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					SEB Group, pillar 3 disclosure 2007 Capital Adequacy and Risk Management report (Pillar 3) 2007 Information below is disclosed following Swedish regulation FFFS 2007:5 - Finansinspektionen’s regulations and general guidelines regarding public disclosure of information concerning capital adequacy and risk management. English version of the regulation can be found at: http://www.fi.se/upload/90_English/30_Regulations/1_Regulatory%20code/FFFS0705_eng.pdf

FFFS 2007:5 Chapter 3 § 1-2 Chapter 3 § 3

Description SEB Financial Group of Undertakings Risk management objectives and guidelines

Tab name Group Risk CapBase ICAAP CapReq Impair Exposure Geo Ind Maturity Imp ind Imp geo Prov & write-offs ChReserves CRM Secured Securitisations Standardised IRB PD Rate&Est Risk rating LGD CCF EL Cpty Op.risk TB BB BB Equity

Page 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Chapter 4 § 1-3 Capital base Chapter 4 § 4-5 Strategies and methods for regulatory and internal capital Chapter 4 § 6-10 Capital requirements Chapter 5 § 1 Chapter 5 § 2 Chapter 5 § 3, 1 Chapter 5 § 3, 2 Chapter 5 § 3, 2 Chapter 5 § 4-5 Chapter 5 § 4-5 Chapter 5 § 4-5 Chapter 5 § 4-5 Chapter 5 § 6 Chapter 5 § 7-8 Chapter 5 § 9-12 Chapter 5 § 13 Chapter 5 § 15 Chapter 5 § 16 Chapter 5 § 17 Chapter 5 § 18 Chapter 5 § 19 Chapter 5 § 20 Chapter 5 § 23 Chapter 6 Chapter 7 Chapter 8 Chapter 9 § 1-2 Chapter 9 § 3-4 Definition of impairment, etc. Credit exposure by exposure class Credit exposure by exposure class and geography Credit exposure by exposure class and industry Credit exposure by remaining maturity Impaired loans by industry Impaired loans by geography Provisions and write-offs on impaired loans Change of reserves for impaired loans Credit risk mitigation strategies Credit risk mitigation Securitisations Standardised approach IRB approval and implementation plan Structure of risk class scale in PD dimension Credit risk rating & estimation IRB reported credit exposures by risk class IRB reported exposures with own estimates of LGD IRB reported exposures with own estimates of CCF Comparison between expected and actual losses Counterparty risk in derivative contracts Operational risk Trading book market risk Banking book market risk Equity exposures not included in the trading book

Contents

Page 1

SEB Group, pillar 3 disclosure 2007 SEB Financial Group of Undertakings Parent company is Skandinaviska Enskilda Banken AB (publ), corporate registration number 502032-9081
Consolidation Full Pro rata                

Company Credit institutions FinansSkandic Leasing (SEA) Pte Ltd, Singapore Möller Bilfinans AS, Oslo Njord AS, Oslo OJSB Factorial Bank, Kharkiv OJSC SEB Bank, Kiev SEB AG, Frankfurt am Main SEB Bank JSC, St Petersburg SEB Eesti Ühispank, AS, Tallinn SEB Kort AB, Stockholm SEB Latvijas Unibanka, AS, Riga SEB Leasing Oy, Helsinki SEB Vilniaus Bankas, AB, Vilniaus Skandinaviska Enskilda Banken A/S, Copenhagen Skandinaviska Enskilda Banken Corporation, New York Skandinaviska Enskilda Banken S.A., Luxembourg Skandinaviska Enskilda Ltd, London Investment operations Aktiv Placering AB, Stockholm SEB AB, Stockholm SEB Asset Management America Inc, Stamford SEB Asset Management Norge AS, Oslo SEB Asset Management S.A., Luxembourg SEB Baltic Holding AB, Stockholm SEB Enskilda ASA, Oslo SEB Enskilda Corporate Finance Oy Ab, Helsinki SEB Enskilda Inc., New York SEB Fonder AB, Stockholm SEB Fund Services S.A., Luxembourg SEB Förvaltnings AB, Stockholm SEB Gyllenberg Asset Management Ab, Helsinki SEB Gyllenberg Fondbolag Ab, Helsinki SEB Gyllenberg Private Bank Ab, Helsinki SEB Portföljförvaltning AB, Stockholm SEB Privatbanken ASA, Oslo SEB Strategic Investments AB, Stockholm SEB TFI SA (Towarzystwo Funduszy Inwestycyjnych), Warzaw Other operations BDB Bankernas Depå AB, Stockholm BGC Holding AB, Stockholm Enskilda Kapitalförvaltning SEB AB, Stockholm Interscan Servicos de Consultoria Ltda, Sao Paulo Parkeringshuset Lasarettet HGB KB, Stockholm PM Leasing AB, Stockholm SEB Hong Kong Trade Services Ltd, Hongkong SEB Internal Supplier AB, Stockholm SEB IT Partner Estonia OÜ, Tallinn SEB NET S.L., Barcelona Skandic Projektor AB, Stockholm Skandinaviska Kreditaktiebolaget, Stockholm Team SEB AB, Stockholm

Ownership, % 100 51 100 98 100 100 100 100 100 100 100 100 100 100 100 100

100 100 100 100 100 100 100 65 100 100 100 100 100 100 100 100 100 100 100

                  

20 33 100 100 100 100 100 100 100 100 100 100

            

The SEB Group comprises banking, finance, securities and insurance companies. The capital adequacy rules apply to each individual Group company that has a licence to carry on banking, finance or securities operations as well as Group Page 2

to each individual Group company that has a licence to carry on banking, finance or securities operations as well as to the consolidated Financial Group of Undertakings. Group companies that carry on insurance operations have to comply with capital solvency requirements, but are excluded in the capital adequacy reporting and are thus not listed above.

Group

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SEB Group, pillar 3 disclosure 2007 Risk management objectives and guidelines

In providing its customers with financial solutions and products SEB assumes various risks that must be managed. The Group’s profitability is directly dependent on its ability to evaluate, manage and price these risks, while maintaining an adequate capitalisation to meet unforeseen events. As a consequence, risk management is always a prioritised area for the Group, continuously under development. Board supervision, an explicit decision-making structure with a high level of risk awareness among the staff, common definitions and principles, controlled risk-taking within decided limits and a high degree of transparency in external disclosures are the cornerstones of the Group’s risk and capital management. To secure the Group’s financial stability, risk and capital related issues are identified, monitored and managed early on. This is an integral part of the long-term strategic planning and operational business planning processes performed throughout the Group.
SEB views the macro economic environment as the major driver of risk to the Group’s earnings and financial stability. SEB uses scenario stress testing to assess the consequences of a deteriorating economy and applies conservative risk parameters in its estimation of capital needs.

For a detailed description of the Group's strategies, processes, organisation, measurement and reporting for risk management, please refer to the Risk and Capital Management section of the Annual report 2007.

Risk

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SEB Group, pillar 3 disclosure 2007 Capital base

SEKm Total equity according to balance sheet (1) ./. Estimated dividend for current year (excl repurchased shares) ./. Deductions for investments outside the financial group of undertakings (2) ./. Other deductions outside the financial group of undertakings (3) = Total equity in the capital adequacy Core capital contribution Adjustment for hedge contracts (4) Net provisioning amount for IRB reported credit exposures (5) ./. Unrealised value changes on available-for-sale financial assets (6) ./. Goodwill (7) ./. Other intangible assets ./. Deferred tax assets = Core capital (tier 1) Dated subordinated debt ./. Deduction for remaining maturity Perpetual subordinated debt Net provisioning amount for IRB reported credit exposures (5) Unrealised gains on available-for-sale financial assets (6) ./. Deductions for investments outside the financial group of undertakings (2) = Supplementary capital (tier 2) ./. Deductions for investments in insurance companies (8) ./. Deduction for pension assets in excess of related liabilities (9) = Capital base

2007-12-31 76,719 -4,442 -81 -2,975 69,221 10,907 237 -235 572 -6,079 -1,135 -786 72,702 18,670 -1,414 14,256 -235 451 -81 31,647 -10,592 -784 92,973

Specification of the net provisioning amount above Provisioning amount for IRB reported credit exposures ./. Expected loss (EL) Net provisioning amount (5) To note: Total equity according to the balance sheet (1) includes the current year´s profit which has been reviewed by the auditors.

4,959 -5,429 -470

Deductions (2) for investments outside the financial group of undertakings should be made with equal parts from core and supplementary capital (before 2007 such deductions were made from the capital base). However, investments in insurance companies made before 20 July 2006 can be deducted from the capital base (8) - this holds for SEB´s investments in insurance companies. The deduction (3) consists of retained earnings in subsidiaries outside the financial group of undertakings. The adjustment (4) refers to differences in how hedging contracts are acknowledged according to the capital adequacy regulation, as compared with the preparation of the balance sheet. If provisions and value adjustments for credit exposures reported according to the Internal Ratings Based approach fall short of expected losses on these exposures, the difference (5) should be deducted in equal parts from primary and supplementary capital. A corresponding excess can, up to a certain limit, be added to the supplementary capital. For Available For Sale portfolios (6) value changes on debt instruments should not be acknowledged for capital adequacy. Any surplus attributable to equity instruments may be included in the supplementary capital.

CapBase

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Goodwill in (7) relates only to consolidation into the financial group of undertakings. When consolidating the entire Group´s balance sheet further goodwill is created, of which SEK 5,721m is related to the insurance investments under (8) above. Pension surplus values (9) should be deducted from the capital base, excepting such indemnification as prescribed in the Swedish Act on safeguarding of pension undertakings.

CapBase

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SEB Group, pillar 3 disclosure 2007 Strategies and methods for regulatory and internal capital

The Group's internal capital targets are well above regulatory minima, and the Group reports an available / required ratio of 138% at end of year 2007. The Group’s capital policy defines how capital management should support the business goals. Shareholders’ return requirements shall be balanced against the capital requirements of the regulators, the expectations of debt investors and other counterparties as regards SEB’s rating, and the economic capital that represents the total risk of the Group. Scenario stress testing is used to assess an extra safety margin over and above the formal capital model requirements – covering e.g. the potential of a sharp decline in the macro-economic environment. Good risk management notwithstanding, the Group must keep capital buffers against unexpected losses. The regulatory capital requirements serve as one measure of the necessary capital buffer to meet these risks. Requiring a more precise and risk-sensitive measure for internal capital assessment and performance evaluation, SEB uses an economic capital framework. This framework assesses how much capital is needed to carry out various business activities. The greater the risk – granted that all business is pursued within strong internal control procedures – the larger risk buffer is needed. This capital need constitutes SEB’s Economic Capital and is based on a Capital at Risk (CAR) model. Allocation of capital to divisions is an integral part of the regular planning process. The analysis is based upon actual and planned business volumes, and follows the methodology used for the Economic Capital framework. The Group’s financial steering model is largely built on the same concepts as the new capital adequacy (Basel II) rules, which limits the impact on customers and market offerings of the transition to the new regime. SEB analyses the capital effects of Basel II by regularly assessing RWA levels under the new framework and by continuously observing national regulatory developments. The quality of the Group’s credit portfolio and the internal risk management culture translate into substantial RWA reductions – though limited by supervisory floors during the first years of the regime. However, this cannot be equated with a similar capital release, due to the framework’s increased business cycle sensitivity, supervisory evaluation and rating agency considerations. Careful capital management will be necessary during the transition period. The Chief Financial Officer is responsible for the process, linked to overall business planning, to assess capital requirements in relation to the Group’s risk profile, and to propose a strategy for maintaining the capital levels. Together with continuous monitoring, and reporting of the capital adequacy to the Board, this ensures that the relationships between shareholders’ equity, economic capital, regulatory and rating-based requirements are managed in such a way that SEB does not jeopardise the profitability of the business and the financial strength of the Group. Capital is managed centrally, meeting also local requirements as regards statutory and internal capital.

ICAAP

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SEB Group, pillar 3 disclosure 2007 Capital requirements

SEKm Credit risk IRB Approach: Institutions Corporates Retail mortgages Securitisation positions Total IRB Approach Credit risk Standardised Approach: Central governments and Central banks Local governments and authorities Administrative bodies, non-commercial undertakings Institutions Corporates Retail Exposures secured by real estate property Past due items Securitisation positions Other items Total Standardised Approach Risks in the trading book: Interest rate risk Equity risk Other market risks Foreign exchange rate risk Operational risk Basic Indicator Approach Total, companies that report according to Basel II Capital requirement for companies within SEB that apply Basel I regulation Credit risk Group B 20% Credit risk Group C 50% Credit risk Group D 100% Risks in the trading book Total, companies that report according to Basel I Total capital requirement before transitional rules Adjustment due to transitional rules Total capital requirement

12/31/2007 4,506 21,420 3,409 174 29,509

25 5 27 141 792 3,624 344 93 31 1,145 6,227

3,151 577 282 580 3,723 44,049

209 1,880 12,770 41 14,900 58,949 8,409 67,358

The capital requirement for the individual company (both in solo and in consolidated reporting) is computed either fully according to Basel I or fully according to Basel II. The companies that in 31 December 2007 reporting follow Basel II are Skandinaviska Enskilda Banken AB, SEB AG and SEB Gyllenberg (three companies). SEB BoLån AB and SEB Finans AB were merged with the parent bank during the fourth quarter.

CapReq

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SEB Group, pillar 3 disclosure 2007 Definition of impairment, etc. Like all financial assets on the balance sheet (except those classified at fair value through profit or loss) loans and receivables are tested for impairment on each balance sheet date. A financial asset or group of financial assets is impaired if there is objective evidence that something has happened after the asset was initially recognised (“loss event”) that will impact the future cash flow according to the contract. Events of this nature may include • restructuring of the loan where a concession is granted due to the borrower’s financial difficulty • a default in the payment of interest or principal, i.e. the loan is non-performing • it is probable that the borrower will go bankrupt The impairment loss is measured as the difference between the carrying amount of the loan and the discounted value of the estimated cash flow. A specific provision of equal size is recorded in an allowance account. As soon as it is possible to determine the amount that cannot be recovered from the borrower or from a sale of collateral it is written off and the provision is reversed by the same amount. Similarly, the provision is reversed if the estimated recovery value exceeds the carrying amount. In addition to an individual impairment test, a collective assessment is made of the value of receivables that have not been deemed to be impaired on an individual basis. Receivables with similar credit risk characteristics are grouped together and assessed collectively for impairment. The Group’s internal risk classification system constitutes one of the components forming the basis for determining the total amount of the collective provision.

For certain homogeneous groups of individually insignificant credits (e.g. credit card claims), provision models have been established on the basis of historical credit losses and the status of these claims.

Impair

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SEB Group, pillar 3 disclosure 2007 Credit exposure by exposure class
2007-12-31 Exposure, SEKm Institutions Corporates Retail mortgages Securitisation positions Total IRB Approach Central governments and Central banks Local governments and authorities Administrative bodies, non-commercial undertakings Institutions Corporates Retail Exposures secured by real estate property Past due items Securitisation positions Other items Total Standardised Approach Total Year-end 372,196 500,974 264,269 29,252 1,166,691 174,294 100,875 338 7,152 10,027 60,821 14,680 962 1,913 15,104 386,166 1,552,857 Average 272,915 483,962 251,013 33,162 1,041,052 105,315 88,567 374 13,760 11,290 58,177 23,768 571 2,297 12,710 316,829 1,357,881

Exposure amounts after eligible offsets but without taking into account the effects of credit risk mitigation. Exposure amounts for off balance sheet items are after application of relevant conversion factors. Following supervisory guidelines the averages are based on four quarterly observations. The above does not include exposures that are reported according to Basel I or trading book rules.

Exposure

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SEB Group, pillar 3 disclosure 2007 Credit exposure by exposure class and geography

Exposure 2007-12-31, SEKm Institutions Corporates Retail mortgages Securitisation positions Total IRB Approach Central governments and Central banks Local governments and authorities Administrative bodies, non-commercial undertakings Institutions Corporates Retail Exposures secured by real estate property Past due items Securitisation positions Other items Total Standardised Approach Total

Sweden 33,954 234,494 204,004 472,452 27,880 26,171 338 5,795 7,278 43,297 5,800 57 11,953 128,569 601,021

Other Nordic 30,992 66,490 295 97,777 39,169 108 645 120 890 13

Germany 102,053 113,428 58,683 43 274,207 95,572 74,596 633 2,205 15,868 8,768 891 1,747 200,280 474,487

Baltic

Other Europe 157,473 48,560 787 10,804 1,229 217,624 12 1,214 3 8,400

Other 47,712 36,788 497 18,405 103,402 3,273

TOTAL 372,196 500,974 264,269 29,252 1,166,691 174,294 100,875 338 7,152 10,027 60,821 14,680 962 1,913 15,104 386,166 1,552,857

64 208 6

174 558 68 4 170 9,374 226,998

796 41,741 139,518

278 1,507

15 42 202 31 10 1,913 438 5,924 109,326

Geographical distribution according to obligors' country of domicile. Exposure amounts for off balance sheet items are after application of relevant conversion factors. The above does not include exposures that are reported according to Basel I or trading book rules.

Geo

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SEB Group, pillar 3 disclosure 2007 Credit exposure by exposure class and industry

Exposure, SEKm Institutions Corporates of which Business Services Construction Finance & Insurance Household Services Manufacturing Property Management Transportation Wholesale & Retail Other Retail mortgages Securitisation positions Total IRB Approach Central governments and Central banks Local governments and authorities Administrative bodies, non-commercial undertakings Institutions Corporates of which Business Services Construction Finance & Insurance Household Services Manufacturing Property Management Transportation Wholesale & Retail Other Retail Exposures secured by real estate property Past due items Securitisation positions Other items Total Standardised Approach Total

12/31/2007 372,196 500,974 66,489 7,310 57,453 7,953 107,739 138,847 37,853 33,893 43,437 264,269 29,252 1,166,691 174,294 100,875 338 7,152 10,027 275 57 2,639 1,700 350 2,909 52 391 1,654 60,821 14,680 962 1,913 15,104 386,166 1,552,857

Exposure amounts for off balance sheet items are after application of relevant conversion factors. The above does not include exposures that are reported according to Basel I or trading book rules.

Ind

Page 12

SEB Group, pillar 3 disclosure 2007 Credit exposure by remaining maturity
Exposure 2007-12-31, SEKm Institutions Corporates Retail mortgages Securitisation positions Total IRB Approach Central governments and Central banks Local governments and authorities Administrative bodies, non-commercial undertakings Institutions Corporates Retail Exposures secured by real estate property Past due items Securitisation positions Other items Total Standardised Approach Total < 3 months 190,527 125,685 9,886 10 326,108 130,398 35,824 112 6,024 3,164 17,107 1,069 662 1,913 12,486 208,759 534,867 3 < 6 months 6 < 12 months 12,732 16,040 21,372 42,299 2,549 2,403 1,019 2,355 37,672 63,097 2,356 2,193 8 0 174 1,212 271 2 17 6,233 43,905 9,040 12,043 6 172 579 1,481 1,411 8 26 24,766 87,863 1-5 years 90,823 157,043 17,138 1,013 266,017 19,871 28,145 134 278 2,332 15,495 2,618 47 1,175 70,095 336,112 > 5 years 62,074 154,575 232,293 24,855 473,797 12,629 22,670 78 678 3,778 25,526 9,311 243 1,400 76,313 550,110 TOTAL 372,196 500,974 264,269 29,252 1,166,691 174,294 100,875 338 7,152 10,027 60,821 14,680 962 1,913 15,104 386,166 1,552,857

Exposure amounts for off balance sheet items are after application of relevant conversion factors. The above does not include exposures that are reported according to Basel I or trading book rules.

Maturity

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SEB Group, pillar 3 disclosure 2007 Impaired loans (gross) by industry
Corporate exposures in all exposure classes 2007-12-31, SEKm Business services Construction Finance & Insurance Household services Manufacturing Property Management Transportation Wholesale & Retail Other Total Impaired and nonperforming 175 135 5 1 564 2,982 61 529 649 5,101 Impaired but performing 66 20 1 101 323 64 31 606 TOTAL 241 155 5 2 665 3,305 61 593 680 5,707

The above does not include exposures that are reported according to Basel I or trading book rules.

Imp ind

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SEB Group, pillar 3 disclosure 2007 Impaired loans (gross) by geography
Total exposures in all exposure classes 2007-12-31, SEKm Sweden Other Nordic Germany Baltic Other Europe Other Total Impaired and nonperforming 814 4 5,050 158 174 6,200 Impaired but performing 27 726 14 767 TOTAL 841 4 5,776 172 174 6,967

Geographical distribution according to lending company's country of domicile. The above does not include exposures that are reported according to Basel I or trading book rules.

Imp geo

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SEB Group, pillar 3 disclosure 2007 Provisions and write-offs on impaired loans

SEKm Provisions: Net collective provisions Specific provisions Reversal of specific provisions no longer required Net provisions for contingent liabilities Net provisions Write-offs: Total write-offs Reversal of specific provisions utilized for write-offs Write-offs not previously provided for Recovered from previous write-offs Net write-offs Net credit losses The above does not include exposures that are reported according to Basel I or trading book rules.

2007 200 -572 342 6 -24

-1,149 668 -481 227 -254 -278

Prov & write-offs

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SEB Group, pillar 3 disclosure 2007 Change of reserves for impaired loans
Collective reserves 1,291 -200 572 -668 -343 5 1,096 35 3,425 Specific reserves 3,829

SEKm Opening balance, 2007-01-01 Net collective provisions Specific provisions Reversal of specific provisions utilized for write-offs Reversal of specific provisions no longer required Currency differences, group structure changes, reclassifications etc. Closing balance, 2007-12-31

The above does not include credit volumes that are reported according to Basel I or trading book rules.

ChReserves

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SEB Group, pillar 3 disclosure 2007 Credit risk mitigation strategies

Credit approvals are based on an evaluation of the counterparty’s creditworthiness and the type of credit arrangement, both for a transaction and in total for that counterparty. Consideration is given to the counterparty’s current and projected financial condition and also to the protection given by covenants, collateral, etc. in the event of credit quality deterioration.
In the selection of a particular credit risk mitigation technique consideration is given to its legal enforceability, its suitability for the particular counterparty, and to the organisation's experience and capacity to manage and control the particular technique. The most important credit risk mitigation techniques are pledges, guarantees and netting agreements. Real estate mortgages and financial collateral represent the two most common types of pledges. Banks, securities firms and insurance companies are typically counterparties in more sophisticated risk mitigation transactions, such as credit derivatives. SEB’s credit policy requires the credit derivative counterparty to be of the highest credit quality and the use of close-out netting agreements with all trading counterparties (while on balance sheet netting is a less frequent practice).

The credit portfolio is continually analyzed for risk concentrations to geographical and industry sectors and to single large names - both as concerns direct exposures and for issuers of collaterals and guarantees / credit derivatives. This analysis serves as input to the active portfolio management which is performed at a limited scale by Group Treasury. The general control process for various credit risk mitigation techniques includes credit review and approval requirements, specific credit product policies, and credit risk monitoring and control. The market value of both the base exposure and the credit risk mitigation are monitored on a regular basis. The frequency depends on the type of counterparty, the structure of the transaction and the liquidity of the hedge instrument. The control process does differ among instruments and business units. For example within the Merchant Banking division there is a collateral management unit responsible for the daily collateralisation of trading products, i.e. FX and derivatives, repos and stock lending. All non-retail collateral values are reviewed at least annually by the relevant credit committee. Collateral values for watch-listed engagements are reviewed on a more frequent basis.

CRM

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SEB Group, pillar 3 disclosure 2007 Credit risk mitigation
SEKm Institutions Corporates Retail mortgages Securitisation positions Total IRB Approach Central governments and Central banks Local governments and authorities Administrative bodies, non-commercial undertakings Institutions Corporates Retail Exposures secured by real estate property Past due items Securitisation positions Other items Total Standardised Approach Total Exposure 372,196 500,974 264,269 29,252 1,166,691 174,294 100,875 338 7,152 10,027 60,821 14,680 962 1,913 15,104 386,166 1,552,857 Collateralised Guaranteed 51,967 1,895 143,615 29,780 201,334 1,035 396,916 46,002 32,710 511 71

50 550 12,859 417

28 27 9

59,878 456,794

646 33,356

Exposure amounts for off balance sheet items are after application of relevant conversion factors. Only CRM arrangements eligible in capital adequacy reporting are represented above. The above does not include exposures that are reported according to Basel I or trading book rules.

Secured

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SEB Group, pillar 3 disclosure 2007 Securitisations SEB does not regularly securitise its assets, and has no outstanding own issues. In addition, the Group does not operate any Asset Backed Commercial Paper (ABCP) conduit or similar structure. Thus, most of the securitisation RWA framework is of less relevance for the Group.

SEB provides liquidity facilities to three US conduits; these can only be used for clients' trade, lease or consumer receivables transactions and not for other assets. The conduits are reported based on ratings inferred from SEB's internal rating or, where SEB has not yet recieved IRB approval for underlying assets, following the Standardised approach. The liquidity facilities have not been drawn by the conduits.
As part of its diversified liquidity portfolio SEB holds securitisation positions in others' issues. These are reported according to the External Rating approach, and the absolute majority consist of super senior (AAA) tranches.

SEKm, 2007-12-31 Reporting approach External rating External rating External rating Inferred rating Standardised Total

S&P/ Moody's AAA/Aaa AA/Aa A/A2 AAA/Aaa equiv. AAA

Exposure 25,717 108 43 3,384 1,912 31,164

Risk weight 7.42% 8.48% 12.72% 7.42% 20%

RWA 1,909 9 5 251 382 2,556

Following regulation, the IRB risk weights 7/8/12 per cent above are scaled up with the general factor 1.06. The above does not include exposures that are reported according to Basel I or trading book rules.

Securitisations

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SEB Group, pillar 3 disclosure 2007 Standardised approach

SEB's reporting according to the Standardised approach mainly refers to exposures to the public sector, to retail companies, and to other household exposures than those secured by residential mortgage. A minor share of exposures to institutions and corporates also remains at the Standardised approach. Rolling out the Group's Basel II plan all of these except the public sector exposures will become part of IRB reporting over the next couple of years. Thus, the overwhelming majority of exposures where external rating is used to determine the risk weight has to do with central governments, central banks and local governments and authorities. According to the regulation, either the rating from the Swedish export credit agency (EKN) shall be used, or the (second best) country rating from eligible credit assessment agencies Moody's, S&P, Fitch and DBRS. Following regulation, local authorities e.g. in Sweden and Germany are risk weighted based on the rating of the corresponding central government, and not on the local authorities' own rating. The table below displays Basel II reported exposures to central governments, central banks and local authorities, broken down by credit quality.

SEKm, 2007-12-31 Credit quality step 1 2 3 4/5 6 Total

Equivalent S&P rating AAA/AA A BBB BB/B CCC and worse

Exposure 273,704 1,364 7 90 4 275,169

Standardised

Page 21

SEB Group, pillar 3 disclosure 2007 IRB approval and implementation plan

In December 2006 Finansinspektionen (the Swedish FSA) announced that SEB could start to use internally developed credit risk models for the majority of the non-retail portfolios (Foundation IRB) and for retail mortgage portfolios (Advanced IRB) in Sweden and Germany in the calculation of legal capital requirements from 1 February 2007. Internally developed credit risk models for remaining non-retail and retail portfolios of significant size will be rolled-out in accordance with the SEB Group roll-out plan which has been agreed with Finansinspektionen. During 2007 SEB continued to implement IRB models for the remaining credit risk portfolios in the Group where amongst others the non-retail and retail portfolios in the Group's banks in Estonia, Latvia and Lithuania were included. As the first bank in both Latvia and Lithuania SEB received an approval for IRB reporting from January 2008, and further approvals are expected during 2008. The ultimate target is IRB reporting for all the Group's credit exposures, except those to central governments, central banks and local governments and authorities, and excluding a small number of insignificant portfolios where IRB implementation would be statistically unreliable and too costly.

IRB

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SEB Group, pillar 3 disclosure 2007 Structure of risk class scale in PD dimension

For mortgages and other retail exposures a scoring methodology is used at credit granting time, and for assignment of exposures to risk-wise homogeneous pools at RWA calculation time. Details of scoring criteria and pool structures depend on the kind of business pursued, and differ between portfolios and countries. All counterparties (excluding private individuals) on whom the Group has credit exposure are assigned an internal risk class that reflects the risk of default on payment obligations. The risk classification scale has 16 classes, with 1 being the best possible risk and 16 being the default class. Risk classes 1–7 are considered “investment grade”, while classes 13–16 are classified as “watch list”. The table below exposes lower and upper probability of default (PD) values for aggregates of SEB risk classes, and displays an approximate relation to two rating agencies' scales. Such relation is based on similarity between the method and the definitions used by SEB and these agencies to rate obligors, a similarity which in turn leads to reasonable correspondence between SEB's mapping of risk classes onto PD values, and default statistics published by the agencies. Due to the prevailing benign economic environment, default frequencies currently observed by SEB are typically lower than the through-the-cycle estimates used for RWA calculations.

Investment grade Normal business Watch list

Risk class 1-4 5-7 8-10 11-12 13-16

Lower PD 0.00% 0.08% 0.32% 1.61% 5.16%

Upper PD 0.08% 0.32% 1.61% 5.16% 100.00%

Moody's Aaa..A3 Baa Ba B1/B2 B3..C

S&P AAA..ABBB BB B+/B B-..D

SEB uses the risk classes for decisions on credit limits and for structuring the monitoring, managing and reporting of the credit portfolio. The risk classes are also a fundamental input when calculating the economic capital attributable to exposures, thus linking into pricing and performance measurement processes. The Group's overall economic capital is an important factor in SEB's internal capital assessment process. Processes for managing and recognising credit risk protection are outlined in sheet CRM.
The performance of the risk rating system itself is regularly reviewed by the Credit Risk Control Unit in accordance with the Instructions for Validation of Credit Risk Class Assignment Systems. The validation is done in order to both secure that the Credit Risk Class Assignment system is working satisfactorily and that it is used in accordance with the internal rules and instructions. Assessing the discriminatory power and evaluation of the through-the-cycle PD (SEB Masterscale) is monitored on a quarterly basis. The validation is performed by personnel within the bank who are independent of those responsible for risk class assignment of counterparties.

PD

Page 23

SEB Group, pillar 3 disclosure 2007 Credit risk rating & estimation

The SEB Group Risk Class Assignment (RCA) System is a tool for assigning risk classes between 1 and 16 to non-retail counterparties covering Corporates, Real Estate, Financial Institutions and Specialised Lending. The overall rating approach is common for all counterparties, but on a more detailed level there are differences between rating institutions and corporates, just as there are between rating corporates belonging to different industries.
The SEB Group RCA System is based on traditional standards of credit analysis covering business risk and financial risk using the required and applicable set of descriptive definitions. Financial ratios, peer group comparison and scoring tools are used to enhance the risk assessment of counterparties. The SEB Group RCA System uses a template in the form of a Risk Class Worksheet which is reviewed by SEB's credit authorities in conjunction with review of the counterparty and facilities in each Credit Application. All risk classes are subject to minimum one review annually by a credit approval authority. High-risk exposures (risk classes 13–16) are subject to more frequent reviews in order to identify potential problems at an early stage, thereby increasing the chances of finding constructive solutions.

SEB uses through-the-cycle PD estimates, which reflect the expected long term average default frequency over a full business cycle for a given risk class. The PD values are calculated as averages of the internal historical observed default frequencies over one or more full business cycles. In those geographies where internal data has been insufficient, external data has been used to extrapolate the time series to span full business cycles. This has been performed using sophisticated methods based on regression analysis of macro economic parameters and their correlation to internally observed default frequencies. Retail Mortgage exposures: Assignment of exposures to PD pools is done via a scoring methodology where the most important factors are measures of payment behaviour. New exposures without a history in the bank are scored using a model provided by an external vendor using openly available information and well tested risk drivers. Also LGD and CCF estimates are based on the Group's historical experience.

Rate&Est

Page 24

SEB Group, pillar 3 disclosure 2007 IRB reported credit exposures by risk class
Average risk weight 11.6% 36.6% 73.0% 63.8% 185.4% 15.1% 13.3% 39.9% 71.3% 88.3% 86.5% 53.4% 3.9% 6.4% 12.4% 19.2% 51.3% 74.3% 108.0% 76.7% 43.1% 16.1% 7.4% 8.5% 12.7% 7.4% 31.6%

2007-12-31, SEKm Institutions

Risk class 1-4 5-7 8-10 11-12 13-16

PD Range 0-0,08% 0,08-0,32% 0,32-1,61% 1,61-5,16% 5,16-100%

EAD 331,519 31,910 5,026 3,508 233 372,196 106,552 117,481 221,495 41,759 13,687 500,974 68,239 77,845 43,954 37,886 25,444 4,332 4,395 953 1,221 264,269 29,101 108 43 29,252 1,166,691

RWA 38,308 11,679 3,667 2,237 432 56,323 14,185 46,866 157,997 36,865 11,835 267,748 2,649 5,003 5,441 7,256 13,045 3,220 4,746 731 526 42,617 2,160 9 5 2,174 368,862

Total Institutions Corporates 1-4 5-7 8-10 11-12 13-16 0-0,08% 0,08-0,32% 0,32-1,61% 1,61-5,16% 5,16-100%

Total Corporates Retail mortgages 0-0,2% 0,2-0,4% 0,4-0,6% 0,6-1,0% 1,0-5,0% 5,0-10% 10-30% 30-50% 50-100%

Total Retail mortgages Securitisation positions AAA/Aaa AA/Aa A/A2

Total Securitisation positions Total IRB reported credit exposures

Exposure amounts for off balance sheet items are after application of relevant conversion factors. PD - Probability of Default - through-the-cycle adjusted one-year probability, estimated for each risk class (non-retail) and pool of homogeneous obligors (retail). The above does not include exposures that are reported according to Basel I or trading book rules.

Risk rating

Page 25

SEB Group, pillar 3 disclosure 2007 IRB reported exposures with own estimates of LGD
SEKm Retail mortgages LGD 0-1% >1-10% >10-20% >20-30% >30-40% >40-50% >50% 14.8% Exposure amount 126,715 41,634 24,424 10,561 18,742 16,875 25,318 264,269

Total

LGD - Loss Given Default - statistically expected loss in the event of default, expressed as a percentage of exposure in the event of default. The overall average is a forward-looking estimate at 2007-12-31, thus it differs slightly from the value reported in sheet EL, which is forward-looking at 2006-12-31.

LGD

Page 26

SEB Group, pillar 3 disclosure 2007 IRB reported exposures with own estimates of CCF
SEKm Advanced IRB retail Total Retail mortgages Original exposure 15,834 15,834 Exposure after CCF 11,047 11,047 Average CCF 69.8% 69.8%

CCF - Credit Conversion Factor - statistically expected exposure in the event of default, expressed as a percentage of a contract' s nominal amount.

CCF

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SEB Group, pillar 3 disclosure 2007 Comparison between expected and actual losses

For retail mortgages, which is the only asset class running IRB Advanced, the expected loss for non-defaulted exposures was SEK 496m during the year 2007. This is to be compared to the realised loss of SEK 103m. The counterparty weighted probability of default for 2007 was 1.06% and the corresponding observed default frequency was 0.32%. The LGD estimate for 2007 of 15.3% is a recession adjusted value and since 2007 was a quite strong year the actual LGD outcome during 2007 was lower. For the retail mortgage portfolio, exposure at default is calculated using a credit conversion factor of one except for undisbursed loan commitments, where an estimate of disbursal rate is made. The volume of undisbursed commitments is insignificant in this portfolio. The realised loss for 2007 was lower than the expected loss due to several reasons. In Sweden, the default rates for retail mortgages have been on extremely low levels and forced sale rates on mortgage properties have also been extremely low giving low LGD outcomes and low loss rates. In Germany loss rates, mortgage recovery rates, and default rates have all been at historical averages during 2007. For the non-retail portfolio which is reported as IRB Foundation, the counterparty weighted probability of default for 2007 was 1.67% and the corresponding observed default frequency was 0.43%. The non-retail loss rates and default rates in Sweden and Germany were low during 2007 reflecting the strong European economy.

EL

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SEB Group, pillar 3 disclosure 2007 Counterparty risk in derivative contracts

SEB enters into derivative contracts primarily to offer clients products for management of their financial exposures, and then manages the resulting positions through entering offsetting contracts in the market place. The Group also uses derivatives for the purpose of protecting the cash-flows and fair value of financial assets and liabilities from interest rate fluctuations. Positive market values on derivative contracts imply a counterparty risk, which SEB actively manages. Close-out netting agreements (giving the ability to offset positive market values against negative market values) are disregarded in accounting but form a very important part of the Group’s credit risk mitigation strategy. In order to reduce the counterparty exposure in event of default SEB strives to enter into close -out netting agreements as well as collateral agreements with all major derivative counterparties. The counterparties are mainly Swedish and international banks of very high quality. Netting and collateral agreements could contain rating triggers. SEB has a very restrictive policy in respect of rating-based levels for thresholds and minimum transfer amounts related to the provision of collateral in derivative master agreements. In addition, asymmetrical levels require specific approval from a deviation committee. Rating-based thresholds have only been accepted for a very limited number of counterparties. Further, rating triggered termination events are as a general rule not accepted. Deviations require approval from head of Group Treasury. For capital adequacy reporting as well as for establishing and monitoring credit limits SEB uses the Current Exposure method (market value plus a schematic add-on for the potential future exposure). For calculation of internal capital an in-house developed model is used to calculate an Expected Positive Exposure style of measure. This calculation is based on the Group's Value at Risk model for market risk.

Derivative contracts Credit risk mitigation effects, 2007-12-31, SEKm Gross positive fair value of contracts Netting benefits Netted current credit exposure Collateral benefits Net derivative credit exposures Add-on for potential future exposure is not included in above numbers. The above does not include exposures that are reported according to Basel I rules.

Fair value 87,368 -54,532 32,836 -12,703 20,133

Credit derivatives Nominal amounts, 2007-12-31, SEKm Credit derivatives hedging exposures in own credit portfolios -- Credit default swaps -- Total return swaps -- Credit linked notes Subtotal Credit derivatives in trading operations -- Credit default swaps -- Total return swaps -- Credit linked notes Subtotal Total

Reduces the risk

Adds to the risk

6,368 0 178 6,546

0 0 0 0

23,996 21,718 90 45,804 52,350

18,924 0 90 19,014 19,014

Cpty

Page 29

Credit derivatives in the trading operations to a large extent represent hedges of bonds that are held for trading. All the Group's credit derivative contracts are entered into by the parent company, and are thus reported according to Basel II.

Cpty

Page 30

SEB Group, pillar 3 disclosure 2007 Operational risk

SEB has applied for supervisory approval to use the Advanced Measurement approach as it gets available from 2008. The application documents SEB’s longtime experience and expertise in operational risk management, including incident reporting, operational loss reporting, capital modelling, quality assessment of processes etc.
Awaiting supervisory processing of the application SEB's operational risk reporting follows the Basic Indicator approach, based on the Group's operating income averaged over the last three years.

Op.risk

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