#1Nordea Nordea Mortgage Bank Covered Bonds Q1 2021 Debt investor presentation#2Table of contents 1. In brief 2. Cover pool key characteristics 3. Asset quality 4. Covered bond framework 5. Macro 6. Further information 3 6 9 13 16 20 2 Nordea#33 1. In brief Nordea#4Nordea covered bond operations Q1 2021 Four aligned covered bond issuers with complementary roles Legislation Cover pool assets Cover pool size Covered bonds outstanding ос Issuance currencies Rating (Moody's / S&P) Nordea Eiendomskreditt Nordea Hypotek Nordea Kredit Nordea Mortgage Bank + Danish Danish residential & commercial mortgages Balance principle EUR 59.1bn (eq.)* Finnish Finnish residential mortgages primarily EUR 23.2bn EUR 21.0bn Norwegian Swedish Norwegian residential mortgages Swedish residential mortgages primarily EUR 17.7bn (eq.) EUR 59.1bn (eq.) EUR 12.9bn (eq.) EUR 41.2bn (eq.) 37% 44% 8%* NOK SEK DKK, EUR Aaa/ - Aaa / - - / AAA Covered bonds are an integral part of Nordea's long term funding operations Issuance in Scandinavian and international currencies ECBC Covered Bond Label on all Nordea covered bond issuance 10% EUR, GBP Aaa / - COVERED BOND LABEL. 4 *The figures in Nordea Kredit only include capital centre 2 (CC2). Nordea Kredit no longer reports for CC1 (RO), as this capital centre only accounts for a minor part (<1%) of the outstanding volume of loans and bonds. Nordea#5Nordea Mortgage Bank Plc - overview Q1 2021 • 100% owned subsidiary of Nordea Bank Abp - the largest Nordic financial institution . • • • • Operates as a mortgage credit institution with the main purpose of issuing covered bonds Licensed by the European Central Bank to issue covered bonds according to the Finnish covered bond legislation (Covered Bond Act (688/2010) or CBA) Market share of Nordea -29% of the Finnish mortgage market (housing loans) Acting in a healthy and conservative Finnish housing market Dedicated liquidity line provided by Nordea Bank Abp to manage daily cash needs and ensure compliance with external and internal requirements regarding liquidity management • Covered bonds rated Aaa by Moody's. 5 Nordea#66 2. Cover pool characteristics Nordea#7Cover pool key characteristics Q1 2021 Cover pool summary Pool notional 7 EUR 23.2bn Outstanding Covered Bonds EUR 21.0bn Cover pool content Geographic distribution Asset distribution Weighted average LTV* Average loan size* Over collateralisation, OC Rate type** Amortisation** Substitute assets Pool type Loans originated by Mortgage loans secured by residential property. Loans guaranteed by public sector Throughout Finland with concentration in urban areas 99.5% residential, 0.5% public sector 51.0% (indexed, calculated per property) EUR 71.1k 10% Fixed rate 1.3%, Floating rate 98.7% Bullet/ interest only 5.5%, Amortising 94.5% None Dynamic Nordea Bank Abp (as of 1 October 2018) * Residential ** Excluding Public sector Nordea#8Cover pool key characteristics (2) Q1 2021 8 Cover pool balance by loan category Cover pool balance by region Summer Houses Multi-family houses 4% 3% Public -0% Tenant owner units 52% Single-family houses 41% ■North/ East /Mid Finland 16% South Finland 14% ■West Finland 23% ■ Greater Helsinki Area 47% Nordea#99 3. Asset quality Nordea#10Loan To Value (LTV) Continuous distribution where each loan can exist in multiple buckets Q1 2021 Weighted Average LTV - Unindexed LTV buckets >0 - <=40% >40 - <=50 % >50 - <=60% >60 - <=70% Total Weighted Average LTV - Indexed LTV buckets >0 - <=40 % >40 - <=50% >50<=60 % >60 - <=70 % Total 10 52.4% Nominal (EURM) % Residential Loans 17 236 75% 2 543 11% 1 945 8% 1 337 6% 23 061 100% 51.0% Nominal (EURM) % Residential Loans 17 551 76% 2 447 11% 1 829 8% 1 234 5% 23 061 100% Nordea#11Loan structure Q1 2021 11 100% Rate type 100% Repayment 69% 90% 30% 30% 31% 31% 80% 70% 60% 50% 99% 99% 40% 30% 20% 10% 0% 5% 1.4% 1.3% 1.3% 1.3% 19Q4 20Q1 20Q2 20Q3 20Q4 21Q1 90% 80% 70% ■Capped rate 60% Amortising 90% 95% Floating rate 95% 94% 93% 94% 50% 40% ■Bullet / interest only 68% 68% 68% Fixed rate 30% 20% 10% 10% 5% 5% 6% 7% 0% T 19Q3 19Q4 20Q1 20Q2 20Q3 6% 20Q4 Nordea#12Underwriting criteria Q1 2021 • Residential mortgage loans 12 • • • Nordea's credit decision is based on the borrower's repayment capacity and collateral is always taken Collateral must be in the form of mortgages in real estate or in shares in housing companies Repayment ability of borrowers is calculated using stressed scenarios ⚫ Credit bureau check is always conducted (Suomen Asiakastieto) • • • Individual valuation of property based on market value Repayment schedules ranging from 20 to 35 years Multi-family residential mortgage loans Borrowers with strong EBITDA/debt and cash flow based on e.g. long-term high quality lease contracts and adequate interest rate hedging • Individual credit decision based on credit policy and rating • An evaluation of all property-related commitments is performed in the ordinary annual review against a background of quality issues/risk factors regarding the property itself, the lease, the management, the long-term cash flow and -strength of balance sheet/gearing. The analysis focuses on the repayment capacity Individual valuation of property based on market value Nordea#1313 4. Covered Bond framework Nordea#14Finnish covered bond framework Q1 2021 • Legal framework Finnish Covered Bond Act (statute 688/2010) Registration • Collateral assets remain on the balance sheet of the issuer Covered bonds, collateral and relevant derivative contracts are entered in a separate register Limit on LTV ratio – based on the current value - 70% for housing loans (residential property) • 60% for commercial loans (commercial property) Matching cover requirements • Total value of the cover pool must be greater than the aggregate outstanding principal amount of the covered bonds • • Net present value of the cover pool must be at least 2% above the net present value of the liabilities under the covered bonds Liquidity requirements • Average maturity of the covered bonds must not exceed the average maturity of the loans entered in the register Total amount of interest accrued from the cover pool assets, during any 12-month period, must be sufficient to cover the total amount payable under covered bonds and derivatives transactions during the same period 14 Nordea#15Finnish covered bond framework (2) Q1 2021 • Bankruptcy remoteness and preferential claim ● ● Isolation of registered collateral assets, registered derivatives from all other assets and liabilities of the insolvent issuer Holders of covered bonds together with counterparties of registered derivatives and bankruptcy liquidity loans in bankruptcy would rank pari passu and have a preferential claim to the cover pool (subject to a maximum LTV ratio of 70% for residential loans and 60% for commercial loans) Post-bankruptcy procedures • A bankruptcy administrator is appointed by the court (administration of estate) and a supervisor is appointed by the Finnish FSA (protection of covered bond creditors' rights) • The cover pool, derivatives and covered bonds to be kept separated from the bankruptcy estate as long as stipulated matching and liquidity requirements are met • Covered bond creditors and counterparties of registered derivatives would rank pari passu and have a preferential claim on the proceeds of the liquidation of the cover pool 15 Nordea#1616 5. Macro Nordea#17Nordic economies - strong rebound in sight GDP development, % Unemployment rate, % 135 Index 2007Q1=100 130 125 120 135 11 GDP, level Index 2007Q1=100 % 130 10 9 125 8 120 7 Unemployment rate Finland 11 % 10 9 7 115 115 Norway Sweden 60 6 110- Denmark O 110 Sweden 5 5 105 105 Denmark 4 4 Finland 100 100 95 95 3 2 3 2 Norway 90 90 1 1 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 Source: Macrobond and Nordeal 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 Source: Macrobond and Nordea Comments GDP forecasts from Economic Outlook January 2021, % • Country (%, y/y) 2020 2021E 2022E After the dramatic setback in 2020 due to the coronavirus, there appears to be light at the end of the tunnel for 2021 Vaccines are expected to bring long-awaited relief and the prospect of a return to normal. Nordic households' relatively strong finances pave the way for a broad recovery, as pent-up demand unwinds when restrictions are lifted Denmark -2.7 2.5 3.5 Finland -2.9 3.0 2.0 The labour market has shown resilience, largely due to government subsidies such as short-term furloughs. The hard-hit services sector will rebound swiftly, and GDP is expected to reach pre-crisis levels in mid-to-late 2021 Norway -2.5 2.7 4.3 Sweden -2.8 4.0 3.0 17 Source: Nordea Markets and Macrobond Nordea#18Nordic rates - Nordics well equipped to handle long-term consequences of COVID-19 Policy rates, % % Policy rates LO 5 4 st 3 2 % 5 Euro Area, deposit rate Norway 4 Denmark Sweden 3 2 Public balance/debt (2021E), % Fiscal Balance, % of GDP 0.0 Norway Denmark IMF World Economic Outlook, 2021E -2.5 - Sweden Portugal -5.0 Finland Austria France -7.5 Germany Ireland Belgium -10.0 Netherlands Spain -12.5 China United Kingdom 0.0 -2.5 -5.0 Italy -7.5 -10.0 1 1 -12.5 ° -15.0 -15.0 United States -1 -1 -17.5 -17.5 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 40 50 60 70 80 90 100 110 120 130 General Government Gross Debt, % of GDP 140 150 160 Comments Norges Bank now expects to start increasing rates in December 2021. However, due to its conservative assumptions regarding the roll-out of vaccines, we expect the bank to raise the policy rate in September. Policy rates in the euro area, Denmark and Sweden are expected to remain unchanged throughout the forecast period Sveriges Riksbank and the ECB launched new large-scale asset purchase programmes (QE) as a response to the COVID-19 crisis. The ECB is expected to purchase financial assets corresponding to 7% of euro area GDP in 2021, while Sveriges Riksbank's purchases amount to an expected 8% of Swedish GDP Solid public finances prior to 2020 have enabled the Nordic governments to act swiftly during the COVID-19 crisis. Large recovery packages have been announced in 2021 as well as in 2020. Fiscal deficits are expected to narrow this year and approach zero in 2022, except for Finland. The Nordics are relatively well equipped to handle the long-term consequences of the pandemic 18 Source: Nordea Markets and Macrobond Nordea#19Households remain resilient Household debt, % 400+ 350 % of disposable income Household savings, % 400 Household debt % of disposable 20.0% of disposable income 20.0 Household saving rate income 17.5 17.5 350 15.0 15.0 300 300 12.5 12.5 10.0 250 250 7.5 5.0 200 200 my 10.0 7.5 5.0 2.5- 2.5 150 100 150 0.0- 0.0 -2.5 -2.5 100 - Sweden -Finland Norway -5.0 - Sweden Finland - Denmark Norway -5.0 Denmark 50 50 -7.5 -7.5 T T 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 Source: Nordea Markets and Macrobond 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 Source: Nordea and Macrobond Comments Household savings have increased dramatically during the crisis, largely due to a decline in spending. Despite high debt levels, Nordic households' strong finances are expected to support economic growth as soon as restrictions are lifted. Low interest rates and economic stimulus continue to support credit growth and the housing market Early labour market measures, automatic stabilisers and other measures to stimulate demand have helped to soften the blow to households and businesses. Robust public finances prior to the crisis have increased the credibility of the measures and harsh fiscal tightening is neither needed in the short term nor expected, which is important for income expectations among households 19 Source: Nordea Markets and Macrobond Nordea#20Nordic housing markets heating up House prices 225 |Index, 2007=100 Housing market 3m moving average 200 175 150 125 100 Sweden Finland Households' credit growth 225 15.0 % y/y 12.5 200 10.0 175 7.5 Norway 150 5.0 125 2.5 100 0.0 15.0 Households' credit growth % y/y 12.5 Sweden Norway Denmark Finland 10.0 7.5 5.0 2.5 0.0 Denmark 75 -2.5 -2.5 75 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 07 08 09 10 11 12 13 14 15 16 17 18 19 20 Source: Nordea Markets and Macrobond Source: Macrobond and Nordea Comments Contrary to expectations, house prices have increased to record-high levels in all the Nordic countries during the crisis. This is not least due to the unprecedented expansionary fiscal and monetary policy in support of households and businesses The crisis has had a limited effect on those groups in the labour market which are more active in the housing market, while demand has surged due to preferences shifting towards larger homes and single-family homes. At the same time, people's mobility has been severely restricted, causing a sharp decline in the number of homes on the market, which in turn has contributed to driving prices higher House prices are expected to continue to rise in all four countries this year and next year. However, interest rates are not likely to go lower, and at some point, the expansionary fiscal policies will come to an end. Moreover, as mobility levels increase, housing supply will increase again. Against this backdrop, the pace of price growth will slow. If the housing market remains in good shape, the economy will as well, so the benign trend in house prices is helping all the Nordic countries to get through the crisis 20 Source: Nordea Markets and Macrobond Nordea#2121 6. Further information Nordea#22Nordea Mortgage Bank - outstanding benchmark covered bonds Q1 2021 22 22 Breakdown by ISIN ISIN XS1554271590 Currency Amount (EURM) Maturity Coupon EUR 1 500 2022-01-24 0,025 XS2157194643 EUR 8 500 2022-05-16 FRN XS1308350237 EUR 1 250 2022-10-19 0,625 XS1784067529 EUR 1 250 2023-02-28 0,25 XS1522968277 EUR 1 000 2023-11-21 0,25 XS1132790442 EUR 1.000 2024-11-05 1 XS1825134742 EUR 1 000 2025-05-23 0,625 XS1963717704 EUR 1 500 2026-03-18 0,25 XS1204140971 EUR 1 000 2027-03-17 0,625 XS2013525410 EUR 1 000 2027-06-18 0,125 XS1784071042 EUR 750 2033-02-28 1,375 Total 19 750 Nordea#23Contacts Investor Relations Andreas Larsson Head of Debt IR Mobile: +46 709 70 75 55 Tel: +46 10 156 29 61 [email protected] Maria Caneman Senior Debt IR Officer Mobile: +46 738 66 17 24 Tel: +46 10 156 50 19 [email protected] Group Treasury Glenn Lantz Senior Treasury Manager Mobile: +46 702 97 94 60 Tel: +46 8 407 90 07 [email protected] 23 23 Nordea