SEB’s Swedish Residential Mortgage Lending

and Covered Bonds

More information: www.sebgroup.com / investor relations

Stockholm

November 16, 2012

2

Risk Management

Status of Swedish Residential Mortgage Market

Household Mortgage Lending in focus

SEB’s total Credit Portfolio

Content

Cover Pool, Covered Bonds and Funding Strategy

SEB’s Swedish Residential Mortgage Lending and Strategy going forward

Johan AnderssonStatus of Swedish Residential Mortgage Market:

Household Mortgage Lending in focus

4

House prices (index 1992=100) Important factors for Swedish market

Household debt as % of disposable income Household debt as % of GDP

0

50

100

150

200

250

300

350

400

-92 -93 -94 -95 -96 -97 -98 -99 -00 -01 -02 -03 -04 -05 -06 -07 -08 -09 -10 -11 -12

UK Denmark Spain Germany

Netherlands Norway USA Sweden

Source: Reuters EcoWin

• Reduced subsidies at the beginning of the 1990s caused a

decline in residential construction which eventually led to an

upward pressure on equilibrium price levels

• Structural lack of supply in particular in the larger cities

• Abolition of residential real estate and wealth tax in the mid-

2000s

• Low debt servicing costs

• Interest costs deductible to 30% (20% on amount above SEK

100th)

Price development and Household indebtedness

Sweden = green line

A steady and sustained increase in Swedish house prices

Sweden = red line Sweden = red line

Swedish household indebtedness lower than in many other countries

5

Swedish house price update, 30 Oct 2012

Source: Sweden statistics

Lending growth to Swedish Households

Current market development

Dampened price development and a downward sloping trend of lending growth to households

Total 1m 3m 12m

Sweden -1.7% 0.0% 2.9%

Tenant rights

Sweden 0.1% 0.6% 6.3%

Stockholm 0.4% 0.8% 7.6%

Göteborg -0.1% 2.3% 9.5%

Malmö -1.8% 0.9% 0.1%

Middle-size cities -0.1% -0.3% 4.8%

Single-family homes

Sweden -2.5% -0.3% 0.9%

Stockholm -0.8% -0.4% 2.0%

Göteborg -1.7% 1.4% 2.6%

Malmö -3.1% -1.3% -1.9%

Middle-size cities -3.9% -0.7% 0.0%

Price change

Source: Valueguard-KTH

6

Affordability remains strong as a result of higher salaries, low inflation, tax cuts and low

interest rates

Household total wealth is almost three times larger than household debt

Low new construction activity in relation to demand

Socio-economic factors such as:

• the credit information agency “UC “ (provides unique financial information on

Swedish private persons, companies and institutions),

• no buy-to-let market,

• personal liability for life,

• two bread-winners – a mortgage loan is typically a joint liability

General risk mitigating factors in the Swedish market

Key factors

Johan AnderssonDevelopment of SEB’s Credit Portfolio

8

Non-bank credit portfolio composition (Dec ’07 and Sep ’12)

Development of SEB’s total Credit Portfolio

Strong growth in Sweden

SEK 1,304bn SEK 1,578bn

29% 30%

16%24%

4%

7%11%

14%24%

14%

13%8%

4% 4%

Dec '07 Sep '12

Other

Baltics

Germany

Other Nordics

Swedish multi-family

Swedish household

mortgage

Sweden excl.

residential mortgage

Sweden

49% 61%

Mats TorstendahlSEB’s Swedish Residential Mortgage Lending

and Strategy going forward

10

SEB’s Swedish Household Mortgage Lending

Substantial growth has been achieved

Total Market = SCB.SE 1. Monetära finansinstitut (MFI) 1B30151A Utlåning Sv,

Säkerhet bostad, Hushåll, 3% 3% 2% 3% 4% 4% 4% 5% 3% 2% 2%

0,0%

1,0%

2,0%

3,0%

4,0%

Mar '

10

Jun '1

0

Sep '1

0

Dec '10

Mar

'11

Jun '1

1

Sep '11

Dec '1

1

Mar '

12

Jun '1

2

Sep '1

2

SEB Mortgage Lending

QoQ

167 170 174 177 180 186 192 199 208 212 217 221

68 71 74 76 79 84 90 94 100 103 106 10812 13 13 13 14 14 14 15 16 16 16 17

247 254 261 266 273 284 296 308 323 331 339 346

Dec '09

Mar '

10

Jun '1

0

Sep '10

Dec '10

Mar '

11Ju

n '11

Sep '11

Dec '11

Mar '

12

Jun '1

2Sep '1

2

Single-family homes Tenant owners' rights Second homes

Acquisition of DnB NOR’s Swedish

Household mortgage portfolio

Why SEB has taken market shares?

Mortgage lending by property type (SEK bn) SEB quarterly development relative total market

Overall market development is 0 (zero)

SEB’s Household strategy remained the same

Growth case for Retail

Mortgage product is key for long term loyalty

Efficient mortgage process

Household mortgage lending market shares

0%

5%

10%

15%

20%

25%

2009-01 2010-01 2011-01 2012-01

SEB~15.5%

Source: Sweden Statistics Sep 2012

11

SEB’s Swedish Household Mortgage Lending

Strong economic profile of new customers

SEB’s typical mortgage customer Age distribution of customers

SEB’s mortgage customers have a relatively stronger credit quality than market average

0.5

0.6

0.7

0.8

0.9

1.0

1.1

1.2

1.3

Oct

'10

Nov '10

Dec

'10

Jan '1

1

Feb '1

1

Mar '

11

Apr '11

May '

11

Jun '1

1

Jul '1

1

Aug '11

Sep '1

1

Oct

'11

Nov '

11

Dec

'11

Jan '1

2

Feb '1

2

Mar '

12

Apr '12

May

'12

Jun '1

2

UC scoring

Total market SEB

0%

5%

10%

15%

20%

25%

30%

18-24 25-34 35-44 45-54 55-64 65-

Portfolio New loans**

** New loans paid out during Q3 2012

Urban single-family homes

Main age span 25-44 years old

High income households

Dual income with kids

Personal savings above average

Stronger credit rating vs. market average of mortgage customers

Source: Upplysningscentralen (“UC”)

* UC scoring is defined as the probability of getting a payment remark within one year

*

12

SEB’s Swedish Household Mortgage Lending

Strongest growth in greater urban regions where there is a lack of supply

Dec '10 Greater

Stockholm

Greater

Göteborg &

Malmö

Other Sep '12

50%

20%

30%

SEK 273bn

SEK 346bnSEK 273bn SEK 346bn

Distribution of lending, % Geographic split of the growth, %

44% 45%

24% 24%

32% 31%

Dec '10 Sep '12

Greater Stockholm Greater Göteborg & Malmö Other

13

16 16 17 19 20 21 22 23 26 27 30 33 35 36 37 37

2006122007122008122009092009122010

032010

062010

092010

122011

032011

062011

092011

122012

032012

062012

09

Lending

27 29 36 35 38 39 39 44 47 51 53 52 56 56 57 58

2006122007122008122009092009122010

032010

062010

092010

122011

032011

062011

092011

122012

032012

062012

09

Lending

7% 1% 2% 11% 7% 9% 4% -1% 6% 1% 2% 0%QoQ3% 5% 5% 8% 10% 6% 12% 9% 6% 2% 3% 2%QoQ

SEB’s Lending to Swedish Multi-family

Growth also in the Multi-family housing segment

Housing co-operative associations (SEK bn) Residential real estate management (SEK bn)

14

Dec '10 Greater

Stockholm

Greater

Göteborg &

Malmö

Other Sep '12

35%

20%

45%

SEK 72bn

SEK 95bnSEK 72bn SEK 95bn

SEB’s Lending to Swedish Multi-family

Lending growth in greater urbans areas

Distribution of lending, % Geographic split of the growth, %

39% 38%

26% 24%

35% 38%

Dec '10 Sep '12

Greater Stockholm Greater Göteborg & Malmö Other

15

Pricing Models

Individual pricing based on risk;

Repayment capacity (PD)

Loss given default (LGD)

Loan-to-value (LTV)

Collateral type

List price only an indication

Individual pricing based on risk;

Repayment capacity (PD)

Internal RoBE requirements

LTV

Location

Level of relationship

Size of loan

Swedish Housing co-operative associations and Residential real estate managementSwedish Household mortgage lending

16

Strategy going forward

Swedish Households and Multi-family housing

Mortgage lending a main driver within Household market

−creates cross selling opportunities

Drives customer relationships

−loyalty and long term revenue

Continue growing market shares

−supported by deposit growth

Strong counterparties with relatively low risk

Swedish Household Mortgage lending is a naturalconsequence of SEB’s long-term strategy

Lending to Swedish Multi-family housing part of SEB’s long-term SME strategy

Real estate owners important customer segment in our local geographical markets

Low risk segment

Rewarding relationships with construction companies

− New housing co-operative associations give opportunity to acquire new private customers (tenants)

Johan AnderssonRisk Management

18

Credit assessment criteria

• Customer should afford 7% interest rate and a straight amortisation over a period of 60 years

• Max loan amount 5x total gross household income irrespective of LTV and no more than one payment remark

• ”Kvar att leva på” amount adjusted in June 2012

• Loan >75% of market value to be amortized over maximum 10 years

• 85% LTV regulatory cap

• ‘Sell first and buy later’

Stress Testing

• In-house stress tests show that even under circumstances with both unemployment rates and interest rates

substantially above current levels, in combination with falling market values, net credit loss levels will be

moderate

• The recorded credit loss level during the early 90s crisis peaked at around 0.30%

Mortgage lending based on affordability and LTV

Underwriting Principles and Stress Testing

Swedish Household Mortgage portfolio credit assessment process supports continued robust asset quality

19

Loan-to-value distribution (”bucket method”)

0-50%

51-85% 22%

>85% 3%

LTV Share of portfolio

75%

Weighted average max LTV by property type

Peer review:Weighted average max LTV (for total Swedish household mortgage portfolio – single-family and tenant rights)

SEB: 64.3% (Dec ’11), 65.2% (Sep ’12) Swedbank: 62.2% (Dec ’11), 63.8% (Sep ’12) SHB: 63.1% (Dec ’11)

Source: Interim reports and fact books

Asset Quality

Swedish Household Mortgage LTV development stable

65,2%

69,3%

63,3%

55%

60%

65%

70%

75%

80%

Mar'0

9Ju

n'09

Sep'09

Dec'09

Mar'1

0Ju

n'10Sep'10Dec'1

0M

ar'11

Jun'11

Sep'11Dec'1

1M

ar'12

Jun '1

2Sep '1

2

Portfolio WA max LTVTenant owners' rights, PortfolioSingle-family homes, Portfolio

Nordea: n/a

20

Net credit loss level for SEB’s Swedish Household mortgage portfolio

Asset Quality

Swedish Household Mortgage: Negligible losses in the portfolio after the 90s crisis

Past due 60 days and net credit loss level

* Annualised YTDNet credit losses = the aggregated net of write-offs, recoveries and provisions

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012*

0.11%

0.17%

0.13%

0.10%

0.15%0.14%

0.00%0.01%

0.00%0.01%

0.02%0.01%

2007 2008 2009 2010 2011 2012*

Past Due 60 days/lending Net credit loss level

21

Asset Quality

Swedish Multi-family: Very low levels of impaired loans and negligible credit losses

Net credit loss level for SEB’s Multi-family portfolio

Level of impaired loans and net credit loss level

* Net credit losses = the aggregated net of write-offs, recoveries and provisions

0.03% 0.03%

0.08%

0.10%

0.04% 0.04%

0.00%

0.02%

0.00%0.01%

0.00%0.00%

2007 2008 2009 2010 2011 2012*

Impaired loans/lending Net credit loss level

-0,40%

-0,20%

0,00%

0,20%

0,40%

0,60%

0,80%

1,00%

1,20%

1,40%

1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 Sep

'12

Sep ’12 annualised YTD

John Arne WangCover Pool, Covered Bonds

and Funding Strategy

23

Benchmarking the large Swedish banks’ Swedish Cover Pools

SEB – more Households than Multi-family housing

Large Swedish banks’ cover pool Sep ’12

** Nominal based OC

Weighted average max LTV for the Swedish cover pool

59% 58% 47%

Over collateralisation**

56% 32% 15%

55%

38%

Source: Association of Swedish Covered Bond issuers (”ASCB”)

85%72% 68%

15%23% 28% 32%

77%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

SEB Swedbank Nordea* SHB

Multi-family etc.

Households

SEK 388bn SEK 692bn SEK 406bn SEK 599bn

* Nordea as of Q2 2012

24

Cover Pool

Only Swedish Residential Mortgages in SEB’s Cover PoolHighlights

Over collateralization LTV distribution*

0

20

40

60

80

100

120

140

160

Mar-1

0Ju

n-10

Sep-10

Dec-10

Mar-1

1

Jun-1

1Sep-1

1Dec-1

1M

ar-12

Jun-1

2Sep-1

2

SEK

bn

0%

10%

20%

30%

40%

50%

60%

70%

80%OC OC %

20%18%

16%14%

12%10%

7%2%

0%

0-10%10-20%20-30%30-40%40-50%50-60%60-70%70-75%

>75%

* Distribution in different LTV buckets based on exact order of priority for the

individual mortgage deeds according to the Association of Swedish Covered

Bond issuers

• SEB has by far the highest OC of all the Swedish peers, currently 56%

• Only Swedish Residential mortgages in the Cover Pool, which historically have had very low credit losses

• SEB’s Cover Pool has slightly higher LTV than peer average level

• SEB’s Cover Pool is more concentrated towards Single Family and Tenant rights, which generally have somewhat

higher LTVs

• All eligible Swedish residential mortgages are in the Cover Pool, i.e. no cherry picking of mortgages from balance

sheet to Cover Pool

25

SEB wholesale funding mix

Wholesale funding SEK 692bn as of Sep ’12 Wholesale funding distribution

36%

4%

12%4%3%

41%

Mortgage Covered Bonds SwedenMortgage Covered Bonds Germany

Senior unsecured bondsRetail index linked

Subordinated DebtShort term funding (CPs/CDs)

Short-term funding programs Long-term funding programs

• Commercial paper (CP) programs

• Swedish

• French

• Global

• European

• US

• US Extendible notes

• Commercial deposit (CD)

programs

• Yankee CDs

• Sterling CDs

• SEB AB

• Domestic MTN program• Global MTN programs• Structured Notes Program

• 144a/3(a)2 Covered and senior

unsecured

• SEB AG

• Covered bond and senior

unsecured programs

• SEB Vilnius senior unsecured bonds

SEB strives to keep a high level of funding diversification

in terms of products, markets, currencies and duration

26

Covered Bonds

Profile of outstanding Covered BondsSEB AB Mortgage Covered Bonds Outstanding Covered Bonds (SEK bn)

Currency mix, % Issued Benchmark and Non-Benchmark all ccy

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

20132014

2015

2016

2017201820212022202320262028

20312032203320392041

Non-Benchmark

EUR Benchmark

SEK Benchmark

0

50

100

150

200

250

300

Jan-1

1Feb

-11

Mar

-11

Apr-11

May

-11

Jun-1

1Ju

l-11

Aug-11

Sep-11

Oct-1

1Nov-

11Dec

-11

Jan-1

2Feb

-12

Mar

-12

Apr-12

May

-12

Jun-1

2Ju

l-12

Aug-12

Sep-12

77%

23%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

2008Q22008Q32008Q42009Q12009Q22009Q32009Q42010

Q12010Q22010Q32010

Q42011Q

12011

Q22011

Q32011Q

42012Q12012

Q22012Q3

Covered Bond SEK Covered Bond Non-SEK

Loans originated by Skandinaviska Enskilda Banken AB (publ)

Pool type Dynamic

Moodys Rating Aaa

Total outstanding SEK 249bn

SEK 77%FX distribution

non-SEK 23%

Benchmark 92.6%Benchmark

Non Benchmark 7.4%

SEK m

27

Funding Strategy

Issuance and Maturity profile

Upcoming refinancing needs 2013-2015

0

20

40

60

80

100

120

140

Matured Senior Unsecured

Matured Covered Bonds

Issued Senior Unsecured

Issued Covered Bonds

2009 2010 2011 2012 YTD 2013 2014 20152012

Maturing

Matured

Issued

28

Funding Strategy

Covered Bonds

Key factors

Maturity profile Q3 2010 (SEK m) Maturity profile Q3 2012 (SEK m)

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

2013 2014 2015 2016 2017 2018 …

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

2011 2012 2013 2014 2015 .. 2018

• After Deposits, Covered Bonds is our most important funding source

• Primary wholesale funding source is SEK Covered Bonds

• Issuance of non-SEK Covered Bonds for diversification and duration management

• SEB’s duration target is on average around 4 years

• SEB seeks to keep as flat maturity profile as possible

29

Strict underwriting and credit assessment based on affordability

High asset quality of SEB’s credit portfolio

Affordability of Swedish Households remains strong

Strong economic profile of SEB’s mortgage loan borrowers

Conclusions

SEK Covered Bonds most important wholesale funding source