ABGSC Swedish Banks Treasury lunches Nov 11, 211 Anders Kvist Head of Group Treasury Balance Sheet, Liquidity & Funding
A strong balance sheet structure Sep 21 Balance sheet structure Liquid assets Cash & Lending Financial Institutions Net Other Trading Deposits from Financial Institutions Funding <1 year Short-term funding Net bond portfolio * Funding, remaining maturity >1 year Retail Lending Banking book Corporate and Public Lending Deposits from the General Public Stable funding Equity Assets Equity & Liabilities * SEK 166bn more in stable funding than the banking book 2
Deposit changes Development of loans to deposit ratios Loans to deposit ratio excl repos ands bonds* (%) 18% 16% 14% 12% 1% 134% 21 22 23 24 25 26 27 28 29 21 211Q2 211Q3 Deposit gathering strategies implemented (SEK bn) 8 6 4 2 Total Corporate sector Private sector Public sector Q1 25 Q3 25 Q1 26 Q3 26 Q1 27 Q3 27 Q1 28 Q3 28 Q1 29 Q3 29 Q1 21 Q3 21 Q1 211 Q3 211 * Less repos and reclassified bonds 3
Activity Based Balance Sheet SEB Group Sep 211 YTD development, SEK bn Assets Dec 21 Sep 211 YTD Change Liabilities Dec 21 Sep 211 YTD Change Household Mortgage 334 372 38 Household Deposits 176 19 14 Household Other 54 51-2 Corporate, Real Estate * 499 577 78 Corporate Deposits 45 465 6 Public Sector * 54 43-11 Public Sector Deposits 55 78 23 Total Lending 941 1,43 12 Total Deposits 636 732 96 Public Sector Lending, Covered Bonds Related 59 46-12 Public Covered Bonds 53 41-12 Total Public Sector Lending, Cov. Bond Related 59 46-12 Total Public Covered Bonds 53 41-12 Bonds, Capital Markets 99 113 14 Bonds, Capital Markets 45 6 15 Repos 94 15 11 Repos 26 51 25 Derivatives 128 178 51 Derivatives 121 158 37 Shares, Trading 56 84 27 Shares, Trading 34 6 27 Total Trading 377 48 12 Total Trading 225 329 14 Total Trading ex Derivatives 25 32 52 Total Trading ex Derivatives 14 171 67 Shares, Investment 3 3 Bonds, Liquidity Portfolio 187 179-8 CPs/CDs 181 24 23 Lending Interbank and Credit Institutions 87 17 2 Deposits Interbank and Credit Institutions 154 144-1 Cash & Deposits in Central Banks 46 1 54 Deposits Central Banks 32 37 6 Total Treasury Activities 324 39 66 Total Short-term Funding 366 385 19 Issued Schuldscheins & Registered Bonds 12 15 3 Mortgage Covered Bonds Germany 32 31-1 Mortgage Covered Bonds Sweden 22 215 12 Other Issued Bonds 19 12-7 Subordinated debt incl. hybrid capital 26 28 2 Equity 1 17 8 Total Strategic Treasury Activities 481 498 17 Insurance 273 278 6 Insurance 264 268 4 Other Internal Other Internal Other Cash Collateral 57 59 2 Other Cash Collateral 32 47 15 Other Retail AG 75-75 Other Retail AG 48-48 Other Minor Items 75 63-11 Other Minor Items 74 58-16 Total 2,18 2,359 18 Total 2,18 2,359 18 *Changes in accounting treatment for several counterparties resulting in a move from Public Sector Lending to Corporate lending. Effect approx SEK 7,5bn. 4
Strong structural liquidity situation in the two most important business areas Balance sheet structure (Sep 211) Retail banking Sweden Merchant banking 1 78 Other Loans Funding Gap 31 Funding Gap 13 Retail Customer Deposits 188 369 355 Residential Mortgage Loans 443 Corporate Customer Loans Corporate Customer Deposits Swedish Covered Bonds 215 Public Deposits 62 Lending Funding Lending Funding 1. Excluding repos and reclassified bonds 5
Funding gaps and other lending are funded with medium-term senior bonds 31 Average duration (years): 433 43 4 Retail Lending Retail Funding Retail Funding Gap Baltic Wealth Other 23 12 2.8 4 13 Retail Merchant Banking 44 15 5. 443 391 Required Funding Combined Funding Gap Other Net Lending Less sticky deposits Actual Funding Issued Schuldscheins Senior Unsecured Bonds MB Lending MB Funding MB Funding Gap 6
Net liquidity position: Allows for sustained periods of no market access Improvement in SEB s matched funding horizon 1 Months Net Liquidity position improved (SEK bn) Cumulative net cash flow including liquidity reserve 21 vs. Q2-Q3 211 3 35 25 2 15 3 25 2 15 1 Long-term target: 12 months 1 5 5 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 <1d <1m <3m <6m <12m 28 29 21 211 YE 21 Q2 211 Q3 211 1. Cash Flow model where assets & liabilities are mapped to contractual maturities Source: LRA BaseScenario SEB Group 7
Well-diversified Liquidity Reserve across asset type and currency External vs. Internal Liquidity Reserve definitions (SEK bn) Sep 211 FI Liquidity Reserve by currency (SEK bn) Sep 211 6 535 4 3 312 5 4 411 Net Trading Assets 2 1 35 172 86 18 3 312 38 OC * SEK EUR USD Other Total Cash and Bank Deposits GVT Bonds Covered bonds Other 2 1 Development of FI Liquidity Reserve (SEK bn) 211 YTD FI SBA**/SEB Core Reserve SEB Extended Reserve Total SEB Liquid Resources 4 3 Central Bank Deposits Other Bank Deposits GVT Bonds Public bonds Covered bonds (other) Covered bonds (SEB) Non-financials Financials Other OC Net Trading Assets *Overcollateralisation net of Moody s requirement for AAA rating (1%) **Swedish Bankers Association (Bankföreningen) 2 1 Jan Feb Mar Apr May June July Aug Sep 8
Well-diversified funding base both across deposits and wholesale funding Overall liability & funding mix SEB Group, SEK 1,539bn, September 211 Total Liability & Funding SEK 1,539bn Wholesale Funding SEK 58bn Fin. Inst. deposits 11% Public deposits 5% Central Bank deposits 2% Mortgage Covered Bonds Swe 14% Private deposits 12% Mortgage Covered Bonds Ger 2% Wholesale Funding 39% Senior Debt 7% CP s/cd s 13% Corporate deposits 32% Subordinated Debt 2% 9
Short-term funding CP and CD programmes CP/CDs volume and duration development 211 YTD, SEK bn 25 2 15 1 5 USD EUR SEK Other Duration (days) Jan Feb Mar Apr May Jun Jul Aug Sep 8 6 4 2 1
3 2 1-1 -2-3 11 Jan-9 Mar-9 May-9 Jul-9 Sep-9 Nov-9 Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 CP/CD funding - moves in line with Net Trading Assets 1) 29-211:Sep SEK bn Net Trading Assets CPs/CDs CP/CD funding Net Trading Assets 1) Net Trading Assets excluding derivatives
Long-term wholesale funding issuance Issued vs. matured long-term funding SEK bn Upcoming maturities long-term funding SEK bn 6 Issued Matured Mortgage Covered SEK Mortgage Covered, non-sek Senior Unsecured SEK Senior Unsecured, non-sek Retail index linked bonds Subordinated debt SEB AG 7 5 6 4 5 3 2 4 3 2 1 1 Q1 29 29Q2 29Q3 29Q4 21Q1 21Q2 21Q3 21Q4 211Q1 211Q2 211Q3 Q1 212 Q2 212 Q3 212 Q4 212 213 214 Long-term funding raised SEK bn Instrument FY 29 FY 21 Q1 211 Q2 211 Q3 211 Q4 211 1 Yankee CD...... Senior unsecured SEB AG 8.3 3.3.2.1.2. Senior unsecured SEB AB 6.4 13.9 4.5 1.8.2 6.8 Index Linked Bonds 8.3 3.2 1.5 2.2.9 1. Covered bonds SEB AG 24.4 1.7.... Covered bonds SEB AB 25.6 71. 29.3 29.6 11.7 4.1 Hybrid tier 1 3.3..... Total 13 12 35 43 13 12 1. As of October 27 12
SEB 75m 2-year FRN Termsheet Execution Highlights Distribution by investor type Issuer: Status : Issue Rating: Coupon: Maturity: Book size Skandinaviska Enskilda Banken AB (publ) Senior unsecured floating rate notes A1/A/A+ (Moody s/s&p/fitch) 3-month Euribor +115bp 2-year Maturity date: 21 October 213 Size 75mn Leads : Natixis + 3 Reoffer spread : Reoffer price: 99.961% 3-month Euribor +117bp Book analysis 1.3 bn Number of orders: 113 SEB had been monitoring primary markets in the past few weeks and with the reopening of the senior market, coupled with recent successful deals from other strong issuers, decided to reopen the Nordic senior segment with a new 2 year FRN trade. This visit to the market was SEB s third visit since the beginning of the year in the senior market. The decision was taken mid-morning to move ahead with the trade and books were opened at 1.2am London time, with price guidance of 3m Euribor +12bp area. SEB indicated a target size of 5mn to 75mn. In the space of 9 minutes the book grew to 1bn. The steady book-building, the good quality of investors and a strong oversubscription ratio allowed SEB to tighten the spread down to +117bp from +12bp area and to set the issue size at 75mn at 1.45pm. Books were formally closed at 2.3pm London time with 113 orders and a total book size of 1.3bn. In terms of distribution, Asset Managers and Banks were the drivers of the deal, with 45% and 38% respectively. By geography, the book was driven by the Nordics, the UK and Germany. High quality orders from Austria, France, Switzerland and Benelux provided high quality incremental demand and granularity This deal reiterates SEB s strong credit and the Nordic regions safe haven status Distribution by geography 13
Long-term funding development Long-term funding volume and duration development 29-211 Q3, SEK bn Long-term funding by currency Sep 211, SEK bn 4 3 2 1 Mortgage covered bonds Mortgage covered bonds (yrs) Overcollateralisation Senior unsecured Senior unsecured (yrs) 5 4 3 2 1 Mortgage covered Senior unsecured Schuldschein darlehen Retail index linked Subordinated debt 2 15 1 5 29 21 Q1 211 Q2 211 Q3 211 SEK EUR GBP USD NOK JPY CHF LTL HKD Long-term funding maturity profile SEK bn 21 Q3 211 1 Product <1Y 1-2Y 2-3Y 3-4Y 4-5Y 5-7Y 7-1Y >1Y 8 Covered bonds SEK, SEB AB 37 31 3 25 22 1 6 Covered bonds non SEK, SEB AB 1 1 9 12 9 12 4 2 <1Y 1-2Y 2-3Y 3-4Y 4-5Y 5-7Y 7-1Y >1Y Mortgage pfandbriefe, SEB AG 4 3 2 2 3 3 9 6 Senior unsecured 3 8 26 1 14 1 4 2 Subordinated debt 7 3 8 1 5 1 Total 78 51 7 54 52 27 25 19 14
Wholesale Funding mix by currency and type September 211 (SEK bn) Short-term funding 16 14 12 1 8 6 4 2 CP's Sterling CD's Swe CP's Yankee CD's 14 BN 45 BN 11 BN 9 BN 1 BN SEK EUR USD GBP DKK NOK Other Short-term funding activities concentrated to EUR, USD and GBP, partly due to lack of Nordic and domestic short-term market USD borrowings mainly used to fund needs in SEK, EUR and NOK on a currency-swapped basis Long-term funding 25 2 15 Mortgage Covered Bonds Public Covered Bonds Senior Bonds SSD Retail index linked bonds 176 BN 214 BN Long-term funding activities concentrated to SEK and EUR markets which are dominated by covered bond funding 1 5 7 BN 1 BN 2 BN 6 BN 1 BN SEK EUR USD GBP JPY NOK Other 15
SEB has the lowest wholesale funding dependence and a high liquidity reserve 3 September, 211 222% 214% SEB Nordea Swedbank SHB 238% 253% 179% 146% 99% 114% 14% 133% 97% 122% 43% 45% 2% 25% 22% 21% 21% 23% Loan to deposit ratio Loan to deposit ratio (excl mortgage lending) Wholesale funding to assets ratio Senior unsecured to wholesale funding ratio Liquidity reserve to short term funding Source: Enskilda 16
Oct-11 Sep-11 Sep-11 Aug-11 17 Aug-11 Aug-11 SEB Swedish Covered Bond vs peers 5yr benchmark issues on ASW basis, ytd 211 Swap spreads Swedish banking peer group 12 1 8 6 4 2 Jul-11 Jul-11 Jun-11 Jun-11 May-11 May-11 Apr-11 Apr-11 Mar-11 Mar-11 Feb-11 Feb-11 Jan-11 Jan-11 Jan-11 SEB Swedbank SHB Nordea
Oct-11 Sep-11 Sep-11 18 Credit spread development SEB 5yr Senior Fixed benchmark vs. Nordea and Handelsbanken Credit spread vs. EUR Swaps 25 2 15 1 5 Sep-11 Sep-11 Sep-11 Aug-11 Aug-11 Aug-11 Aug-11 Jul-11 Jul-11 Jul-11 Jul-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 May-11 May-11 May-11 Nordea 3.625 16 SEB 3.75 16 Handelsbanken 3.625 16
Strong capital situation Core Tier 1 ratio (%) Basel II 15% 13% 11% 9% Regulatory target range Basel II Basel III Strong capital formation Maintain buffer to minimum regulatory levels Capacity to issue additional tier 1 instruments and return capital to shareholders in future 7% 5% Q1 8 Q2 Q3 Q4 Q1 9 Q2 Q3 Q4 Q1 1 Q2 Q3 Q4 Q1 11 Q2 Q3 19
Capital adequacy SEB Group - Basel II (without transitional rules) Total capital ratio, % Tier 1 capital ratio, % Core Tier 1 (from 27) 12.6 12.8 9.9 1.1 8.4 8.6 14.7 13.9 11.7 13.8 14.2 12.2 14.6 15.1 13. 15.1 15.6 13.5 15.8 16.2 13.9 Note: In order to improve quality, capital management in 21 has focused on shifting the capital base from Tier 2 to Tier 1. The end effect, when combined with certain deductions to be made from the total capital resources, is that Tier 1 capital becomes larger than the capital base from 21. SEK bn Dec 27 Dec 28 Dec 29 Dec 21 Mar 211 Jun 211 Sep 211 Tier 1 capital 72.7 82.5 11.6 12. 12.1 16. 18. Capital base 93. 14.7 17.3 99.1 98.8 12.6 15.6 Risk-w. Assets 737 818 73 716 678 678 667 2
Capitalisation more than adequate Summary of stress tests Core Tier 1 capital ratio Basel II (unfloored except EBA) Swedish FSA Stress (Oct 21) Swedish Central Bank Stress Test (May 211) Swedish FSA EBA Adverse (July 211) floored Actual (Q3 211) 14% 13% 12% 11% 1% 21 211 212 213 21
Existing Tier 1 debt instruments Feature Maturity $5m 4.958% $6m 5.471% Perpetual, 1bps step-up Regulatory and Tax calls 5m 7.922% 5m 9.25% Perpetual, 1bps step-up Regulatory, Tax, Accounting and Rating Agency calls Perpetual, reset non-step Regulatory, Tax, Accounting and Rating Agency calls Ranking Junior, senior to common only Full claim in liquidation Junior, senior to common only Full claim in liquidation Junior, senior to common only Full claim in liquidation Ongoing Loss Absorption Limited discretion to cancel, distributable items test only No pusher, dividend stopper Dividend pusher, no stopper Principal Loss Absorption Temporary write-down Avoidance of liquidation only conversion into conditional capital Temporary write-down Avoidance of liquidation and avoidance of breach of capital ratios conversion into conditional capital Temporary write-down Avoidance of liquidation and avoidance of breach of capital ratios conversion into conditional capital Non-Viability Loss Absorption Currently none Currently none Currently none Red indicates areas of potential non-compliance. Step-ups and temporary nature of the existing principal loss absorption are the main reasons for non-compliance with the new rules. 22
Safe harbour balance sheet Core Tier 1 ratio 13.9% Liquidity reserve SEK 38bn >1% of maturing debt 211 pre-financed >2 years matched funding NPL coverage ratio 63% 23