Danske Bank A/S : Statement on principal adverse impacts of investment decisions on sustainability factors Danske Bank

Financial market participant Danske Bank A/S

(MAES062Z21O4RZ2U7M96)

Statement on principal adverse impacts of investment decisions on sustainability factors

28 June 2024

Contents
1.	Summary	3
2.	description of the principal adverse impacts on sustainability factors	5
2.1.	Measured and reported principal adverse impacts	5

3. Description of Policies to identify and prioritise principal adverse impact on

	sustainability factors	27
3.1.	Governance and organisational framework	27
3.2.	Methodologies	27
3.3.	Dataset used for reporting and margin of error	27
3.4.	Engagement policies	29
3.5.	References to international standards	29
4.	Historical Comparison	31
5.	Change Log	31

Page 2 of 31

1. Summary

Sammenfatning (DK),Tiivistelmä (FI)Sammanfattning (SE),Sammendrag (NO)

Danske Bank A/S, MAES062Z21O4RZ2U7M96, ("Danske Bank") considers principal adverse impacts of its investment decisions on sustainability factors. The present statement is the consolidated statement on principal adverse impacts on sustainability factors of Danske Bank. This statement on principal adverse impacts on sustainability factors covers the reference period of 1 January 2023 to 31 December 2023. Principal adverse impacts are addressed through our managed investment products according to their materiality and type, as well as the nature and commitments of the products, and measured through mandatory and other indicators outlined in the Delegated Act (EU) 2022/1288 under the Sustainable Finance Disclosure Regulation 2019/2088 (EU).

The principal adverse impact indicators relate to investments in both investee companies, sovereigns/supranationals and real estate assets. Danske Bank does not invest in real estate, meaning these indicators are not of relevance to this statement. Below table summarises our reported adverse impacts for year 2023. The impacts of the adverse impacts have been prioritised through the general approach applied at firm level, and strategy specific commitments. In addressing the adverse impacts we have used a set of tools available to us as an asset manager (Inclusions, Exclusions and Active ownership). Further information on the "impacts" and "actions taken" can be found in the "Description of the principal adverse impacts on sustainability factors" of this statement.

SUMMARY OF IMPACTS

Indicators applicable to investee companies

	Adverse Sustainability Indicator				Metric		Impact 2023
					Scope 1 GHG Emissions				1,905,313 tCO2e
			GHG Emissions (1,1)
					Scope 2 GHG Emissions				444,917 tCO2e
					Scope 3 GHG emissions				21,240,034 tCO2e
					Total GHG emissions				23,590,264 tCO2e
			Carbon Foot print (1,2)	Carbon Footprint				334 tCO2e/m€ invested
			GHG Intensity (1,3)	GHG Intensity				877 tCO2e/m m€ of
						revenue (66%)
			Share of investments in	Share of investments in companies active in the fossil fuel	5% share of investments
	GHG Emissions		in companies in the fossil
		companies in the fossil fuel		sector
						fuels sector
			sector (1,4)
			Share of non-renewable	Share of non-renewable energy consumption and non-	Non-renewable energy
			energy consumption and		renewable energy production of investee companies from	consumption: 55% share
			production (1,5)		non-renewable energy sources compared to renewable
						energy sources, expressed as a percentage of total	Non-renewable energy
						energy source				production: 2% share
			Energy consumption intensity	Energy consumption in GWh per million EUR of revenue of	Page 11
			per high impact climate		investee companies, per high impact climate sector
			sector (1,6)
			Investments in companies	Share of investments in investee companies without	39% without initatives
			without carbon emission		carbon emission reduction initiatives aimed at aligning
			reduction initiatives (2,4)		with the Paris Agreement
			Activities negatively affecting	Share of investments	in	investee	companies with	0.01% with negative
			impact on biodiversity
			biodiversity-sensitive areas		sites/operations located	in	or near	to biodiversity -
	Biodiversity
		(1,7)			sensitive areas where activities of those investee
						companies negatively affect those areas
						Page 3 of 31

SUMMARY OF IMPACTS

Indicators applicable to investee companies

	Adverse Sustainability Indicator				Metric			Impact 2023
	Water		Emissions to water (1,8)	Tonnes of emissions to water generated by investee	0.03 tons / m€ invested
						companies per million EUR invested, expressed	as a
						weighted average
			Hazardous waste and	Tonnes of hazardous waste and radioactive	waste	8 tons / m€ invested
	Waste		radioactive waste ratio (1,9)		generated by investee companies per million EUR invested,
						expressed as a weighted average
			Violations of UN Global	Share of investments in investee companies that have	0.03% involved in
			violations
			Compact principles and		been involved in violations of the UNGC principles or OECD
			Organisation for Economic		Guidelines for Multinational Enterprises
			Cooperation and Development
			(OECD) Guidelines for
			Multinational Enterprises
			(1,10)
			Lack of processes and	Share of investments in investee companies without	9% share of investments
			compliance mechanisms to		policies to monitor compliance with the UNGC principles
			monitor compliance with UN		or OECD Guidelines for Multinational Enterprises or
	Social and		Global Compact principles		grievance/complaints	handling mechanisms to address
		and OECD Guidelines for		violations of the UNGC principles or OECD Guidelines for
	employee
		Multinational Enterprises		Multinational Enterprises
	matters
		(1,11)
			Unadjusted gender pay gap	Average unadjusted gender pay gap of investee companies	4% pay gap
			(1,12)
			Board gender diversity (1,13)	Average ratio of female to male board members in investee	31%	ratio	(female
			directors (total directors)
						companies, expressed	as a percentage of all	board
						members
			Exposure to controversial	Share of investments in investee companies involved in the	0% involvement
			weapons (anti-personnel		manufacture or selling of controversial weapons
			mines, cluster munitions,
			chemical weapons and
			biological weapons) (1,14)
			Insufficient whistleblower	Share of investments in entities without policies	on the	0.2% share of investments
			protection (3,6)		protection of whistleblowers
			Lack of a human rights policy	Share of investments in entities without a human rights	16% lacks a Human Rights
			policy
			(3,9)			policy
			Indicators applicable to investments in sovereigns and supranationals
	Environmental		GHG Intensity (1,15)	GHG intensity of investee countries		32 tCO2e / m€ of m€ of
			country's GDP
			Investee countries subject to	Number of investee countries subject to social violations	63	investee	countries
			subject to violations
			social violations (1,16)		(absolute number and relative number divided by all
	Social					investee countries), as referred to in international treaties
					and conventions, United Nations principles and, where
						applicable, national law
			Average corruption score	Measure of the perceived level of public sector corruption	0.24	average	corruption
			score
			(3,21)			using a quantitative indicator.
			Non-cooperative tax	Investments in jurisdictions on the EU list of non-		0.03	% non-cooperative
				jurisdictions
			jurisdictions (3,22)		cooperative jurisdictions for tax purposes
	Governance
		Average rule of law score	Measure of the level of corruption, lack of fundamental	0.27 average rule of law
			score
			(3,24)			rights, and the deficiencies in civil and criminal justice
						using a quantitative indicator.

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2. DESCRIPTION OF THE PRINCIPAL ADVERSE IMPACTS ON SUSTAINABILITY FACTORS

By "principal adverse impacts" is meant the negative, material or likely to be material effects on sustainability factors caused, compounded by or directly linked to Danske Bank's investment decisions as defined by principal adverse impact indicators. Sustainability factors include environmental, social and employee matters, respect for human rights, anti‐corruption, and anti‐bribery matters. Danske Bank works from the belief that by measuring and reporting the principal adverse impacts of our investments, we are best positioned to monitor and steer the overall sustainability performance of our portfolios. Danske Bank aims to ensure that the impacts are managed in accordance with the expectations and the needs of our customers. This means that we prioritise the management of our principal adverse impacts according to their materiality and type, in line with our commitments and the strategies of the investment products that we manage.

In addressing the impacts, we as an asset manager have three main tools at our disposal: 1) Inclusion of investments, 2) Exclusion of investments and 3) Active Ownership1. The criteria and frameworks relating to these key processes are outlined in our Inclusion Instruction, Exclusion Instruction and Active Ownership Instruction published at:

https://danskebank.com/sustainability/publications-and-policies/sustainability-related-disclosures

For further information, see the "actions taken" in the section below.

2.1. Measured and reported principal adverse impacts

With this statement, Danske Bank reports the principal adverse impacts of our investments on sustainability factors in accordance with Article 4 of Regulation (EU) 2019/2088 on sustainability-related information in the financial sector ("SFDR"). The report covers 16 mandatory principal adverse impact indicators ("PAI indicators") (as set out in Table 1 of Annex I, Table 1, No. 1-16, of the Commission Delegated Act (EU) 2022/1288) as well as the following six additional PAI indicators selected by Danske Bank:

• Investments in companies without carbon emission reduction initiatives (indicator 2,4)
• Insufficient whistleblowerprotection (indicator 3,6)
• Lack of a human rights policy (indicator 3,9)
• Average corruption score (indicator 3,21)
• Non-cooperativetax jurisdictions (indicator 3,23)
• Average rule of law score (indicator 3,24)

We report our principal adverse impacts against the PAI indicators as an average for the reference period.

The PAI indicators are linked to different assets with some indicators only relevant for investee companies, some for sovereigns and supranationals, and some for real estate assets. The impacts are measured against assets under management (AuM) by Danske Bank2. This means that the reported impacts are based on the total value of Danske Bank's investments in securities and financial contracts made as part of our portfolio management activities for clients, including brances and regional activities3.

1Whether and how an inclusions, exclusions and active ownership are applied in the management of an investment product may be dependent on

the strategy of the given product as further described in the pre-contractual disclosures of that product. For those strategies that consider principal adverse impacts of investments on sustainability factors, impacts are managed through exclusions and active ownership activities. This may be supplemented by inclusion criteria that further addresses specific principal adverse impacts.

2 When a managed fund-of-funds or other multi-asset product is invested into another managed fund, only the positions of the underlying fund are counted into the calculation.

3 For information on the principal adverse impacts of the investment decisions on sustainability factors made by subsidiaries m anaged by Danske

Bank A/S that are equally considering and reporting on principal adverse impacts, reference is made to the statements individually published by: Danske Invest Management A/S, Danske Invest Asset Management AS, Danske Invest Fund Management Ltd and Danica Pension Livsforsikringsaktieselskab.

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For year 2023, the average total value of Danske Bank's AuM (all investments) applied for the calculation of principal adverse impacts was around EUR 84 bn. For further information on the measured impacts, see the "impacts" column in the table below.

Information on how to understand the scale of the reported impacts is available in our Reading Guide published on:

https://danskebank.com/sustainability/publications-and-policies/sustainability-related-disclosures

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Adverse Sustainability indicator

Table 1: Indicators applicable to investments in investee companies

Metric	Impact year 2023	Impact year 2022	Explanation

Climate and other environment related indicators

Actions taken and actions planned and targets set for the next reference period

	Emissions
		(1,1)
			GH G Emissions
	.GHG

Scope 1 GHG Emissions	1,905,313 tCO2e (66%)	1,708,121 tCO2e (63%)
Scope 2 GHG Emissions	444,917 tCO2e (66%)	435,328 tCO2e (63%)
Scope 3 GHG Emissions	21,240,034 tCO2e (66%)	17,670,738 tCO2e (63%)

Total GHG emissions

23,590,264 tCO2e (66%) 2,143,450 tCO2e (63%)

Calculation: GHG emissions are calculated as Scope 1, Scope 2, Scope 3 emissions in investee companies expressed in tons of CO2 equivalent. The calculation is done by calculating our share in the investee company in relation to enterprise value which is then multiplied with the company's emissions and aggregated for all investments.

Investment and data coverage: Eligible investments made up 82% of all investments. Of these eligible investments, data coverage was 80% which is approximately 66% of all investments.

Data assumptions and quality: The data used is based on company- as well as estimated numbers from ISS ESG. Where GHG emission data was not available on an investee company through reported figures and/or information received from ISS ESG no further assumptions have been applied on the data. Given the lack of company disclosures, Scope 3 GHG emissions are subject to more estimations than Scope 1 and 2. Measured by the PCAF quality score, ranging from 1-5where 1 is the highest quality the weighted score for issuers with data coverage was 2.8 for the Scope 3 emissions, compared to 1.3 for scope 1 and 2. Of the Scope 3 emissions, close to 30 percent of the portfolio had the lowest quality score of 5. Significant uncertainties therefore exist in relation to data reliability for Scope 3, which together with high volatility impact the reported impacts.

Severity of impacts: Anthropogenic (man-made) emissions contribute to global warming. Once emitted, emissions stay in the atmosphere. The emissions occur continuously and the probability of occurrence is thus to be regarded as certain. Given

Company commitment: As a signature to the Net Zero Asset Manager's Initiative, Danske Bank is committed to contribute to the goals of the Paris Agreement and to achieve Net Zero Carbon emissions by 2050. We have published a Net Zero Roadmap with interim AuM carbon reduction targets for 2025 and 2030. This includes also Science Based Targets initiative (SBTi) based temperature rating targets for listed equities and credits to further guide climate efforts and enhance

transparency on progress towards becoming net zero. Our progress and actions taken to address these targets are reported in the Climate Action Plan Progress Report for 2023 for Danske Bank,

available through below link: https://danskebank.com/sustainability

While the Climate Action Plan Progress Report outlines actions assumed by Danske Bank to address theseverity of thisindicator the impacts demonstrated in the report, may vary from what is reported in this statement as a result of the number of assets in scope.

Inclusions: Selected investments products apply inclusion criteria set out in the Inclusion Instruction, including climate- related inclusions. In 2023 a new private equity fund, was launched by Danske Invest with inclusion criteria tied to renewable energy generation and reduction of green house gas emissions. Also, Danske Bank

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Table 1: Indicators applicable to investments in investee companies

Adverse Sustainability indicator	Metric	Impact year 2023	Impact year 2022	Explanation

Climate and other environment related indicators

Actions taken and actions planned and targets set for the next reference period

the effects of global warming on the environment and societies, emissions are considered severe. Given the lack of carbon capture technologies, emissions are considered irremediable.

				Carbon Foot print	334 tCO2e / m€ invested	322 tCO2e/m€ invested	Calculation: Carbon footprint is calculated as the
					(66%)	(63%)	total GHG emissions (Scope 1, 2, & 3) expressed as
							a ratio for all investments meaning that "Per million
							EUR in vested" is calculated by dividing the sum of
							emissions by total value of investments.
							Investment	and	data	coverage:	Eligible
							investments made up 82% of all investments. Of
		Carbon footprint					these eligible investments data coverage was 80%,
						which is approximately 66% of all investments.
		(1,2)					Data assumptions and quality: The data used is
							based on company- as well as estimated numbers
							from ISS ESG. Where carbon emission data was
							not available	on an	investee company	through
							reported figures and/or information received from
							ISS ESG it has effectively been assumed that
							investee companies without data have the carbon
							footprint of the investee companies with data. For
							further information see indicator 1.
				GHG Intensity of	877 tCO2e/m m€ of	951 tCO2e/ m€ of revenue	Calculation: GHG Intensity is calculated as the total
				investee companies	revenue (66%)	(63%)	GHG Intensity (Scope 1, 2 & 3) for all investments,
							by aggregating the GHG intensity of all investee
		GHG Intensity					companies (i.e., GHG emissions in metric tonnes
							per million EUR revenue), with each weighted by the
		(1,3)					relative share of the respective investment in the
							overall portfolio of our investments.	Eligible
							Investment	and	data	coverage:
							investments made up 82% of all investments. Of

offers a number of funds following a Paris- Aligned Benchmark (PAB) or Climate Transition Benchmark (CTB). Further information on these inclusion criteria and other criteria tied to climate is available in our Inclusion Instruction.

Active Ownership: Active ownership

activities were governed under our Active Ownership Instruction and underlying guidelines on voting. During 2023, more than 400 company engagements were logged in relation to thethemeof climate and environment. Adverse sustainability impact indicators may however have been engaged with broader engagement activities. Multiple topics may have been discussed in

1. single engagement interaction. Reference is also made to our Active Ownership Report for 2023 available at:https://danskebank.com/sustainability/publications-and-policies/sustainability-related-disclosures

As part of our Net Zero Roadmap Danske Bank is committed to engage with the top 100 emitters of our portfolio by 2025. As of end of year 2023 wehavereached out to 37 issuers in relation to these targets. For voting, it follows from our Voting Guidelines that we generally support reasonable

shareholder proposals relating to management of climate transition risks. This can be done e.g. by supporting proposals related to climate risks or by voting against weak transition plans presented by the board. For the number of proposals in 2023 tied to the indicator of GHG emissions, see our Active Ownership Report.

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Table 1: Indicators applicable to investments in investee companies

Adverse Sustainability indicator	Metric	Impact year 2023	Impact year 2022	Explanation

Climate and other environment related indicators

Actions taken and actions planned and targets set for the next reference period

these eligible investments data coverage was 80%,

which is approximately 66% of all investments.

Data assumptions and quality: The data used is

based on company- and estimated numbers from

ISS

ESG. Where

GHG Intensity data was

not

available on an investee company through reported

figures and/or information received from ISS ESG it

has

effectively been

assumed

that

investee

companies without data have the GHG Intensity of

the investee companies with data. For further

information see indicator 1.

Share of investments in

5% share of investments in

4% share of investments in

Calculation: Share of investments in companies

companies active in the

companies active in the

companies active in the

active in the fossil fuel sector is calculated as the

fossil fuel sector

fossil fuels sector (66%)

fossil fuels sector (62%)

share of such companies against all investments.

Investment

and

data

coverage:

Eligible

investments made up 82% of all investments. Of

these eligible investments data coverage was 80%,

which is approximately 66% for all investments.

Data assumptions and quality: The data used is

based

on

companies'

business

Exposure to

activities/operations and is subject to a low degree

companies active in

of estimations. Investments for which such data

the fossil fuel sector

was not available

were considered

as companies

(1,4)

without exposure to the fossil fuel sector.

Severity of impacts: Fossil fuel companies are the

main contributors to climate change. Investee

companies active in the fossil fuel sector, generally,

have fossil-related activities as their core business

activity and the probability

of occurrence is thus

regarded as

certain. Given the effects of

global

warming on the environment and societies, fossil

fuel involvement effects are considered

to

be

severe. Given the lack of carbon

capture

technologies,

emissions

are

considered

irremediable.

Share of non-renewable

Non-renewable energy

Non-renewable energy

Calculation: The

impacts

are

calculated

by

energy

consumption

consumption: 55% share

consumption: 64% share

aggregating

the

percentage of

non-renewable

and

non-renewable

(28%)

(24%)

energy consumption

and

production

(i.e.,

non

energy

production of

renewable energy sources divided by total energy

investee

companies

sources) of investee companies, with each

such

Exclusions: The majority of the internally managed investments of Danske Bank have base (firm wide) exclusions on thermal coal, tar sands and peat-fired power generation as governed underour Exclusion Instruction. Further, climate considerations are at focus in our proprietary Enhanced Sustainability Standard Screening. As an average for the year, 362 companies have been on the thermal coal exclusion list, 22 companies for tar sands, 0 companies for peatfired power generation. Under the Enhanced Sustainability Standards Screening, 62 companies have been on the exclusion list for being identified to have high climate change contribution and 36 companies for harmful environmental practices. In addition, certain Danske Invest labelled funds managed by Danske Bank have had extended exclusions relating to fossil fuel

exclusions. For companies having

significantly weak performance on indicators tied to GHG emissions, pre-trade warnings have been set up for a vast part of our managed portfolios in relation to investments into these companies.

Planned actions for year 2024: In the

beginning of 2024, Danske Bank communicated a new Fossil Fuel Transition Strategy setting out our approach for investing in companies in the fossil fuel sector. Danske Bank will in 2024 initiatethe implementation of the strategy. Further information on the scope and approach of the Fossil Fuel Transition Strategy is available in our Position Statement on Fossil Fuels dated February 2024 and published on:

Page 9 of 31

Table 1: Indicators applicable to investments in investee companies

Adverse Sustainability indicator	Metric	Impact year 2023	Impact year 2022	Explanation

Climate and other environment related indicators

Actions taken and actions planned and targets set for the next reference period

from

non-renewable

Non-renewable energy

Non-renewable energy

percentage weighted by the relative share of the

energy

sources

production: 2% share

production: 2% share

relevant investment.

compared to renewable

(64%)

(61%)

Investment

and

data

coverage:

Eligible

energy

sources,

investments made up 82% of all investments. Of

expressed

as

a

these eligible investments data coverage was 35%

Share of non-

percentage

of

total

on non renewable energy consumption and 78%

renewable energy

energy sources

for non-renewable energy production, which is 28%

consumption and

and 64%, respectively, of all investments.

production (1,5)

Data assumptions and quality: The data used is

primarily based on company disclosures

but with

certain estimations applied by ISS ESG. Where

data was

not available on an investee company

through reported figures and/or information

received from ISS ESG, the weighted average

percentage of non-renewable energy consumption

and production of the investee companies with

available data has been applied.

Severity of impacts: Non-renewable

energy

consumption/production are core drivers of

climate change. As companies are

directly

confirming their consumption/production of non-

renewable energy, the probability of occurrence is

regarded

as certain. Given the adverse effects of

global

warming,

non-renewable

energy

consumption/production

is

considered

severe.

Given the lack of carbon-capture technologies,

emissions are considered irremediable.

Energy consumption in

A: Agriculture forestry

A: Agriculture forestry and

Calculation: The impacts are calculated by

GWh per million EUR of

and fishing: 0.2 GWh / m€

fishing: 0.2 GWh / m€ of

aggregating for each high impact climate sector

revenue of investee

of revenue

revenue

(NACE Level 1) all

relevant

investee companies'

companies, per high

B: Mining and quarrying:

B: Mining and quarrying.:

energy consumption intensities, with each intensity

impact climate sector

weighted by the relative share of the relevant

Energy consumption

0.6 GWh / m€ of revenue

0.6 GWh / m€ of revenue

(6)

investment in of our investments in that sector.

intensity per high

C: Manufacturing: 0.3

C: Manufacturing: 0.4

Investment

and

data

coverage:

Eligible

impact climate sector

GWh/ m€ of revenue

GWh / m€ of revenue

(1,6)

investments made up 82% of all investments. Of

D: Electricity gas steam

D: Electricity gas steam

these eligible investments data coverage was up to

40% depending on the sector.

and air conditioning

and air conditioning supply

supply: 2 GWh/ m€ of

2. GWh / m€ of

Data assumption and quality: The data used is

revenue

revenue

based on company disclosed

data. There is a low

degree of

company

disclosed numbers for this

https://danskebank.com/sustainability

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