#1Nordea Nordea Kredit Covered Bonds Q1 2022 Debt Investor Presentation 小#2Table of contents 1. Nordea covered bond operations 2. Nordea Kredit in brief 3. Cover pool key characteristics 4. Asset quality 5. Underwriting criteria 6. Danish covered bond framework 7. Macro 8. Links and contacts 35 7 11 14 16 18 23 2 Nordea#33 1. Nordea covered bond operations Nordea#4Nordea covered bond operations Q1 2022 Four aligned covered bond issuers with complementary roles Nordea Eiendomskreditt Nordea Hypotek Nordea Kredit Nordea Mortgage Bank Legislation Cover pool assets Cover pool size* Covered bonds outstanding* OC Issuance currencies Norwegian Swedish Norwegian residential mortgages Swedish residential mortgages primarily EUR 20.5bn (eq.) EUR 10.8bn (eq.) EUR 63.4bn (eq.) EUR 34.4bn (eq.) 120% NOK Rating (Moody's / S&P) Aaa/ - Included in Nordea Green Framework Yes 84% SEK Aaa / - Yes Issued Green CB's Yes (inaugural issue in 2021) • Covered bonds are an integral part of Nordea's long term funding operations . Issuance in Scandinavian and international currencies + Danish Danish residential & commercial mortgages Balance principle EUR 61.1bn (eq.) 7% DKK, EUR -/AAA Yes Yes (inaugural issue in 2019) Finnish Finnish residential mortgages primarily EUR 23.8bn EUR 20.7bn 15% EUR, GBP Aaa / - Yes COVERED BOND LABEL 4. All Nordea covered bond issuance entities (MCIs) are covered by Nordea's updated 2021 green bond framework *: The figures for Nordea Kredit only include capital center 2 (SDRO). Nordea Kredit no longer reports for CC1 (RO), as this capital center only accounts for a minor part (<1%) of the outstanding volume of loans and bonds in Nordea Kredit Nordea#55 2. Nordea Kredit - in brief Nordea#6Nordea Kredit - in brief • Q1 2022 100% owned subsidiary of Nordea Bank Abp - the largest Nordic financial institution Operates as a mortgage credit institution with the main purpose of granting mortgage credit loans funded by issuing covered bonds • • Founded in 1993 and supervised by the Danish FSA (DFSA, Finanstilsynet) Market share 14.3% of the Danish mortgage credit market • • • All covered bonds are rated AAA by Standard & Poor's Dedicated liquidity line provided by Nordea Bank Abp to manage daily cash needs and ensure compliance with external and internal requirements regarding liquidity management Profit before tax 2021: DKK 1,419 m Cost-income ratio 2021: 50.5% Capital ratio end 2021 (of which Tier 1): 26.6% (24.7%) More information at nordeakredit.dk 6 Nordea#77 3. Cover pool key characteristics Nordea#8Cover pool key characteristics Q1 2022 Outstanding covered bonds Cover pool content Geographic distribution Weighted average LTV Average residential loan size Over collateralisation, OC Rate type (bonds) Amortization Substitute assets Pool type Loans originated by EUR 61.1bn Mortgage credit loans secured by mainly residential property (total: EUR 65.2bn including substitute assets) Throughout Denmark with concentration in urban areas 48.9% EUR 204,980 7.1% Fixed rate 77.4%, Floating rate 22.6% Interest only 52.1%, Amortizing 47.9% EUR 5.930bn Static Nordea Kredit CC2 8 Nordea#9Loan portfolio 9 Loan portfolio by property category 2.7% Loan portfolio by loan type Owner occ. dwellings & holiday homes 8.5% 7.3% Private rental housing 11.2% Total Commercial properties 100% 3.9% 2.9% 2.1% 1.9% 5.1% 26.4% 27.6% 27.9% 28.5% 29.3% ARM 1-2Y 75% 26.9% 25.3% 23.4% 21.2% 21.1% ARM 3-10Y 50% DKK 441.2 bn ■Floating Rate ■Agricultural properties 25% 48.2% 47.7% 41.6% 43.2% 45.8% 70.3% ■Fixed Rate Other properties Share of interest-only mortgages 55% 0% Q4 2018 Q4 2019 Q4 2020 Q4 2021 Q1 2022 Market share 1 - 14.3% overall 20% 50% 51.9% 50.8% 47.2% 45.5% 45.8% 45% 40% 35% 30% 15% 10% 4.2% 5% 11.4% 10.6% 14.7% 17.1% ||||| .I| Q4 2018 Q4 2019 Q4 2020 Q4 2021 Q1 2022 Owner occ. 0% Other properties Private rental Commercial Agricultural housing properties properties holiday homes 1) Market share of the Danish mortgage credit market dwellings & Nordea#10Loan portfolio by regions - and green bonds 20.8% 13.5% 10 Loan portfolio by regions 3.6% 17.1% Green bonds 45.0% ■The Capital Region of Denmark Region Zealand Region of Southern Denmark ■Central Denmark Region: Danish population by regions The North Denmark Region 10.1% 31.8% Since November 2019 Nordea Kredit has offered corporate customers green mortgage loans funded by designated green covered mortgage bonds. Green loans can be granted against a mortgage on qualified properties according to the criteria set out by Nordea Kredit in the Nordea Green Bond Framework. Total volume of these green covered mortgage bonds amounted to DKK 12.1bn by the end of Q1 2022. The volume comprises two bonds maturing July 2022 (ISIN DK0002046689) and July 2024 (ISIN DK0002050608) respectively - new issuance takes place in the latter. Green lending by asset category Sustainable management og living natural resources (organic farms), DKKm 306 2.5% DKKm 573 4.7% Renewable energy, DKKm 12,100 Green building (EPC A-B), DKKm 5181 42.8% Polution Prevention and control, DKKm 12.5 0.1% 22.8% Total 5.87m 20.9% 14.4% Energy efficiency, DKKm 6028 49.8% Sustainable Choice Nordea#1111 4. Asset quality Nordea#12Loan to value (LTV) - loans for residential and commercial properties Q1 2022 Loan type Weighted average LTV - indexed Residential loans 53.8% Commercial loans 43.3% LTV buckets >0-<=40% Nominal (DKKm) % Loans Nominal (DKKm) % Loans 252,293 71.3% 61,074 75.4% >40 - <=50 % 44,503 12.6% 10,517 13.0% >50 - <=60% 30,869 8.7% 6,317 7.8% >60 <=70 % 17,217 4.9% 2,253 2.8% >70 - <=80% 7,148 2.0% 464 0.6% >80% 1,668 0.5% 363 0.6% Total 353,698 100.0% 80,988 100.0% 12 Nordea#13Asset quality Arrears (owner occupied dwellings and holiday homes) * Loan to value (LTV) weighted average (all loans) 63% 0,5% 0,4% 61% 59% 58.4% 57% 0,3% 55% All mortgage banks (including Nordea Kredit) 0.13% (last 0.14%) 0,2% 0,1% 0,0% Q1 2018 Q2 2018 Q3 2018 Q4 2018 13 * Arrears as a percentage of the Q4, 2021 scheduled payments - 3½ months after due date Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021 Nordea Kredit 0.10% (last 0.10%) Q2 2021 Q3 2021 Q4 2021 Q1 2022 53% 51% 49% 47% 56.8% 53.2% 53.0% 51.5% 48.9% 45% Q4 2019 Q4 2020 Q2 2021 Q3 2021 Q4 2021 Q1 2022 Nordea#1414 5. Underwriting criteria Nordea#15Underwriting criteria Q1 2022 15 Private households Behavioural score and individual credit assessment are conducted based on income information, e.g. payslips and tax information "Before-after loan" household budgets are made and used in the assessment (based on 30 years annuity and fixed interest rate) In case of adjustable or floating interest rates, an additional stress test based on the variable interest rate +1 percentage point is conducted If the LTV (loan to value) is > 60 and LTI (loan to income) is > 4, the customer can only choose: Corporates, agriculture etc. • A financial analysis of the customer is made, including adjustments for current market conditions Key ratios and other requirements in Nordea general real estate lending policy are verified Rating of the customer according to Nordea's in-house models An individual valuation is made of the pledged property Yearly repricing based on reassessment • Fixed rate loans and • Amortising variable rate, fixed for minimum 5 years An individual valuation is made of the pledged property Nordea#1616 6. Danish covered bond framework Nordea#17Danish covered bond framework Q1 2022 . Legal framework • The Financial Business Act • The Mortgage-Credit Loans and Mortgage-Credit Bonds, etc. Act with several detailed executive orders Registration • An issuing institution is required to maintain a static cover pool • Mortgage deeds are registered in the Danish Public Land Registry Limits on LTV ratios – based on the value of the property at loan origination . 80% for housing loans (residential property) . 60% for commercial loans (legislative limit 70%) • Static cover pools – issuer must provide supplementary capital if LTV-limits are breached Matching rules • Nordea Kredit complies with the strict balance principle utilising match funding, hence Nordea Kredit only has insignificant interest rate and foreign exchange risk Public supervision • The DFSA performs supervision and on site inspections on an ongoing basis 17 Interest payment Interest payment Borrower Investor Principal payment Principal payment Contribu- tion fee Nordea Kredit Nordea#1818 7. Macro Nordea#19Nordic economic development Resilient economies face global uncertainty 19 GDP development Trade with Russia 135 135 12 Index 2007Q1=100 GDP, level Index 2007Q1=100 % 11 130 130 Sweden 10 12 Trade with Russia, 2021 % 11 10 125- 125 Norway 9 120 Denmark ■Exports to Russia (share of total exports) Imports from Russia (share of total imports) 120 8 Finland 115 115 7 9 8 7 6- 110 110 5 105 105 4 100 100 3 95 95 2 1 65432- 90 90 ° 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 Source: Macrobond and Nordea. Sweden Denmark Norway Finland Source: Macrobond and Nordea After the dramatic setback in 2020 due to the coronavirus, the Nordic economies recovered quickly and even showed signs of overheating. However, the Russian invasion of Ukraine, as well as monetary tightening by central banks around the world, now risk slowing down the global economy, including the Nordics. GDP, forecasts from Economic Outlook January 2022 Country 2021 2022E 2023E Denmark 4.7 2.5 2.0 • The Nordic countries, with the exception of Finland, do not have significant trade relations with Russia. Thus, the direct impact from declining trade with Russia will be very limited for Sweden, Norway and Denmark. Instead, the main effects of the war in Ukraine on the economies of these countries are higher prices due to supply disruptions, faster monetary tightening to limit these price increases, and higher risk aversion leading to lower demand. Finland 3.5 3.0 2.0 Norway 4.2 4.0 2.0 Sweden 4.8 3.7 1.7 Source: Nordea Markets and Macrobond Nordea#20Nordic economies Interest rates to rise throughout the Nordics Policy rates Public balance/debt, % of GDP, 2022E 3.0 3.0 1- % Policy rates % Denmark 2022E Norway 2.5 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 0.0 Fiscal Balance, % of GDP -0.5 -0.5 -1.0 -1.0 0 1 2 3 4 5 6 ► O 0 Sweden -1 Germany Finland -2 Netherlands Portugal -3 Belgium Italy -4 Ireland Austria United Kingdom China Spain -5 -6 France United States -7 11 12 13 14 15 16 17 18 19 20 21 22 23 30 40 50 Sweden Norway Euro Area Denmark 60 70 80 90 100 110 120 130 140 150 160 General Government Gross Debt, % of GDP Source: IMF World Economic Outlook, Nordea and Macrobond. • Central banks around the Western world are beginning to tighten monetary policy to combat the high inflation. Norges Bank has hiked their rate three times since last fall and is expected to continue with a total of seven more hikes this year and next. The Swedish Riksbank is expected to hike rates three times this year, while we predict one rate hike in late 2022 and two more in 2023 in the Euro Area and Denmark. The Riksbank and ECB launched new large-scale asset purchase programmes (QE) as a response to the COVID-19 crisis. The ECB is expected to stop increasing its balance sheet this year, while the Riksbank is expected to begin decreasing its balance sheet. Solid public finances enabled the Nordic governments to act swiftly during the pandemic. With government debt still lower than in most Western countries, the Nordics are relatively well-equipped to handle the potential slowdown that might result from higher interest rates as well as supply issues and risk aversion due to the war in Ukraine. 20 Source: Nordea Markets and Macrobond Nordea#21Households Households facing high inflation and rising interest rates 21 Household debt Household savings 300 % of disposable 275 income Household debt % of disposable 300 income 20.0% of disposable income 20.0 Household saving rate 275 17.5 17.5 250 250 15.0- 15.0 225 225 12.5 12.5 200 200 10.0 10.0 175 175 7.5 7.5 150 150 5.0 5.0 125 125 2.5 2.5 100 100 0.0 0.0 75 75 -2.5- -Finland Denmark Norway Sweden -Sweden -Finland Norway Denmark -2.5 50 50 -5.0 -5.0 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 Source: Macrobond and Nordea 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 Source: Nordea and Macrobond. 2Q moving average. Private consumption Household savings increased dramatically during the pandemic, largely because of a decline in spending, but have since returned to more normal levels as consumption has increased. Despite high debt levels, Nordic households' strong finances are expected to support economic growth. However, rising interest rates, as well as high inflation which decreases purchasing power, imply downside risks for private consumption. Governments might try to soften the blow of high inflation to households and businesses by partially compensating them for the higher prices, which could boost consumer confidence and support households' spending. Robust public finances increase the credibility of such measures. 140- 140 Index, 2007 = 100 Private consumption Index, 2007 = 100 135 135 130 130 125 125 120 120 Norway 115 115 Sweden 110 110 105 105 Finland 100 100 95 Denmark 95 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 Source: Nordea Markets and Macrobong Nordea#22Housing markets Rising interest rates might cool off hot Nordic housing markets Housing prices 22 250 Index, 2007=100 Housing market 3m moving average 225 200 175 150 125 100 Households' credit growth 15.0 250 15.0 % y/y Households' credit growth % y/y 12.5 225 12.5 200 10.0 175 7.5 Sweden Norway 150 5.0 Finland 125 2.5 100 0.0 Sweden Norway Denmark Finland 10.0 7.5 5.0 2.5 0.0 75 Denmark 75 75 -2.5 -2.5 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 Source: Macrobond and Nordea 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 Source: Nordea Markets and Macrobond • • • Contrary to expectations, house prices increased to record-high levels in all the Nordic countries during the pandemic, not least because of unprecedented expansionary fiscal and monetary policy. The economic impact of the pandemic was limited for those groups on the labour market which are more active on the housing market, while demand surged due to preferences shifting towards larger housing and single-family homes. At the same time, people's mobility was severely restricted, causing a sharp decline in the number of homes on the market which in turn contributed to driving prices higher. However, with interest rates on the rise and mobility levels returning to normal, there are now more downside risks to housing prices. Nordea#2323 8. Links and Contacts Nordea#24Links for more information Nordea Kredit ■ Nordea Kredit ECBC harmonised transparency templates. Link: https://www.nordea.com/en/investor-relations/reports-and- presentations/bonds/nordea-kredit-covered-bonds/ ■ Nordea Kredit financial reports. Link: https://www.nordea.com/en/investor-relations/reports-and-presentations/subsidiary- reports/nordeas-danish-subsidiary-reports/ Legislation ■ Danish mortgage credit institutions are supervised by the DFSA (Finanstilsynet). ☐ Link: https://finanstilsynet.dk/en Relevant legislation can be found in English at the DFSA's English website. Link: https://finanstilsynet.dk/en/Lovgivning ■ All mortgage bank legislation can be found in Danish at the DFSA's Danish website. Link: http://finanstilsynet.dk/da/Lovgivning/Lovsamling Contacts If you have any questions, please feel free to contact: Peter Brag Senior Treasury Manager, Long Term Funding +45 3333 1663 [email protected] Morten Keil Head of Covered Bonds, Long Term Funding +45 3333 1875 [email protected] 24 Nordea