SEB’s Swedish Residential Mortgage Lending and Covered Bonds

Stockholm September, 2013

Contents

SEB’s Residential Mortgage Lending p.3 Asset Quality p.19 Cover Pool and Covered Bond Funding p.24

2

SEB’s Swedish Residential Mortgage Lending

4

Increased relative importance of SEB’s total income

Swedish Retail Banking increasingly more important to SEB

Deposits from Private Individuals (SEK bn)

100

145

0

50

100

150

200

Dec '07 Dec '08 Dec '09 Dec '10 Dec '11 Dec '12 Jun '13

CAGR +7%

Successful client acquisition strategy

• Major organisational changes in the Retail Division in 2008 – strategic move

• Successful product offerings and focus on long term customer relationships have contributed to increased volumes and profit gearing in the Retail Division

Strong development of key ratios

20% 30%

Dec ’07 Jun ’13

C/I Equity RoE

2010 71% SEK 9.7bn 14.5%

2011 65% SEK 10.8bn 21.4%

2012 57% SEK 14.4bn 22.3%

H1-13 51% SEK 20.2bn 20.0%

Development of certain business areas’ relative importance (credit exposure)

Development of SEB’s Swedish Residential Mortgage Lending

Increasing mortgage lending - a consequence of strategic focus

5

31%

22%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

2007 2008 2009 2010 2011 2012 Jun '13

Large corporates

Swedish SMEs

SwedishResidentialMortgage Commercial RealEstate

Baltic total creditportfolio excl.banksPublic Sector

Other

373

40

140

240

340

440

2008 2009 2010 2011 2012 2013 Q2

6

Development of SEB’s Full Service Customers and Mortgage Lending

Focus is on full service customers – Growth of Mortgage lending is a consequence of the strategy

Household mortgage lending growth (SEK bn) Number of full service customers (thousands)

448

350

370

390

410

430

450

470

2008 2009 2010 2011 2012 2013 Q2

7

Residential Apartment Buildings –SEK 102bn Total SEK 475bn (”Multi-family”) Private companies 47% Housing co-operative associations 38% State/municipality owned 15%

Households – SEK 373bn

Single-family homes 64% Tenant owned apartments 31% Second homes 5%

SEB’s Swedish Residential Mortgage Lending

Household Mortgage Lending dominates the portfolio

Split between Household and Residential Apartment Buildings – June 2013

• High level of household debt a threat to the macro-stability? – Amortisation behaviour/requirements in focus

and proposal expected from SFSA on Oct 15th

• Are Swedish banks sufficiently capitalised? – Household mortgage risk weight floor of 15%

implemented

• Pricing transparency to be improved? – Proposal expected from SFSA on Oct 15th

• Pre-payment conditions and fees under scrutiny – More consumer friendly regulation proposed

Swedish Residential Mortgage Market

Household Mortgage Lending in public focus

8

On the agenda

Head of Central Bank

Minister for Financial Markets

House prices (index 1992=100) Price drivers for Swedish market

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

Source: Macrobond

• Reduced subsidies in the beginning of the 1990s caused a decline in residential construction (rental units in particular) - Lack of supply in the larger cities

• Abolition of residential real estate and wealth tax in mid-2000

• Low debt servicing costs

• Interest costs deductible to 30% (20% above SEK 100th)

Price development and Household indebtedness

Increase in Sw edish house prices driven by lack of supply and higher affordability

Sw edish Household indebtedness not w orst in class - but Residential investments are

9

0

50

100

150

200

250

300

350

-92-93-94-95-96-97-98-99-00 -01 -02-03-04-05-06-07-08-09 -10 -11 -12 -13

UK Denmark Spain GermanyNetherlands Norway US Sweden

0

50

100

150

200

250

300

350

-00 -01 -02 -03 -04 -05 -06 -07 -08 -09 -10 -11 -12 -13

Germany Denmark Spain FinlandNorway Netherlands Sweden US

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

-00 -01 -02 -03 -04 -05 -06 -07 -08 -09 -10 -11 -12 -13

Denmark Spain UK NorwaySweden US Germany Ireland

Swedish Residential Mortgage Market

Risk mitigating factors in the Swedish Housing market

Highlights

10

Increased affordability among Swedish households

Structural lack of housing since the 90s

The household savings ratio is high both in absolute terms and compared to international peers

Socio-economic factors such as external credit bureau ("UC" – Sweden's "FICO"), no buy-to-let

market, personal liability, dual income etc.

Sweden has robust government finances and a social security system that reduces volatility. The pension system is also well financed

SEB’s Swedish Household Mortgage Lending

Successful private customer acquisition strategy

11

Lending development

Market shares – June 2013

Swedish Household Mortgage Lending a consequence of SEB’s long-term strategy

(13% in Dec ’07)

100

120

140

160

180

200

Dec

'07

Jun

'08

Dec

'08

Jun

'09

Dec

'09

Jun

'10

Dec

'10

Jun

'11

Dec

'11

Jun

'12

Dec

'12

Jun

'13

Market

SEB

CAGR +12%

CAGR +7%

Index =100 at lending balance Dec ’07

• Mortgage lending a main income driver

within Private market – creates cross selling opportunities

• Full service customers in focus – crucial for long term profitability – 46,000 new full service customers for

Swedish Retail between 2010-June 2013 • Efficient administration process and

increased sales distribution have supported the growth

• Pricing based on risk – Borrower’s repayment capacity (PD) – Loss given default (LGD)

– Loan-to-value (LTV) – Collateral type

Source: Statistics Sweden

16%

24%

15%

27%

18%

SEB

SHB

Nordea

Swedbank

Other

Distribution of lending Geographic split of growth

SEK 373bn

SEB’s Swedish Household Mortgage Lending

Strongest growth in larger cities with a structural lack of supply

12

47%

17%

11%

25%

Jun '13

Smaller cities Mid-sized citiesGreater Göteborg & Malmö Greater Stockholm

50%

16%14%

21%

Dec

'10

Gre

ater

Stoc

khol

m

Gre

ater

Göt

ebor

g &

Mal

mö

Mid

-siz

edci

ties

Smal

ler

citie

s

Jun

'13

SEK 373bn

SEK 273bn

SEB’s typical mortgage customer Customer age distribution

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

Dual income households in larger cities

Personal savings above average

Stronger credit rating vs. market average

New lending concentrated to younger professionals in larger cities

NOTE: UC score is defined as the probability of getting a payment remark within one year

0%5%

10%15%20%25%30%35%40%45%

18-25 26-35 36-50 51-65 66-

Portfolio New loans

UC score

13

SEB’s Swedish Household Mortgage Lending

SEB’s borrowers have a strong economic profile

0.50.60.70.80.91.01.11.21.3

Oct

'10

Dec

'10

Feb

'11

Apr '

11

Jun

'11

Aug

'11

Oct

'11

Dec

'11

Feb

'12

Apr '

12

Jun

'12

Aug

'12

Oct

'12

Dec

'12

Feb

'13

Market SEB

(Q2 ’13)

• 85% regulatory LTV cap

• 15% household mortgage risk weight

Regulatory requirements

SEB’s Swedish Household Mortgage Lending

Conservative underwriting criteria support robust asset quality

14

Strong focus on repayment capacity

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

• Regardless of LTV all customers are recommended to amortise

− Mandatory to amortise on new loans above 70% LTV

• Max loan amount 5x total gross household income irrespective of LTV

• No more than one payment remark

• ‘Sell first and buy later’

Additional internal requirements

15

New loans: Amortising loans’ share of total

SEB’s Swedish Household Mortgage Lending

New policy has led to increased loan amortisations

Total portfolio: Amortising loans’ share of total

58.2%

43.1%

71.6%

73.2%

59.2%

86.0%

All new loans

LTV below70%

LTV over 70%

Dec '12 Jun '13

Highlights

•New amortisation policy adopted in

January 2013 • Increase in amortisations both within

higher and lower LTV ranges •Majority of total portfolio amortising

59%

51%

54%

LTV over 70%

LTV below70%

Portfolio

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

Credit exposure (SEK bn)

SEB’s Swedish Multi-family Lending

Robust growth also in the Multi-family segment

16

Weighted average max LTV Housing co-ops 39% Other Multi-family 55%

45

102

Dec '07 Jun '13

CAGR +16%

• Target is to become the customer’s main bank – creates ancillary business

• New lending focused to larger cities

• Growth achieved with maintained credit

assessment critieria – i.e. strictly cash flow based lending

– Max tenor 10 years – LTV <75% but depending on geographic

location

• Pricing based on risk; – Borrower’s repayment capacity (PD) – Internal RoBE requirements – LTV – Location – Level of relationship – Size of loan

62% (65)

38% (35)

Housing co-ops

Other Multi-family

SEK 102bn

SEB’s Swedish Multi-family Lending

Lending growth in larger cities

Distribution of lending

17

Geographic split of growth

43%

22%

21%

14%

Jun '13

Smaller cities Mid-sized citiesGreater Göteborg & Malmö Greater Stockholm

72%

21%11% -4%

Dec

'10

Gre

ater

Stoc

khol

m

Gre

ater

Göt

ebor

g &

Mal

mö

Mid

-siz

edci

ties

Smal

ler

citie

s

Jun

'13

SEK 102bn

SEK 72bn

SEB’s Swedish Residential Mortgage Lending

Summary

Conservative risk assessment and underwriting policy support the robust asset quality

The successful overall client acquisition strategy also rendered increased mortgage lending

The growth is particularly strong in the major cities

18

Asset Quality

Effectively no net credit losses since the 90s

Asset Quality of Swedish Household Mortgage Lending

Negligible losses in the portfolio after the 90s crisis

Loans past due 60 days do not typically turn into credit losses

20

0.00 0.01 0.00 0.01 0.02 0.01 0.01

0.11

0.170.13

0.10

0.150.13 0.12

2007 2008 2009 2010 2011 2012 Jun '13

Net credit loss level

Level of past dues over 60 days

-0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Jun '13

Net credit loss level

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

0-50%

71-85% 6%

>85% 1%

LTV Share of portfolio

76%

Asset Quality of Swedish Household Mortgage Lending

Swedish Household Mortgage LTV stable over time

21

Weighted average max LTV by property type

51-70% 17%

Jun ’13 Jun ’13

Asset Quality of Swedish Multi-family Lending

Very low levels of impaired loans and negligible credit losses

Effectively no net credit losses since the 90s

Loans past due 60 days do not typically turn into credit losses

0.00

0.00

0.02

0.00

0.01 0.00 0.010.03 0.03

0.08 0.10

0.040.02 0.03

2007 2008 2009 2010 2011 2012 Jun '13

Net credit loss level

Level of impaired loans

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Jun'13

Net credit loss level

22

Additional conservative provisions for legacy 90s portfolio, later reversed

23

• In an extreme environment – under circumstances with both unemployment rates and

interest rates substantially above current levels, in combination with falling market values – in-house stress tests show that net credit losses for will be manageable

• The accumulated net credit loss level over a 3 year period is estimated to some 0.80% – which is largely in line with what was experienced during the early 90s crisis

Highlights

Stress Testing of SEB’s Residential Mortgage Lending

Stress testing indicates that losses in an extreme environment would be manageable

Cover Pool and Covered Bond Funding

25 25

Liquid assets

117% of short-term funding

Stable funding 113% of “Banking book”

Short-term funding

Balance sheet

Diversified and Liquid Balance Sheet

Total SEK 2,596bn June 2013

1. A relatively large share of lending is contractually short which allows for swift re-pricing to adjust for e.g. changed funding costs.

2. Central bank deposits refer to long-term relationship-based deposits from central banks and do not refer to borrowings from central banks

Central Bank deposits 2)

“Banking book” 1)

Equity

Corporate & Public Sector lending

Corporate & Public Sector Deposits

Household LendingHousehold Deposits

Liquidity Portfolio

DerivativesDerivatives

Credit Institutions Credit Institutions

Life Insurance Life Insurance

Other Other

Funding, remaining maturity >1y

Cash & Deposits in Central Banks

Central Bank deposits

Funding, remaining maturity<1y

Client Trading Client Trading

0%

20%

40%

60%

80%

100%

Assets Liabilities

2)

26

Funding Base

Diversified Funding Base June 2013

Total Funding Base */** SEK 1,792bn Wholesale funding SEK 744bn **

* Excluding repos ** Excluding public covered bonds issued by SEB AG which are in a run-off mode

Household deposits 12%

Wholesale Funding 42%

Central Bank deposits 3% Public Sector deposits

5%

CP/CD 36%

Mortgage Covered Bonds SEB AB 40%

Mortgage Covered Bonds SEB AG 4%

Senior Debt 17%

Subordinated Debt 3%

Financial Institutions deposits 8%

Corporate deposits 28%

27

Benchmarking the major Swedish banks’ Swedish Cover Pools

SEB – more lending to Households than to Multi-family Major Swedish banks’ Cover Pools – June 2013

Source: Fact books, Investor Relations sites, Interim and Pillar 3 reports

85%76% 76%

67%

15%24% 24%

33%

SEB Swedbank Nordea SHB

Households

Multi-family and other eligible assets

Cover pool size

SEK 422bn SEK 722bn SEK 409bn SEK 610bnOvercollateralisation (OC)

56% 46% 42% 16%Cov er pool: Weighted average max LTV (property level)

59% 58% 55% 47%Sw edish household mortgage portfolio: Weighted average max LTV (property level)

65% 63% n/a 65%

28

Cover pool Q2 2013 Q4 2012 Q4 2011422 401 36059% 59% 44%*645 625 561400 391 357654 642 610

0 0 010 11 130 1 1

Loans past due 60 days (basis points)Net credit losses (basis points)

Total residential mortgage assets (SEK bn)Weighted average LTV (property level)Number of loans (thousand)Number of borrowers (thousand)Weighted average loan balance (SEK thousand)Substitute assets (SEK thousand)

Highlights – June 2013

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

• SEB’s Cover Pool is more concentrated towards Single family and Tenant owned apartments, which generally have somewhat higher LTVs

• The Cover Pool is on the parent bank’s balance sheet contrary to SEB’s major Swedish peers

• All eligible Swedish residential mortgages are directly booked in the Cover Pool on origination , i.e. no cherry picking of mortgages from balance sheet to Cover Pool

• Mortgage values are updated on a regular basis

• Covered Bonds are issued out of the parent bank and investors have full and dual recourse to the parent bank’s assets as well as secured exposure to the Cover Pool

• All legal requirements and matching criteria are met

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

* LTV for Q4 2011 calculated on a loan by loan basis

Cover Pool Only Swedish Residential Mortgages in SEB’s Cover Pool

Type of loans Interest rate type Geographical distribution

Residential Apt Buildings

15%

Tenant owned apartments

26%

Single family 59%

Fixed rate reset =>5y1%

Fixed rate reset 2y<5y15%

Fixed reset <2y34%

Floating (3m)50%

Larger regional cities32%

Malmö region

8%

Stockholm region44%

Göteborg region16%

10%7%

3%0%

12%14%

16%18%

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

>75%

1%

6%

93%No prior ranking loans

<25% of property value

>25<50% of propertyvalue

83%

17%

Monthly

Quarterly

NOTE: 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

Jun ’13

Cover Pool SEB’s mortgage lending is predominantly in the three largest and fastest growing cities with an interest rate reset date within two years

LTV distribution by volume in % of the Cover Pool Prior ranking loans Interest payment frequency

29

30

SEB Swedish Mortgage Covered Bonds

Covered Bonds

Profile of outstanding Covered Bonds – June 2013 Outstanding covered bonds (SEK bn)

Currency mix Maturity profile (SEK bn)

0

50

100

150

200

250

300

mar

-11

apr-

11m

aj-1

1ju

n-11

jul-1

1au

g-11

sep-

11ok

t-11

nov-

11de

c-11

jan-

12fe

b-12

mar

-12

apr-

12m

aj-1

2ju

n-12

jul-1

2au

g-12

sep-

12ok

t-12

nov-

12de

c-12

jan-

13fe

b-13

mar

-13

jun-

13

Increase >30% in 2 years

74%

26%

0%10%20%30%40%50%60%70%80%90%

2008

Q2

2008

Q3

2008

Q4

2009

Q1

2009

Q2

2009

Q3

2009

Q4

2010

Q1

2010

Q2

2010

Q3

2010

Q4

2011

Q1

2011

Q2

2011

Q3

2011

Q4

2012

Q1

2012

Q2

2012

Q3

2012

Q4

2013

Q1

2013

Q2

Covered Bond SEK Covered Bond Non-SEK

0

10

20

30

40

50

60

70

2013

2014

2015

2016

2017

2018

2020

2021

2022

2023

2026

2031

2032

2039

2041

Non-Benchmark

EUR Benchmark

SEK Benchmark

Moody’s Rating Aaa

Total outstanding SEK 271bn

FX distribution SEK 74%

non-SEK 26%

Benchmark Benchmark 93%

Non Benchmark 7%

31 31

0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

Matured / Maturing Senior Unsecured

Matured / Maturing Covered Bonds

Issued Senior Unsecured non SEK

Issued Senior Unsecured SEK

Issued Covered Bonds non SEK

Issued Covered Bonds SEK

2011 20142012 2013Sept 23rd

2013 2015

SEK bn

Long-term Funding

Modest re-financing needs the next few years

32

Contacts Thomas Bengtson, Head of Debt Investor Relations Email: thomas.bengtson@seb.se tel: +46 8 763 8150 John Arne Wang, Head of Treasury Management Email: john.wang@seb.se tel: +46 8 506 23255

SEB contacts and information

More information Available on www.sebgroup.com You will find it under Investor Relations