Nordea Bank : Kredit Realkreditaktieselskab Capital Risk Management Report 2023

Capital and Risk Management Report 2023

Appendix F Nordea Kredit Realkreditaktieselskab

Confidential

Table of contents

Table name	Table Number
Capital Position
EU KM1 - Key metrics template	1
EU CC1 - Composition of regulatory own funds	2
EU CC2 - Reconciliation of regulatory own funds to balance sheet in the audited financial statements	3
EU OV1 - Overview of total risk exposure amounts	4
Credit Risk
EU CR1 - Performing and non-performing exposures and related provisions	5
EU CR1-A - Maturity of exposures	6
EU CR2 - Changes in the stock of non-performing loans and advances	7
EU CR3 - CRM techniques overview: Disclosure of the use of credit risk mitigation techniques	8
EU CR4 - standardised approach - Credit risk exposure and CRM effects	9
EU CR7 - IRB approach - Effect on the RWEAs of credit derivatives used as CRM techniques	10
EU CR7-A - IRB approach - Disclosure of the extent of the use of CRM techniques	11
EU CR8 - RWEA flow statements of credit risk exposures under the IRB approach	12
EU CQ1 - Credit quality of forborne exposures	13
EU CQ3 - Credit quality of performing and non-performing exposures by past due days	14
EU CQ4 - Quality of non-performing exposures by geography	15
EU CQ5 - Credit quality of loans and advances to non-financial corporations by industry	16
EU CQ7 - Collateral obtained by taking possession and execution processes	17
Liquidity
EU LIQ1 - Quantitative information of LCR	18
EU LIQ2 - Net Stable Funding Ratio	19
Operational Risk
EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts	20
Other
EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures	21
EU LR2 - LRCom: Leverage ratio common disclosure	22
EU LR3 - LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)	23
EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer	24
EU CCyB2 - Amount of institution-specific countercyclical capital buffer	25

Not applicable template list

1

Table 1 - EU KM1 - Key metrics template

During the second half of 2023, total own funds for RealKredit decreased by EUR 5m. CET1 capital decreased by EUR 5m, while AT1 capital and T2 capital remained stable. Total REA increased by EUR 31m over the period, the CET1 ratio decreased by 0.1pp to 28.5% and the TCR decreased by 0.1pp to 30.7%. The leverage ratio remained stable at 4.8% during the period.

		a	b	c	d	e
	Available own funds (amounts)	2023 Q4	2023 Q3	2023 Q2	2023 Q1	2022 Q4
1	Common Equity Tier 1 (CET1) capital	2,771		2,776		2,774
2	Tier 1 capital	2,771		2,776		2,774
3	Total capital	2,980		2,984		2,982
	Risk-weighted exposure amounts
4	Total risk exposure amount	9,717		9,686		9,783
	Capital ratios (as a percentage of risk-weighted exposure amount)
5	Common Equity Tier 1 ratio (%)	28.5%		28.7%		28.4%
6	Tier 1 ratio (%)	28.5%		28.7%		28.4%
7	Total capital ratio (%)	30.7%		30.8%		30.5%
	Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)
EU 7a	Additional own funds requirements to address risks other than the risk of excessive	2.6%		2.2%		2.2%
	leverage (%)
EU 7b	of which: to be made up of CET1 capital (percentage points)	1.5%		1.2%		1.2%
EU 7c	of which: to be made up of Tier 1 capital (percentage points)	1.9%		1.6%		1.6%
EU 7d	Total SREP own funds requirements (%)	10.6%		10.2%		10.2%
	Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)
8	Capital conservation buffer (%)	2.5%		2.5%		2.5%
EU 8a	Conservation buffer due to macro-prudential or systemic risk identified at the level of a	0.0%		0.0%		0.0%
	Member State (%)
9	Institution specific countercyclical capital buffer (%)	2.5%		2.5%		2.0%
EU 9a	Systemic risk buffer (%)	0.0%		0.0%		0.0%
10	Global Systemically Important Institution buffer (%)	0.0%		0.0%		0.0%
EU 10a	Other Systemically Important Institution buffer (%)	1.5%		1.5%		1.5%
11	Combined buffer requirement (%)	6.5%		6.5%		6.0%
EU 11a	Overall capital requirements (%)	17.1%		16.6%		16.1%
12	CET1 available after meeting the total SREP own funds requirements (%)	20.1%		20.7%		20.3%
	Leverage ratio
13	Total exposure measure	57,685		57,345		57,263
14	Leverage ratio (%)	4.8%		4.8%		4.8%
	Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)
EU 14a	Additional own funds requirements to address the risk of excessive leverage (%)	0.0%		0.0%		0.0%
EU 14b	of which: to be made up of CET1 capital (percentage points)	0.0%		0.0%		0.0%
EU 14c	Total SREP leverage ratio requirements (%)	3.0%		3.0%		3.0%
	Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
EU 14d	Leverage ratio buffer requirement (%)	0.0%		0.0%		0.0%
EU 14e	Overall leverage ratio requirement (%)	3.0%		3.0%		3.0%
	Liquidity Coverage Ratio
15	Total high-quality liquid assets (HQLA) (Weighted value -average)	2,477	2,495	2,537	2,634	2,701
EU 16a	Cash outflows - Total weighted value	534	589	598	560	496
EU 16b	Cash inflows - Total weighted value	388	432	383	326	362
16	Total net cash outflows (adjusted value)	332	352	351	329	266
17	Liquidity coverage ratio (%)	1894%	1831%	1776%	2451%	2925%
	Net Stable Funding Ratio
18	Total available stable funding	3,558	3,556	3,568	3,567	3,580
19	Total required stable funding	424	551	496	501	494
20	NSFR ratio (%)	838.3%	645.6%	719.0%	711.6%	724.8%

2

Table 2 - EU CC1 - Composition of regulatory own funds

At the end of 2023, Tier 1 capital, CET1 capital and Total own funds decreased by EUR -3m compared to 2022. Tier 2 capital remained unchanged.

EURm

(a)

(b)

Source based on reference

numbers/letters of the

Amounts balance sheet under the regulatory scope of

consolidation

Common Equity Tier 1 (CET1) capital: instruments and reserves
1	Capital instruments and the related share premium accounts	230	1
	of which: Instrument type 1	230
	of which: Instrument type 2
	of which: Instrument type 3
2	Retained earnings	2,615	2.3
3	Accumulated other comprehensive income (and other reserves)	0
EU-3a	Funds for general banking risk

1. Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1
2. Minority interests (amount allowed in consolidated CET1)

EU-5a	Independently reviewed interim profits net of any foreseeable charge or dividend
6	Common Equity Tier 1 (CET1) capital before regulatory adjustments	2,846
Common Equity Tier 1 (CET1) capital: regulatory adjustments
7	Additional value adjustments (negative amount)	-31
8	Intangible assets (net of related tax liability) (negative amount)
10	Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net	7
	of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)
11	Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not
	valued at fair value
12	Negative amounts resulting from the calculation of expected loss amounts	-38

1. Any increase in equity that results from securitised assets (negative amount)
2. Gains or losses on liabilities valued at fair value resulting from changes in own credit standing
3. Defined-benefitpension fund assets (negative amount)
4. Direct, indirect and synthetic holdings by an institution of own CET1 instruments (negative amount)
5. Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
6. Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
7. Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net

of eligible short positions) (negative amount)

EU-20a Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative

EU-20b of which: qualifying holdings outside the financial sector (negative amount)

EU-20c of which: securitisation positions (negative amount)

EU-20d of which: free deliveries (negative amount)

1. Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)
2. Amount exceeding the 17.65% threshold (negative amount)
3. of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial

sector entities where the institution has a significant investment in those entities
24 Not applicable	N/A

25 of which: deferred tax assets arising from temporary differences EU-25aLosses for the current financial year (negative amount)

EU-25b Foreseeable tax charges relating to CET1 items except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be used to cover

	risks or losses (negative amount)
26	Not applicable	N/A
27	Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount)
27a	Other regulatory adjustments	-6
28	Total regulatory adjustments to Common Equity Tier 1 (CET1)	-74
29	Common Equity Tier 1 (CET1) capital	2,771

3

EURm

(a)

(b)

Source based on reference

numbers/letters of the

Amounts balance sheet under the regulatory scope of

consolidation

Additional Tier 1 (AT1) capital: instruments

1. Capital instruments and the related share premium accounts
2. of which: classified as equity under applicable accounting standards
3. of which: classified as liabilities under applicable accounting standards
4. Amount of qualifying items referred to in Article 484 (4) CRR and the related share premium accounts

subject to phase out from AT1

EU-33a Amount of qualifying items referred to in Article 494a(1) CRR subject to phase out from AT1 EU-33b Amount of qualifying items referred to in Article 494b(1) CRR subject to phase out from AT1

1. Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties
2. of which: instruments issued by subsidiaries subject to phase out
3. Additional Tier 1 (AT1) capital before regulatory adjustments

Additional Tier 1 (AT1) capital: regulatory adjustments

1. Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount)
2. Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
3. Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
4. Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative

amount)

1. Qualifying T2 deductions that exceed the T2 items of the institution (negative amount)
   42a Other regulatory adjustments to AT1 capital
2. Total regulatory adjustments to Additional Tier 1 (AT1) capital
3. Additional Tier 1 (AT1) capital

45	Tier 1 capital (T1 = CET1 + AT1)	2,771
Tier 2 (T2) capital: instruments
46	Capital instruments and the related share premium accounts	208	1
47	Amount of qualifying items referred to in Article 484(5) CRR and the related share premium accounts
	subject to phase out from T2 as described in Article 486(4) CRR
EU-47a	Amount of qualifying items referred to in Article 494a(2) CRR subject to phase out from T2
EU-47b	Amount of qualifying items referred to in Article 494b(2) CRR subject to phase out from T2

1. Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties
2. of which: instruments issued by subsidiaries subject to phase out

50	Credit risk adjustments	0
51	Tier 2 (T2) capital before regulatory adjustments	208

4

EURm

(a)

(b)

Source based on reference

numbers/letters of the

Amounts balance sheet under the regulatory scope of

consolidation

Tier 2 (T2) capital: regulatory adjustments

1. Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount)
2. Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
3. Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
4. Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible

	short positions) (negative amount)
EU-56a	Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative
	amount)
EU-56b	Other regulatory adjustments to T2 capital
57	Total regulatory adjustments to Tier 2 (T2) capital
58	Tier 2 (T2) capital	208
59	Total capital (TC = T1 + T2)	2,980
60	Total Risk exposure amount	9,717
Capital ratios and requirements including buffers
61	Common Equity Tier 1 capital	28.5%
62	Tier 1 capital	28.5%
63	Total capital	30.7%
64	Institution CET1 overall capital requirements	12.4%
65	of which: capital conservation buffer requirement	2.5%
66	of which: countercyclical capital buffer requirement	2.5%

67 of which: systemic risk buffer requirement

EU-67a	of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution	1.5%
	(O-SII) buffer requirement
EU-67b	of which: additional own funds requirements to address the risks other than the risk of excessive	1.5%
	leverage
68	Common Equity Tier 1 capital (as a percentage of risk exposure amount) available after meeting the	20.1%
	minimum capital requirements

Amounts below the thresholds for deduction (before risk weighting)

1. Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)
2. Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of

	eligible short positions)
75	Deferred tax assets arising from temporary differences (amount below 17.65% threshold, net of related tax	0
	liability where the conditions in Article 38 (3) CRR are met)
Applicable caps on the inclusion of provisions in Tier 2
76	Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to
	the application of the cap)
77	Cap on inclusion of credit risk adjustments in T2 under standardised approach
78	Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach	0
	(prior to the application of the cap)
79	Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach	50

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022)

1. Current cap on CET1 instruments subject to phase out arrangements
2. Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)
3. Current cap on AT1 instruments subject to phase out arrangements
4. Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)
5. Current cap on T2 instruments subject to phase out arrangements
6. Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

5

Table 3 - EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements

At the end of the fourth quarter of 2023 total assets as published in the financial statements stood at EUR 57.7bn (EUR 57.2bn in Q4 2022), total liabilities amounted to EUR 54.5bn (EUR 54.0bn in Q4 2022) and equity amounted to EUR 3.0bn (EUR 3.0bn in Q4 2022).

EURm	a & b	c
		Balance sheet as in
		published financial	Reference
		statements
		As at period end
Assets - Breakdown by asset classes according to the balance sheet in the published financial statements
1	Cash in hand and demand deposits with central banks	942
2	Receivables from credit institutions and central banks	4,293
3	Loans and receivables at fair value	52,420

4 Loans and receivables at amortised cost

5	Investment in associated undertaking	3
6	Tangible assets
7	Deferred tax assets	0	10
8	Current tax assets	10
9	Assets held temporarily	1
10	Other assets	19
11	Prepaid expenses	1
	Total assets	57,689
Liabilities - Breakdown by liability classes according to the balance sheet in the published financial statements
1	Debt to credit institutions and central banks	1,089
2	Bonds in issue at fair value	52,915
3	Other liabilities	477

4 Deferred income

	Total liabilities	54,481
Subordinated debt
	Subordinated debt	208
1	of which: T2 Capital instruments and the related share ­premium accounts	208	46
Shareholders' Equity
1	Share capital	230	1
2	Other reserves	3	2
3	Retained earnings	2,612	2
4	Proposed dividends	154
	Total shareholders' equity	3,000
	Total liabilities and shareholders' equity	57,689

Contingent liabilities

1	Guarantees etc
2	Credit commitments	139
	Total contingent liabilities	139

6

Table 4 - EU OV1 - Overview of total risk exposure amounts

The table provides an overview of total REA for 2023. Credit risk was the largest risk type, accounting for approximately 94% of Pillar I REA, followed by operational risk which was the second largest risk type. REA decreased by EUR 0.1bn during the period, mainly driven by counterparty credit risk.

EURm

Total risk exposure amounts (TREA) Total own funds requirements

		a	b	c
		Q4 2023	Q4 2022	Q4 2023
1	Credit risk (excluding CCR)	9,121	9,068	730
2	Of which the standardised approach	819	887	65
3	Of which the Foundation IRB (F-IRB) approach	42	52	3

4 Of which slotting approach

EU 4a	Of which equities under the simple riskweighted approach
5	Of which the Advanced IRB (A-IRB) approach	8,260	8,128	661
6	Counterparty credit risk - CCR	2	129	0
7	Of which the standardised approach	2	129	0

1. Of which internal model method (IMM) EU 8a Of which exposures to a CCP
   EU 8b Of which credit valuation adjustment - CVA
2. Of which other CCR

1. Settlement risk
2. Securitisation exposures in the non-trading book (after the cap)
3. Of which SEC-IRBA approach
4. Of which SEC-ERBA (including IAA)
5. Of which SEC-SA approach

EU 19a Of which 1250% / deduction

1. Position, foreign exchange and commodities risks (Market risk)
2. Of which the standardised approach
3. Of which IMA

EU 22a	Large exposures
23	Operational risk	590	584	47
EU 23a	Of which basic indicator approach
EU 23b	Of which standardised approach	590	584	47
EU 23c	Of which advanced measurement approach
24	Amounts below the thresholds for deduction (subject to 250% risk weight)	1	1	0
29	Total	9,713	9,780	777
	Additional risk exposure amount related to Finnish RW floor due to Article 458 CRR
	Additional risk exposure amount related to Swedish RW floor due to Article 458 CRR	4	3	0
	Article 3 CRR Buffer
	Pillar 1 total	9,717	9,783	777

7

Table 5 - EU CR1 - Performing and non-performing exposures and related provisions

Total gross carrying amount of performing and non-performing loans and advances amounted to EUR 57bn at the end of 2023, of which non-performing amounted to EUR 396m. Allowances in stage 3 for non-performing loans and advances were EUR 30m at the end of 2023. The coverage ratio, including loans and advances fair value through profit and loss (FV through PL), was 8%.

EURm		a	b	c	d		e	f	g	h	i	j	k	l	m	n	o
			Gross carrying amount/nominal amount		Accumulated impairment, accumulated negative changes in fair value due to		Collaterals and financial
						credit risk and provisions				guarantees received
												Non-performing exposures -	Accumulate
									Performing exposures - accumulated	accumulated impairment,
		Performing exposures	Non-performing exposures	d partial	On	On non-
		impairment and provisions	accumulated negative changes in fair
									write-off	performing	performing
												value due to credit risk and provisions
													exposures	exposures
Q4 2023			of which:	of which:			of which:	of which:		of which:	of which:		of which:	of which:
		stage 1	stage 2			stage 2	stage 3		stage 1	stage 2		stage 2	stage 3
005	Cash balances at central banks	1,145	1,145
	and other demand deposits
010	Loans and advances	56,391	56,391			396		396				-30		-30		52,333	314
020	Central banks
030	General governments	15	15													15
040	Credit institutions	4,058	4,058
050	Other financial corporations	816	816			1		1				-0		-0		816	1
060	Non-financial corporations	16,379	16,379			127		127				-5		-5		16,379	121
070	Of which SMEs	9,829	9,829			76		76				-0		-0		9,829	75
080	Households	35,123	35,123			269		269				-25		-25		35,123	192

1. Debt securities

1. Central banks

1. General governments

1. Credit institutions

1. Other financial corporations

1. Non-financialcorporations

150	Off-balance-sheet exposures	95	95	0	0	-0	-0
160	Central banks
170	General governments
180	Credit institutions
190	Other financial corporations	1	1
200	Non-financial corporations	52	52
210	Households	42	42	0	0	-0	-0
220	Total	57,632	57,632	396	396	-0	-0	-30	-30	52,333	314

8

Table 6 - EU CR1-A - Maturity of exposures

EU CR1-A discloses net exposure values for on-balance and off-balance sheet exposures. For exposures classified as loans and advances, about 98% were in the >5 years bucket, whereas for exposure classified as debt securities, 100% were in the No stated maturity bucket. At the end of 2023, the total exposure amount for both groups amounted to EUR 53.7bn.

EURm		a	b	c	d	e	f
				Net exposure value
		On demand	<= 1 year	> 1 year <= 5	> 5 years	No stated	Total
		years	maturity
1	Loans and advances	204	112	692	51,760	54	52,822
2	Debt securities					942	942
3	Total	204	112	692	51,760	995	53,763

9