SampoGroupSampo Group AnalystDay · risk free rate (current benchmark Finnish gov bond). Presentation name / Author 23.8.2012 3 = Investment result +/- change in the market value

Sampo Group Analyst DaySampo Group Analyst Day

23 August 2012

August 23, 2012

Agenda

Opening remarksG CEO d P id K i S di hGroup CEO and President, Kari Stadigh

Mandatum Life today – Part 1Head of Life Insurance Petri Niemisvirta

Mandatum Life today – Part 2yCFO Jukka Kurki, Mandatum Life

How to manoeuvre in a combined Basel III and Solvency II environment.How to manoeuvre in a combined Basel III and Solvency II environment.Head of Group Risk Modelling Louise Lindgren, Nordea

2

August 23, 2012 Sampo Group Analyst Day / Petri Niemisvirta 2

Petri Niemisvirta

Sampo Group Analyst Day

August 23, 2012

0,0

5,0

10,0

15,0

20,0

25,0

30,0

35,0

0

1 000

2 000

3 000

4 000

5 000

6 000

2008 2009 2010 2011 6/2012*

% E

UR

mill

ion

Gross written premiums (industry) and market share of Mandatum Life

Industry, With Profit

Industry, Unit Linked

Mandatum Life market share, With Profit

Mandatum Life market share, Unit Linked

Mandatum Life market share, Total

Gross written premiums, CAGR 2008 –

2011 Industry/Mandatum Life,

• Total 7,6 / 17,2 %

• Private households 8,1 / 21,3 %

• Corporates 6,5 / 13,5 %

• Unit linked 23,2 / 32,6 %

• With profit -11,3 / -6,0 %

• Private households’s financial

assets 5,5 %

Finnish life insurance market

August 23, 2012 3 Sampo Group Analyst Day / Petri Niemisvirta

0

200

400

600

800

1 000

1 200

1 400

1 600

1 800

2 000

OP (incl. Pohjola Life)

Nordea Mandatum Life Tapiola Skandia Life Others

EU

R m

illio

n

Gross written premiums of main life insurance companies 2008 - 2011

With profit Unit linked

Finnish life insurance market


Assets under management

120

85

60

33 15 7,2 3,3 1,3 12

6

21

80

23

142

0

20

40

60

80

100

120

140

160

EU

R b

illio

n

Insurance savings Bank deposits

Listed shares

Bonds

Funds

Total


Mandatum Life’s business architecture


Customer

segment

Market Succes factors Sales and

customer service

Corporates Employee benefit • In-depth expertise of incentive,

pension and risk life solutions and

asset management

• Active management of customer

relationship

• Mandatum Life

HNWI Wealth Management • Professional wealth management

• Superior management of customer

relationship

• Mandatum Life

Retail

customers

Bankassurance • Distribution power • Danske Bank

Cro

ss-s

ales

Key elements

• Brand : Mandatum Life – Money and Life

• Own wealth management

– Value added to the customer: absolute return as target, access to ’wholesale market’ (market of institutional

investors), taxation benefits from insurance policy

– Earnings to Mandatum Life both from life insurance and asset management

• Risk life business – opportunity for profitable growth

• Innova – personnel funds and advisory services outside life insurance licence

• Strong own sales and customer relationship management

– Synergies

– Owners and management of companies <-> Wealth management

– Employees <-> Retail customers

– Life insurance customers <-> Wealth management

• Bankassurance with Danske Bank


Customer

relationship

management

Life insurance solutions

Investment instruments

Management of customer’s value chain:

• Mandatum Life (previously Danske Bank)

• Mandatum Life (previously Mandatum Life)

• Mandatum Life / Danske Bank (previously only Danske Bank)

Mandatum Life Fixed Income

Investment Basket

Return since inception 35,2 %


Gross written premiums by policy type

and core segment

August 23, 2012

120

225

403

325 382

74

80

170

95

102

194

305

573

420

484

0

100

200

300

400

500

600

700

1.-6.2008 1.-6.2009 1.-6.2010 1.-6.2011 1.-6.2012

EU

R m

illio

n

Unit Linked With Profit

89

31 22

131

94

22

235

168

23

193

132

23

226

156

24

0

50

100

150

200

250

300

Private Customers, UL

Corporate Customers, UL

Risk life insurance

EU

R m

illio

n

1.-6.2008 1.-6.2009 1.-6.2010 1.-6.2011 1.-6.2012

9 Sampo Group Analyst Day / Petri Niemisvirta

Life insurance savings

1429 1797 2058 1824 1985

134

459

914 1105 1271

4 259

4 217

4 148 4 043 3 970

5822

6473

7 121 6 972 7227

0

1000

2000

3000

4000

5000

6000

7000

8000

31 Dec 2008* 31 Dec 2009 31 Dec 2010 31 Dec 2011 30 June 2012

EU

R m

illio

n

Other Unit Linked WM AUM With Profit

* WM AUM 31 Jan 2009 August 23, 2012 10 Sampo Group Analyst Day / Petri Niemisvirta

New premiums written by Sampo Bank

Sampo Group Analyst Day / Petri Niemisvirta

41 36

95 103

153

0

20

40

60

80

100

120

140

160

180

1.-6.2008 1.-6.2009 1.-6.2010 1.-6.2011 1.-6.2012

EU

R m

illio

n

August 23, 2012 11

The world’s most boring roller coaster


• Mandatum Life plays in its own league and is a forerunner in marketing in its own

business field – and will be it in communications, too.

– Money and Life is a Blue Ocean statement

– The widely recognized and appreciated international level

Brand finalizes the strong strategy

– Highly managed Reputation results from the true co-operation between our

businesses and communications

Strong Brand with Unique Positioning


Mandatum Life today – part 2Jukka Kurki CFOJukka Kurki, CFO23th August 2012

23.8.2012Presentation name / Author 1

Mandatum Life Group’s Profit by Components€ Million 1-6.2012 1-6.2011 2011

Net investment income 243,4 102,3 -41,9 - transferred to expense result -8,5 -9,2 -17,1 - return on unit-linked policies -87,9 88,1 296,4 - return on with-profit policies* -86,8 -99,7 -120,1Investment result 60 1 81 5 117 2Investment result 60,1 81,5 117,2Expense result** 1,5 3,4 11,1Risk result 9,2 7,2 24,8Other items -6,0 -8,1 -15,8

Profit before taxes 64,8 83,9 137,3

Change in the market value ofChange in the market value ofinvestments 72,5 -99,8 -306,7

Profit at market values 137,3 -15,9 -169,4


Investment Result€ Million 1-6.2012 1-6.2011 2011

Net investment income 243,4 102,3 -41,9 - transferred to expense result -8,5 -9,2 -17,1 - return on unit-linked policies -87,9 88,1 296,4 - return on with-profit policies -86,8 -99,7 -120,1Investment result 60,1 81,5 117,2Expense result 1,5 3,4 11,1Risk result 9,2 7,2 24,8Oth it 6 0 8 1 15 8Other items -6,0 -8,1 -15,8


Ch i th k t l fChange in the market value ofinvestments 72,5 -99,8 -306,7

Profit at market values 137,3 -15,9 -169,4

Investment result= Investment income (after expenses) from assets covering with profit liabilities and SH equity - Guaranteed interest

Profit sharing i.e. principle of fairness•Legislation: profit sharing is based on Principle of Fairness (Insurance Company Act) guidelines, no exact rules gives companies flexibility that is necessary in a Gua a teed te est

- bonuses based on principle of fairness - Change in Discount rate Reserve

Fair Value investment result I t t lt

u es g es co pa es e b y a s ecessa y avolatile market (benefits both policyholders’ and company).• ML current interpretation: In a long run target is that guaranteed interest and bonuses exceeds 5 or 10 years risk free rate (current benchmark Finnish gov bond).


= Investment result+/- change in the market value of investments

( g )• Target, not promise.• Long run, not annual.

Investment Result – With-profit liabilitiesLiability Expense Guaranteed Liability

EURmy

2010 Premiums Claims paid p

charges interest Bonuses Othery

2011 Share %MANDATUM LIFE PARENT COMPANY Unit-linked total 2 977 611 -308 -41 0 0 -302 2 937 40 % Individual pension insurance 829 88 -6 -12 0 0 -145 753 10 % Individual life 1 178 183 -159 -11 0 0 -96 1 095 15 % Capital redemption operations 729 292 -140 -12 0 0 -46 823 11 %p p p

Group pension 241 48 -3 -5 0 0 -15 266 4 %With-profit and others total 4 391 202 -453 -37 153 6 -34 4 229 58 %Group pension 2 500 108 -190 -8 85 5 -6 2 494 34 %

Guaranteed rate 3.5% 2 458 57 -185 -7 84 5 -8 2 404 33 %Guaranteed rate 2.5% or 0.0% 42 51 -5 -1 1 0 2 90 1 %% % %

Individual pension insurance 1 322 24 -148 -7 56 1 27 1 275 17 %Guaranteed rate 4.5% 1 134 16 -124 -6 49 0 5 1 075 15 %Guaranteed rate 3.5% 154 5 -17 -1 6 0 11 157 2 %Guaranteed rate 2.5% or 0.0% 34 4 -7 0 1 1 11 43 1 %

Individual life insurance 335 33 -70 -11 11 0 -1 298 4 %Guaranteed rate 4.5% 83 5 -19 -2 4 0 7 77 1 %

Avg guaranteedrate 3,7 %.

Gua a eed a e 5% 83 5 9 0 %Guaranteed rate 3.5% 195 11 -44 -4 6 0 -6 158 2 %Guaranteed rate 2.5% or 0.0% 57 16 -6 -5 2 0 -1 63 1 %

Capital redemption operations 21 1 -17 0 0 0 0 6 0 %Guaranteed rate 3.5% 15 0 -16 0 0 0 0 0 0 %Guaranteed rate 2.5% or 0.0% 6 1 -1 0 0 0 0 6 0 %

Future bonus reserves 0 0 0 0 0 0 0 0 0 %Because of this Future bonus reserves 0 0 0 0 0 0 0 0 0 %Reserve for decreased discount rate 147 0 0 0 0 0 -40 108 1 %Assumed reinsurance 3 2 -1 0 0 0 -2 2 0 %Other liabilities 64 34 -28 -12 1 0 -13 46 1 %MANDATUM LIFE PARENT COMPANY TOTAL 7 369 813 -761 -77 153 6 -336 7 166 98 %SUBSIDIARY MANDATUM LIFE INSURANCE BALTIC SE 165 41 -47 -3 1 0 -20 137 2 %

Unit-linked 147 37 -45 -3 0 0 -19 117 2 %

Because of this, discount rateless than avgguaranteed rate

Unit-linked 147 37 -45 -3 0 0 -19 117 2 %Others 18 4 -2 -1 1 0 -1 19 0 %

MANDATUM LIFE GROUP TOTAL 7 534 854 -808 -81 153 6 -356 7 303 100 %

Year 2011:

2Presentation name / Author 4

Year 2011:Return on with-profit policies= 153+6-40

With-Profit Liabilities – Future projections

• 90 % of wp-liabilities from pension li i (i d ti )policies (i.e. no surrender option)

Highly predictable and stable+ flexible profit sharing

T th ith t l Together with strong solvency position Justifies risk taking, which benefits in a long-term both policy-

d h h ldand shareholders.


Expense Result€ Million 1-6.2012 1-6.2011 2011€ Million 1 6.2012 1 6.2011 2011

Net investment income 243,9 103,0 -40,7- transferred to expense result -8,5 -9,2 -17,1- return on unit-linked policies -87,9 88,1 296,4p , , ,- return on with-profit policies -86,8 -99,7 -120,1Investment result 60,6 82,2 118,5

Expense result 1,0 2,7 9,8Risk result 9,2 7,2 24,8Other items -6,0 -8,1 -15,8


Change in the market value ofinvestments 72,6 -98,9 -304,7

Profit at market values before taxes 137,3 -15,0 -167,4

Expense Result = Charges from policies

Profit at market values before taxes 137,3 15,0 167,4

+ Charges from ML’s internally managed Unit Linked ”baskets”+ Rebates from external Unit Linked Funds - All Expenses (excl. Investment expenses regarding assets covering wp-liabilities)


Expense Result – Nature of income and expenses?100

16

16

2

3

3

70

80

90

100

2009 2010 2011

28

3233

12

16

1618

50

60

70

meu

r

4046 49

42

5359

20

30

40

0

10

Maintenance and administration Acquisition expenses

Expenses Expenses ExpensesIncome Income Income

Comments:• Acquisition expenses includes all sales commissions and other sales costs N D f d A i iti C t

Charges from savings etc. RebatesPremium based charges (regular premiums) Premium based charges (single premiums)

No Deferred Acquisition Costs In short term increased new sales decrease expense result

• Most of the fee income is AUM-related and 2/3 of the liabilities is not allowed to be surrendered R l i l t t t ll f i k d i li i


• Regular premiums comes almost totally from risk and pension policies ”Sticky” elements of fee income exceeds admin expenses and in a short-term also aqcuisition expenses

Expense Result –History and expectations

History

• Expense result plummet 2008-2009 due to starting cost of new WM function and due to crashed UL-savings

• 2010-2011: WM cost were stabilized and UL-AUM started to increase due to good sales performance via Sampo Bank and WM expense result back in a track

• Expectations:pPositive:+ UL-AUM reached all time high during H1/2012, + No DAC,+ WM starting cost stabilized,gNegative:- Increased regulatory burden, not only solvency II,- Decreasing wp-savings – which is all in all good news due to interest rate risk, but anyway negative from expense result point of view

In a longer run expense result is expected to increase


Risk Result€ Million 1 6 2012 1 6 2011 2011€ Million 1-6.2012 1-6.2011 2011

Net investment income 243,9 103,0 -40,7- transferred to expense result -8,5 -9,2 -17,1

t it li k d li i 87 9 88 1 296 4- return on unit-linked policies -87,9 88,1 296,4- return on with-profit policies -86,8 -99,7 -120,1Investment result 60,6 82,2 118,5

Expense result 1 0 2 7 9 8Expense result 1,0 2,7 9,8Risk result 9,2 7,2 24,8Other items -6,0 -8,1 -15,8

Profit before taxes 64 7 83 9 137 3Profit before taxes 64,7 83,9 137,3

Change in the market value ofinvestments 72,6 -98,9 -304,7

Profit at market values before taxes 137,3 -15,0 -167,4

Risk Result = Assumed claims based on technical basis (tariffs and claims reserve)- Actual claims


Risk Result2011 20102011 2010

EURm Risk income Claim expense Claim ratio Risk income Claim expense Claim ratioLife insurance 42,6 23,0 54 % 37,9 21,7 57 %

Mortality 26,7 13,5 51 % 23,4 14,2 61 %Morbidity and disability 15,9 9,5 60 % 14,5 7,5 52 %

P i 58 9 55 6 94 % 61 0 55 5 91 %Pension 58,9 55,6 94 % 61,0 55,5 91 %Individual pension 9,5 10,1 106 % 9,5 10,0 106 %Group pension 49,4 45,5 92 % 51,5 45,5 88 %

Mortality (longevity) 44,6 41,8 94 % 46,2 42,3 92 %Disability 4,8 3,7 76 % 5,3 3,2 60 %

LIFE • Life Insurance risk result has been positive for years Decreasing mortality trend favourable for ML,

Mandatum Life/Finland 101,5 78,6 77 % 98,9 77,2 78 %

g y , Other risk types also profitable except medical expense cover Main risk is pandemic

PENSION• Group Pension longevity risk is the main challenge and the most crucial insurance riskDecreasing mortality trend is unfavourable for ML – although trend among already socio-economically selected 70 years old pensioners g y y y pis not as clear as in whole population two last years have been profitable and three years before that unprofitable zero result in a long run would be good, but also realistic


within new products longevity risk is not expected to be material.

Expectations?

Solvency positiony p

30 1 600

Solvency I framework Solvency II-type approach: EC and QIS 5

18,5

25,8

20,923,5

20

25

1 000

1 200

1 400QIS 5-SCR

845,8 930,1

1 339,21 048,6

1 184,6

16,5

7,910

15

400

600

800

384,4

0

5

0

200

2007 2008 2009 2010 2011 06/2012

QIS 5-MCR

Solvency Capital Solvency Ratio %

• Strong solvency position based on current legislation• Solvency II in force 1.1.2014 or 1.1.2015 or…• Any grandfathering rules or transitional periods for existing Any grandfathering rules or transitional periods for existing business? See slide 9 and projections of wp-liabilities• Insurers ability to hold assets through economic cycle (liabilities stable and predictable) is widely recognised adjustments to discount rate or other elements to mitigate


adjust e ts to d scou t ate o ot e e e e ts to t gatedaily vola under SII?• Despite what happens to Solvency II: low interest rates environment is extremely challenging

Thank youand

have a nice evening !have a nice evening !


How to manoeuver in a combined Basel III and Solvency II environment

Sampo Analyst Day23 August 201223 August 2012

Louise LindgrenHead of Group Capital & Risk Modelling

Disclaimer

This presentation contains forward-looking statements that reflect management’s currentviews with respect to certain future events and potential financial performance. AlthoughNordea believes that the expectations reflected in such forward-looking statements arereasonable, no assurance can be given that such expectations will prove to have beencorrect. Accordingly, results could differ materially from those set out in the forward-lookingstatements as a result of various factors.

Important factors that may cause such a difference for Nordea include, but are not limited to:(i) the macroeconomic development, (ii) change in the competitive climate, (iii) change in theregulatory environment and other government actions and (iv) change in interest rate andforeign exchange rate levels.

This presentation does not imply that Nordea has undertaken to revise these forward-lookingstatements, beyond what is required by applicable law or applicable stock exchange

l ti if d h i t i th t ill l d t h d t th d tregulations if and when circumstances arise that will lead to changes compared to the datewhen these statements were provided.

2 •

• Nordea’s financial and capital position

• New regulations and considerations on banking models• New regulations and considerations on banking models

Nordea’s focused and prudent business model

Relationship banking is key Resources efficiently used on Relationship banking is key ycore business

Well diversified and balanced model

Fully integrated model across countries and business unitsmodel countries and business units

Very risk focused The Nordics and its structure as the home market

4 •

Nordea’s business model has proven highly effective…

Total operating income, EURm

• Low volatility in earnings due to diversification in terms of 9 000

10 000

Total operating income 2001 ‐ 2011 (EURm)

geography, industry sectors and products

M i f t diti l b ki5 000

6 000

7 000

8 000

• Main focus on traditional banking• Universal and diversified banking

model0

1 000

2 000

3 000

4 000

• Customer-driven capital markets operations

• The model has proven resilient

02001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Net interest income Net commission income Trading income Other income

pon income and profitability

5 •

…which gives strong capital generation…

Core tier 1 capital, EURm

• Continued strong profit generationgeneration

• Generated capital of EUR 6.9bn since 2006*• In addition distributed EUR 6.3bn

to shareholders

• Strong capital generation gives• Strong capital generation gives good flexibility

*Adjusted for rights issue

6 •

… as well as a clear increase in Core tier 1 ratio

Core tier 1 capital ratio, % (excl. hybrids)*

• Increase despite continued business growthbusiness growth• Lending growth of 16%• RWA reduction of 2%

• Focus on capital efficiency gives result

• Improved ratio by 180 bps since Q2/10

7 •

* Basel II excluding transition rules

• Nordea’s financial and capital position

• New regulations and considerations on banking models• New regulations and considerations on banking models

CRD IV and IAS 19 impact offset by RWA efficiency and roll-outs

Core tier 1 ratio impact

• CRD IV impact on RWA by EUR 14bn1 0% 14bn• CVA• Asset value correlation

11 8%

1.0%

0.2%

1.1%

11 7%• IAS19 calculated at end 2011

• Roll-outs and efficiency effects

11.8% 11.7%

RWA by EUR 19bn

9 •

Increase in capital requirements for banks

14 0%

16.0%

Capital requirements

3 0%

0 - 2.0%

0 - 2.5%

8 0%

10.0%

12.0%

14.0%

Countercyclical buffer

Extra SIFI buffer

2.5%

3.0%

4.0%

6.0%

8.0%SIFI buffer

Capital conservation buffer

Core Tier 1

2.0%4.5%

0.0%

2.0%

CRDII/Basel II CRD IV/Basel III

• Under CRD IV banks need to hold 7.0% to 14.5% Core tier 1 capital to cover for Risk-weighted assets (RWA)

• This includes Minimum Core tier 1 requirements of 4.5% extended by q ybuffer requirements between minimum 2.5% to maximum 10.0%

10 •

The finalisation of the CRD/CRR rulesJul 2013 – Dec 2013Jan 2013 – Jun 2013July 2011 – Dec 2011 Jan 2012 – Jun 2012 Jul 2012 – Dec 2012

Commission suggestion 20 July 2011

Polish Presidency Danish Presidency Cyprus Presidency

Discussions in Parliament (ECON) and Council

Commission suggestion 20 July 2011

Agreement in Parliament (ECON) 14 May 2012

Agreement in Council 15 May 2012

Trialogue Negotiations between the Council, the Parliament and the Commission.

Voting in Council October 2012?

Voting in Parliament 22 October 2012?

EBA – phase in of reporting until 1/1 2014

National implementation

Crisis management

directive

LiikanenHigh-level

expert groupdirective expert group

11 •

Crisis management directive – recovery and resolution regime

CT1 ILLUSTRATIVE

• Under consultation in the EU

1. Business as usuallevels• Recovery and

resolution plans prepared

2. Stressed business as usual It should be carefully

considered where this line is• Mgmt. in control

prepared

3. Recovery• Close cooperation

with supervisors

• Supervisor dialogue

4. Resolution

with supervisors• Recovery actions• Special management

might be appointed • Replacement of management -authorities in control

• Capital write-down• Bail in of capital instruments and

senior debt

12 •

Additional reforms are considered

Structural f Solvency IIEU Bankingreforms

(Liikanen)Solvency IIEU Banking

Union

• On top of CRDIV and Crisis management directive: additional structural reforms are emerging

• A proposal for a structural reforms of the EU banking sector will be presented in September by the Liikanen Group• Reviewing both banks’ current business models and the option to implement regulations such asReviewing both banks current business models and the option to implement regulations such as

Vickers (in UK) and Volcker (in US)

• Decision to establish an EU banking union, including European Supervision by the ECB• Scope (EU Members States or EU zone, SIFIs or all) and Coordination with national supervisors a

few areas to resolve – consultative document to be finalised mid September

• The introduction of Solvency II for the insurance sectory

13 •

Life & Pensions – a major part of Wealth Management

Wealth Management – Key activities Wealth Management – Key results

EURm H1/12 H1/11 Growth

Total operating incomeof which Life & Pensions

69734%

661 5%

• Migration of Life & Pensions customers to more capital-light products• 75% of gross written premiums in capital-light - of which Life & Pensions 34%

Total operating expenses- of which Life & Pensions

-38528%

-369 4%

Operating profitof which Life & Pensions

31142%

292 7%

75% of gross written premiums in capital light products in Q2, 69% in Q1 and 59% 2011

• Continued focus on cost reduction and efficiency in Asset Management

- of which Life & Pensions 42%y g

• Three funds closed and several fundsreengineered H1

• On-going business model efficiency

H1/2011H1/2012

On going business model efficiencyinitiatives in Private Banking• Launch of new support organisation,

Implementation of new, comprehensive capital model to further improve RWA efficiency 3,53,8

56 56

p y

C/I%

RWAEUR bn

AuM EUR bn

14 •

Shift in product mix towards more capital-efficient productsp p p

Nordea Life & Pensions AuM / Capital efficient products’ share of gross written premiums

60,000

70

80Traditional Unit linked and New Traditional

Nordea Life & Pensions AuM / Capital efficient products share of gross written premiums

Unit linked, New Traditional and Pure Risk share of GWP (rhs)EURm %

72

40,000

50,000

50

60

70

51

57 59

72

0 6%

20,000

30,000

30

4033

44 44 43-0.6%

0

10,000

,

0

10

20

02005 2006 2007 2008 2009 2010 2011 H1 2012

0

15

From Solvency I to Solvency II

• Focus on liabilities only

Current Solvency I regime Solvency II regimeEconomic approach considering a company’s entire risk

• Fixed formula approach based on insurance risks held• Traditional approx. 4.5% of liabilities

pp g p ymanagement framework – and a three-pillar approach similar to Basel II

Traditional approx. 4.5% of liabilities• 4% covers market risk

• 0.5% covers life, operational & non-life risk

• Unit Linked approx. 1.5% of liabilities• 1% covers market risk

• 0.5% covers life, operational & non-life risk

Capital requirement driven by business volume Capital requirements driven by various risk exposures –MANAGEMENT OPTIONS & ACTIONS available

• Integrated framework based on qualitative and quantitative aspects

• Recognition of diversification and various risk mitigation techniques

• Focus in insurance risk only

• Capital relief from reinsurance capped 50%

16

techniques

Impact from new regulations Nordea Life & PensionsNordea Financial Group (Q2 2012) Nordea Life and Pensions (QIS Q4 2010)

2 220

Solvency II ratio 104%EURm Q2 2012

• Current deduction in Nordea from Life Holding EUR 1,223m

• In Basel III, EUR 689m of 2 120

2 140

2 160

2 180

2 200Core Tier 1 before deduction

25 817

Deductions -4 519- Of which Life 0

these will not be deducted, but instead become RWA (risk weight 250%)

H it l b

2 080

2 100

Available capital Required Capital

Solvency II based on QIS5 Q4 2010

• To retain the Solvency I ratio from Q4 2010 of

Core Tier 1 after deduction 21 298

Hybrid capital before deduction

1 990

• Hence: capital base increases EUR 689m and RWA EUR 1,722m

• Core tier 1 ratio is estimated to be reduced

• To retain the Solvency I ratio from Q4 2010 of 126% in Solvency II all else equal, an increase in available capital is required

3 000

Solvency II ratio 126%

Tier 2 capital before deduction 4 743

Deductions -2 039

- Of which Life -1 223estimated to be reduced with 11 bps

1 000

1 500

2 000

2 500Total capital base 25 992

RWA 181 258- Of which Life 0

Core Tier 1 ratio 11.8%

0

500

Available capital Required Capital

Solvency II based on QIS5 Q4 2010

17 •

• Solvency I ratio as per Q2 2012 is 150%

Uncertainty prevails regarding the Solvency II key parameters

• The volatile market conditions since 2008 have increased uncertainty regarding Solvency II

• Changes discussed in Solvency II around discount curve and transition period• In Denmark, the proposed discount rate was recently implemented, reducing the capital

requirementrequirement• This is expected to also be the case in Sweden• The proposed transition period for implementing the discount rate for liabilities, will

decrease capital requirement in Norway since they are currently not applying mark todecrease capital requirement in Norway, since they are currently not applying mark-to-market valuations

• As Nordea Group has a capital-efficient ownership structure, a potential capital need in the Life Group does not necessarily impact the overall capital situation

18 •

Key messages

• Solid income and profit development and financial strength• Nordea’s business model has proven highly effective• Strong capital generation• Clear increase in Core tier 1 ratio – up 180 bps from Q2/2010 to 11.8%

• New regulations and considerations on banking models• There is a considerable amount of uncertainty at the moment, both in respect

to regulatory environment and market developmentsto regulatory environment and market developments• High strategic priority for banks to adapt to the new environment – implies

change in business models• Uncertainty prevails regarding Solvency II• Mitigation of regulatory impact is and will be in focus

19 •

Thank you for your attention!

20 •

Sampo Group Analyst DaySampo Group Analyst Day

23 August 2012

Documents

SampoGroupSampo Group AnalystDay · risk free rate (current benchmark Finnish gov bond). Presentation name / Author 23.8.2012 3 = Investment result +/- change in the market value