FINANCIAL INSTITUTIONS

CREDIT OPINION DNB Bank ASA 10 June 2020 Update to credit analysis

Update Summary We assign a baseline credit assessment (BCA) of a3 and long-term deposit and senior unsecured debt ratings of Aa2 to DNB Bank ASA (DNB). The outlook on the bank’s long-term senior ratings is stable.

DNB's a3 BCA reflects the bank's very strong capital and good level of profitability, balanced RATINGS against moderate deterioration in asset quality due to the spread of the coronavirus and drop DNB Bank ASA Domicile Oslo, in oil prices, as well as high reliance on international capital markets, which renders the bank Long Term CRR Aa2 more susceptible to investor sentiment than peers. Our forward-looking loss given failure Type LT Counterparty Risk (LGF) analysis results in three notches of rating uplift from DNB's adjusted BCA, and our Rating - Fgn Curr assessment of government support translates into a further one notch uplift, resulting in Aa2 Outlook Not Assigned Long Term Debt Aa2 long-term deposit and senior unsecured debt ratings. Type Senior Unsecured - Fgn Curr Exhibit 1 Outlook Stable Rating Scorecard - Key Financial Ratios as of 31 March 2020 Long Term Deposit Aa2 Type LT Bank Deposits - Fgn DNB Bank ASA (BCA: a3) Median a3-rated banks Curr 25% 40% Outlook Stable 35% 20% 30% Liquidity Liquidity Factors

Please see the ratings section at the end of this report 15% 25% for more information. The ratings and outlook shown 20% reflect information as of the publication date. 10% 15%

Solvency FactorsSolvency 10% 5% 5% 2.0% 20.6% 37.6% 26.8% Contacts 0% 0.5% 0% Asset Risk: Capital: Profitability: Funding Structure: Liquid Resources: Niclas Boheman +46.8.5179.6561 Problem Loans/ Tangible Common Net Income/ Market Funds/ Liquid Banking VP-Senior Analyst Gross Loans Equity/Risk-Weighted Tangible Assets Tangible Banking Assets/Tangible Assets Assets Banking Assets [email protected] Solvency Factors (LHS) Liquidity Factors (RHS) Malika Takhtayeva +44.20.7772.8662 These are our Banks Methodology scorecard ratios. Asset risk and profitability reflect the weaker of either the three-year average Associate Analyst and latest annual figure. Capital is the latest reported figure. Funding structure and liquid resources reflect the latest fiscal year- [email protected] end figures. Source: Moody's Financial Metrics Simon James Robin +44 207 772 5347 Ainsworth Associate Managing Director [email protected] Sean Marion +44.20.7772.1056 MD-Financial Institutions [email protected] THIS REPORT WAS REPUBLISHED ON 11 JUNE 2020 WITH A CORRECTED EFFECTIVE DATE OF 31 DECEMBER 2020 FOR THE SYSTEMIC RISK BUFFER INCREASE TO 4.5% FROM 3% IN NORWAY.

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Credit strengths » Strong and stable domestic franchise

» Capital is high and leverage compares well with Nordic and European peers

» Solid core earnings, which provides the primary buffer to higher loan loss provisions

Credit challenges » High dependence on market funding, mitigated by a solid deposit base and good access to local and international capital markets

» Pressure on asset risk, related to challenges in the oil offshore portfolio and the outbreak of the coronovirus' pandemic, mitigated by large government support packages.

Rating outlook The outlook on DNB Bank ASA's deposit and senior debt ratings is stable. While we expect profits, capital and asset quality to be negatively hit by the economic downturn caused by the coronavirus, the effects will be largely mitigated by measures taken by the Norwegian authorities as well as the bank's high capital levels and underling profitable lending growth generated by the bank's domestic franchise. The stable outlook also reflects our expectations that DNB will issue additional loss-absorbing instruments over the outlook period, mainly in the form of non-preferred senior (NPS) debt, supporting the LGF notching embedded in the Aa2 ratings. Factors that could lead to an upgrade DNB's debt and deposit ratings could be upgraded as a result of an upgrade in its standalone BCA. The bank’s BCA could be upgraded if it: (1) further reduces its asset vulnerability, especially in relation to oil-related and offshore exposures as well as to historically more volatile segments, such as shipping and CRE; (2) maintains strong and stable earnings generation without increasing its risk profile; and (3) preserves sustained access to international capital markets. Factors that could lead to a downgrade DNB's debt and deposit ratings could be downgraded as a result of (i) a downgrade in its standalone BCA; or (ii) gradual replacement of maturing senior debt with non-preferred senior debt being significantly below Moody’s expectation. Downward pressure on the bank’s BCA could develop if: (1) DNB's financing conditions become challenging; (2) its asset quality were to deteriorate beyond our expectations and lead to further increase of the bank's credit costs; (3) its credit profile substantially deteriorates due to adverse developments in the Norwegian oil, offshore and real-estate markets; (4) DNB increases its involvement in more risky operations such as capital market activities.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history.

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Key indicators

Exhibit 2 DNB Bank ASA (Consolidated Financials) [1]

03-202 12-192 12-182 12-172 12-162 CAGR/Avg.3 Total Assets (NOK Billion) 2,815.3 2,378.0 2,220.1 2,264.5 2,235.4 7.44 Total Assets (USD Million) 268,100.1 270,614.0 256,382.9 276,854.6 259,700.0 1.04 Tangible Common Equity (NOK Billion) 205.0 199.1 188.0 183.8 177.6 4.54 Tangible Common Equity (USD Million) 19,517.3 22,657.9 21,710.8 22,467.6 20,638.1 (1.7)4 Problem Loans / Gross Loans (%) 2.0 1.5 1.8 1.8 2.6 1.95 Tangible Common Equity / Risk Weighted Assets (%) 20.6 21.5 17.9 18.1 17.1 19.06 Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 15.3 11.6 14.1 13.6 19.3 14.85 Net Interest Margin (%) 1.6 1.6 1.6 1.5 1.5 1.65 PPI / Average RWA (%) 4.2 2.8 2.5 2.6 2.6 3.06 Net Income / Tangible Assets (%) 0.5 0.9 0.9 0.8 0.7 0.85 Cost / Income Ratio (%) 33.8 43.4 44.8 44.1 42.7 41.85 Market Funds / Tangible Banking Assets (%) 42.9 37.6 36.0 37.7 35.4 37.95 Liquid Banking Assets / Tangible Banking Assets (%) 30.3 26.8 24.8 29.3 27.8 27.85 Gross Loans / Due to Customers (%) 157.6 170.3 168.5 160.9 151.8 161.85 [1]All figures and ratios are adjusted using Moody's standard adjustments. [2]Basel III - fully loaded or transitional phase-in; IFRS. [3]May include rounding differences because of the scale of reported amounts. [4]Compound annual growth rate (%) based on the periods for the latest accounting regime. [5]Simple average of periods for the latest accounting regime. [6]Simple average of Basel III periods. Sources: Moody's Investors Service and company filings

Profile DNB Bank ASA (formerly DnB NOR Bank ASA) is a subsidiary of the Norwegian financial services group DNB ASA and part of the DNB Group. The group (including DNB ASA, DNB Asset Management Holding AS, DNB Livsforsikring AS and DNB Forsikring) offers a full range of financial services, including loans, savings, advisory services, insurance and pension products for retail and corporate customers. In this structure, the bank (DNB Bank) mainly provides products and services to four different segments: personal customers, small and medium enterprises, large corporates and international customers, and trading.

DNB is Norway's largest financial institution, with a dominant and sustainable market share of 25% in retail loans and 36% in corporate loans domestically as of 31 March 2020. As of end-year 2019, DNB Bank ASA exhibited 2.1 million retail customers, 225,000 corporate customers, 1.5 million internet bank users, more than 1 million mobile bank users and 1.3 million customers in life and pension insurance companies in Norway. DNB is Norway's largest asset management company with approximately 493,000 mutual fund customers in Norway and 210 institutional clients in Norway and Sweden. DNB Markets is Norway's leading investment firm and offers investment banking services, including risk management, investment and financing products in the capital markets, to the Group's customers.

As of end-March 2020, DNB Bank Group reported a consolidated asset base of NOK2.9 trillion ($275 billion).

DNB Bank ASA was established by the merger of ASA (established in 1990 following the merger of and ) and NOR. The newly merged bank, DnB NOR Bank ASA, was registered in January 2004. The bank was renamed DNB Bank ASA in November 2011.

DNB is Norway's most international bank. The share of total income from DNB's international units accounted for 15% in Q1 2020, thus adding diversification to DNB's earnings and risk.

As at year-end 2019 the Norwegian government's 34.2% stake in the bank makes it the largest shareholder and ensures the bank's headquarters remain in the country, so that we view a reduction of this stake as unlikely.

Recent developments We have revised our growth forecasts downward for 2020 as the coronavirus will cause an unprecedented shock to global economy. Business activity will likely fall sharply across advanced economies in the first half of 2020 and we project cumulative contractions

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over the first and second quarters of 2020 for a substantial number of countries. We now expect real GDP in the global economy to contract in 2020, followed by a recovery in 2021. For Norway, we expect real GDP to contract in 2020, compared with growth of 1.9% 2019. Detailed credit considerations Heightened credit risks due to renewed strains in oil-related sectors, but asset risk metrics are expected to remain resilient. We expect that the deterioration in the economy due to Coronavirus will be largely mitigated in most sectors due to the significant levels of support, in the form of financial and regulatory measures, from the Norwegian Government. Economic support measures financed by Norway's sovereign wealth fund, together with lower rates and lender relief, will help underpin Norwegian borrowers' repayment capacity. DNB's problem loans ratio has moderately deteriorated to 2.0% at end-March 2020 compared to 1.5% as of year- end 2019, primarily due to increased strain on the offshore sector.

We view DNB's loan portfolio as well diversified, with 50% of exposures at default (EAD) comprising retail lending at end-March 2020 (mainly residential mortgages) and the remaining amount spread across industries. However, the outbreak of the coronovirus' pandemic and the sharp drop in the oil price led to a significant increase in loan loss provisions in the first quarter of 2020, at NOK 5.8 billion, compared to NOK 316 million in the first quarter 2019 (Exhibit 3).

49% of DNB's loan loss provisions during the first quarter 2020 were in Stage 1 and Stage 2, mainly due to updated macro scenarios under IFRS 9. Corporate customers represented 96% of the total Stage 3 increase, with 55% within the oil, gas and offshore sectors.

Exhibit 3 DNB Bank's corporate and retail loan losses Offshore supply losses peaked in 2016 and Q1 2020

Corporate loan losses as % of Gross loans Retail loan losses as % of Gross loans 0.1%

0.1%

0.0%

-0.1%

-0.1%

-0.2%

-0.2%

-0.3%

-0.3%

-0.4% Q1-15 Q2-15 Q3-15 Q4-15 Q1-16 Q2-16 Q3-16 Q4-16 Q1-17 Q2-17 Q3-17 Q4-17 Q1-18 Q2-18 Q3-18 Q4-18 Q1-19 Q2-19 Q3-19 Q4-19 Q1-20

Source: Bank report

DNB took NOK2.6 billion of provisions within oil-related exposures due to more negative outlook for the macro parameters, as well as deterioration in individual exposures. Although the bank has taken measures to reduce lending to oil, gas and offshore exposures, NOK 109 billion EaD (5.2% of EaD) at the end of March 2020 compared to NOK 167 billion (8.4% of EaD) in September 2015, and the industry has adapted to lower oil prices by reducing their cost base and debt burdens, the sector remains the bank's main source of asset risk volatility. In May 2020, Moody's reduced its medium-term oil price assumptions to $45-65/barrel. At this updated price range, we think DNB's exposures are manageable and we expect the bank's asset risk metrics within this segment to deteriorate only moderately from current levels.

DNB has assessed the effects of the Coronavirus and lower oil prices on its loan portfolio. In addition to the 5% EaD who are impacted by lower oil prices, DNB indicated that 17% of the portfolio could be partially impacted by the Coronavirus (Exhibit 4). These exposures are within tourism and cruise industry, manufacturing, retail industries, shipping, hotels and related commercial real estate. These sectors are affected to varying degrees and the speed of recovery will be important to assess the final loan losses. Government support measures, should support most companies over coming quarters, limiting the increase in the level of loan losses .

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Exhibit 4 Impact on DNB's loans portfolio

Oil price impact 5% Partial COVID-19 impact 17%

Limited impact 78%

Source: Company report

We view DNB's risk management and systems as robust, but our assessment of the bank's asset risk is constrained by its high borrower concentration. We understand this concentration is partly a function of DNB being the leading corporate bank in Norway, and this is also a typical feature at many Nordic banks. However, we believe such concentration poses material risk to DNB's asset quality as it potentially heightens the pace and the extent of any deterioration in asset quality.

DNB is exposed to Eksportfinans (Baa1 stable, baa3) via a 40% shareholding and a guarantee provided for the institution's portfolio, and a 20% stake in Luminor Bank AS (Baa1 stable, ba1). By decreasing its ownership from 50% in Luminor Bank through a sale to Blackstone group in 2019, DNB has reduced its exposures toward the Baltic countries, which have historically shown high asset risk volatility and elevated AML risks.

Capital will remain high and leverage compares well with peers At the end of March 2020, DNB's common equity Tier 1 (CET1) according to Basel III transitional rules was 17.5%, at the same level as a year earlier, however, lower than 18.3% as of December 2019. Risk-weighted assets increased by NOK68 billion from the year-end 2019 to NOK993 billion as of March 2020 mainly due to the weakening of the Norwegian krona and the negative migration related to the coronavirus' pandemic outbreak and the sharp drop of the oil price in the first quarter 2020.

The systemic risk buffer in Norway was increased to 4.5% from 3.0%, effective from 31 December 2020, which translates into a buffer of approximately 3% for DNB with its mixed international exposures. Furthermore to mitigate the risks linked to both crisis, the Norwegian regulators introduced a number of measures, with the Ministry of Finance reducing the countercyclical capital buffer requirement to 1% from 2.5% on 13 March 2020. As a result, the total CET1 requirement was 14.6% as of March 2020 with an additional 1% in Pillar 2 guidance (Exhibit 5).

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Exhibit 5 CET1 Capital Requirements

Pillar 1 Min Requirement Conservation Buffer Systemic Risk Buffer SIFI Buffer Countercyclical Buffer Pillar 2 Requirement Mgt Buffer / Pillar 2 Guidance SREP Requirement DNB CET1 - without trans. rules 20.0% 18.6% 20.0% 17.7% 18.0% 17.2% 18.0% 15.5% 16.1% 16.0% 1.0% 1.0% 16.0% 14.6% 14.6% 1.8% 2.0% 14.0% 1.9% 1.9% 14.0% 1.7% 2.1% 12.0% 0.8% 0.8% 12.0% 2.0% 2.0% 2.0% 2.0% 10.0% 10.0% 8.0% 3.0% 3.0% 3.0% 3.0% 8.0%

6.0% 2.5% 2.5% 2.5% 2.5% 6.0% 4.0% 4.0% 2.0% 4.5% 4.5% 4.5% 4.5% 2.0% 0.0% 0.0% YE 2018 YE 2019 Q1 2020 YE 2020

Source: Bank's reports and presentations

DNB's leverage ratio of 6.5% as of 31 March 2020 and compares well against international peers and is the highest among the largest Nordic banks. While it weakened from 7.4% in December 2019, this was partly due to higher volumes of central bank deposits, temporarily expanding the balance sheet.

Although the group's dividend policy remains unchanged, targeting a dividend pay-out ratio above 50% for 2019-2022, While the proposed dividend payment has already been deducted from the capital ratio, DNB has postponed the decision on whether to pay it until late 2020. The postponed dividends are equivalent to approximately 1.36 percentage points of CET1 ratio, assuming unchanged risk weighted assets compared with end of March 2020.

DNB's profitability is expected to remain positive in 2020 We expect the group's profitability in 2020 to weaken but remain positive as strong core earnings partly help mitigate the large loan loss provisions taken due to coronavirus-induced business closures and falling oil prices, higher unemployment and eroding consumer confidence. Net interest income accounted for almost 68% of the group's Q1 2020 revenues and remains the main driver of DNB's revenues. Despite the central banks rate cuts ('s has lowered the key policy rate by 150 basis points in 2020) we expect DNB to mitigate lower rates by maintaining increased margins. The reduced reference rate led to DNB's cumulatively lowered retail mortgages interest rates 85 bps since March 13.

The bank's net income to tangible assets decreased to 0.47% during the first three months of 2020, from 0.84% as of Q1 2019. During the first three months of 2020, net interest income increased by 10.3% year-on-year as a result of higher lending volumes and was positively affected by repricing. Net commissions and fees decreased by 3% year-on-year mainly due to reduced income from money transfers.

As of March 2020 DNB's operating expenses decreased by NOK126 million year-on-year due to lower costs related to salaries and other personnel expenses as well as impairment of a leasing contract of NOK116 million. DNB's cost-to-income ratio remains among the strongest in its European peer group with a three-year average of around 41%, reflecting good cost control.

As of March 2020, the bank's reported return on equity (ROE) was negatively effected by high impairment provisions due to both crisis and stood at 6.5% compared to 10.6% as of March 2019, and 11.3% as of December 2019. DNB's ROE target still remains at 12% for 2019-2022.

Despite the negative impact on DNB's profitability due to both crisis, we continue to view DNB's underlying profitability as strong, given its domestic franchise, enhanced by controlled cost increases and improved use of capital. We expect volumes in the personal customer and small business segments to continue to rise, which will increase DNB's net interest income by a compound annual growth rate of more than 4% over the next 12-18 months.

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High dependence on market funding, but DNB benefits from a solid deposit base and good access to local and international capital markets DNB's funding is underpinned by a solid deposit base, which comprises around 43% of total funding and 63% of the loan portfolio; the remainder consists of market funding. Interbank funding accounted for 30% of total market funding at end-March 2020. Covered bonds have represented a rapidly growing source of funding, and contributed one-fourth of market funding as of March 2020. We globally reflect the relative stability of covered bonds compared to unsecured market funding through a standard adjustment in our scorecard. Nevertheless, we note that extensive use of covered bond funding structurally subordinates senior creditors, including depositors.

DNB has good access to the capital markets, including extensive use of international funding. However, we note that the bank's dependence on market funding - albeit common for Nordic banks - could be a source of risk because, in times of market stress, market funds can become less cost-effective, exerting pressure on banks' net profitability. Since June 2018, DNB Boligkreditt has issued green bonds and green Covered Bonds, which will finance the most energy efficient residential properties in DNB Boligkreditt’s portfolio. In 2019 DNB has contributed €4 billion in the global sustainable bond market.

DNB’s MREL requirement, which was updated by by the Financial Supervisory Authority on 27 May 2020 set out that the Group holding company DNB ASA shall hold total MREL capital equal to 36.7% of risk weighted assets (adjusted for DNB Boligkreditt) based on the year end 2018 balance sheet, which resulted in an overall requirement for MREL eligible debt to at least equal NOK 157 billion. This minimum MREL requirement shall be met by 30 June 2020. Legacy senior unsecured debt issued by DNB Bank prior to 31 December 2019, with a minimum remaining tenor of one year, will qualify as MREL capital until 1 January 2024. As of 31 March 2020, qualifying debt with a minimum tenor of one year amounted to NOK 178 billion.

The bank's liquidity profile is supported by a relatively large liquidity buffer of NOK853 billion - 30% of reported total assets at end- March 2020. The reserve consists of: cash and deposits with financial institutions and central banks (68%), Norwegian bonds and fixed- income securities (31%) and shareholdings (1%).

Digitalisation DNB has been a front-runner in the European banking industry's digital journey, as illustrated by its pre-emptive launch of the Vipps mobile payment app in May 2015, three years before tech rivals Apple Pay and Google Pay became available to Norwegian consumers. To ensure large-scale adoption, DNB made Vipps available to the customers of all Norwegian banks from launch. In early 2017, it sold stakes in the platform to over 100 Norwegian lenders, retaining a 52% holding. The sale convinced some participating banks to shelve their own mobile payment offerings in favour of Vipps, which is now used by two-thirds of the Norwegian population.

In October 2019 DNB announced the launch, in partnership with Nordic API Gateway, of a new version of its mobile banking app that allows DNB customers and non-customers to access all personal and business accounts from across Norway. The partnership will allow DNB to take advantage of the opportunities created by the European Union's second Payment Services Directive (PSD2), which requires banks to share customer data with third parties at the customer’s request, and allows customers to initiate bank-to-bank payments. The app will allow DNB to have access to all Norwegian banks’ personal and business accounts, enabling it to tap into the large portion of Norwegians who bank with more than one financial institution.

In the first quarter of 2020 DNB's high degree of digitalisation has been very successful during the pandemic subsequent shutdown. The group demonstrated the advantages of its mobile bank app, digital platforms and its customer service though call centers with few branch offices in Norway. ESG considerations In line with our general view for the banking sector, DNB Bank has low exposure to environmental risks. However, DNB Bank's exposure to the oil, gas and offshore industries is an environmental risk that requires monitoring, particularly as the transition to low carbon economy accelerates. The bank's oil, gas and offshore exposure, although higher than local peers, is considered manageable at 5% of corporate banking (EAD) as of March 2020. Furthermore, Norway, similar to other countries in the European Union, has policies in place that ensure new housing constructed is energy-efficient, which enables banks to gather mortgages for asset pools for green bond issuances. Such policies also help limit environmental risks for Norwegian banks that have large mortgage lending portfolios. See our Environmental risk heat map for further information.

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Exhibit 6 Shipping exposure reduced by about 2/3 since 2012 and oil-related exposure by more than 40% since 2014 Shipping Oil-related 25 20 19 20 18 16 15 13 13 15 12 12 12 11 10 8 8 8

EAD, USD billion 5

0 2014 2015 2016 2017 2018 2019 Q1 2020 Source: The bank's presentation

We also regard the coronavirus outbreak as a social risk under our ESG framework, given the substantial implications for public health and safety. Other social risks in terms of customer relations or changes in consumer preferences are also relevant to the banking industry and DNB, given that the group does engage in retail activities. Overall, we believe banks face moderate social risks. See our Social risk heat map for further information.

Governance is highly relevant for DNB Bank, as it is to all players in the banking industry.Corporate governance weaknesses can lead to a deterioration in a company’s credit quality, while governance strengths can benefit its credit profile. Governance risks are largely internal rather than externally driven, and for DNB Bank, we do not highlight any particular governance issue. Nonetheless, corporate governance remains a key credit consideration and requires ongoing monitoring. Support and structural considerations The bank's Aa2 long-term deposit and debt ratings take into account (1) the a3 adjusted BCA; (2) an extremely low loss given failure for these instruments as analysed using our LGF framework resulting in a three-notch LGF uplift; and (3) our expectation of government support.

Loss Given Failure Norway implemented the EU's Bank Recovery and Resolution Directive (BRRD) on 1 January 2019, which confirms our current assumptions regarding LGF analysis. For our resolution analysis we assume residual tangible common equity of 3% and losses post- failure of 8% of tangible banking assets, a 25% run-off in “junior” wholesale deposits, a 5% run-off in preferred deposits, and assign a 25% probability to deposits being preferred to senior unsecured debt. We apply a standard assumption for the large European banks that 26% of deposits are junior.

Our forward-looking Loss Given Failure (LGF) analysis incorporates our expectations that DNB will issue additional loss-absorbing instruments, mainly in the form of non-preferred senior (NPS) debt, referred to as “junior senior” unsecured notes, in response to the framework for minimum requirements for own funds and eligible liabilities (MREL) that has been set by the Norwegian Financial Supervisory Authority (FSA). This new debt class is senior to subordinated debt and regulatory capital instruments, and junior to other ordinary senior unsecured claims. Such instruments facilitate loss-absorption via a conversion to equity or write-down in resolution, before senior creditors are affected. Our forward looking analysis incorporates the volumes of MREL eligible debt that DNB is required to have outstanding.

DNB's Aa2 long-term deposit and senior unsecured debt rating reflects our view that the enhanced volume of senior unsecured debt and underlying subordination, which benefits the position of senior unsecured debt, will be sustainable. For junior securities issued by DNB, our LGF analysis confirms a high loss-given-failure, given the small volume of debt and limited protection from more subordinated instruments and residual equity. We also incorporate additional notching for junior subordinated and preference share instruments reflecting the coupon features.

Government Support On 3 June 2019, we lowered our government support assumption to moderate from high for DNB. The bank has been designated by the regulator as a systemically important financial institution (SIFI), and is currently 34.2% owned by the Norwegian Ministry of Trade and Industry.

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This is consistent with our view of systemically important banks in the EU: while the implementation of the BRRD has reduced the likelihood of such banks being resolved with government support, we consider that even with the BRRD's resolution tools, effectively resolving such banks without causing contagion could be challenging. This accords with the remaining flexibility conferred by resolution authorities to minimize losses for senior creditors by bailing out banks once 8% of liabilities and own funds have absorbed losses.

For junior securities, we continue to believe that the probability of government support is low and that these ratings do not include any related uplift. Junior securities also include additional downward notching from the BCA reflecting coupon suspension risk ahead of a potential failure.

Counterparty risk ratings CRRs are opinions of the ability of entities to honour the uncollateralised portion of non-debt counterparty financial liabilities (CRR liabilities) and also reflect the expected financial losses in the event such liabilities are not honoured. CRRs are distinct from ratings assigned to senior unsecured debt instruments and from issuer ratings because they reflect that, in a resolution, CRR liabilities might benefit from preferential treatment compared with senior unsecured debt. Examples of CRR liabilities include the uncollateralised portion of payables arising from derivatives transactions and the uncollateralised portion of liabilities under sale and repurchase agreements.

DNB Bank ASA's CRR is positioned at Aa2/P-1. The counterparty risk rating of Aa2 reflects the Adjusted BCA of a3, three notches of uplift reflecting the extremely low loss-given failure from the high volume of instruments that are subordinated to CRR liabilities. The CRR also benefits from one notch of systemic support, resulting from our assumption of a moderate likelihood of government support. The short-term CRR is P-1.

Counterparty Risk Assessment CR Assessments are opinions of how counterparty obligations are likely to be treated if a bank fails and are distinct from debt and deposit ratings in that they (1) consider only the risk of default rather than both the likelihood of default and the expected financial loss suffered in the event of default and (2) apply to counterparty obligations and contractual commitments rather than debt or deposit instruments. The CR assessment is an opinion of the counterparty risk related to a bank's covered bonds, contractual performance obligations (servicing), derivatives (e.g., swaps), letters of credit, guarantees and liquidity facilities.

The CR Assessment of DNB Bank ASA is positioned at Aa2(cr)/P-1(cr). The counterparty risk assessment of Aa2(cr) reflects the Adjusted BCA of a3, three notches of uplift reflecting the extremely low loss- given failure from the high volume of instruments that are subordinated to CRA liabilities. The CRA also benefits from one notch of systemic support, resulting from our assumption of a moderate likelihood of government support. The short-term CRA is P-1(cr).

Source of facts and figures cited in this report Unless noted otherwise, all figures shown in this report are sourced from the company's latest annual and interim financial reports and our Banking Financial Metrics. These metrics are based on our own chart of account, and are adjusted for analytical purposes. Please refer to the documents entitled “Financial Statement Adjustments in the Analysis of Financial Institutions” published on 9 August 2018

About Moody's bank scorecard Our Scorecard is designed to capture, express and explain in summary form our Rating Committee's judgment. When read in conjunction with our research, a fulsome presentation of our judgment is expressed. As a result, the output of our Scorecard may materially differ from that suggested by raw data alone (though it has been calibrated to avoid the frequent need for strong divergence). The Scorecard output and the individual scores are discussed in rating committees and may be adjusted up or down to reflect conditions specific to each rated entity.

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Rating methodology and scorecard factors

Exhibit 7 DNB Bank ASA Macro Factors Weighted Macro Profile Very 100% Strong -

Factor Historic Initial Expected Assigned Score Key driver #1 Key driver #2 Ratio Score Trend Solvency Asset Risk Problem Loans / Gross Loans 2.0% aa3 ←→ a3 Quality of assets Sector concentration Capital Tangible Common Equity / Risk Weighted Assets 20.6% aa1 ←→ aa2 Expected trend (Basel III - transitional phase-in) Profitability Net Income / Tangible Assets 0.5% baa3 ←→ baa3 Return on assets Combined Solvency Score a1 a2 Liquidity Funding Structure Market Funds / Tangible Banking Assets 37.6% ba2 ←→ ba2 Term structure Liquid Resources Liquid Banking Assets / Tangible Banking Assets 26.8% a2 ←→ a2 Stock of liquid assets Combined Liquidity Score baa2 baa2 Financial Profile a3 Qualitative Adjustments Adjustment Business Diversification 0 Opacity and Complexity 0 Corporate Behavior 0 Total Qualitative Adjustments 0 Sovereign or Affiliate constraint Aaa BCA Scorecard-indicated Outcome - Range a2 - baa1 Assigned BCA a3 Affiliate Support notching 0 Adjusted BCA a3

Balance Sheet in-scope % in-scope at-failure % at-failure (NOK Million) (NOK Million) Other liabilities 1,346,646 47.9% 1,457,564 51.8% Deposits 1,087,432 38.7% 976,514 34.7% Preferred deposits 804,700 28.6% 764,465 27.2% Junior deposits 282,732 10.1% 212,049 7.5% Senior unsecured bank debt 239,686 8.5% 239,686 8.5% Dated subordinated bank debt 35,472 1.3% 35,472 1.3% Preference shares (bank) 17,995 0.6% 17,995 0.6% Equity 84,347 3.0% 84,347 3.0% Total Tangible Banking Assets 2,811,578 100.0% 2,811,578 100.0%

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Debt Class De Jure waterfall De Facto waterfall Notching LGF Assigned AdditionalPreliminary Instrument Sub- Instrument Sub- De Jure De Facto Notching LGF Notching Rating volume + ordination volume + ordination Guidance notching Assessment subordination subordination vs. Adjusted BCA Counterparty Risk Rating 21.0% 21.0% 21.0% 21.0% 3 3 3 3 0 aa3 Counterparty Risk Assessment 21.0% 21.0% 21.0% 21.0% 3 3 3 3 0 aa3 (cr) Deposits 21.0% 4.9% 21.0% 13.4% 2 3 2 3 0 aa3 Senior unsecured bank debt 21.0% 4.9% 13.4% 4.9% 2 1 2 3 0 aa3 Dated subordinated bank debt 4.9% 3.6% 4.9% 3.6% -1 -1 -1 -1 0 baa1 Non-cumulative bank preference shares 3.6% 3.0% 3.6% 3.0% -1 -1 -1 -1 -2 baa3

Instrument Class Loss Given Additional Preliminary Rating Government Local Currency Foreign Failure notching notching Assessment Support notching Rating Currency Rating Counterparty Risk Rating 3 0 aa3 1 Aa2 Aa2 Counterparty Risk Assessment 3 0 aa3 (cr) 1 Aa2(cr) Deposits 3 0 aa3 1 Aa2 Aa2 Senior unsecured bank debt 3 0 aa3 1 Aa2 Aa2 Dated subordinated bank debt -1 0 baa1 0 Baa1 (hyb) (P)Baa1 Non-cumulative bank preference shares -1 -2 baa3 0 Baa3 (hyb) Baa3 (hyb) [1]Where dashes are shown for a particular factor (or sub-factor), the score is based on non-public information. Source: Moody’s Investors Service

Ratings

Exhibit 8 Category Moody's Rating DNB BANK ASA Outlook Stable Counterparty Risk Rating Aa2/P-1 Bank Deposits Aa2/P-1 Baseline Credit Assessment a3 Adjusted Baseline Credit Assessment a3 Counterparty Risk Assessment Aa2(cr)/P-1(cr) Senior Unsecured Aa2 Subordinate -Dom Curr Baa1 (hyb) Pref. Stock Non-cumulative Baa3 (hyb) Commercial Paper P-1 Other Short Term (P)P-1 DEN NORSKE CREDITBANK Bkd Jr Subordinate Baa2 (hyb) DNB BANK ASA, NEW YORK BRANCH Outlook Stable Bank Deposits Aa2/P-1 Source: Moody's Investors Service

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CLIENT SERVICES

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13 10 June 2020 DNB Bank ASA: Update to credit analysis This document has been prepared for the use of Lene Bergwitz-Larsen and is protected by law. It may not be copied, transferred or disseminated unless authorized under a contract with Moody's or otherwise authorized in writing by Moody's.