February 2020

DNB Bank

DNB Boligkreditt

Best Euro Deal 2018

2

Content

• DNB – A Brief Overview

• The Norwegian Economy

• Financial Targets, Performance and Capital

• Loan Book and Asset quality

• Funding

• Appendix: • Cover Pool Portfolio Information and LCR eligibility • The Norwegian Mortgage Market • Capital and Tier 1 • Additional slides – Financial Performance and Other information

3

DNB – A Brief Overview

4

DNB - Norway’s Leading Financial Services Group

• Approximately 30% market share in Norway

• 34% owned by the Norwegian Government

• Credit Ratings: • Moody's: Aa2 (stable)

• S&P: AA- (stable)

• Sustainability Ratings:

ESG as part of strategy

Anchored in corporate governance and top management

Sustainability/ESG disclosures in accordance with standards (GRI,

SASB, TCFD) assured by EY

Signatory to global sustainability initatives

Strong ESG rating by Sustainalytics, ISS and MSCI

Four themes to prioritise ESG measures

DNB fights financial crime and promotes a safe, digital economy

DNB finances sustainable growth through loans and investments

DNB is a driving force for equality and diversity

DNB helps its customers manage and understand their own economy

ESG is an integrated part of DNBs strategy

Examples

Steering the loan book towards sustainable activities

Green product framework

All loans above 8 MNOK includes an ESG evaluation

Integrating ESG in equity research

Responsible ship-recycling clauses

Sustainability in DNB is about all the three letters of E, S and G. Even though climate risk is a central

part of our sustainability strategy, we have defined ambitions within all aspects of sustainability

5

6

The DNB Group

100% owned by DNB Bank and functionally an integrated part of the parent

Mortgages originated within DNB Bank’s distribution network in accordance with the bank's credit policy

DNB Bank ASA

Aa2/AA-

DNB Life and

Asset Management

DNB ASA

DNB

Boligkreditt AS

(Covered Bonds: AAA/Aaa)

7

The Norwegian Economy

8

A Solid Norwegian Economy

Source: 1) General Government net lending as percentage of GDP, OECD Economic Outlook No. 106, November 2019

2) Ministry of Finance (National Budget 2020)

3) DNB Markets, January 2020

2018 2019 2020E 2021E

Budget surplus 1) 8.1% 8.8 % 9.1% 9.0%

Oil fund 2) EUR 809bn EUR 970bn EUR 995bn

Unemployment 3) 3.9% 3.7% 3.8% 3.9%

GDP growth 3) +2.2% +2.5% +1.9% +1.5%

Central Bank Rate 3) 0.75% 1.50% 1.50% 1,5%

9

Government Finances are Rock-Solid

Annual budget deficit/surplus forecast for 20201) General government net financial liabilities2)

As per cent of nominal GDP 2019

1) Source: OECD Economic Outlook no. 106, November 2019

-300.00

-250.00

-200.00

-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00

200.00

10

0

100

200

300

400

500

600

2006 2008 2010 2012 2014 2016 2018

Annual return, GPFG

Annual net petro cash flow

Annual actual "spending of oil-money"

Government Pension Fund Global 2001-2019, NOK billion

Oil income versus spending 2006-2019, NOK billion

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

10000

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019

Source: Ministry of Finance (National Budget 2019), DNB Markets, NBIM

The Growth of the Sovereign Wealth Fund Adds Flexibility

11

Forecasted unemployment Per cent

3.9 3.7 3.8 3.9 3.9

0

2

4

6

8

10

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020F 2021F 2022F

DNB Markets (Jan 20)

Among the lowest unemployment in Europe Per cent

Source: OECD Economic Outlook No. 106 November 2019/DNB Markets (Jan 20)

Unemployment - Among the Lowest in Europe

0

2

4

6

8

10

12

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Denmark Finland Norway Sweden United Kingdom Euro area (17 countries)

12

Solid Economic Growth in Norway

1.9% 1.9%

3.7%

2.3% 2.2%

1.4% 1.0%

2.0% 2.2% 2.5% 1.9%

1.5% 1.6 %

2.4 % 2.2%

1.5% 1.6 %

-1%

0%

1%

2%

3%

4%

5%

6%

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020e 2021e 2022e

DNB Markets (Jan 20) Statistics Norway (Nov 19)

GDP growth Year on year, per cent

GDP growth Per cent

-2%

-1%

0%

1%

2%

3%

4%

5%

2013 2014 2015 2016 2017 2018 2019 2020 2021

Norway

Sweden

Denmark

Finland

Euro Area

Source: OECD Economic Outlook No. 106, November 2019

13

0

1

2

3

4

5

6

7

8

9

10

0

50

100

150

200

250

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

2020

Constant 2017 prices (lha) Share of GDP (rha)

Oil Investments are Stabilising at a High Level – Lower break-even price ensures a competitive continental shelf

Source: Thomson Datastream, DNB Markets Source: Rystad Energy, Equinor, Wall Street Journal

Break-even price: Sanctioned vs April 2017 USD per barrel, Brent Blend

Petroleum investments in Norway NOK billion, share of GDP in per cent

March 2016 September 2016 Sanctioned

Johan Sverdrup Johan Castberg

80

38

52

35

45

3035

20

February 2019

14

Financial Targets, Performance and Capital

15

Financial Ambitions 2019-2022

1) CET1 capital ratio without transitional rules

2) Proposed requirement including management buffer of about 1 per cent at 31 December 2019

>12% Return on equity

Overriding target

Payout ratio

>50% Dividend policy

CET1 ratio1)

~17.9%²⁾ Capital level

C/I ratio

<40% Key performance indicator

16

DNB is a digital front runner

220

116

57

2010 2015 2016

Transforming our branch network

Number of branch offices

• 91% of Norwegians use online banking services

• 6% of payments are made in cash

Annual visits to our digital platforms (millions)

• Fully automated secured lending

• Boosting efficiency with automation

Jan. 2019 Oct. 2019 Jan. 2019 Oct. 2019

73 83 85 86 83 92 83 80 76

1 2 9

49 113

156 200 243 281

467

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019e

Online bank Mobile bank

17

DNB Delivers Solid Profit

18.7

28.7

34.1

30.8

28.5 28.3

31.7

7.7

1.6 2.3

7.4

2.4

(0.1)

2.2

(5)

0

5

10

15

20

25

30

35

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Pre-tax operating profit before impairment Impairment of loans

Pre-tax operating profit before impairment NOK billion Net interest

income

71%

Net

commission

and fees

18%

Net gains on

financial

instruments

at fair value

6%

Other

income

5%

Total income split for the year 2019

18

DNB Earnings in the Context of Nordic Peers

Source: Company Websites, Factbooks, Annual Reports. End of Period Exchange Rates used for Balance Sheet Size and Average Exchange Rate used for Operating Profit.

Source of Exchange Rates: Bloomberg

1) Pre-Tax Operating Profit Post Impairments

Balance Sheet Size (Q4 2019, EUR bn eqv) Pre-Tax Operating Profit (EUR bn eqv)1

555

276

317

249

Bank1 DNB Bank 2 Bank 3

4.0 4.0

2.1

2.8

3.0 3.1

2.2 2.1 2.2

2.5 2.6 2.5

2017 2018 2019

Bank1 DNB Bank 2 Bank 3

19

Stage 3 Net Loans and Financial Commitments (IFRS 9) ( Former net Non-Performing and Doubtful Loans IAS39 )

1) As a result of the transition to IFRS 9 from 1 January 2018, unutilised credit lines and other financial commitments have

been included.

23.1 23.6

19.217.3

22.8

26.4 25.7

23.221.6 20.8

21.6

18.2

1.46 1.47

1.211.12

1.49

1.691.64

1.451.33

1.27 1.29

1.091.03

1.18 1.151.03

0.94 0.90 0.92

0.79

31 March 30 June 30 Sept. 31 Dec. 31 March 30 June 30 Sept. 31 Dec. 31 March 30 June 30 Sept. 31 Dec.

2017 2018 2019

Net non-performing and doubtful loans and guarantees (IAS 39)

Stage 3 - Net loans (IFRS 9)

Stage 3 - Net financial commitmens (IFRS 9)

Net non-performing and doubtful loans and guarantees as a percentage of net loans (IAS 39)

Stage 3 - Net loans and financial commitments as a percentage of net loans (IFRS 9)

Stage 3 - Net loans and financial commitments as a percentage of net loans and financial commitments (IFRS 9)

Per cent

NOK billion

IAS 39 IFRS 9

1) 1)

20

Healthy asset quality reduces cost of risk

• Strong Norwegian macro

• Solid and diversified portfolio

• Reduced exposure to cyclical industries

• Quarterly fluctuations, but expecting lower

impairment losses than 1997-2019 average

Development in high-risk and stage 3 exposures¹⁾

Impairment losses 1997-2019

Reduced risk

1) “High-risk” is defined as probability of default (PD) ≥3 per cent. “Stage 3” is defined as non-performing and doubtful portfolio.

152

115 101 98

7.9 6.1

5.2 4.9

0.00

5.00

10.00

15.00

20.00

0.00

50.00

100.00

150.00

200.00

31 Dec 2016 31 Dec 2017 31 Dec 2018 30 Dec 2019

Exposure (EAD) in NOK bn Per cent of total exposure

0,18 %

Impairment in % of net loans Average impairment in %

21

Key Financial Ratios

2019 2018 2017 2016 2015

Return on equity (%) 11.7 11.7 10.8 10.1 14.5

Cost income (%) 42.2 43.8 44.2 40.9 36.9

Comb. weighted total average spread (%) 1.33 1.30 1.30 1.32 1.33

Write down ratio (%) 0.13 -0.01 0.15 0.48 0.15

Common equity tier 1 ratio (%) 18.6 17.2 16.7 17.6 16.0

Total capital ratio (%) 22.9 20.8 20.3 21.4 19.8

22

Amendments to Norwegian capital requirements

Core Tier 1 (Ministry of Finance, 11 December 2019)

• With the final implementation of CRR/CRD IV in Norway from 31 December 2019, the Basel I floor was removed and

the capital requirements for exposures to Small and Medium sized enterprises were reduced (SME discount).

• The systemic risk buffer was increased from 3.0% to 4.5% for Norwegian exposures from 31 December 2020,

increasing the CET requirement for DNB by approximately 0.1%.

• DNB’s management buffer will be kept at approx. 100 bp.

• DNB will for now not make any changes to the capital target of 17.9% (CET1).

MREL

(Norwegian FSA, announced 23 December 2019)

• DNB ASA (holding company) shall hold total MREL capital equal to 36.7% of adjusted (for DNB Boligkreditt) risk

weighted assets based on the balance per 31 December 2018, which leads to a need for eligible debt of NOK 157

billion.

• The MREL requirement will vary over time based on changes in RWA and capital requirements.

• The minimum MREL requirement shall be met per 30 June 2020. Senior preferred debt issued by DNB Bank per 31

December 2019, with a minimum remaining tenor of one year, will qualify as MREL capital until 31 December 2022.

• As of 31 December 2019, qualifying debt with a minimum tenor of one year amounts to NOK 178 billion.

• MREL eligible debt shall be issued by DNB (holding) to third party investors. Relevant group units, including DNB

Bank, shall issue internal MREL debt to DNB (holding) in order to establish an adequate loss absorbing mechanism

in the group.

• DNB has initiated a process to merge DNB ASA and DNB Bank ASA, making DNB Bank ASA the ultimate parent

company of the DNB Group. The intention of the merger, which requires permission from the Norwegian Ministry of

Finance, is to enable DNB to issue non-preferred senior debt from DNB Bank ASA.

23

DNB – A Very Strong Capital Position

CET1 capital ratio and leverage ratio1) Per cent, as of 31 December 2019

18.6%

7.4%

16.1%

(SREP)

1.0%

CET1 Ratio* Leverage Ratio CET1 Requirement

17.1 %

Mgt buffer

7.4

5.3 5.1

5.4

4.9 4.6

DNB Nordea SEB Swedbank SHB Danske

Bank

Leverage ratio versus Nordic Peers Per cent, as of 31 December 2019

DNB’s leverage ratio requirement2)

6.0

1) As per the implementation of CRR/CRD IV in Norwegian legislation, the Basel I transitional floor was removed with effect from 31 December 2019.

2) The Norwegian leverage ratio requirement for banks is 5% effective as from 30 June 2017. For systemically important banks, such as DNB, the

minimum requirement is 6%. A potential breach of the leverage ratio requirement will not trigger automatic restrictions on AT1 coupon payments.

24

DNB – A Very Strong Capital Position

CET1 capital ratio

Per cent

14.4

16.0 16.4 16.4

16.9

16.0

17.6

16.7 17.2

18.3 18.6

2015 2016 2017 2018 3Q19 2019

CET1 ratio (trans rules Basel I Floor) CET1 ratio SREP Requirement

*) As per the implementation of CRR/CRD IV in Norwegian legislation, the Basel I transitional floor was removed with effect from 31 December 2019.

Binding CET1 requirements:

transitional rules

CET1 capital build up

NOK bn

95 104

116

128

142

163 168 171

177 178

2010 11 12 13 14 15 16 17 18 19

25

DNB – A Very Strong Capital Position

S&P RAC Ratio versus Nordic Peers Per Cent, 31 Dec 2018

13.8

12.4 11.9

10.4 10.6

9.7

DNB Swedbank Nordea Danske Bank SEB SHB

S&P RAC Ratios for Top 50 Rated Western European Banks Per Cent, 31 Dec 2018

26

101 92

175 160

44 -3

40 55

55 89

144

160

202

141 147

240 249

188 157

341

2013 2014 2015 2016 2017 2018 2019

Dividends and Buy-backs

CET1 build up

4.5% 4.5% 4.5 %

2.5% 2.5% 2.5 %

3.0% 3.0% 3.1 %

2.0% 2.0% 2.0 %

1.7% 2.1% 2.1 %

1.8% 1.9% 1,9 %

YE 2018 YE 2019 Target K 31.12.2020

Pillar 1 Min Requirement Systemic risk Buffer

SIFI Buffer Countercyclical Buffer

Pillar 2 Requirement SREP Requirement

Conservation Buffer Management Buffer

DNB CET1 - without trans. rules

~16.2 % SREP

15.5 %

~17.9% TARGET

1.0% 1.0%

~17.9% TARGET

~16.1 %

CET1 Capital Requirements - and Capital generation

1) In a consultation paper dated 27 April 2018, the Norwegian FSA suggested to include the Pillar 2 requirements in the calculation of the MDA trigger

level. The Ministry of Finance has not yet expressed its view on the proposal, therefore, it is uncertain whether the proposal will be adopted.

2) Based on an increase in the countercyclical buffer (CCyB) rate from 2.0% to 2.5%, leading to an increase in DNB’s effective CCyB to approximately 2.1%.

3) The 2019 figures are calculated on the basis of the implementation of CRR/CRD IV in Norway, which removed the Basel I floor and introduced the SME

discount. The change in methodology had a significant positive impact on the CET1 build up.

• SREP includes Pillar 2 requirements, but they are not included in the MDA trigger level1)

• Management buffer must be seen in connection with DNB’s capital generation abilities

• A systemic risk buffer of 4.5% was imposed on Norwegian exposures from 31 December 2020.

For DNB this corresponds to approx. 3.1% on the total RWA.

Capital generation3) Basispoints (bps) – transitional rules

17.2%

18.6%

139

27

MDA – DNB well above CET1 MDA Trigger Level • Pillar 2 requirements in Norway are currently not included in the MDA trigger level

• FSA has proposed to include Pillar 2 in MDA trigger level, but no final decision is taken1)

• MDA buffer must be seen in connection with DNB’s capital generation abilities

YE 2018 YE 2019 YE 2020

MDA Trigger Level DNB CET1 ratio

13.7 %

15.1 %

101 92

175 160

44 -3

139

40 55

55 89

144

160

202

141 147

240 249

188 157

341

2013 2014 2015 2016 2017 2018 2019

Dividends and Buy-backs

CET1 build up

139

1) In a consultation paper dated 27 April 2018, the Norwegian FSA suggested to include the Pillar 2 requirements in the calculation of the MDA trigger

level. The Ministry of Finance has not yet expressed its view on the proposal, therefore, it is uncertain whether the proposal will be adopted.

2) The 2019 figures are calculated on the basis of the implementation of CRR/CRD IV in Norway, which removed the Basel I floor and introduced the

SME discount. The change in methodology had a significant positive impact on the CET1 build up.

18.6 %

Capital generation2) Basispoints (bps) – transitional rules

15.2 %

17.2 %

28

MREL Regulation entered into force 1 January 2019

• Loss absorption requirement to be covered by existing own funds requirement

• Recapitalisation requirement to be covered by any excess capital and non-preferred senior debt,

contractually subordinated to conventional senior debt.

• DNB’s MREL requirements announced by the Financial Supervisory Authority 23 December 2019:

• DNB ASA (holding company) shall hold total MREL capital equal to 36.7% of adjusted (for DNB Boligkreditt)

risk weighted assets based on the balance per 31 December 2018, which leads to a need for eligible debt of

NOK 157 billion.

• The MREL requirement will vary over time based on changes in RWA and capital requirements.

• The minimum MREL requirement shall be met per 30 June 2020. Senior preferred debt issued by DNB Bank

per 31 December 2019, with a minimum remaining tenor of one year, will qualify as MREL capital until 31

December 2022.

• As of 31 December 2019, qualifying debt with a minimum tenor of one year amounts to NOK 178 billion.

• MREL eligible debt shall be issued by DNB (holding) to third party investors. Relevant group units, including

DNB Bank, shall issue internal MREL debt to DNB (holding) in order to establish an adequate loss absorbing

mechanism in the group.

• DNB has initiated a process to merge DNB ASA and DNB Bank ASA, making DNB Bank ASA the ultimate

parent company of the DNB Group. The intention of the merger, which requires permission from the

Norwegian Ministry of Finance, is to enable DNB to issue non-preferred senior debt from DNB Bank ASA.

• During the transitional period DNB will gradually replace maturing senior debt with the required volume of

non-preferred senior debt.

29

Implementation of BRRD and change in creditor hierarchy

• The legislation implementing BRRD in Norway, entered into force 1 January 2019.

• The legislation sets forth that the resolution authorities shall establish a resolution plan for each institution

with specific description of the tools available in a crisis situation. The resolution plan for DNB is not yet in

place.

• In line with the BRRD, the creditor hierarchy is now changed so that deposits that are guaranteed by the

Norwegian deposit guarantee scheme, as well as deposits from private individuals and small and medium

sized enterprises, have priority before deposits from large corporates and unsecured senior debt, which

again has priority before senior non-preferred debt and own funds instruments.

• One of the tools contemplated under the BRRD is the bail-in tool. According to the Norwegian legislation,

any unsecured debt, except guaranteed deposits, may in principle be bailed in. The resolution authorities

will however respect the hierarchy of claims.

• The introduction of the MREL requirement, including the subordination requirement, shall make sure, that

no creditor will be worse off than it would have been in liquidation.

• DNB expects more clarity when the resolution authorities present the resolution plan for DNB some time in

2020.

30

IFRS 9 / Basel IV / Risk Weighted Density - DNB is well positioned for future regulatory requirements

• IFRS 9

• IFRS 9 was implemented from 1 January 2018 and reduced the common equity Tier 1 capital ratio by

approximately 28 basis points in Q12018 as a one off effect.

• IFRS 9 is now fully implemented, hence, DNB will not apply for transitional rules.

• Basel IV

• DNB is well positioned due to already high risk weights.

• The implementation of Basel IV is expected to have limited effects for DNB.

• Risk Weighted Density

34.4%

26.1% 27.1%

20.4%

27.0% 23.3%

DNB SEB Nordea Danske Swedbank SHB

Risk Weighted Assets Per cent of total assets, 31 December 2019

Regulatory Headwind

Composition of buffers and

Pillar 2 Requirements.

New considerations: Climate Risk.

Stricter requirements on IRB models

Pressure on Pillar 2

New Standard methods

New floor

CRDV/CRR2

2021+

CRR Compensation

2020

Basel 4 – CRR3

2022+

Future Changes in Regulatory Framework - Capital

• EU Directives and Regulations do not have direct effect

in Norway

• First step: Implementation in the EEC agreement

• Second step: Relevant rules to be implemented in

Norwegian law

• Time lag might vary from months to years

• 5 February 2020: Ministry of Finance requested the

Norwegian FSA to propose relevant changes in

Norwegian law as a result of CRDV/CRR2/BRRD2. The

NFSA has until 1 October 2020 to present the proposals,

suggesting possible implementation in Norwegian law

some time in 2021.

32

Loan Book and Asset Quality

33

Loan Book EAD by Segments as of 31 December 2019

Including net non-performing and net doubtful loans and guarantees.

Exposures at default are based on full implementation of IRB.

**) Of which mortgages 46 per cent of total exposure at default.

Commercial real estate 10 %

Shipping 3 % Oil, gas and

offshore 5 %

Power and renewables

2 %

Healthcare 2 %

Public sector 1 %

Fishing, fish farming and

farming 2 %

Retail industries 3 %

Manufacturing 4 %

Technology, media and

telecom 2 % Services

3 %

Residential property

5 %

Personal customers **)

54 %

Other corporate customers

4 %

34

Aiming to Reduce Volatility and Increase Profitability Through Rebalancing of the Portfolio

Reducing Exposure in Cyclical Industries USD billion

Rebalancing Between Large Corporates

and Personal Customers

21

7

2012 Q4 2019

Shipping

20

11

2014 Q4 2019

Oil, gas and offshore

46% 54%

Mortgages and other exposures, personal customers

Corporate loans

51% 49%

3Q 2015 4Q 2019

35

2.7%

7.7%

Currentmortgage rate

Mortgage rateincluding stress

test

Mortgage Lending in DNB is Based on Cash Flow

5

%

Willingness to repay the loan

Credit history

Capability of repaying the loan Including 5 per cent interest rate stress

Amortization requirement above 60% LTV

Max 5x gross income

Collateral LTV max 85%

Monthly behavior scoring of

borrowers

1.

2.

3.

4.

36

House Prices Fundamental Factors Explaining the Past House Price Increase

Norwegian House Prices

Source: Real Estate Norway, Statistics Norway

Completed housings less

growth in households

Source: Norges Bank, Statistics Norway

Nominal House Prices 2000-2019

Source: Eiendomsverdi AS

(member of the European AVM Alliance)

0

100

200

300

400

500

600

700

800

1985

1988

1991

1994

1997

2000

2003

2006

2009

2012

2015

2018

Nominal prices

CPI-deflated prices

Income per capita-deflated prices

50.00

100.00

150.00

200.00

250.00

300.00

350.00

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

Norway UK Sweden

Denmark USA

-20 000

-15 000

-10 000

-5 000

0

5 000

2006200820102012201420162018

37

• Prices are now 3.2 % higher than 12 months ago.

• DNB expects relative flat development in house prices going forward.

House Price Development in Norway and Oslo1)

House Price Growth As of January 2020 All-time-High = Aug -19 for Norway,

Feb -17 for Oslo

Source: Eiendomsverdi AS

(member of the European AVM Alliance)

75

100

125

150

175

200

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

Norway Oslo

Source: Eiendomsverdi AS

(member of the European AVM Alliance)

House Price Growth 1 Jan 2007 = Index 100

1) The methodology for house price data was revised in January 2018, hence there are some differences in data points from previous versions of this presentation.

-0.2% -0.3%

3.2%

5.5%

Since all-time-high Last 12 months

Norway Oslo

38

Mortgage Lending Regulation Tightened Regulation from January 2017 has Impacted House Price Growth

• Max 5x gross income

• Max 85% LTV

• 60% for secondary home in Oslo

• Debt servicing capacity

• 5 percentage points interest rate increase

• Amortization requirement above 60% LTV

• 2.5% of approved loan or principal payment as for 30 year annuity

• Banks have some flexibility

• Banks can deviate in 10% of mortgage applications each quarter

• In Oslo this flexibility is limited to 8%

75

100

125

150

175

200

2014

2015

2016

2017

2018

2019

2020

Norway Oslo

House Price Growth 1 Jan 2007 = Index 100

39

A Very Robust Cover Pool

House Price Decline Current 10% 20% 30%

WA Indexed LTV 54.5% 59.6% 67.0% 76.6%

Eligible OC 48.6% 45.4% 40.1% 31.6%

50% 50% 44%

49%

20%

30%

40%

50%

60%

2016 2017 2018 2019

High OC

LTV around 55% (Weighted average)

Stress test -house price decline

54% 54% 55% 55%

40%

50%

60%

70%

2016 2017 2018 2019

40

A Very Robust Residential Loan Portfolio

16%

34%

27%

17%

6%

0-40 40-60 60-75 75-85 >85

Loan-to-Value (LTV) Per Cent of Residential Mortgage Book, 31 December 2019

- Includes mortgages in DNB Bank and DNB Boligkreditt

41

Oil-Related Portfolio represents 4.9% of Total Customer EaD

6 %

8 %

7 %

11 %

Total loan portfolio* – EaD NOK 1 977 billion Per cent, as at 31 December 2019

Oil-related portfolio – EAD NOK 96 billion 4.9 per cent of DNB’s total EaD as at 31 December 2019

3,1 %

1.8 %

2.4% 0.7%

1.8%

• The oil-related portfolio has been reduced significantly

• Down from NOK 167.1bn (8.4% of total EaD) in September 2015

Oil & Gas

Oilfield services

Offshore

* Excluding Credit institutions

Offshore – EAD NOK 35 billion

42

40

29

18

9

Low risk Medium risk High risk Net non-performingand net doubtful

commitments

4

13 11 8

Low risk Medium risk High risk Net non-performingand net doubtful

commitments

Oil-Related Portfolio Offshore the Most Challenging Sector DNB’s oil-related portfolio split by sub-segment in terms of exposure (EaD) and by risk grade

Total Oil related segments EaD in NOK billion

Offshore EaD in NOK billion

Oil and Gas EaD in NOK billion

Oilfield Service EaD in NOK billion

29

12 5

0.2

Low risk Medium risk High risk Net non-performingand net doubtful

commitments

7 5

2 0.3

Low risk Medium risk High risk Net non-performingand net doubtful

commitments

31.12.2016 31.12.2017 31.03.2018 30.06.201830.09.2018 31.12.2018 31.03.2019 30.06.201930.09.2019 31.12.2019

Probability of default (per cent)

Low risk 0.01 – 0.75

Medium risk 0.75 – 3.00

High risk 3.00 - impaired

43

Shipping Exposure is 3.0 % of DNB’s Total Loan Portfolio The Shipping Portfolio is Well Diversified

6 %

8 %

7 %

11 %

Total loan portfolio* – EaD NOK 1 977 billion Per cent, as at 31 December 2019

Shipping portfolio** – EaD NOK 59 billion Per cent of DNB’s total EAD, as at 31 December 2019

3.0%

0.7%

0.7%

0.4%

0.3%

0.6%

0.2% Crude oil tankers

Dry bulk

Gas

Container

Other shipping

Chemical and product tankers

** Excluding offshore portfolio. Offshore is included in oil-related portfolio.

• The shipping portfolio has been reduced significantly

• Down from NOK 138.1bn (6.9% of total EAD) in September 2015

*Excluding Credit institutions

44

Risk Classification and Migration DNB’s Shipping Book (Excluding Offshore)

Shipping* – EaD distribution by PD bracket NOK billion

14

38

6 1

Low risk Medium risk High risk Net non-performing and net doubtful

commitments

31.12.2016 31.12.2017 31.03.2018 30.06.2018 30.09.2018 31.12.2018 31.03.2019 30.06.2019 30.09.2019 31.12.2019

* Numbers for the Shipping Offshore and Logistics Division excluding offshore

portfolio. Offshore is included in oil-related portfolio.

45

Previous Shipping Experience Provides Comfort

Accumulated shipping impairments, 2010-2014 Per cent of lending book

2.4

5.1

8.6

21.5

DNB (shipping) Nordic peer (shipping and offshore) Norwegian banks (shipping and pipe

transportation)*

European peer (Shipping)

*Aggregate numbers for Norwegian banks are from the 2009-2013 period (including DNB)

Source: DNB Markets, company reports. Presented at DNB CMD 2015.

• DNB uses a considerable amount of resources on supporting authorities in the fight against financial crime

• Anti-money laundering is high on the agenda at all levels of our organisation, and a regular topic in management

meetings and board meetings

• DNB has over the last years made organisational changes to further strengthen the AML routines in the first and second

lines of defence

• The fight against money laundering is a fight against criminal networks constantly developing new methods

• Combatting financial crime is complex, and the regulatory frameworks have changed over time – no bank can ever

guarantee that suspicious transactions that should have been examined more carefully do not exist

• Our systems and procedures detect a large number of cases that are further investigated and reported to the authorities

each year, and DNB is working continuously to develop and improve our systems and analyses

• All information gathered from regulators and other institutions strengthens the ability to detect suspicious transactions

and subsequently report these to authorities

Commitment to compliance excellence

46

Helping authorities combat financial crime is at the top of the management’s agenda

47

• 12 November 2019, allegations were published in the Icelandic media that funds from Samherji (Icelandic

fisheries company) were used for illegal payments.

• 28 November 2019, the Norwegian National Authority for Investigation and Prosecution of Economic and

Environmental Crime (Økokrim) announced that they had opened investigation of DNB related to the

matter1). The same day, DNB released the following statement:

"We have had a good dialogue with Økokrim all the way and the fact that they are now opening an

investigation means that we have the opportunity to share with them everything we know in the Samherji

case, including confidential client information. We have been prevented from doing so thus far due to a duty

of confidentiality.”

“In a case like this, as one of the banks of the company in question, we play an important role in contributing

to establishing all the facts of the case.”

“We are committed to getting to the bottom of this, for own learning as well. Therefore, this does not change

anything with regard to our ongoing efforts to investigate all aspects of this matter.”

“We cannot rule out that our own assessment of this case will identify potential improvements of our efforts in

this area. At the same time, it is important to remember that the one accused of corruption or money

laundering in this matter is not a Norwegian bank, but an Icelandic fisheries company.”

Samherji case/Iceland

1) Press release from Økokrim (in Norwegian only): https://www.okokrim.no/etterforsker-dnb-bank-asa.6266753-411472.html

• 20 per cent ownership in Luminor, a joint venture with Blackstone

and Nordea1)

• Blackstone acquired 60 per cent of Luminor in September 2019

• DNB’s strategy in the Baltics has been to serve the local personal

customers and SME segments – non-resident customers (outside

EEA) have been out of scope

• Two due diligence processes completed the last few years, in

connection with:

1. The merger between Nordea’s and DNB’s Baltic units (completed 2017)

2. The sale to Blackstone (completed 2019)

• Luminor has not been subject to AML sanctions or regulatory fines

48 1) Nordea and Blackstone have entered into a forward sale agreement for the sale of Nordea’s remaining 20 per cent stake. The forward sale is subject to certain conditions but

is expected to complete over the next three financial years

Luminor – a joint venture with Nordea and Blackstone

49

Funding

50

DNB Funding Structure

79%

112%

2012 2013 2014 2015 2016 2017 2018 2019

Net Stable Funding Ratio (NSFR)

2.4

3.7

2008 2010 2012 2014 2016 2018

Average Life of Long-term Funding

Senior debt and covered bonds, years

Ratio of Deposits to Net Loans

Per Cent

50 53

55 58

63 65 65

61 62 63

58 58

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

51

Issuance of Long Term Debt

2020 EURO bill Tenor

Covered Bonds 0,0 0,0

Senior Bonds 0,0 0,0

Sum 0,0 0,0

Tier 1 / Tier 2 0,0

Total 0,0

2019 EURO bill Tenor

Covered Bonds 4,7 6,7

Senior Bonds 8,6 3,7

Sum 13,2 4,8

Tier 1 / Tier 2 1,0

Total 14,2

2018 EURO bill Tenor

Covered Bonds 8,0 7,3

Senior Bonds 1,1 4,9

Sum 9,2 7,0

Tier 1 / Tier 2 1,0

Total 10,2

52

A Well Established International Covered Bond Issuer

Volume Tenor Maturity EUR 1,250 mn 5 years 2020 – Oct

EUR 1,500 mn 5 years 2021 – Jan

EUR 1,500 mn 10 years 2021 – Jun

EUR 2,000 mn 5 years 2022 – Jan

EUR 2,000 mn 10 years 2022 – Mar

EUR 1,000 mn 10 years 2022 – Nov

EUR 1,500 mn 5 years 2023 - Jan

EUR 1,500 mn 7 years 2023 – Apr

EUR 1,750 mn 5 years 2023 – Nov

EUR 1,500 mn 7 years 2024 – Nov

EUR 1,500 mn (Green ) 7 years 2025 – Jun

EUR 1,500 mn 7 years 2026 - Jan

EUR 1,500 mn 10 years 2026 – Sep

EUR 1,000 mn (FRN) 7 years 2021 – Nov

USD 1,250 mn 5 years 2020 - May

USD 1,500 mn 5 years 2022 - Mar

USD 1,000 mn 5 years 2023 – Jun

Best Euro Deal 2018

DNB Boligkreditt - Green Covered Bonds

• EUR 1,500,000,000 7 years 2025 Fixed

• SEK 9,700,000,000 5 years 2024 Fixed

52

54

DNB Green Covered Bonds

• An aggregated portfolio approach has been used to manage the green assets

• Eligible green assets at all times exceeds all outstanding green liabilities

Eligibility criterion for DNB’s green covered bonds:

• Residential buildings completed in 2012 or later

• (derived from the implementation of the TEK10 and TEK17 building codes)

~NOK 78 bn eligible green assets

(within 15% of the most energy efficient residential buildings in Norway)

For further information, see

https://ir.dnb.no/funding-and-rating/green-covered-bonds

55

DNB Senior Curve

Volume

Tenor

Maturity

EUR 1,000 mn 10 years 2020 – Jun

EUR 2,000 mn 10 years 2021 – Feb

EUR 1,000 mn 10 years 2022 – Jan

EUR 750 mn 7 years 2023 – Mar

EUR 750 mn 5 years 2023 - Sep

EUR 2,000 mn 4 years 2023 - Nov

EUR 750 mn

5 years

2024 - Mar

EUR 650 mn (FRN) 5 years 2020 – Aug

EUR 1,000 mn (FRN) 3,5 years 2022 - Jul

GBP 300 mn

GBP 500 mn

4,7 years

3,5 years

2023 – Dec

2023 - Jun

USD 1,250 mn 3 years 2020 – Oct

USD 1,250 mn 5 years 2021 – Jun

USD 1,400 mn

3 years

2022 – Nov

USD 500 mn (FRN) 3 years 2020 – Oct

USD 250 mn (FRN) 5 years 2021 – Jun

USD 600 mn (FRN) 3 years 2022 – Nov

56

Funding Contacts

Long Term Funding: Short Term Funding:

• Thor Tellefsen

Senior Vice President, Head of Long Term Funding

Phone direct: + 47 24 16 91 22

Mobile: + 47 915 44 385

E-mail: thor.tellefsen@dnb.no

• Magnus Midtgård

Senior Vice President, Long Term Funding

Phone direct: + 47 24 16 91 25

Mobile: + 47 402 22 087

E-mail: magnus.midtgard@dnb.no

• Roar Sørensen

Senior Vice President, Long Term Funding

Phone direct: + 47 24 16 91 39

Mobile: + 47 934 79 616

E-mail: roar.sorensen@dnb.no

• Åsmund Midttun

Senior Dealer, Rates, FICC

Phone direct: +47 24 16 90 28

Mobile: +47 901 13 559

E-mail: asmund.midttun@dnb.no

amidttun@bloomberg.net

• Erik Brække

Senior Vice President, Rates, FICC

Phone direct: +47 24 16 90 31

Mobile: +47 930 47 504

E-mail: erik.brakke@dnb.no

ebraekke@bloomberg.net

• Stephen Danna

First Vice President, FX/Rates/Commodities, New York

Phone direct: +1 212 681 2550

Mobile: +1 646 824 0072

E-mail: stephen.danna@dnb.no

sdanna@bloomberg.net

https://www.ir.dnb.no/funding-and-rating

57

Appendix

Appendix A:

Cover Pool Portfolio Information and LCR

Eligibility

58

Future Updates On Cover Pool Developments

DNB has implemented the common Harmonised Transparency Template of

the European Covered Bond Council which is available on the DNB website.

Information about the cover pool of DNB Boligkreditt may be accessed via

DNB’s web page:

https://www.ir.dnb.no/funding-and-rating/cover-pool-data

Contacts DNB Boligkreditt AS:

- Per Sagbakken, CEO: per.sagbakken@dnb.no +47 906 61 159

Portfolio information is updated when DNB quarterly results are released

59

Cover Pool

Data

DNB Boligkreditt Covered Bonds – Cover Pool Data

Rating (Moody’s/S&P) Aaa/AAA

Cover Pool Size (million) 635,541

No. of Mortgages in the Cover Pool 379,111

Average Loan Balance (thousands) 1,676

Regulatory Overcollateralisation Requirement 2.0%

Overcollateralisation 48.8%

Weighted Average LTV (Indexed) 54.5%

Pool statistics as of 31 December 2019. Cover pool reporting coincides with DNB quarterly financial reporting.

Stresstest

House Price Decline Current 10% 20% 30%

WA Indexed LTV 54.5% 59.6% 67.0% 76.6%

Eligible

Overcollateralisation 48.6% 45.4% 40.1% 31.6%

Cover Pool Sensitivity Analysis

60

Well diversified residential mortgage book within Norway

DNB Boligkreditt cover pool as of 31 December 2019

Eastern Norway 67%

Western Norway 15%

Northern Norway 8%

Southern Norway 5%

Mid-Norway 5%

1.2%

2.8%

3.6%

5.2%

1.5%

0.2 %

7.6 %

6.1 %

1.5 % 1.2 %

1.9 %

5.9%

6.4 %

2.8%

1.8 %

5.7 %

19.7 %

24.8 %

61

Portfolio Characteristics

Report date: 31.12.2019

Report currency: NOK

Key Characteristics

Total cover pool, nominal balance* (mill.) 635 541

Number of mortgages 379 111

Number of borrowers 331 868

Average loan balance (thousands) 1 676

Outstanding covered bonds, nominal balance (mill.) 427 158

Substitute assets (% of total cover pool) 0

WA indexed LTV (%) 54,5

WAL of cover pool (contractual maturity in years) 13,1

WAL of outstanding covered bonds (extended maturity in years) 4,2

* All cover pool assets are denominated in NOK.

** Seasoning indicates the number of months since collateral for the loan was established.

Maturity Structure Cover Pool

Contractual maturity (years) Loan balance (mill.) %

≥ 0 ≤ 1 20 824 3,3 %

1 ≤ 2 22 116 3,5 %

2 ≤ 3 24 084 3,8 %

3 ≤ 5 50 577 8,0 %

5 ≤ 10 137 152 21,6 %

> 10 380 787 59,9 %

Total 635 541 100,0 %

Overcollateralisation

Cover pool size:

Residential mortgages, loan balance (mill.) 635 541

Covered bonds outstanding (mill.) 427 158

Overcollateralisation 48,8 %

Maturity Structure Covered Bonds

Extended maturity (years) Loan balance (mill.) %

≥ 0 ≤ 1 5 547 1,3 %

1 ≤ 2 53 244 12,5 %

2 ≤ 3 72 113 16,9 %

3 ≤ 5 160 277 37,5 %

5 ≤ 10 100 261 23,5 %

> 10 35 716 8,4 %

Total 427 158 100,0 %

Expected maturity (years) Loan balance (mill.) %

≥ 0 ≤ 1 54 180 12,7 %

1 ≤ 2 73 861 17,3 %

2 ≤ 3 93 177 21,8 %

3 ≤ 5 102 291 23,9 %

5 ≤ 10 68 235 16,0 %

> 10 35 414 8,3 %

Total 427 158 100,0 %

62

Portfolio Characteristics cont.

Loan Size

Private individuals Loan balance (mill.) Number of loans

≤ 1,000,000 65 775 148 255

> 1,000,000 ≤ 2,000,000 166 567 111 819

> 2,000,000 ≤ 3,000,000 158 911 64 969

> 3,000,000 ≤ 4,000,000 96 553 28 041

> 4,000,000 ≤ 5,000,000 54 516 12 255

> 5,000,000 74 729 11 159

Total 617 050 376 498

Housing Cooperatives Loan balance (mill.) Number of loans

≤ 5,000,000 2 877 1 657

> 5,000,000 ≤ 10,000,000 3 132 440

> 10,000,000 ≤ 20,000,000 4 381 317

> 20,000,000 ≤ 50,000,000 4 974 160

> 50,000,000 ≤ 100,000,000 2 020 31

> 100,000,000 1 105 8

Total 18 490 2 613

LTV buckets

Indexed LTV Loan balance (mill.) %

≥ 0 ≤ 40 130 517 20,5 %

40 ≤ 50 89 665 14,1 %

50 ≤ 60 146 787 23,1 %

60 ≤ 70 134 240 21,1 %

70 ≤ 80 119 753 18,8 %

80 ≤ 90 9 020 1,4 %

90 ≤ 100 2 811 0,4 %

>100 2 747 0,4 %

Total 635 541 100,0 %

Concentration Risk

%

10 largest exposures 0,2 %

10 largest exposures excl. housing cooperatives 0,1 %

Property Types

Loan balance (mill.) %

Residential 635 541 100,0 %

Commercial 0 0,0 %

Other 0 0,0 %

Total 635 541 100,0 %

o/w Housing Cooperatives / Multi-family assets 18 490 2,9 %

o/w Forest & Agriculture 0 0,0 %

Occupancy Type

%

Owner occupied 70,0%

Second homes / Holiday houses 0,2%

Buy to let / Non owner occupied houses 0,1%

Other 29,7%

Total 100,0%

Repayment Type

%

Amortization 78,9 %

Interest only* 21,1 %

Total 100,0 %

*No principal payments for a limited period of time.

63

Portfolio Characteristics cont.

Seasoning

%

Up to 12months 17,9 %

≥ 12 - ≤ 24 months 13,3 %

≥ 24 - ≤ 36 months 12,0 %

≥ 36 - ≤ 60 months 19,5 %

≥ 60 months 37,3 %

Total 100,0 %

Interest Rate Type

Fixed Rate 6,4 %

Floating Rate 93,6 %

Geographical Distribution

Loan balance (mill.) %

Østfold 36 276 5,7 %

Akershus 124 998 19,7 %

Oslo 157 665 24,8 %

Hedmark 11 294 1,8 %

Oppland 17 922 2,8 %

Buskerud 37 693 5,9 %

Vestfold 40 822 6,4 %

Telemark 11 913 1,9 %

Aust-Agder 7 586 1,2 %

Vest-Agder 9 609 1,5 %

Rogaland 38 606 6,1 %

Hordaland 48 227 7,6 %

Sogn og Fjordane 1 394 0,2 %

Møre og Romsdal 9 567 1,5 %

Trøndelag 33 294 5,2 %

Nordland 23 096 3,6 %

Troms 17 782 2,8 %

Finmark 7 786 1,2 %

Svalbard 8 0,0 %

Total 635 541 100,0 %

Non Performing

Non performing loans 0,12 %

Arrears

≥ 30 - < 60 days 0,14 %

≥ 60 - < 90 days 0,03 %

≥ 90 - < 180 days 0,03 %

≥ 180 days 0,08 %

Eastern Norway: 67 %

Western Norway: 15 %

Northern Norway: 8 %

Southern Norway: 5 %

Mid-Norway: 5 %

64

Cover Pool Sensitivity Analysis and Overcollateralisation History

Cover Pool Overcollateralisation History

Latest over-collateralisation requirement for AAA/Aaa rating (as per 31 December 2019):

• S&P: 4.16 %

• Moody’s: 0 %

Stresstest - House price decline

House price decline Current 10 % 20 % 30 %

Total cover pool balance (nominal, NOKbn) 635 541 635 541 635 541 635 541

WA indexed LTV (%) 54,5 59,6 67,0 76,6

Eligible cover pool balance (nominal, NOKbn) 634 878 621 257 598 335 562 197

Total outstanding covered bonds (nominal, NOKbn) 427 158 427 158 427 158 427 158

Eligible overcollateralization 48,6 % 45,4 % 40,1 % 31,6 %

148.8 %

115.3 %

104.2 %

100%

105%

110%

115%

120%

125%

130%

135%

140%

145%

150%

155%

160%

OC Cover Pool OC Rating requirement

65

Non Performing Loans in DNB Boligkreditt AS 90+ days in arrears

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

0.35%

0.40%

90+ days arrears

12 bp

66

Green Bond Allocation Report December 2019

67

Green Bond Impact Report August 2019

68

Covered Bonds Issued by DNB Boligkreditt AS Qualifies for Level 1-Assets Pursuant to LCR-regulation (Slide 1 of 2)

Covered bonds issued by DNB Boligkreditt AS fulfil the requirements to qualify as

Level 1-assets pursuant to Commission Delegated Regulation (EU) 2015/61

regarding liquidity coverage requirement for credit institutions (“LCR-regulation”).

With reference to Article 10(1)(f) of the LCR-regulation, DNB Boligkreditt AS

confirms the following:

• Covered bonds issued by DNB Boligkreditt AS meet the requirements to be

eligible for the treatment set out in Article 129(4) of Regulation (EU) No

575/2013 (“CRR”) and the requirements referred to in Article 52(4) of Directive

2009/65/EC, cf. the European Commission’s website:

http://ec.europa.eu/finance/investment/legal_texts/index_en.htm

• The exposures to institutions in the cover pool meet the conditions laid down

in Article 129(1)(c) and in Article 129(1) last subparagraph of CRR

69

Covered Bonds Issued by DNB Boligkreditt AS Qualifies as Level 1-Assets Pursuant to LCR-regulation (Slide 2 of 2)

With reference to Article 10(1)(f) of the LCR-regulation, DNB Boligkreditt AS

confirms the following (cont.):

• DNB Boligkreditt AS gives the information required in Article 129(7) of CRR

to its investors

• Covered bonds issued by DNB Boligkreditt AS are assigned a credit

assessment by a nominated ECAI which is at least credit quality step 1 in

accordance with Article 129(4) of CRR, and the equivalent credit quality step

in the event of short term credit assessment

• The cover pool does at all times meet an asset coverage requirement of at

least 2% in excess of the amount required to meet the claims attaching to

the covered bonds issued by DNB Boligkreditt AS

70

ECB Eligibility and CRD-Compliance of Covered Bonds Issued by DNB Boligkreditt AS

• All covered bonds issued by DNB Boligkreditt AS fulfil the eligibility criteria for

marketable assets set by the Eurosystem and are thus eligible for Eurosystem monetary

policy operations.

• The Eurosystem set additional criteria for own use of eligible instruments in the

Eurosystem monetary policy operations. In the case of covered bonds, the instruments

must be issued in accordance with the criteria set out in Part 1, points 68 to 70 of Annex

VI to Directive 2006/48/EC. The covered bonds issued by DNB Boligkreditt AS fulfil these

criteria, but the Eurosystem has not checked the fulfilment of these conditions for

Norway, since Norway is not part of the EU. Therefore, covered bonds issued by DNB

Boligkreditt AS are marked with a "N/A" what regards ‘own-use covered bonds’ in ECB's

eligible asset database.

• DNB Boligkreditt AS confirms that the covered bonds it issues are compliant with

the CRD-requirement set forth in the Eurosystem guidelines. In addition, DNB

Boligkreditt AS confirms that it gives the information required in Regulation (EU) No

575/2013 ("CRR") article 129 (7) to its investors, so that the covered bonds issued by DNB

Boligkreditt AS are eligible for the preferential treatment set out in CRR article 129 (4).

71

Appendix

Appendix B:

The Norwegian Mortgage Market

72

The Norwegian Residential Mortgage Market

• Nearly 80% of Norwegians own their home: • Few mortgages are buy-to-let.

• Norway is primarily a floating interest rate market: • The large majority of mortgages originated by DNB are floating rate.

• Rates on floating rate mortgages can be reset at any time and at the bank’s own

discretion, by giving debtors six weeks notice.

• Loans are normally underwritten with a term of 15-25 years: • Average size for new mortgages originated by DNB is approximately NOK 1,000,000

(EUR 110,000).

• In Norway, all borrowing costs are deductible from taxable income at

the current rate of 23%: • Households are therefore better able to withstand an increase in interest rates.

Source: Finance Norway - FNO

73

Appendix

Appendix C:

Capital and Tier 1

74

Capital Adequacy Across the Key Relevant Entities

DNB has to meet all capital requirements on DNB ASA group level (“DNB”), DNB Bank Group level

(“DNB Bank Group”) and DNB Bank ASA solo level (“DNB Bank”)

CET1 and Total Capital Ratio Per 31.12.2019

18.6% 18.3% 19.3%

22.9% 24.4%

26.3%

DNB DNB Bank Group DNB Bank ASA

CET1 Total Capital Ratio

75

Overall Capital Requirements under SREP

• Pillar 1 capital requirements in Norway consist of minimum requirements and

combined buffer requirements.

• As a result of the SREP, the supervisors may decide on additional capital add-on (Pillar

2), which together with the Pillar 1 requirements form the Overall capital

requirement.

• If there is a breach of the combined buffer requirements under Pillar 1, there will be

automatic restrictions on dividends etc. (ref. CRD IV article 141).

• However a breach of the overall capital requirements under SREP will not cause

automatic restrictions1):

• The Bank will have to present a plan to the NFSA how to restore the capital ratios

• If the plan is not sufficient, the NFSA will consider other measures.

• The measures will depend on the reasons behind the breach

1) In a consultation paper dated 27 April 2018, the Norwegian FSA suggested to include the Pillar 2 requirements in the calculation of the MDA

trigger level. The Ministry of Finance has not yet expressed its view on the proposal, therefore, it is uncertain whether the proposal will be adopted.

76

Pillar 2 requirements in Norway not included in the MDA Trigger Level

• MDA restrictions will only apply if there is a breach of the Pillar 1 requirements

(Minimum capital requirements + Combined buffer requirements)

• Pillar 2 requirements in Norway currently do not influence the MDA trigger level

• Stated in a letter from the Ministry of Finance dated 15 January 2016

• Confirmed by the Norwegian Financial Supervisory Authority (NFSA) in a response letter dated

15 February 2016, and stated in a circular from the NFSA dated 27 June 2016

• In a consultation paper dated 27 April 2018, the NFSA suggested to include the Pillar 2

requirements in the calculation of the MDA trigger level. The Ministry of Finance has

not yet expressed its view on the proposal, therefore, it is uncertain whether the

proposal will be adopted.

77

DNB’s Solid Profitability Should Ensure AT1 Coupon Payments

Dividend payments on ordinary shares and coupon

payments on Additional Tier 1 (AT1) instruments are at the

discretion of the issuer

* Share buy-back in 2019

Dividend for 2019, to be paid in 2020

DNB will give due consideration to

the capital hierarchy and look to

preserve the seniority of claims

going forward**

** Statement given at the DNB Capital Markets Day 27 November 2014

31.9

23.4

26.9

29.0 31.2

2.9

7.3

9.3

11.4 13.2

14,1

3.8

3.9

5.2

0.1 0.5 1.0 1.0 1.1

0

5

10

15

20

25

30

35

40

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Profit Before Tax Dividend Share buy-back AT1 Coupon Payments

15,2

17,1

19,3

78

Leverage Ratio Requirement

• Norwegian leverage ratio requirement effective as from 30 June 2017:

• Minimum leverage ratio 3% 1)

• Bank requirement 2%

• SIFI requirement 1%

Total SIFI/DNB requirement 6%

• As at 31 December 2019, DNB Group reported a leverage ratio of 7.4 %

Well above regulatory requirement

• A breach of the leverage ratio requirements will not trigger automatic

restrictions on AT1 coupon payments.

• If there is a breach of the leverage ratio requirement, the financial

institution will have to present to the NFSA a plan how to restore the

leverage ratio.

Regulation dated 20 December 2016

1) Requirement for credit institutions such as DNB Boligkreditt AS.

79

ADI – Available Distributable Items

• Items available for distribution is defined in the Norwegian Public Limited

Company Act:*

Following this definition, the ADI level is calculated as follows:

ADI = total equity – share capital – fund for unrealized gains

• For 2018 DNB has decided also to deduct additional tier 1 capital

from the ADI.

DNB Bank ASA (31 December 2018):

ADI = NOK 177bn – 18bn – 2bn – 16bn (AT1) = NOK 141bn

=> Due to the significant amount available for distribution, we don’t assess the

ADI as a potential restriction for coupon payments.

* The Norwegian CRD IV Regulation does not include any definition of ADI

80

Appendix

Appendix D:

Additional Slides

- Financial performance and Other information

Personal customers – stable profits driven by interest rate hikes and continued investments in digital distribution channels

Small and medium-sized enterprises – profitable growth reflected in high net interest income and other income

Large corporates and international customers – solid development in income and reduced non-core portfolio

Pre-tax operating profit NOK million

Solid performance in all customer segments

81

9 662 9 995 9 914 9 660

4 762

5 899

6 905

7 847

5 240

9 043

11 422

10 186

2016 2017 2018 2019 2016 2017 2018 2019 2016 2017 2018 2019

Large corporates and

international customers

Small and medium-sized

enterprises

Personal customers

Before impairment

94.3 per cent of the exposure is low risk (stage 1), improved from 94.0 per cent in 4Q18

Net impairment losses of NOK 2 191 million for the year, 0.13 per cent of average lending

Stable macroeconomic drivers in the quarter

Impairment of financial instruments

per customer segment Amounts in NOK million

Maximum exposure (on and off-balance sheet items),

net of accumulated impairment losses

Healthy asset quality – positive development in risk numbers

82

Full year Full year

4Q19 3Q19 2019 2018

Personal customers (103) (73) (353) (318)

Small and medium-sized

enterprises (143) (16) (595) (566)

Large corporates and

international customers 68 (1 159) (1 240) 1 022

Total (178) (1 247) (2 191) 139

NOK 2 125 billion

(-18)

Stage 1 Stage 2 Stage 3

NOK 110 billion

(-2)

NOK 18 billion

(-3)

0.8%

94.3%

4.9%

Improved cost/income ratio due to healthy growth in income – positive jaws

Earnings per share up 6.7 per cent from 2018 – increase in net profit combined with share buy-backs

Dividend per share up 9.1 per cent from 2018

10.1

10.8

11.7 11.7

2016 2017 2018 2019

5.70

7.10

8.25

9.00

2016 2017 2018 2019

40.9

44.2 43.8

42.2

2016 2017 2018 2019

Return on equity Per cent

Cost/income ratio Per cent

Dividend per share NOK

11.46

12.84

14.56

15.54

2016 2017 2018 2019

Earnings per share NOK

Profitable growth and solid asset quality

83

84

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