(Repeat for additional subscribers)
May 19 (The following statement was released by the rating agency)
Fitch Ratings has assigned Nykredit Realkredit's (A/Stable/F1) planned issue of
Tier 2 contingent capital notes an expected rating of 'BBB(EXP)'.
The final rating is contingent upon final documents conforming to information
KEY RATING DRIVERS
The notes are subordinated Tier 2 instruments without a coupon deferral feature
and subject to a 7% capital adequacy trigger. On breach of the trigger, the
notes will be automatically written down to zero and the notes cancelled,
resulting in loss of principal and future interest for investors. The capital
adequacy trigger is based on Nykredit Realkredit's individual or consolidated
common equity Tier 1 (CET1) ratio or Nykredit Holding's consolidated CET1 ratio.
The notes are rated three notches below Nykredit Realkredit's 'a' Viability
Rating (VR) in accordance with Fitch's criteria for "Assessing and Rating Bank
Subordinated and Hybrid Securities" dated 31 January 2014 at
www.fitchratings.com. The notes are notched twice for loss severity to reflect
the principal write-down feature, and once for non-performance risk, to reflect
the moderate incremental risk due to the 7% CET1 ratio trigger, partly offset by
the large capital buffer above this trigger point, compared with the risk
reflected in the bank's VR.
The notes have been assigned an equity credit of 50%.
RATING SENSITIVITIES - IDRS, NATIONAL RATINGS AND SENIOR DEBT
As the notes are notched from Nykredit Realkredit's VR, their rating is
primarily sensitive to any change in this rating. The notes' rating is also
sensitive to a wider notching if Fitch changed its assessment of the probability
of the notes' non-performance risk relative to the risk captured in Nykredit