlier period, and from 7.3 per cent at end-December 2021. However, when excluding deposits with central banks, the leverage ratio for the quarter amounted to 7.4 per cent in the first quarter, compared with 8.0 per cent and 8.1 per cent in the corresponding quarter last year and the previous quarter, respectively
This table shows quarterly leverage ratio calculations and includes additional breakdowns for the leverage exposure measure.
Amounts in NOK million
31 March
31 Dec.
30 Sept.
30 June
31 March
2022
2021
2021
2021
2021
On-balance sheet exposures
1
On-balance sheet exposures (excluding derivatives and securities financing transactions (SFTs), but sheet exposures)
2,473,882
2,320,057
2,556,921
2,498,567
2,413,894
1a
Of which deposits with central banks
334,927
278,223
519,409
482,563
399,641
2
(Asset amounts deducted in determining Basel III Tier 1 capital)
(19,801)
(14,871)
(16,102)
(15,157)
(14,990)
3
Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of rows 1 and 2)
2,454,080
2,305,187
2,540,819
2,483,410
2,398,904
Derivative exposures
4
Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral netting)
51,334
51,552
55,019
45,280
40,173
5
Add-on amounts for PFE associated with all derivatives transactions
38,690
34,300
35,733
32,058
32,969
6
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework
7
(Deductions of receivables assets for cash variation margin provided in derivatives transactions)
(5,670)
(8,573)
(23,064)
(21,429)
(22,638)
8
(Exempted CCP leg of client-cleared trade exposures)
9
Adjusted effective notional amount of written credit derivatives
10
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)
11
Total derivative exposures (sum of rows 4 to 10)
84,353
77,280
67,689
55,909
50,505
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions
177,584
132,670
133,154
147,775
141,535
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
14
CCR exposure for SFT assets
3,740
2,361
1,871
4,096
2,113
15
Agent transaction exposures
16
Total securities financing transaction exposures (sum of rows 12 to 15)
181,325
135,032
135,025
151,871
143,648
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
813,585
778,420
774,593
757,139
740,164
18
(Adjustments for conversion to credit equivalent amounts)
(530,882)
(507,214)
(509,163)
(495,613)
(481,976)
19
Off-balance sheet items (sum of rows 17 and 18)
282,702
271,207
265,430
261,526
258,188
Capital and total exposures
20
Tier 1 capital
192,366
204,400
194,801
192,613
193,439
20a
Tier 1 capital including eligible YTD results
196,114
204,400
204,100
198,550
196,081
21
Total exposures (sum of rows 3, 11, 16 and 19)
3,002,460
2,788,704
3,008,963
2,952,716
2,851,245
Leverage ratio
22
Basel III leverage ratio in per cent
6.41
7.33
6.47
6.52
6.78
22a
Basel III leverage ratio in per cent including eligible YTD results
6.53
7.33
6.78
6.72
6.88
EU LIQ1
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EU LIQ1 - Quantitative information of LCR
This table presents the breakdown of DNBs cash outflows and cash inflows, as well as its available high-quality liquid assets (HQLA). The average Liquidity Coverage Ratio (LCR) in the 4th quarter of 2021 is 130 per cent which is calculated based on daily observations over the quarter in the local currency NOK.
a
b
c
d
e
f
g
h
Total unweighted value (average)
Total weighted value (average)
31 March
31 Dec.
30 Sept.
30 June
31 March
31 Dec.
30 Sept.
30 June
Amounts in NOK million
2022
2021
2021
2021
2022
2021
2021
2021
High-quality liquid assets
1
Total high-quality liquid assets (HQLA), after application of haircuts in line with Article 9 of regulation (EU) 2015/61
Cash outflows
2
Retail deposits and deposits from small business customers, of which:
3
Stable deposits
375,148
374,424
377,174
366,140
18,757
18,721
18,859
18,307
4
Less stable deposits
114,341
102,534
101,623
98,071
13,641
11,182
10,692
10,426
5
Unsecured wholesale funding
6
Operational deposits (all counterparties) and deposits in networks of cooperative banks
620,133
604,937
585,929
556,578
142,899
139,025
134,496
127,629
7
Non-operational deposits (all counterparties)
433,870
505,883
485,725
461,835
333,822
396,600
376,658
361,631
8
Unsecured debt
85,935
126,049
131,605
109,720
85,935
126,049
131,605
109,720
9
Secured wholesale funding
10
Additional requirements
11
Outflows related to derivative exposures and other collateral requirements
41,764
40,565
40,822
42,840
41,764
40,565
40,822
42,840
12
Outflows related to loss of funding on debt products
15,352
11,219
867
10,185
15,352
11,219
867
10,185
13
Credit and liquidity facilities
476,900
458,458
457,815
430,926
54,691
53,500
55,158
51,271
14
Other contractual funding obligations
15
Other contingent funding obligations
379,046
376,466
369,601
390,392
24,229
27,004
26,505
26,733
16
Total cash outflows
731,090
823,865
795,661
758,742
Cash inflows
17
Secured lending (eg reverse repos)
78,210
65,791
63,075
78,143
3,442
4,673
5,437
5,844
18
Inflows from fully performing exposures
39,187
36,730
34,129
43,309
22,459
21,376
21,857
29,527
19
Other cash inflows
29,021
41,708
44,185
32,953
29,021
41,708
44,185
32,953
20
Total cash inflows
146,418
144,230
141,389
154,405
54,922
67,757
71,479
68,325
Total adjusted value
21
Total HQLA
867,408
984,934
992,571
938,302
22
Total net cash outflows
676,168
756,108
724,182
690,417
23
Liquidity Coverage Ratio (in per cent)
128.28
137.06
135.90
144.34
EU CCA
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EU CCA - Disclosure of main features of regulatory capital instruments as at 31 March 2022
As Norway has not yet implemented the EU banking package, some reporting items are still reported according to CRR
1000
Ordinary shares
Additional Tier 1 capital (part 1 of 2)
Additional Tier 1 capital (part 2 of 2)
Subordinated loans (part 1 of 4)
Subordinated loans (part 2 of 4)
Subordinated loans (part 3 of 4)
Subordinated loans (part 4 of 4)
Perpetual loans
NOK Notes
USD Notes
NOK Notes
NOK Notes
NOK Notes
NOK Notes
NOK Notes
NOK loan
NOK loan
NOK loan
NOK loan
NOK loan
SEK loan
SEK loan
SEK loan
SEK loan
SEK loan
EUR loan
JPY loan
NOK loan
NOK loan
NOK loan
NOK loan
NOK loan
USD loan
USD loan
USD loan
1
Issuer
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
Sbanken ASA
Sbanken ASA
Sbanken ASA
Sbanken ASA
Sbanken ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
Sbanken ASA
Sbanken ASA
Sbanken ASA
Sbanken ASA
Sbanken ASA
DNB Bank ASA
DNB Bank ASA
DNB Bank ASA
2
Unique identifier (e.g. CUSIP, ISIN, or Bloomberg identifier for private placement)
NO0010031479
NO0010858749
XS2075280995
NO0010847213
NO0010871494
NO0010885205
NO0010891914
NO0011204125
NO0010818446
NO0010883341
NO0011151672
NO0011151680
NO0011203374
NO0010818453
NO0010818479
XS2180002409
XS2408970759
XS2408967375
XS1794344827
XS1755125868
NO0010847205
NO0010871502
NO010885197
NO0010891922
NO0011203598
LU0001344653
GB0040940875
GB0042636166
3
Governing law(s) of the instrument
Norway
English 7)
English 7)
Norwegian
Norwegian
Norwegian
Norwegian
Norwegian
English 2)
English 2)
English 2)
English 2)
English 2)
English 2)
English 2)
English 2)
English 2)
English 2)
English 2)
English 2)
Norwegian
Norwegian
Norwegian
Norwegian
Norwegian
English 2)
English 2)
English 2)
Regulatory treatment:
4
Current treatment taking into account, where applicable, transitional CRR rules
Common Equity Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
5
Post-transitional CRR rules
Common Equity Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Additional Tier 1
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
Tier 2
6
Eligible at ind. company/group/group & ind. company level
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
Ind. company and group
7
Instrument type
Common shares
Other additional Tier 1
Other additional Tier 1
Other additional Tier 1
Other additional Tier 1
Other additional Tier 1
Other additional Tier 1
Other additional Tier 1
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
Tier 2 subordinated debt
8
Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date)
38,112
2,700
7,774
100
100
300
100
100
900
2,500
2,350
450
2,500
656
281
1,406
1,500
469
5,819
1,799
125
125
350
150
150
1,880
1,311
1,748
9
Nominal amount of instrument
N/A
NOK 2 700
USD 850, NOK 7 774
NOK 100
NOK 100
NOK 300
NOK 100
NOK 100
NOK 900
NOK 2 500
NOK 2 350
NOK 450
NOK 2 500
SEK 700, NOK 656
SEK 300, NOK 281
SEK 1 500, NOK 1 406
SEK 1 600, NOK 1 500
SEK 500, NOK 469
EUR 600, NOK 5 819
JPY 25 000, NOK 1 799
NOK 125
NOK 125
NOK 350
NOK 150
NOK 150
USD 215, NOK 1 880
USD 200, NOK 1 311
USD 150, NOK 1 748
9a
Issue price
Various
100
100
100 percent
100 percent
100 percent
100 percent
100 percent
100
100
100
100
100
100
100
100
100
100
99.604
100
100
100
100
100
100 percent
99.15
100
100
9b
Redemption price
N/A
100
100
100 percent of nominal amount
100 percent of nominal amount
100 percent of nominal amount
100 percent of nominal amount
100 percent of nominal amount
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
Redemption at par
100 percent of nominal amount
100
100
100
10
Accounting classification
Shareholder's equity
Equity
Equity
Equity
Equity
Equity
Equity
Equity
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Subordinated loan capital - amortised cost
Perpetual subordinated loan capital - amortised cost
Perpetual subordinated loan capital - amortised cost
Perpetual subordinated loan capital - amortised cost
11
Original date of issuance
N/A
27 June 2019
12 November 2019
15 March 2019
19 December 2019
17 June 2020
28 August 2020
11 January 2022
13 March 2018
28 May 2020
17 November 2021
17 November 2021
19 January 2022
13 March 2018
13 March 2018
28 May 2020
17 November 2021
17 November 2021
20 March 2018
24 January 2018
15 March 2019
19 December 2019
17 June 2020
28 August 2020
11 January 2022
18 November 1985
28 August 1986
21 August 1986
12
Perpetual or dated
N/A
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
Perpetual
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Dated
Perpetual
Perpetual
Perpetual
13
Original maturity date
N/A
NA
NA
NA
NA
NA
NA
NA
13 March 2028
28 May 2030
17 February 2032
17 February 2032
19 April 2032
13 March 2028
13 March 2028
28 May 2030
17 February 2032
17 February 2032
20 March 2028
24 January 2028
21 March 2029
19 December 2029
17 June 2030
28 August 2030
14 January 2032
14
Issuer call subject to prior supervisory approval
No
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
15
Optional call date, contingent call dates and redemption amount
N/A
27 June 2024 at par
12 November 2024 at par
Ordinary call 21 March 2024 - 100 percent of nominal amount (in addition regula- tory- and tax related calls)
Ordinary call 19 December 2024 - 100 percent of nominal amount (in addition regulatory- and tax related calls)
Ordinary call 17 June 2025 - 100 percent of nominal amount (in addition regu-latory- and tax related calls)
Ordinary call 28 August 2025 - 100 percent of nominal amount (in addition regulatory- and tax related calls)
Ordinary call 14 January 2027 - 100 percent of nominal amount (in addition regulatory- and tax related calls)
The interest payment date falling in (or nearest to) March 2023.
The interest payment date falling in May 2025
On any date from and including 17 November 2026 and ending on (and including) 17 February 2027
On any date from and including 17 November 2026 and ending on (and including) 17 February 2027
On any date from and including 19 January 2027 and ending on (and including) 19 April 2027
The interest payment date falling in (or nearest to) March 2023.
13 March 2023
The interest payment date falling in May 2025
On any date from and including 17 November 2026 and ending on (and including) 17 February 2027
On any date from and including 17 November 2026 and ending on (and including) 17 February 2027
20 March 2023
24 January 2023
Ordinary call 21 March 2024 - 100 percent of nominal amount (in addition regulatory- and tax related calls)
Ordinary call 19 December 2024 - 100 percent of nominal amount (in addition regulatory- and tax related calls)
Ordinary call 17 Juner 2025 - 100 percent of nominal amount (in addition regulatory- and tax related calls)
Ordinary call 28 August 2025 - 100 percent of nominal amount (in addition regulatory- and tax related calls)
Ordinary call 14 January 2027 - 100 percent of nominal amount (in addition regulatory- and tax related calls)
November 1990
August 1991
5 years after issue
16
Subsequent call dates, if applicable
N/A
The issuer has the right to call at every interest payment date thereafter 6)
The issuer has the right to call at every interest payment date thereafter 6)
Each interest payment date after 21 March 2024
Each interest payment date after 19 December 2024
Each interest payment date after 17 June 2025
Each interest payment date after 28 August 2025
Each interest payment date after 14 January 2027
Any interest payment date thereafter
Any interest payment date thereafter
Any interest payment date after 17 February 2027
Any interest payment date after 17 February 2027
Any interest payment date after 19 April 2027
Any interest payment date thereafter
Any interest payment date thereafter
Any interest payment date thereafter
Any interest payment date after 17 February 2027
Any interest payment date after 17 February 2027
None
Semiannual call thereafter
Each interest payment date after 21 March 2024
Each interest payment date after 19 December 2024
Each interest payment date after 17 June 2025
Each interest payment date after 28 August 2025
Each interest payment date after 14 January 2027
Any interest payment date thereafter
Any interest payment date thereafter
Any interest payment date thereafter
Coupons/dividends:
17
Fixed or floating dividend/coupon
Floating
Floating
Fixed
Floating
Floating
Floating
Floating
Floating
Floating
Floating
Floating
Fixed to floating
Floating
Floating
Fixed to floating
Floating
Floating
Fixed to floating
Fixed
Fixed
Floating
Floating
Floating
Floating
Floating
Floating
Floating
Floating
18
Coupon rate and any related index
N/A
3-month NIBOR + 350 bps
4.875%. Fixed interest reset every 5 years at 5y USD T + 314 bps
NIBOR3M + 360 bps
NIBOR3M + 315 bps
NIBOR3M + 310 bps
NIBOR3M + 300 bps
NIBOR3M + 260 bps
3-month NIBOR + 110 bps
3-month NIBOR + 230 bps
3-month NIBOR + 100 bps
Fixed 2.72%. Reset after 17 February 2027: 3-month NIBOR + 100 bps
3-month NIBOR + 105 bps
3-month STIBOR + 106 bps
Fixed 1.61%. Reset after first call date: 3-month STIBOR + 106 bps
3-month STIBOR + 235 bps
3-month STIBOR + 95 bps
Fixed 1.598%. Reset after 17 February 2027: 3-month STIBOR + 95 bps
Fixed 0.75%. Reset after first call date: 5-year JPY Mid-Swap + 63.8 bps
NIBOR3M + 160 bps
NIBOR3M + 130 bps
NIBOR3M + 160 bps
NIBOR3M + 125 bps
NIBOR3M + 108 bps
3-month USD Libor + 25 bps
6-month USD Libor + 13 bps
6-month USD Libor + 15 bps
19
Existence of a dividend stopper
Yes
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
20a
Fully discretionary, partially discretionary or mandatory (in terms of timing)
Fully discretionary
Fully discretionary
Fully discretionary
Full flexibility
Full flexibility
Full flexibility
Full flexibility
Full flexibility
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Partially discretionary
Partially discretionary
Partially discretionary
20b
Fully discretionary, partially discretionary or mandatory (in terms of amount)
Fully discretionary
Fully discretionary
Fully discretionary
Full flexibility
Full flexibility
Full flexibility
Full flexibility
Full flexibility
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Mandatory
Partially discretionary
Partially discretionary
Partially discretionary
21
Existence of a step-up or other incentive to redeem
N/A
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
22
Non-cumulative or cumulative
Non-cumulative
Non-cumulative
Non-cumulative
Non- cumulative
Non- cumulative
Non- cumulative
Non- cumulative
Non- cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Cumulative
Non- cumulative
Non- cumulative
Non- cumulative
Non- cumulative
Non- cumulative
Non-cumulative 4)
Non-cumulative 4)
Non-cumulative 4)
Convertible or non-convertible:
23
Convertible or non-convertible 3)
N/A
Non-convertible
Non-convertible
Convertible* (ref. point 24)
Convertible* (ref. point 24)
Convertible* (ref. point 24)
Convertible* (ref. point 24)
Convertible* (ref. point 24)
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
Non-convertible
24
If convertible, conversion trigger(s)
N/A
N/A
N/A
See footnote 9
See footnote 9
See footnote 9
See footnote 9
See footnote 9
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
25
If convertible, fully or partially
N/A
N/A
N/A
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
26
If convertible, conversion rate
N/A
N/A
N/A
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
27
If convertible, mandatory or optional conversion
N/A
N/A
N/A
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
28
If convertible, specify instrument type convertible into
N/A
N/A
N/A
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
29
If convertible, specify issuer of instrument it converts into
N/A
N/A
N/A
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
Ref. point 24
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
30
Write-down features
No
Yes
Yes
Yes (ref. point 24)
Yes (ref. point 24)
Yes (ref. point 24)
Yes (ref. point 24)
Yes (ref. point 24)
No
No
No
No
No
No
No
No
No
No
No
No
Yes
Yes
Yes
Yes
Yes
No
No
No
31
If write-down, write-down trigger (s)
N/A
Yes
Yes
CET1 below 5,125 percent
CET1 below 5,125 percent
CET1 below 5,125 percent
CET1 below 5,125 percent
CET1 below 5,125 percent
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
According to Norwegian legislation
According to Norwegian legislation
According to Norwegian legislation
According to Norwegian legislation
According to Norwegian legislation
N/A
N/A
N/A
32
If write-down, full or partial
N/A
Either full or partial
Either full or partial
see footnote 10
see footnote 10
see footnote 10
see footnote 10
see footnote 10
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Full or partial
Full or partial
Full or partial
Full or partial
Full or partial
N/A
N/A
N/A
33
If write-down, permanent or temporary
NA
Temporary
Temporary
Temporary (ref. point 24)
Temporary (ref. point 24)
Temporary (ref. point 24)
Temporary (ref. point 24)
Temporary (ref. point 24)
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
Permanent
Permanent
Permanent
Permanent
Permanent
N/A
N/A
N/A
34
If temporary write-down, description of revaluation mechanism
N/A
See footnote 8
See footnote 8
see footnote 11
see footnote 11
see footnote 11
see footnote 11
see footnote 11
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
see footnote 11
see footnote 11
see footnote 11
see footnote 11
see footnote 11
N/A
N/A
N/A
35
Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)
Additional Tier 1
Subordinated loans
Subordinated loans
Subordinated loans
Subordinated loans
Subordinated loans
Subordinated loans
Subordinated loan
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
Senior bonds
36
Non-compliant transitioned features
No
No
No
N/A
N/A
N/A
N/A
N/A
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
37
If yes, specify non-compliant features
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
N/A
See footnotes on separate page.
CCA Footnotes
Disclosure of main features of regulatory capital instruments - footnotes
1) Except for the subordination provisions and certain provisions relating to the payment of interest and principal, which will be governed by the laws of Norway.
2) Except for status and subordination which will be governed by the laws of Norway.
3) All subordinated debt might be written down or converted according to the Guarantee Schemes Act.
4) Non-cumulative but cumulative under certain circumstances, e.g. dividend payment.
5) The borrower undertakes not to make any distribution to Holders of Primary Capital certificates of the Borrower or to other creditors ranking junior to the Lender while any arrears of interest (including any corresponding additional interest amount) remains outstanding in respect of the loan.
6) Subject to the outstanding principal amount of the notes being equal to their original principal amount.
7) The Notes and any non-contractual obligations arising out of or in connection with the Notes will be governed by, and construed in accordance with, English law except that (i) the provisions relating to subordination, Write-Down and Discretionary Reinstatement and any non-contractual obligations arising out of or in connection with such provisions and (ii) any other write-down or conversion of the Notes in accordance with Norwegian law and regulation applicable to the Bank from time to time, will in each case be governed by, and construed in accordance with, Norwegian law.
8) Fully discretionary reinstatement pro rata with any written-down AT1 instruments that are to be reinstated out of the same profits. Subject to the maximum write-up amount and to the maximum distributable amount.
9) The bonds can be written down with final effect or converted to Tier 1 capital if the Financial Supervisory Autority of Norway or another competent public agency orders such a write-down or conversion pursuant to the current legislation at any given time, including due to serious failures strength and when authorities consider the write-down or conversion necessary to avoid winding-up.
10) A partial write-down is carried out by any interest accrued on the bonds being written down first and the bonds then being written down by a pro rata drawing of the bonds between the bond owners or by reducing the redemption price, or in other ways that result in the envisaged financial result. The bond trustee can split the face value in connection with write-downs. The bond yield requirement lapses in the period the bonds are written down.
11) After writing down the bonds, the issuer can write up bonds and pay bond yields in accordance with the current rules at any given time for such write-ups and interest payments.
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DnB Bank ASA published this content on 28 April 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 28 April 2022 07:44:10 UTC.
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