Nordea

For Professionals Only*

* investing for their own account - according to MiFID definition

Nordea 1 –US Total Return Bond FundISIN: LU0826413865 (BI – USD) ISIN: LU0826414673 (BP – USD)

November 2012

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For Professionals OnlyNordea multi-boutique approachInternal and external boutiques

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For Professionals Only

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Table Of Contents• Why Mortgages?

• What are MBS?

• MBS – Market Overview

• Process and Philosophy

• Security selection and scenario analysis

• Investment Guidelines

• MBS in a portfolio context

• DoubleLine Capital LP

• DoubleLine Capital LP Track Record

• Appendix

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Why Mortgages?

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• There are very few players and it is an under researched market

• 80% of the market is government guaranteed

• Attractive Yields - During a low yield environment, mortgages offer attractive yields

• Lower volatility - Mortgages have historically had lower volatility than other

investment grade credits

• A well diversified investment universe- Sub-sector variety allows for portfolio flexibility during most interest

rate environments

• Low correlation with other fixed income assets

• No ETFs or trackers for the non agency part or the mix Agency/Non Agency

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What are MBS?

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What are MBS?

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• Mortgage Backed securities are:- Bonds whose collateral is tied to the US Housing Market and the individual home owners

• Security types will include Agency and Non-Agency: Pass through bonds and CMO (Collateralized Mortgage Obligation) mainly

• Credit quality of the home owners include Prime, Alt–A and Sub-prime according to the market definition of FICO* (Fair Isaac Corporation)

• The majority of the agency bonds carry a high credit rating of AAA/AA since they are guaranteed by the US government

• The Non-Agency MBS ratings span the entire credit spectrum (AAA-D)

• A bond will typically be D-rated (default) if just 1 of the underlying home owners doesn’t prepay the full principal

*Definition in appendix.

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For Professionals OnlyTypical MBS cash flow

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For Professionals OnlyTypical MBS CMO cash flow

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Size of the U.S. Mortgage Market in broad Index

Source: Barclays Live. The breakdown is demonstrated by the Barclay’s U.S. Aggregate Index as of the dates indicated above.

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MBS – Market Overview

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MBS – Market Overview

Mortgage Debt

Non-Agency MBS~20% (USD 1.5trn)

For illustrative purposes only. Assumes continued support from Government Sponsored Entities (GSE). Source: DoubleLine Capital LP

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Conforming Loan Borrower:

• Loan balance <$417,000

Backed by GNMA, FNMA and FHLMC

• Agency guarantee; Fannie Mae, Freddie Mac and Ginnie Mae

Potential Risks:

• Prepayment risk

• Interest rate risk

• No credit risk

Non - conforming loans

• Loan amount is larger than $417,000, also known as “jumbo loans”

Privately issued mortgages

• No government implied guarantee

Potential Risks:

• Default risk

• No prepayment risk. Prepayment “reward”

• No interest rate risk. Priced at discounts.

Agency MBS~80% (USD 7trn)

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Process and Philosophy

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Investment Objective & Philosophy

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Investment Approach• Invests in, but is not limited to, Agency and non-Agency

mortgage-backed securities.- Agency mortgages have an implied government guarantee- Non-agency emphasizes Prime and Alt-A pools

- Senior tranches with appropriate subordination

• Seeks to exploit pricing dislocations within the mortgage subsectors.

• Long-term investment horizon.

• Successful management of mortgage portfolios is labor and data intensive. DoubleLine Capital LP (“DoubleLine”) possess an experienced team of portfolio managers, traders, analysts and information systems specialists devoted to the mortgage sector.

PhilosophyThe objective is to seek to maximize total return.

DoubleLine’s portfolio management team believes the most reliable way to enhance returns is to exploit inefficiencies within the subsectors of the mortgage market while maintaining active risk management constraints.

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For Professionals OnlyDoubleLine MBS Strategy

Opportunity to deliver high income in a portfolio designed to offset risk

Positive Duration - Agencies

Agency mortgage securities are issued, guaranteed, or supported by government agencies, instrumentalities or Government-Sponsored Enterprises (GSEs), including Fannie Mae, Freddie Mac , or Ginnie Mae.

Negative Duration – Non-Agencies Neutral Duration Scenario

Non-Agency mortgage securities are issued by financial companies and banks not associated with a government agency and have no credit guarantee or support. DoubleLine believes these securities have attractive yields relative to other fixed income sectors.

Combining Agency MBS and Non-Agency MBS may provide a more level or neutral duration scenario, which could be effective in diversifying the portfolio’s duration risk.

DefaultRisk

PrepaymentRisk

InterestRate Risk

DefaultRisk

PrepaymentRisk

InterestRate Risk

DefaultRisk1

PrepaymentRisk

InterestRate Risk

Blending Agency and Non-Agency MBS may reduce some “tail risk” exposure.

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1. Assumes continued support from Government Sponsored Entities (GSEs).Source: Amherst Securities Group, Bloomberg Financial, DoubleLine Capital as of August 31, 2012.

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For Professionals OnlyUp and Down Markets

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Source: DoubleLine Capital LP. Date: 30.04.2010-31.05.2012. Past performance is not a reliable indicator of future results and investors may not recover the full amount invested. The value of shares can greatly fluctuate as a result of the strategy's investment policy and is not guaranteed. If the base currency of the strategy differs from the investor's reference currency the represented performance might vary due to currency fluctuations. The Nordea 1 - US Total Return Bond Fund uses the same investment process as the Double Line Total Return MBS Composite. However, there is no guarantee that using the same investment process will produce similar returns since the Nordea 1 sub-fund has specific limits and restrictions, and the result might differ from the composite used for illustration purposes. For further information on the composite please refer slide 33. The sub-fund does not have any official reference index. However, for comparison purposes, we have shown the Barclays Capital US Aggregate Bond Index performance which is one of the possible benchmarks for a MBS portfolio

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Investment Process

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Qualitative

Thorough analysis of market trends and in-depth research contribute to affirmingsubsector opportunities and assessing risk exposure.

• Daily risk and analytics reporting

• Daily informal discussions

• Research includes loan level detailed analysis: Defaults, delinquencies, geographies, etc.

Quantitative

Bottom-up security selection based on experience:

• Prepayment methodologies

• Method of “stress testing” securities across differentiated interest rate scenarios

• Subsector tactical allocation decisions at the portfolio level

• DoubleLine’s technology platform seeks to create efficiency Source: DoubleLine Capital LP

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For Professionals OnlyMBS Investment Decision Process

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Final MBS subsector allocation decisions are determined by Jeffrey Gundlach

• All PM’s discuss and implement Top-Down Allocation Decision

MBS Security Selection is a Bottom-Up process with extensive scenario analysis

• All PM’s and Traders run analysis, compare results make purchase/sell decision

Source: DoubleLine Capital LP

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For Professionals OnlyInvestment Process: Active Management

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Sub-sector variety allows for portfolio flexibility during most interest rate environments

• Interest rates down – longer duration mortgages and securities favoringhigher prepays

• Interest rates up – shorter duration mortgages and securities with limited extension risk

Sub-sector rotation can be used for hedging, balancing or barbelling a portfolio

• Cash

• Agency Passthroughs

• Agency CMO

• Non-Agency Residential MBS

• CMBS

Duration plays

• Agency vs. Non-Agency


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Security selection and scenario analysis

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Scenarios Base Worse BetterPrepayment Speed 6 CPR 4 CPR 8 CPRDefault Rate 7 CDR 8 CDR 6 CDRSeverity (%) 60% 65% 55%Yield (%) 7.0% 5.4% 8.5%WAL 6.3 years 6.6 years 5.9 yearsWritedown (%) 22.3% 30.9% 15.2%Collateral Loss (%) 23.5% 30.8% 17.5%Collateral Liquidation (%) 39.2% 47.3% 31.8%

Source: Intex, DoubleLine ResearchSample Security Analysis is used for representative purposes only.

Scenario based security analysis process

Scenarios BaseRising Rate Falling Rate

Prepayment Speed 15 10 35LIBOR 0.25 2.00 0.25Yield (%) 8.05% 7.89% 2.16%

WAL 1.95 8.91 0.46

Price $98.31 $80.88 $102.00

Principal Window Date 05/15/12 -11/15/41

05/15/12 -11/15/41

05/15/12 -03/15/13

Non Agency Agency

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Investment Guidelines

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• Min. 67% of total assets must be issued in USA or its territories

• All instruments must be issued in USD

• Min. 50% of total assets must have a minimum rating of AA-/Aa3/AA-

• Min. 66.7% of total assets must have a minimum rating of BBB-/Baa3/BBB- from Standard & Poor's, Moody's or Fitch, respectively

• Max 20% of total assets can be invested in D-rated or non-rated securities, or securities not rated by above-mentioned rating agencies

• The portfolio manager may not invest in or hold securities backed exclusively by sub-prime borrowers. These instruments are defined as instruments where the weighted average FICO score of the collateral is lower than 675

• The portfolio manager may invest max. 10% of total assets in subordinated or mezzanine tranches of non-agency mortgage bonds

• The portfolio manager may not buy or hold bank loans, convertible bonds, repo agreements, equities (unless as a result of a corporate action), funds or ETF's

• Cash is max 20%

Investment Guidelines

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MBS in a portfolio context

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For Professionals OnlyBetter risk return profile

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*Since Inception of the first full month of the DoubleLine Total Return Composite, May 1, 2010 through June 30, 2012. An Investment cannot be made directly in an index.

Past performance is not a reliable indicator of future results and investors may not recover the full amount invested. The value of shares can greatly fluctuate as a result of the strategy's investment policy and is not guaranteed. If the base currency of the strategy differs from the investor's reference currency the represented performance might vary due to currency fluctuations. The Nordea 1 - US Total Return Bond Fund uses the same investment process as the Double Line Total Return MBS Composite. However, there is no guarantee that using the same investment process will produce similar returns since the Nordea 1 sub-fund has specific limits and restrictions, and the result might differ from the composite used for illustration purposes. For further information on the composite please refer to slide 33. The sub-fund does not have any official reference index.

DoubleLine Total Return MBS Composite

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Non-Agency MBS

Today certain sectors of the RMBS market are very attractive on a relative and absolute basis

Yield‐to‐Maturity

Non‐Agency MBS 5% ‐ 7% *

Investment Grade Credit 3.0%

High Yield Credit 6.7%

Emerging Markets Fixed Income 4.5%

World Government ex US 0.9%

U.S. Treasury 0.9%

Source: Loan Performance. Data as of August 31, 2012.BofA/Merrill Lynch Indices, DoubleLine Capital LP yields may not be reached based on various factors.* DoubleLine Capital yield estimates: There is no guarantee that the presented estimates will be met.

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Historical risk and return of the MBS market

None of the MBS indices include the Non Agency part of the investment universe

The asset class offers attractive correlations

US MBS only correlated to US treasuries and have historically also offered attractive risk adjusted returns

The asset class have benefitted from the falling interest rates in the USAn investment in US MBS’ offer a European investor an attractive low risk diversifier compared to the classic credit markets – IG, HY and EMD

5 Y Correlations US MBS EMD HC EMD LC

EMD Corp EU IG US IG US HY EU HY GL HY

US 5Y Gov

US MBS 1 38% 18% 39% 36% 53% -6% -3% 3% 80%

5 Year(annualized) US MBS EMD HC EMD LC

EMD Corp EU IG US IG US HY EU HY GL HY

US 5Y Gov

Return 6.6% 10.1% 9.3% 7.9% 5.2% 8.0% 9.6% 8.1% 9.3% 7.4%

Risk 2.9% 11.0% 15.2% 11.5% 4.6% 6.8% 14.1% 16.8% 15.0% 5.0%

Return/Risk 2.28 0.92 0.61 0.69 1.13 1.18 0.68 0.48 0.62 1.48

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Source: Nordea Asset Management. Date: May 2012

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Rolling 5-Year Volatilities of Investment Grade Bond Sectors and High Yield

Source: Bloomberg, Barclays Indices Standard Deviation (Sigma) = It shows how much variation there is from the “average” (mean, or expected/budgeted value). A low standard deviation indicated that the data point tend to be very close to the mean, whereas high standard deviation indicated that the date is spread out over a large range of valuesAn investment cannot be made directly in an index.

Historically, mortgages have had lower volatility than other investment grade credits

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DoubleLine Capital LP

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DoubleLine Capital LP – the sub-managerFirm overview

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Reputation

• Known in the investment community for disciplined, fundamentally-driven bond selection

• DoubleLine’s team has been widely acclaimed for its management skills across a range of fixed income portfolios including during the global credit crisis

Experience

• DoubleLine’s Mortgage senior portfolio managers average; 28 years of industry experience and 20 years working together

• Senior investment team oversaw more than $70 billion in fixed income at prior firm- Jeffrey Gundlach, lead portfolio manager, was a nominee for Morningstar’s “Fixed

Income Manager of the Decade” in 2009

Commitment to Clients and Employees

• Employee-ownership structure

• Team of over 70 members, including over 40 investment professionals

• DoubleLine is a federally registered investment advisor with an institutional infrastructure


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Cris Santa Ana Chief Risk Officer

Vincent Fiorillo*Portfolio Manager

Jeffrey Mayberry Director, MBS Analytics

David Kennedy Director, Trading & Settlements

Emily Davidson Trading & Settlements

Coordinator

Karen TsangTrading & Settlements

CoordinatorFifi WongAnalyst

Audrey TjiptokesumaAnalyst

Steven WaldAnalyst

Analysts Research Systems Analysts Casey Moore

Director Systems

Fan ZhangMBS Developer

Bill HansenDatabase Developer

Loren FleckensteinAnalyst

Jeffrey Gundlach*CEO, CIO

Joseph Galligan*Portfolio Manager

Joel Damiani*Portfolio Manager

Sam Garza*Portfolio Manager

Vitaliy Liberman*Portfolio Manager

Ken Shinoda*Portfolio Manager

Michael Lee Trader, MBS

Morris Chen Trader, CMBS

Andrew Hsu Trader, MBS

Philip Barach*President

Portfolio Management Team Based Decisions*

Traders

Vincent Fiorillo*Washington Liaison

Angela CaliriAnalyst

Robert HerronAnalyst

*Indicates portfolio management responsibilities including trading.

MBS Functional Structure


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Assets Under ManagementAs of August 31, 2012

Assets Under Management By Strategy As of 8/31/12Total Return MBS 33,205,040,781Core Fixed Income 4,153,327,706Opportunistic Income 3,098,798,124Other MBS 1,189,317,825Emerging Markets 919,617,489Opportunistic Credit 364,474,478Multi-Asset Growth 140,906366Total $ 43,071,482,769

DoubleLine Capital Named Fastest-Growing Start-Up Company in 25 Years1

1. According to research by Strategic Insight, reported by MutualFundWire.com, May 3, 2011; Investment News, May 5, 2011; Pensions & Investments, May 6, 2011.



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DoubleLine Capital LP Track Record

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DoubleLine Total Return MBS CompositeAdditional Information Ending July 31, 2012

Past performance is not a reliable indicator of future results and investors may not recover the full amount invested. The value of shares can greatly fluctuate as a result of the strategy's investment policy and is not guaranteed. If the base currency of the strategy differs from the investor's reference currency the represented performance might vary due to currency fluctuations. The Nordea 1 - US Total Return Bond Fund uses the same investment process as the Double Line Total Return MBS Composite. However, there is no guarantee that using the same investment process will produce similar returns since the Nordea 1 sub-fund has specific limits and restrictions, and the result might differ from the composite used for illustration purposes.1. Gross results do not reflect the deduction of management fees, custodial fees and other administrative expenses. Including these costs would reduce the shown returns. Net results reflect the deduction of the maximum standard fee charged US institutional clients without taking into account breakpoints. Certain clients could pay a significantly higher or lower fee which would result in different net returns. Non-US clients may pay a higher fee than the U.S. institutional fee. A fee which is 0.5% higher than the standard US institutional fee will result in the total return being reduced, over five years, by 2.53% on a compound basis. Net results do not include the deduction of custodial fees or other administrative expenses, which also will reduce the returns shown.2. DoubleLine makes no representation that future investment performance will conform to past performance. 3. This composite was created on April 7, 2010.4. The composite includes accounts whose objective is to outperform the benchmark (which is the Barclays Capital U.S. Mortgage Index) over the long term by investing in mortgage-backed securities that are either guaranteed by the U.S. Government or have no guaranteed by the U.S. Government. Accounts are typically managed to have a duration within 1.5 years of the Barclays Capital U.S. Mortgage Index.5. The Barclays Capital U.S. Mortgage Index covers the mortgage-backed pass through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The Index is formed by grouping the universe of over 600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates. These aggregates are defined according to type of Agency, Program, Pass-through coupon, and origination year. The Barclays Capital U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. You cannot invest in an index.6.SI Ann. = Since Inception AnnualizedThe sub-fund does not have any official reference index.

Total Return

Composite (Gross)

Total Return

Composite (Net)

Barclays U.S. MBS

Index

Barclays U.S. Aggregate Bond Index

Last 3 Months 2.26% 2.16% 1.24% 2.34%

Last 6 Months 4.55% 4.35% 2.06% 2.88%

Last 12 Months 9.77% 9.33% 4.84% 7.25%SI Ann.�(4-7-10 to 7-31-12)

14.56% 14.11% 5.66% 7.31%


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For Professionals OnlyDoubleLine Total Return MBS CompositeAdditional Information through July 31, 2012

Value 4/30/10* 5/31/10 6/30/10 7/31/10 8/31/10 9/30/10 10/31/10 11/30/10 12/31/10 2010 YTD

DoubleLine Total Return MBS Composite Gross 3.81% 2.15% 2.04% 1.86% 2.52% 1.82% 1.99% 0.38% ‐0.64% 17.02%

DoubleLine Total Return MBS Composite Net 3.78% 2.11% 2.01% 1.82% 2.49% 1.79% 1.95% 0.35% ‐0.67% 16.68%

Barclays U.S. MBS Index Net 1.19% 1.12% 1.12% 0.86% 0.15% ‐0.38% 0.98% ‐0.18% ‐0.55% 4.37%

Barclays U.S. Aggregate Bond Index Net 1.60% 0.84% 1.57% 1.07% 1.29% 0.11% 0.36% ‐0.57% ‐1.08% 5.25%

Source: DoubleLine Capital LP. Past performance is not a reliable indicator of future results and investors may not recover the full amount invested. The value of shares can greatly fluctuate as a result of the strategy's investment policy and is not guaranteed. If the base currency of the strategy differs from the investor's reference currency the represented performance might vary due to currency fluctuations. The Nordea 1 - US Total Return Bond Fund uses the same investment process as the Double Line Total Return MBS Composite. However, there is no guarantee that using the same investment process will produce similar returns since the Nordea 1 sub-fund has specific limits and restrictions, and the result might differ from the composite used for illustration purposes. *Partial month performance for period April 7, 2010 to April 30, 2010. 1. Gross results do not reflect the deduction of management fees, custodial fees and other administrative expenses. Including these costs would reduce the shown returns. Net results reflect the deduction of the maximum standard fee charged US institutional clients without taking into account breakpoints. Certain clients could pay a significantly higher or lower fee which would result in different net returns. Non-US clients may pay a higher fee than the U.S. institutional fee. A fee which is 0.5% higher than the standard US institutional fee will result in the total return being reduced, over five years, by 2.53% on a compound basis. Net results do not include the deduction of custodial fees or other administrative expenses, which will also reduce the returns shown.2. DoubleLine makes no representation that future investment performance will conform to past performance. 3. This composite was created on April 7, 2010.4. The composite includes accounts whose objective is to outperform the benchmark (which is the Barclays Capital U.S. Mortgage Index) over the long term by investing in mortgage-backed securities that are either guaranteed by the U.S. Government or have no guaranteed by the U.S. Government. Accounts are typically managed to have a duration within 1.5 years of the Barclays Capital U.S. Mortgage Index.5. The Barclays Capital U.S. Mortgage Index covers the mortgage-backed pass through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The Index is formed by grouping the universe of over 600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates. These aggregates are defined according to type of Agency, Program, Pass-through coupon, and origination year. The Barclays Capital U.S. Aggregate Bond Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. You cannot invest in an index.6. SI (Ann) = Since Inception Annualized. SI (Cum) = Since Inception CumulativeThe sub-fund does not have any official reference index.

Value 1/31/11 2/28/11 3/31/11 4/30/11 5/31/11 6/30/11 7/31/11 8/31/11 9/30/11 10/31/11 11/30/11 12/31/11 2011

DL Total Return MBS Composite Gross 1.27% 0.90% 0.29% 1.17% 1.67% ‐0.37% 1.57% 1.64% 0.84% ‐0.12% 0.39% 0.51% 10.17%

DL Total Return MBS Composite Net 1.23% 0.87% 0.25% 1.14% 1.64% ‐0.40% 1.53% 1.60% 0.81% ‐0.16% 0.35% 0.48% 9.74%

Barclays U.S. MBS Index Net 0.05% 0.25% 0.28% 1.10% 1.07% 0.09% 0.93% 1.25% 0.17% 0.00% 0.18% 0.70% 6.23%

Barclays U.S. Aggregate Bond Index Net 0.12% 0.25% 0.06% 1.27% 1.31% ‐0.29% 1.59% 1.46% 0.73% 0.11% ‐0.09% 1.10% 7.84%

Value 1/31/12 2/29/12 3/31/12 4/30/12 5/31/12 6/30/12 7/31/12 2012 YTD SI (Cum) SI (Ann)�DoubleLine Total Return MBS Composite Gross 1.64% 0.90% 0.50% 0.83% 0.50% 0.47% 1.27% 6.27% 37.02% 14.56%

DoubleLine Total Return MBS Composite Net 1.61% 0.87% 0.46% 0.80% 0.47% 0.44% 1.24% 6.03% 35.77% 14.11%

Barclays U.S. MBS Index Net 0.41% 0.09% 0.06% 0.65% 0.32% 0.12% 0.80% 2.47% 13.62% 5.66%

Barclays U.S. Aggregate Bond Index Net 0.88% ‐0.02% ‐0.55% 1.11% 0.90% 0.04% 1.38% 3.78% 17.80% 7.31%

Composite Monthly Returns

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For Professionals OnlyKey risk factors vs. Broad aggregate market

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Source: Zephyr StyleAdvisor: DoubleLine Capital. Past performance is not a reliable indicator of future results and investors may not recover the full amount invested. The value of shares can greatly fluctuate as a result of the strategy's investment policy and is not guaranteed. If the base currency of the strategy differs from the investor's reference currency the represented performance might vary due to currency fluctuations. The Nordea 1 - US Total Return Bond Fund uses the same investment process as the Double Line Total Return MBS Composite. However, there is no guarantee that using the same investment process will produce similar returns since the Nordea 1 sub-fund has specific limits and restrictions, and the result might differ from the composite used for illustration purposes. For further information on the composite please refer to slide 33. The sub-fund does not have any official reference index. However, for comparison purposes, we have shown the Barclays Capital US Aggregate Bond Index performance which is one of the possible benchmarks for a MBS portfolio.

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Appendix

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For Professionals OnlyDoubleLine Total Return MBS CompositeCompliant PresentationApril 7, 2010 to December 31, 2011

• The Nordea 1 - US Total Return Bond Fund uses the same investment process as the Double Line Total Return MBS Composite. However, there is no guarantee that using the same investment process will produce similar returns since the Nordea 1 sub-fund has specific limits and restrictions, and the result might differ from the composite used for illustration purposes. The sub-fund does not have any official reference index.

• For GIPS® purposes effective as of December 31, 2009, the Firm consists of the assets under management of DoubleLine Capital LP (“DoubleLine”).• DoubleLine has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®). DoubleLine has been independently verified for the periods January 1,

2010-December 31, 2010. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. The Total Return MBS Composite has been examined for the periods April 7, 2010 through December 31, 2010. The verification and performance examination reports are available upon request.

• Results are for accounts present for an entire month. The composite includes all accounts, except for accounts subject to material client restrictions and deemed non-discretionary. When a new composite is formed, the first account is included as of the account’s inception date. A full composite definition is available upon request.

• A complete list and description of firm composites is available upon request.• The dispersion of annual returns is measured by the standard deviation across equally-weighted portfolio returns represented within the composite for the full year. For those periods where less than six

(6) accounts are in the composite for the full year, or where the period is less than a full year, standard deviation is not presented.• Performance is reported in U.S. dollars.• Gross results do not reflect the deduction of management fees, custodial fees and other administrative expenses. Including these costs would reduce the shown returns. Net results reflect the

deduction of the maximum standard fee charged US institutional clients without taking into account breakpoints. Certain clients could pay a significantly higher or lower fee which would result in different net returns. Non-US clients may pay a higher fee than the U.S. institutional fee. A fee which is 0.5% higher than the standard US institutional fee will result in the total return being reduced, over five years, by 2.53% on a compound basis. Net results do not include the deduction of custodial fees or other administrative expenses, which also will reduce the returns shown.

• DoubleLine makes no representation that future investment performance will conform to past performance. Past performance is no guarantee of future results. It is possible to lose money when investing in this strategy.

• Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.• There is no minimum asset level for accounts included in the composite.• This composite was created on April 7, 2010.• The composite includes accounts whose objective is to outperform the benchmark (which is the Barclays Capital U.S. Mortgage Index) over the long term by investing in mortgage-backed securities that

may or may not be guaranteed by the U.S. Government or its agencies or instrumentalities. Accounts are typically managed to have a duration within 1.5 years of the Barclays Capital U.S. Mortgage Index.

• The Barclays Capital U.S. Mortgage Index covers the mortgage-backed pass through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The Index is formed by grouping the universe of over 600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates. These aggregates are defined according to type of Agency, Program, Pass-through coupon, and origination year. You cannot invest in an index. Benchmark returns are not covered by the report of independent verifiers.

• The U.S. institutional fee schedule is as follows: 0.40% on assets up to $50 million; 0.35% on assets between $50 million and $100 million; and 0.30% on all assets above $100 million.• Leverage or derivatives are not used in the management of the accounts in this composite.• There are not any known inconsistencies between the local laws to which the composite adheres and GIPS®.• Three year annualized ex-post standard deviation of the composite is not presented because 36 monthly returns have not been generated by this composite.

YearComposite

Gross Return(%)

Composite Net Return

(%)

Barclays U.S. Mortgage Index

Return(%)

Composite3-Yr St Dev

(%)

Barclays U.S. Mortgage Index

3-Yr St Dev(%)

Number of Portfolios

Internal Dispersion

(%)

Composite Assets($ M)

Firm Assets($ M)

2010 17.02 16.68 4.37 N/A N/A 4 N/A 4,042 4,914

2011 10.17 9.74 6.25 N/A N/A 8 N/A 16,260 19,573

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Deterioration in the Housing Market

• Defaults may rise and recovery rates might get worse- Non-Agency RMBS are already priced to a depressionary case

- DoubleLine uses a conservative approach to scenario analysis - Default assumptions used are higher than current fundamentals- Recovery rate assumptions are lower than current fundamental

Government Policies on Housing

• Uncertainty on debt “forgiveness”- Any nationwide refinancing programs, may lead to losses on the agency side of the

portfolio but could lead to prepayment “reward” on the non-agency side, where securities are discounted.

Interest Rate Movements

• If interest rates rise, it could mean better economy and a better housing market- Non-agency discounted prices would rise- Prepayments on the agency side would slow

• If interest rates fall, agency MBS would benefit

Risks in the U.S. Housing Market

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Non-Agency MBS Market

• Serious delinquency and conditional default rate for Alt-A and Subprime RMBS seem to have stabilized since peaking in later-2009/early-2010

• High defaults are already factored into market prices.

Serious Delinquencies is defined by mortgages that are 60++ delinquency rates defined as loans 60 or 90 days late in mortgage payments, or already in foreclosure or REO status.Prime defined as FICO > 725 and LTV < 75Alt-A defined as FICO 675-725; or FICO > 725 and LTV >= 75Subprime defined as FICO < 675Source: Loan Performance, Vichara, DoubleLine Capital as of August 31, 2012.

Prices Not Reflective of Improving Fundamentals

60++ Delinquent 1/1/05 – 8/31/12 Conditional Default Rate 1/1/05 – 8/31/12

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Non-Agency MBS Market

Current Fundamentals

• Similarly, loss severity seem to have leveled off and have remained consistent for Prime & Alt-A for the past two years.

• Subprime severities have ticked-down slightly

• After some period of time, DoubleLine expects the remaining homeowners in pools that have not yet defaulted will be perceived as good credits.

Serious Delinquencies is defined by mortgages that are 60++ delinquency rates defined as loans 60 or 90 days late in mortgage payments, or already in foreclosure or REO status.Prime defined as FICO > 725 and LTV < 75Alt-A defined as FICO 675-725; or FICO > 725 and LTV >= 75Subprime defined as FICO < 675Source: Loan Performance, Vichara, DoubleLine Capital as of August 31, 2012.

Loss Severity 1/1/05 – 08/31/2012

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DoubleLine Capital LP – the sub-managerFirm accolades

1. According to research by Strategic Insight, reported by MutualFundWire.com, May 3, 2011; Investment News, May 5, 2011; Pensions & Investments, May 6, 2011. 2. Foundations & Endowments 11th Annual NonProfit Awards, September 18, 2011. http://www.nonprofitawards.com/eventinfo.php 3. Fund Action, April 11, 2011 4. SmartMoney magazine, October 26, 2010 5. Fortune Magazine Investor’s Guide 2012, December 26, 2011

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DoubleLine

• DoubleLine Capital Named Fastest-Growing Start-Up Company in 25 Years1

• DoubleLine Capital awarded “Bond Manager of the Year” by Foundations & Endowments Money Management2

Jeffrey Gundlach

• Named Fund Leader of the Year (2010) by Fund Action3

• Named to SmartMoney’s “Power Thirty: The World’s Most Influential Players”4

• Named to Fortune Magazine’s Investor’s Guide “Mutual Fund All-Stars”5

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42 ●

MBS Biographies

Jeffrey E. GundlachChief Executive Officer & Chief Investment Officer

Mr. Gundlach is the Chief Executive Officer and Chief Investment Officer of DoubleLine. He was formerly associated with TCW where he was Chief Investment Officer and head of fixed income activities. He is recognized as a leading expert1 in bond and fixed income investments. His investment strategies have been featured in leading publications including The New York Times, The Financial Times, The Wall Street Journal, USA Today, Barron’s, Forbes, and Fortune. In 2010, Mr. Gundlach was named to the SmartMoney Power 30. In 2011, he was featured as “The King of Bonds” in Barron’s, and named one of “5 Mutual Fund All-Stars” by Fortune Magazine. In 2012, he was named to Bloomberg’s “50 Most Influential”. He is a graduate of Dartmouth College summa cum laude holding a BA in Mathematics and Philosophy. He attended Yale University as a PhD candidate in Mathematics.

Philip A. Barach

PresidentPrincipal

Mr. Barach is co-founder and President of DoubleLine. Prior to DoubleLine, Mr. Barach was Co-Founder and Group Managing Director of the TCW Mortgage Group where he spent over 23 years. He has over 32 years of fixed income investment experience. Before joining TCW, Mr. Barach was Senior Vice President of Chief Investments for Sun Life Insurance Company in Los Angeles, where he was responsible for the asset/liability management of the firm and oversight and management of the company’s $5 billion investment portfolio. Previously, he served as Principal Fixed Income Officer for the California Public Employees’Retirement System (CalPERS), the largest pension plan in the country. In that capacity, he was responsible for managing the fixed income portion of the fund which was 100% internally managed. Mr. Barach was heavily involved in the creation of the collateralized mortgage obligations (CMO) while at CalPERS, he oversaw the issuance of one of the first private label CMOs using the retirement system’s MBS portfolio. He attended the Hebrew University of Jerusalem, where he received a BA in International Relations and an MBA in Finance.

42 ●

1. Money News on May 26, 2011: Headline of the story: Bond Expert Gundlach: Housing Collapse to Spark Second Financial Meltdown. Morningstar on January 5, 2012: “….Jeffrey Gundlach, a high-profile fixed-income expert (and a former Morningstar Fund Manager of the Year)…”

43 ●

For Professionals OnlyThe Nordea 1 fund app:Get Nordea on your mobile device

43 ●

The Nordea 1 Fund App keeps you up to date on the Nordea 1, SICAV range. Features include daily price and performance data, latest Nordea news, portfolio manager videos, personalized watch lists, plus of course an intuitive fund palette that introduces you to the funds and their managers.

The new Nordea 1 Fund App is available at the Apple App Store and Android Market for free.

Visit www.nordea.lu/app for further information.

44 ●


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The sub-funds mentioned are part of Nordea 1, SICAV, an open-ended Luxembourg-based investment company (Société d'Investissement à Capital Variable), validly formed and existing in accordance with the laws of Luxembourg and with European Council Directive 85/611/EEC of 20 December 1985. This document is advertising material and does not disclose all relevant information concerning the presented sub-funds. Any investment decision in the Nordea funds should be made on the basis of the current prospectus, which is available, along with the Key Investor Information Document, the current annual and semi-annual reports, electronically in English and in the local language of the market where the mentioned SICAV is authorised for distribution, and free of charge upon request from Nordea Investment Funds S.A., 562, rue de Neudorf, P.O. Box 782, L-2017 Luxembourg, from the local representatives or information agents, or from our distributors. Investments in derivative and foreign exchange transactions may be subject to significant fluctuations which may affect the value of an investment. Investments in Emerging Markets involve a higher element of risk. The value of shares can greatly fluctuate as a result of the sub-fund’s investment policy and is not guaranteed. For further details of investment risks associated with these sub-funds, please refer to the relevant Key Investor Information Document, available as described above. Nordea Investment Funds S.A. only publishes product-related information and does not make any investment recommendations. Published by Nordea Investment Funds S.A., 562, rue de Neudorf, P.O. Box 782, L-2017 Luxembourg, which is authorized by the Commission de Surveillance du Secteur Financier in Luxembourg. Further information can be obtained from your financial advisor. He/she can advise you independently of Nordea Investment Funds S.A. Additional information for investors in Switzerland: The Swiss Representative and Paying Agent in Switzerland is Nordea Bank S.A. Luxemburg, Zweigniederlassung Zürich, Mainaustrasse 21-23, CH-8008 Zürich. Telephone (+41) 44 421 42 42, Fax (+41) 44 421 42 82. Additional information for investors in Germany: The Information and Paying Agent in Germany is Nordea Bank Finland Plc, Niederlassung Deutschland, Bockenheimer Landstrasse 33, D-60325 Frankfurt am Main. A hard copy of the above-mentioned fund documentation is also available from here. Additional information for investors in Austria: Sub-paying Agent and Representative in Austria is the Erste Bank der Österreichischen Sparkassen AG, Graben 21, A-1010 Vienna. Additional information for investors in Netherlands: Nordea 1, SICAV is a Luxembourg Undertaking for Collective Investment in Transferable Securities (UCITS) registered in the Netherlands in the register kept by the AFM, and as such is allowed to offer its shares in the Netherlands. The AFM register can be consulted via www.afm.nl/register. Additional information for investors in France: With the authorisation of the Autorité des MarchésFinanciers (AMF) the shares of the sub-funds of Nordea 1, SICAV may be distributed in France. Centralising Correspondent in France is CACEIS Bank, located at 1-3, place Valhubert, 75013 Paris. Investors are advised to conduct thorough research before making any investment decision. Additional information for investors in Spain: Nordea 1, SICAV is duly registered in the CNMV official registry of foreign collective investment institutions (entry no. 340) as authorised to be marketed to the public in Spain. The custodian of the SICAV’s assets is Nordea Bank S.A., Luxembourg. In Spain, any investment must be made through the authorised distributors and on the basis of the information contained in the mandatory documentation that must be received from the SICAV’s authorised distributor prior to any subscription. A complete list of the authorised distributors is available in the CNMV’s webpage (www.cnmv.es). Additional information for investors in Portugal: The Management Company of the SICAV, Nordea Investment Funds, S.A., and the custodian of the SICAV’s assets, Nordea Bank S.A., are validly formed and existing in accordance with the laws of Luxembourg and authorized by the Commission de Surveillance du Secteur Financier in Luxembourg. Our distributor in Portugal is BEST - Banco Electrónico de Serviço Total, S.A., duly incorporated under the laws of Portugal and registered with the CMVM as a financial intermediary. Additional information for investors in Italy: Fund documentation as listed above is also available in Italy from the distributors and on the website www.nordea.it. The updated list of distribution agents in Italy, grouped by homogenous category, is available from the distributors themselves, at State Street Bank S.p.A. branches (located in the main towns of each region), BNP Paribas Securities Services, Banca Sella Holding S.p.A, Allfunds Bank S.A., Societe Generale Securities Services Sp.A. and on the website www.nordea.it. Any requests for additional information should be sent to the distributors. Before investing, please read the prospectus carefully. We recommend that you read the most recent annual financial statement in order to be better informed about the fund's investment policy. The prospectus and KIID for the sub-funds have been published with Consob. Additional information for investors in the United Kingdom: Approved by Nordea Bank Finland Plc, London Branch, which is regulated by the FSA in the United Kingdom. Additional information for investors in Latvia: The Representative and Paying Agent is Nordea Bank Finland Plc Latvijasbranch, K. Valdemara St. 62, Riga, LV-1013. Additional information for investors in Estonia: The Representative and Paying Agent in Estonia is Nordea Bank Finland Plc, Estonia Branch, Hobujaama 4, 15068 Tallinn. Additional information for investors in Lithuania: The Representative and Paying Agent in Lithuania is Nordea Bank Finland Plc, Lithuania Branch, Didzioji str. 18/2, LT-01128 Vilnius. Shareholders must evaluate possible investment risks and take this into consideration when making investment decisions. Additional information for investors in Brazil: Nordea 1, SICAV have not been, and will not be, registered with the CVM and may not be offered or sold in Brazil except in circumstances which do not constitute a public offering or distribution under Brazilian laws and regulations. Investors within Brazil should consult with their own counsel as to the applicability of these laws and regulations or any exemption there from. This material aims to provide information only and does not constitute and should not be construed as an offer to buy or sell or solicitation of an offer to buy or sell any security or financial instrument.

Unless otherwise stated, all views expressed are those of Nordea Investment Funds S.A. This document may not be reproduced or circulated without prior permission and must not be passed to private investors. This document contains information only intended for professional investors and independent financial advisers and is not intended for general publication. Reference to companies or other investments mentioned within this document should not be construed as a recommendation to the investor to buy or sell the same, but is included for the purpose of illustration.

DoubleLine is a registered trademark of DoubleLine Capital LP.

Nordea

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