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2016 EU-wide Transparency Exercise Summary - Danske Bank

Core Content

This document outlines the results of the 2016 EU-wide Transparency Exercise for Danske Bank, providing detailed information on capital composition, risk exposure amounts, and profit and loss (P&L) data. The information is structured across different categories, including own funds, capital ratios, risk exposure, and P&L components, with references to the relevant Capital Requirements Regulation (CRR) articles and COREP CODE classifications.

Capital Composition (Transitional Period)

Own Funds

• Total Own Funds: Decreased from 23,469 million EUR (31/12/2015) to 22,751 million EUR (30/06/2016).
• Common Equity Tier 1 (CET1) Capital: Decreased from 18,004 million EUR to 16,973 million EUR, with various deductions and transitional adjustments.
  • CET1 Capital Elements:
    • Capital instruments eligible as CET1: Decreased from 1,331 million EUR to 547 million EUR.
    • Retained earnings: Increased slightly from 17,643 million EUR to 17,822 million EUR.
    • Accumulated other comprehensive income: Decreased from 57 million EUR to 31 million EUR.
    • Other Reserves, Funds for general banking risk, Minority interest, Adjustments due to prudential filters: All at 0 million EUR.
    • Intangible assets (including Goodwill): Decreased from -816 million EUR to -835 million EUR.
    • DTAs that rely on future profitability: Decreased from -46 million EUR to -56 million EUR.
    • IRB shortfall of credit risk adjustments: At 0 million EUR.
    • Defined benefit pension fund assets: Decreased from -271 million EUR to -239 million EUR.
    • Reciprocal cross holdings in CET1 Capital: At 0 million EUR.
    • Excess deduction from AT1 items over AT1 Capital: At 0 million EUR.
    • Deductions related to assets with alternative risk weight: Decreased from -5 million EUR to -22 million EUR.
    • Holdings of CET1 capital instruments with insignificant investment: At 0 million EUR.
    • Deductible DTAs that rely on future profitability: At 0 million EUR.
    • Holdings of CET1 capital instruments with significant investment: At 0 million EUR.
    • Amount exceeding 17.65% threshold: At 0 million EUR.
    • Additional deductions due to Article 3 CRR: At 0 million EUR.
    • CET1 capital elements or deductions - other: Decreased from -515 million EUR to -241 million EUR.
  • Transitional adjustments: Decreased from 693 million EUR to 192 million EUR.

Additional Tier 1 (AT1) Capital

• Total AT1 Capital: Increased slightly from 2,702 million EUR to 2,730 million EUR.
  • Additional Tier 1 Capital instruments: At 1,481 million EUR.
  • Excess deduction from T2 items over T2 capital: At 0 million EUR.
  • Other Additional Tier 1 components and deductions: At 0 million EUR.
  • Transitional adjustments: Increased from 1,221 million EUR to 1,249 million EUR.

Tier 1 Capital

• Total Tier 1 Capital: Decreased from 20,707 million EUR to 19,703 million EUR.

Tier 2 Capital

• Total Tier 2 Capital: Increased from 2,762 million EUR to 3,048 million EUR.
  • Tier 2 Capital instruments: At 2,327 million EUR.
  • Other Tier 2 components and deductions: At 0 million EUR.
  • Tier 2 transitional adjustments: Increased from 435 million EUR to 725 million EUR.

Capital Ratios

• CET1 Capital Ratio (transitional period): Decreased from 16.12% to 15.78%.
• Tier 1 Capital Ratio (transitional period): Decreased from 18.54% to 18.31%.
• Total Capital Ratio (transitional period): Increased slightly from 21.01% to 21.15%.

Risk Exposure Amounts

• Total Risk Exposure Amount: Decreased from 111,703 million EUR (31/12/2015) to 107,581 million EUR (30/06/2016).
  • Credit Risk:
    • Credit risk exposure: Increased from 91,042 million EUR to 91,968 million EUR.
    • Securitisation and re-securitisations in the banking book: Increased from 355 million EUR to 418 million EUR.
    • Contributions to the default fund of a CCP: Increased from 0 million EUR to 134 million EUR.
    • Other credit risk: Increased from 90,687 million EUR to 91,416 million EUR.
  • Market Risk:
    • Risk exposure amount for position, foreign exchange and commodities: Decreased from 9,671 million EUR to 5,009 million EUR.
    • Of which: Foreign exchange risk: Decreased from 14 million EUR to 6 million EUR.
    • Commodities risk: Decreased from 43 million EUR to 16 million EUR.
    • Gains or losses on hedge accounting: Decreased from 1 million EUR to 0 million EUR.

Profit and Loss (P&L) Data

• Total Operating Income, Net: Decreased from 5,837 million EUR (31/12/2015) to 3,013 million EUR (30/06/2016).
• Interest Income: Decreased from 7,385 million EUR to 3,410 million EUR.
  • Debt securities income: Decreased from 937 million EUR to 322 million EUR.
  • Loans and advances income: Decreased from 5,785 million EUR to 2,704 million EUR.
• Interest Expenses: Decreased from 3,508 million EUR to 1,525 million EUR.
  • Deposits expenses: Decreased from 460 million EUR to 154 million EUR.
  • Debt securities issued expenses: Decreased from 3,035 million EUR to 1,352 million EUR.
• Dividend Income: Decreased from 145 million EUR to 51 million EUR.
• Net Fee and Commission Income: Decreased from 1,581 million EUR to 731 million EUR.
• Gains or losses on derecognition of financial assets and liabilities: Decreased from -58 million EUR to -11 million EUR.
• Gains or losses on financial assets and liabilities held for trading: Increased from -154 million EUR to 54 million EUR.
• Gains or losses on financial assets and liabilities designated at fair value through profit or loss: At 0 million EUR.
• Gains or losses from hedge accounting: Decreased from 1 million EUR to 0 million EUR.
• Exchange differences: At 0 million EUR.
• Net other operating income/(expenses): Decreased from 444 million EUR to 303 million EUR.
• Profit or loss before tax from continuing operations: Decreased from 2,294 million EUR to 1,576 million EUR.
• Profit or loss after tax from continuing operations: Decreased from 1,733 million EUR to 1,240 million EUR.
• Profit or loss for the year: Decreased from 1,733 million EUR to 1,240 million EUR.

Capital Composition (Fully Loaded)

• CET1 Capital (Fully loaded): Decreased from 17,311 million EUR (31/12/2015) to 16,781 million EUR (30/06/2016).
• CET1 Capital Ratio (Fully loaded): Increased slightly from 15.48% to 15.60%.

Risk Exposure Breakdown (Standardised Approach)

Credit Risk

• Total Risk Exposure Amount: Decreased from 111,703 million EUR to 107,581 million EUR.
• Credit Risk Breakdown:
  • Central governments or central banks: Decreased from 37,438 million EUR to 31,295 million EUR.
  • Regional governments or local authorities: Increased from 7,165 million EUR to 9,234 million EUR.
  • Public sector entities: Decreased from 225 million EUR to 337 million EUR.
  • Multilateral Development Banks: Decreased from 814 million EUR to 0 million EUR.
  • International Organisations: Decreased from 209 million EUR to 206 million EUR.
  • Institutions: Decreased from 3,127 million EUR to 2,001 million EUR.
  • Corporates: Decreased from 8,760 million EUR to 281 million EUR.
  • Retail: Decreased from 7,123 million EUR to 58 million EUR.
  • Secured by mortgages on immovable property: Decreased from 16,381 million EUR to 16,429 million EUR.
  • Covered bonds: Decreased from 23,912 million EUR to 26,874 million EUR.
  • Equity: Decreased from 1,875 million EUR to 2,088 million EUR.
  • Other exposures: Decreased from 284 million EUR to 29 million EUR.
  • Standardised Total: Decreased from 109,064 million EUR to 130,259 million EUR.

Risk Exposure by Country

• Denmark:
  • Total Risk Exposure Amount: Decreased from 109,064 million EUR to 130,259 million EUR.
• Sweden:
  • Total Risk Exposure Amount: Decreased from 97,710 million EUR to 115,379 million EUR.
• Finland:
  • Total Risk Exposure Amount: Decreased from 21,600 million EUR to 19,959 million EUR.

Key Information

• The document provides data on own funds, capital ratios, risk exposure, and P&L for Danske Bank as part of the EU-wide Transparency Exercise 2016.
• CET1 Capital and Tier 2 Capital both decreased, while Tier 1 Capital also decreased.
• Total Capital Ratio slightly increased.
• Risk exposure was reported for various categories including credit risk, market risk, and securitisation.
• P&L showed a significant decline, with interest income and fee and commission income decreasing notably.
• Transitional adjustments impacted the CET1 Capital and Tier 2 Capital figures.
• The data includes value adjustments and provisions, which are reported separately for each category.
• The Standardised Approach is used for credit risk calculations, and the breakdown is provided by country.

Summary

Danske Bank's 2016 EU-wide Transparency Exercise reveals a decrease in own funds and capital ratios during the transitional period, with specific deductions and adjustments affecting CET1 Capital and Tier 2 Capital. Risk exposure for credit and market risks is detailed, showing a reduction in total risk exposure. The P&L indicates a decline in net operating income, with interest income and fee and commission income as the primary contributors. The Standardised Approach for credit risk is applied, and the data is broken down by country and exposure type, with value adjustments and provisions included for each category.