#1Full-year results 2020 Investor presentation 02 March 2021 SwissLife#2Agenda Overview Financial results and strategy update 2 | Investor presentation | Full-year results 2020 Patrick Frost Matthias Aellig SwissLife#3Swiss Life FY 2020: Strong increase in fee result Net profit, RoE¹) CHF m, % 1 205 10.8% -13% 1 051 9.4% 8-10% FY 2019 FY 2020 Target 2021 Fee result Net profit RoE CHF m +11% 600-650 601 541 FY 20192) FY 20202) Target 2021 Risk result CHF m VNB, NBM CHF m, % -1% 400-450 -17% 411 407 561 465 FY 20192) FY 20202) Target 2021 1) Equity excl. unrealised gains/losses 2) Adjusted as outlined on slide 9 3 | Investor presentation | Full-year results 2020 2.6% 1.9% > 1 200 (2019-2021) VNB NBM FY 2019 FY 2020 Target 2021 SwissLife#4Strong solvency and cash remittance; higher proposed dividend Capitalisation As of 01.01.2021 (for Swiss Life Group): SST ratio estimated to be around 195%, based on regulatory solvency model Solvency II ratio estimated to be > 200%, based on standard model incl. volatility adjustment and excl. any transitional measures Cash to Holding CHF m +4% 2-2.25 bn (2019-2021) 752 784 FY 2019 FY 2020 Target 2021 Payout ratio, dividend per share CHF 20.0 CHF 21.0 63% 50-60% 53% FY 2019 FY 2020 Target 2021 4 | Investor presentation | Full-year results 2020 In addition, current share buyback of CHF 400 m (until May 2021) Operational efficiency Life efficiency ratio bps 40 Distribution operating expense ratio 26% TPAM cost income ratio 35 24% 84% 79% FY 2019 FY 2020 FY 2019 FY 2020 FY 2019 FY 2020 <40 bps by 2021 < 25% by 2021 ~75% by 2021 SwissLife#5Strength of business model demonstrated; Swiss Life 2021 targets confirmed Proven resilience of business model in Covid-19 environment Strong business growth in insurance, asset management and financial advisory based on the proven effectiveness of our digitally enabled distribution networks Main Covid-19 impact resulted from market volatility and led to lower savings result, partly offset by higher fee result Swiss Life 2021 targets confirmed We confirm all Swiss Life 2021 targets pertaining to our three financial thrusts - Quality of earnings and earnings growth - Operational efficiency - Capital, cash and payout 5 | Investor presentation | Full-year results 2020 SwissLife#6Agenda Overview Financial results and strategy update Patrick Frost Matthias Aellig 6 | Investor presentation | Full-year results 2020 SwissLife#7Key figures FY 2020 results ✓ Net profit decreased by 13% to CHF 1 051 m ✓ Adjusted profit from operations declined by 5% to CHF 1 572 m ✓ Fee and commission income grew by 11% in local currency to CHF 1 957 m ✓ Fee result increased by 11% to CHF 601 m <<<<<<<<<<<<< Risk result slightly down by 1% to CHF 407 m Premiums decreased by 12% in local currency to CHF 20.0 bn Lower direct investment income of CHF 4 044 m at 2.4% ✓ AuM TPAM increased by 10% to CHF 91.6 bn with NNA of CHF 7.5 bn Value of new business decreased by 17% to CHF 465 m; NBM increased from 1.9% to 2.6% Return on equity ¹) down to 9.4% from 10.8% ✓ SST ratio estimated to be around 195% as of 01.01.2021, Solvency II ratio estimated at > 200% ✓ Cash to Holding up by 4% to CHF 784 m ✓ Proposed increase of dividend per share by CHF 1.0 to CHF 21.0 1) Equity excl. unrealised gains/losses 7 | Investor presentation | Full-year results 2020 SwissLife#8Selected P&L figures CHF million (IFRS basis) FY 2019 FY 2020 Gross written premiums, fees and deposits received 23 008 20 020 Fee and commission income 1 820 1 957 Net investment result insurance portfolio for own risk 4 588 3 717 Net insurance benefits and claims -17 838 -15 629 Policyholder participation -1 124 -910 Operating expense -3 461 Profit from operations Borrowing costs Income tax expense Net profit Basic earnings per share (in CHF) 1 651 -123 -324 -3 463 1 472 -121 -300 1 205 1 051 36.6 32.9 1) In context of Swiss tax reform 2) In context of mentioned DoJ matter 8 | Investor presentation | Full-year results 2020 Incl. positive tax one-off¹) of CHF 49 m Incl. negative effect of provision²) of CHF 55 m SwissLife#9Adjusted profit from operations CHF million (IFRS basis, adjusted) -5% 1 651 +6 +30 1 687 1 663 +70 1 572 -25 1 472 +3 +27 Profit from operations Restruc- turing charges new Programme Adjusted costs for profit from translation effect operations FX Adjusted profit from operations Profit from Restruc- turing Programme Provision ¹) Adjusted costs for operations charges accounting comparable standard new accounting standard profit from operations basis 1) In context of mentioned DoJ matter 9| Investor presentation | Full-year results 2020 FY 2019 FY 2020 SwissLife#10Covid-19 impacted savings and risk results FY 2020 profit source development¹) Savings result - 13% Risk result - 1% Fee result + 11% Cost result - 12% Profit from operations - 5% 1) Adjusted as outlined on slide 9 10 | Investor presentation | Full-year results 2020 Covid-19-related market volatility led to lower savings result, primarily in OCH and FR due to lower net investment result • • Covid-19 premium taxes and contributions in FR put pressure on the risk result Positive development in CH and IN No major Covid-19 impact Strong increase at AM (focus on real assets) and in DE at owned IFAs (increased advisor base and productivity); higher fee result also in CH and FR No major Covid-19 impact Strong new business growth with UL products in FR and DE SwissLife#11Business review Switzerland CHF million (IFRS basis, VNB) FY 2019 FY 2020 Change GWP incl. PHD 13 453 11 045 -18% • • • • GL: -19% (market -22%), exceptional increase in 2019 due to exit of a competitor from full insurance business IL: -6% (market -3%), higher periodic premiums more than offset by lower single premiums Increased revenues from owned IFA, mortgage business and investment solutions for private clients Decrease from plan amendment in own pension scheme; continued cost management Lower savings result due to lower net investment result in context of Covid-19; higher fee and risk results Growth of fee result supported by business development Higher risk result mainly due to GL Lower GL and higher IL volumes; improved business mix in IL and GL partly offset by lower interest rates Fee and commission income 1) 265 298 +13% Operating expense -419 -361 -14% Segment result 892 830 -7% Fee result 20 26 +29% • Risk result 261 266 +2% • Value of new business 308 191 -38% • NBM (% PVNBP) 1.6% 2.5% 1) Net earned policy fees and commission income 11 Investor presentation | Full-year results 2020 SwissLife#12Business review France EUR million (IFRS basis, VNB) FY 2019 FY 2020 Change GWP incl. PHD 5 304 5 857 +10% Fee and commission income¹) 293 316 +8% • Operating expense -341 -355 +4% • Segment result 247 203 -18% • Fee result 75 76 +2% Risk result 97 88 -9% Value of new business 131 151 +16% NBM (% PVNBP) 2.4% 2.4% 1) Net earned policy fees and commission income 12 | Investor presentation | Full-year results 2020 . Life: +14% (market -20%); UL share 57% (market 34%); Health & protection: +2% with individual protection +6%; P&C: +5% Higher UL fees due to strong net inflows Business growth and investments in growth projects Lower savings result due to lower net investment result in context of Covid-19; lower cost and risk results Higher fee result due to UL business, partly offset by investments in growth projects Lower risk result mainly due to Covid-19 premium taxes and contributions Higher volumes in life with stronger UL share; improved business mix in health & protection; strong decrease in interest rates SwissLife#13Business review Germany EUR million (IFRS basis, VNB) FY 2019 FY 2020 Change GWP incl. PHD 1 236 1 297 +5% Fee and commission income¹) 448 515 +15% Operating expense -224 -234 +5% Segment result 167 168 0% Fee result 66 87 +32% • Risk result 33 28 -14% Value of new business NBM (% PVNBP) 55 72 +30% • 3.3% 3.5% 1) Net earned policy fees and commission income 13 | Investor presentation | Full-year results 2020 • • • • Higher premiums with modern, modern-traditional and disability products (market 0%) Strong revenue increase at owned IFAs due to growing number of financial advisors and higher productivity Business growth and investments in growth initiatives such as further digitalisation of owned IFAs Resilient segment result due to higher fee result that offset lower savings, risk and cost results Fee result increased due to higher revenues and productivity gains at owned IFAs Lower risk result in disability business Continued shift to modern products with significant volume growth and lower guarantees SwissLife#14Business review International EUR million (IFRS basis, VNB) FY 2019 FY 2020 Change GWP incl. PHD 2 071 1 253 -39% Fee and commission income 1) 282 260 -8% • • Lower premiums primarily with private clients due to reduced client activity in Covid-19 environment Lower fee income due to Covid-19 impacts in business with private clients and reduced client interactions at owned IFAs in specific regions Disciplined cost management Operating expense -103 -97 -5% . Segment result 73 73 0% • Resilient segment result • Fee result 53 48 -11% • Risk result 11 15 +41% Value of new business NBM (% PVNBP) 48 30 -38% • 2.4% 2.6% 1) Net earned policy fees and commission income 14 | Investor presentation | Full-year results 2020 Lower fee result in line with income development Higher risk result with corporate clients due to higher risk premiums and positive claims experience Increased margins driven by improved business mix despite lower volumes SwissLife#15Business review Asset Managers CHF million (IFRS basis, AuM fair value basis) FY 2019 FY 2020 Change Commission and 853 936 +10% • other net income¹) 377 377 0% PAM 476 559 +17% TPAM¹) Operating expense -480 -519 +8% Segment result 309 345 +12% PAM 223 207 -7% • TPAM 86 137 +60% Net new assets TPAM 8 916 7 485 (NNA) AuM PAM TPAM 254 400 269 720 +6% • 171 353 178 144 +4% 83 046 91 576 +10% 1) Incl. net income from real estate project development 15 | Investor presentation | Full-year results 2020 • • • PAM: Higher management fees (due to increased asset base) offset by lower real estate transaction fees TPAM: Higher recurring fees on growing AuM, strong growth of non-recurring fees and other net income Business growth, accelerated amortisation of customer relationship assets, process optimisation and digitalisation PAM: Stable income more than offset by higher expenses TPAM: Higher commission income combined with improved cost income ratio; strong other net income Strong inflows, thereof 5.6 bn real assets (real estate and infrastructure) PAM: Positive performance partly offset by FX translation TPAM: Strong NNA and positive performance partly offset by FX translation SwissLife#16Expense development CHF million (IFRS basis) FY 2019 FY 2020 Change Total operating expense 3 461 3 463 0% Commissions and DAC amortisation -1 692 -1 653 Operating expense (before FX) 1 769 1 810 +2% Restructuring costs and one-offs -22 -54 Programme costs for new accounting standard -36 -33 Scope changes -3 -12 FX translation effect -37 Operating expense adjusted 1 671 1 711 +2% of which Insurance 1 186 1 203 +1% - Asset Managers 469 498 +6% 16 | Investor presentation | Full-year results 2020 SwissLife#17Investment result CHF million (IFRS basis), insurance portfolio for own risk FY 2019 FY 2020 Direct investment income 4 437 4 044 Direct investment income in % Expense Net capital gains/losses on investments and impairments¹) Net investment result Net investment result in % 2.8% 2.4% -509 -437 659 110 4 588 3 717 2.9% 2.2% Changes in unrealised gains/losses on investments 6 557 3 134 Total investment result 11 145 6 850 Total investment result in % 7.0% 4.0% Average net investments 1) Incl. FX gains/losses on hybrid of CHF 71 m in FY 2019 and CHF 5 m in FY 2020 17 | Investor presentation | Full-year results 2020 160 104 169 306 SwissLife#18Investment portfolio CHF million (fair value basis), insurance portfolio for own risk¹) Equities & equity funds Alternative investments Real estate Mortgages Loans Government & supranational bonds Corporate bonds²) Cash and other 171 213 180 225 8.8% -7.4% 1.3% 1.4% 20.7% 21.7% 5.9% -6.6% 4.6% 4.4% 30.4% 32.0% 57.1% { } 57.2% 26.7% 25.2% 1.7% 1.3% 31.12.2019 31.12.2020 4.1% 3.5% Net equity exposure 1) Excl. repo positions of CHF -2 305 m in FY 2019 and CHF -4 069 m in FY 2020 2) Incl. senior secured loan funds 18 | Investor presentation | Full-year results 2020 SwissLife#19Insurance reserves excluding policyholder participation liabilities CHF billion (IFRS basis) +18.1 167.3 166.9 -0.4 -15.7 +2% +2.0 170.8 -0.5 31.12.2019 FX translation effect 31.12.2019 excl. FX Premiums/ Withdrawals/ Interest deposits received benefits incurred accrued Market movements 31.12.2020 and other 19 Investor presentation | Full-year results 2020 SwissLife#20Shareholders' equity CHF million (IFRS basis) 15 920 +481 -28 -636 -7 -32 31.12.2019 Change in unrealised gains/losses Change in foreign currency Dividend and repayment of par value Interest on hybrid equity Share buyback and other net translation 20 | Investor presentation | Full-year results 2020 +1 046 Profit attributable to share- holders +5% 16 745 31.12.2020 SwissLife#21Capital structure Capital structure¹) (IFRS basis) 4 374 7% Senior & hybrid 25-30% Carrying value (CHF m) 1 049 Senior 21% Shareholders' equity2) 70-75% 72% Reference level FY 2020 3 325 Hybrid FY 2020 Maturities (senior) and next optional call dates (hybrid); nominal value, CHF million 812 CHF Hybrid EUR Hybrid 450 425 250 150 649 175 CHF Senior 471 200 200 208 250 I 150 2021 2022 2023 2024 2025 2026 2027 2028 2029 1) Financing debt only 2) Excl. unrealised gains/losses 21 Investor presentation | Full-year results 2020 SwissLife#22Swiss Life 2021 financial targets CHF Quality of earnings and earnings growth Operational efficiency Capital, cash and payout Fee result 600-650 m FY 2021 Life efficiency ratio FY 2021 < 40 bps SST ambition range 140-190% 2019-2021 Risk result FY 2021 400-450 m Distribution operating expense ratio < 25% Cash to Holding 2-2.25 bn cumulative 2019-2021 FY 2021 VNB cumulative 2019-2021 > 1.2 bn TPAM ~75% cost income ratio FY 2021 Dividend payout ratio 2019-2021 Share buyback Dec 18 - Dec 19 50-60% 1 bn 1) Equity excl. unrealised gains/losses 22 | Investor presentation | Full-year results 2020 ROE¹) of 8-10% SwissLife#23Strong development of fee result CHF million (IFRS basis) Quality of earnings and earnings growth FY 2019 adjusted¹) FY 2020 adjusted¹) Savings result Risk result 900 52% 787 47% 411 24% 407 25% Fee result 541 31% 601 36% Cost result -119 -7% -134 -8% -Thereof admin cost result gross²) 141 199 Other 15 1% -2 0% Segment result 1 748 100% 1 660 100% Unallocated corporate costs -85 -88 Profit from operations 1 663 1 572 1) Adjusted as outlined on slide 9 2) Gross = before policyholder participation 23 | Investor presentation | Full-year results 2020 SwissLife#24Yield development in low interest rate environment Direct and net investment yield (IFRS basis, in %) Quality of earnings and earnings growth 5.0 4.8% 4.5 4.1% 3.9% 3.8% 3.9% 3.8% 4.0 3.7% 3.5 3.8% 3.8% 3.3% 3.7% 3.5% 3.0 3.4% 3.0% 2.9% 3.3% 2.8% 2.5 3.0% 3.0% 2.9% 2.8% 2.4% 2.0 2.5% 2.2% 1.5 1.0 0.5 0.0 -0.5 -1.0 31.12.09 31.12.10 31.12.11 31.12.12 31.12.13 31.12.14 31.12.15 31.12.16 31.12.17 31.12.18 31.12.19 31.12.20 Direct investment yield Net investment yield German Government bond (10 years) Swiss Government bond (10 years) 24 | Investor presentation | Full-year results 2020 SwissLife#25Declining average technical interest rate Statutory basis Quality of earnings and earnings growth 01.01.2010 01.01.2021: • FX translation effect -3 bps . Reserve strengthening -71 bps 01.01.2020 01.01.2021: Mandatory GL CH -15 bps • FX translation effect 0 bps • • Non-mandatory GL CH -21 bps • • Reserve strengthening -4 bps Business mix -45 bps ⚫ Business mix -3 bps 2.60% Total -155 bps Total -7 bps 2.35% 2.04% 01.01.2010 01.01.2012 25 | Investor presentation | Full-year results 2020 1.64% 1.37% 1.26% 1.12% 1.05% HE нн 01.01.2014 01.01.2016 01.01.2018 01.01.2019 01.01.2020 01.01.2021 SwissLife#26Disciplined ALM continued to safeguard the interest rate margin Aggregated view, IFRS basis, in % technical reserves Quality of earnings and earnings growth 4.0 3.0 2.0 1.0 0.0 2017 2018 2019 2020 26 | Investor presentation | Full-year results 2020 Net investment yield excl. net gains/ losses, after FX hedging costs Guarantees incl. conversion rate expenses Interest rate margin before policyholder sharing Interest rate margin resilient as a result of disciplined ALM • • • Long asset duration supports yield Narrow duration gap protects interest rate margin Reserve strengthening and focus on profitable new business reduce guarantees Lower expenses for guarantees and FX hedging offset by lower net investment yield and slightly higher conversion rate expenses resulting in a resilient margin SwissLife#27Strong fee and commission income Fee and commission income¹), CHF million (IFRS basis) Quality of earnings and earnings growth +8% +11% LC 1 957 1 820 Local currency +6% +8% 886 Swiss Life Asset Managers 833 PAM: Flat development TPAM: Higher recurring and non-recurring fees +8% +12% Owned IFA channels Positive contribution primarily from DE and CH 976 901 +4% +7% Own and 3rd party products and services Positive contribution driven by FR and CH 637 663 -551 -568 FY 2019 FY 2020 Eliminations²) 1) Net earned policy fees and commission income 2) Eliminations attributable to Swiss Life Asset Managers' PAM and owned IFAs 27 | Investor presentation | Full-year results 2020 SwissLife#28Improved new business margin New business margin (NBM) development (VNB in % PVNBP) 1.9% Ambition (1.5%) -0.2% Hurdle rate (1.0%) +0.1% 2.6% Economic variances +0.1% +0.7% • FY 2019 Economic Volume, Expense business FX and other FY 2020 mix and pricing 561 Value of new business (VNB) 28 894 PVNBP 2 094 26.8% APE New business margin (% APE) 28 | Investor presentation | Full-year results 2020 465 18 056 1 590 29.2% Quality of earnings and earnings growth Lower interest rates Volume, business mix and pricing variances Margin management efforts pay off in all segments • • CH: Lower share of GL; improved business mix in both GL and IL FR: Increased UL share and strong volumes in life; improved business mix in health & protection DE: Continued shift to modern products with volume growth; lower guarantees IN: Improved business mix at lower volumes Expense & other variances • • Continued cost efficiency gains Update of actuarial parameters and other true-ups SwissLife#29Swiss Life 2021 efficiency ratios Life efficiency ratio 1) Distribution operating expense ratio²) Operational efficiency TPAM cost income ratio³) Operating expense life insurance only/ average life insurance reserves (excl. deferred policyholder participation) Excl. CH pension plan amendment: 39 bps 40 bps 35 bps FY 2019 FY 2020 Operating expense/gross commission income Operating expense/commission income net of commission expense 26% 84% 24% Excl. accelerated amortisation of customer relationship assets: 76% 79% FY 2019 FY 2020 FY 2019 FY 2020 1) Excl. all non-life and distribution business 2) Owned IFAs and Agami 3) Excl. Livit 29 Investor presentation | Full-year results 2020 SwissLife#30SST ratio estimated to be around 195% based on regulatory solvency model Regulatory Solvency Model Business steering Capital, cash and payout 190% SST ratio estimated to Focus on internal economic be around 195% as of 01.01.2021 Ambition range model 140% 120% Focus on regulatory solvency model 30 | Investor presentation | Full-year results 2020 Continuous monitoring and ALM • Capital management actions Dividend payout ratio according to plan Comprehensive ALM measures before level reached • Capital management actions SwissLife#31Increased cash remittance to Holding and dividend to shareholders Cash remittance to Holding (CHF million, cash remittance in % of previous year's IFRS net profit) Capital, cash and payout Dividend per share (CHF, payout ratio in % of IFRS net profit) by division 70% 65% AM 53% 63% 23% IN 5% 51% CH 784 21.0 6% 752 20.0 DE 15% FR by business line AM 23% 15% 62% Life Distribution, FY 2019 FY 2020 health, P&C 31 Investor presentation | Full-year results 2020 FY 2019 paid in 2020 FY 2020 (proposed) to be paid in 2021 SwissLife#32Swiss Life 2021 programme well on track Swiss Life 2021 financial targets Quality of earnings and earnings growth . Fee result FY 2021: CHF 600-650 m • Risk result FY 2021: CHF 400-450 m Cumulative value of new business (2019-2021): > CHF 1.2 bn Current assessment On track On track Ahead Operational efficiency Capital, cash and payout • Life efficiency ratio FY 2021: < 40 bps . Distribution operating expense ratio FY 2021: < 25% • TPAM cost income ratio FY 2021: ~75% • SST ambition range (2019-2021): 140-190% On track On track On track Ahead Ahead Cumulative cash remittance to Holding (2019-2021): CHF 2-2.25 bn Dividend payout ratio: 50-60% • Share buyback Dec 18 – Dec 19: CHF 1 bn • RoE): 8-10% On track Completed On track 1) Equity excl. unrealised gains/losses 32 | Investor presentation | Full-year results 2020 SwissLife#33Full-year results 2020 Investor presentation Supplementary information SwissLife#34Supplementary information -> Profit and loss Balance sheet Investments Value of new business Corporate sustainability Abbreviations and disclaimer Contact details and financial calendar 34 | Investor presentation | Full-year results 2020 SwissLife#35Adjusted net profit CHF million (IFRS basis, adjusted) -3% 1 205 +4 +22 1 182 1 166 +55 1 128 1 051 +2 +20 -49 -16 Net profit Restruc- Programme turing charges Tax costs for one-off new Adjusted net profit effect FX Adjusted translation net profit comparable Net profit Restruc- turing charges Programme costs for Effect of Adjusted provision¹) net profit accounting standard basis new accounting standard 1) In context of mentioned DoJ matter 35 | Investor presentation | Full-year results 2020 FY 2019 FY 2020 SwissLife#36Premium development CHF million (IFRS basis); GWP, fees and deposits Switzerland 6 277 France 5 901 1 390 Germany 1 375 1 343 International 2 304 Total¹) Local currency 11 045 -18% -18% 13 453 FY 2020 FY 2019 +6% +10% +1% +5% -42% -39% 20 020 -13% -12% 23 008 1) Total includes intersegment eliminations of CHF -35 m in FY 2020 and CHF -25 m in FY 2019 36 | Investor presentation | Full-year results 2020 SwissLife#37Fee and commission income development CHF million (IFRS basis) 298 Switzerland 265 338 France 326 552 Germany 498 279 International 314 Asset Managers 886 833 Total1) FY 2020 FY 2019 Local currency +13% +13% +4% +8% +11% +15% -11% -7% +6% +8% 1 957 +8% +11% 1 820 1) Total includes Other and intersegment eliminations of CHF -396 m in FY 2020 and CHF -415 m in FY 2019 37 | Investor presentation | Full-year results 2020 SwissLife#38Switzerland: Premium development CHF million (IFRS basis) FY 2019 FY 2020 Change Total life GWP incl. PHD 13 453 11 045 -18% Single premiums 8 372 5 891 -30% Periodic premiums 5 081 5 154 +1% Group life 11 890 9 572 -19% Single premiums 7 880 5 508 -30% Periodic premiums 4 010 4 064 +1% Individual life 1 563 1 473 -6% Single premiums 492 383 -22% Periodic premiums 1 071 1 090 +2% 38 | Investor presentation | Full-year results 2020 SwissLife#39Switzerland: Statutory group business (BVG) CHF million (statutory basis) FY 2017 FY 2018 FY 2019 FY 2020 Gross revenue 1 860 100% 2 112 100% 2 303 100% 1 932 100% Total insurance benefits 1 754 94.3% 1 990 94.2% 2 183 94.8% 1 839 95.2% paid (incl. bonuses) Operating income 106 122 120 93 93 group business (legal quote) Operating income other group 20 19 12 business (non-legal quote) 22 22 Operating income total group business 126 141 132 115 39 | Investor presentation | Full-year results 2020 SwissLife#40Details of net investment result CHF million (IFRS basis), insurance portfolio for own risk FY 2020 Direct investment income Impairments Gains and losses through income statement Net investment result On underlying On derivatives Net Bonds 2 319 -66 990 4 994 3 247 Equities 353 -547 222 -569 -348 -542 Loans 169 2 77 77 248 Mortgages 162 -3 0 0 159 Alternative investments 77 -19 -50 -50 8 Real estate 937 -4 856 856 1 789 Cash & other 27 1 1 28 Total before FX 4 044 -638 2 097 -566 1 531 4 937 FX hedging costs and gains/losses -1 407 623 Total after FX 4 044 -638 690 57 747 Expense Net investment result -7841) -784 4 154 -437 3 717 1) Incl. FX hedging costs of CHF -547 m (CHF -774 m in FY 2019) 40 | Investor presentation | Full-year results 2020 Net capital gains/losses on investments of 110 SwissLife#41Profit from operations CHF million (IFRS basis), segment result (reported vs. adjusted) FY 2019 FY 2020 Change Segments reported adjusted¹) reported adjusted¹) reported adjusted Switzerland 892 893 830 831 -7% -7% France 275 268 217 221 -21% -17% Germany 186 179 180 180 -3% 0% International 81 79 78 80 -4% 0% Asset Managers 309 313 345 350 +12% +12% Other 15 15 -72 -2 n.m. n.m. Unallocated corporate costs Profit from operations -107 -85 -106 -88 -1% +4% 1 651 1 663 1 472 1 572 -11% -5% 1) Adjusted as outlined on slide 9 41 Investor presentation | Full-year results 2020 SwissLife#42Profit by source FY 2020, based on adjusted segment result¹) Group2) thereof Switzerland France Germany International CHF m 1 660 CHF m EUR m EUR m EUR m 831 207 168 74 12 60 Savings 787 182 15 515 28 407 Risk 88 48 87 266 601 Fee 76 26 --2- 23 23 Other -134 Costs Thereof admin cost result gross 199 1) Adjusted as outlined on slide 9 42 | Investor presentation | Full-year results 2020 170 -140 11 2) Group incl. other & eliminations, before unallocated corporate costs Asset Managers CHF m 350 17 0 n.a. SwissLife#43Profit by source: Structure and scope Savings result Risk result (incl. reinsurance) Cost result = ++ || || | || - = = = - || | || | + || | || | + Income from investments 1) Income from savings premiums Expense related to savings process Technical interest²) Investment spread Policyholder participation Net savings result Income from risk premiums Expense related to risk³) Gross risk result Policyholder participation Net risk result Income from cost premiums Expense related to costs Gross cost result4) Policyholder participation Net cost result Non-Life Group Life Health Individual Life Reinsurance Owned IFAs Insurance Services + Fee result = Income related to fee business Expense related to fee business Fee result Unit-linked Insurance Wealth Management Asset Management 1) Income from invested insurance assets (incl. IFRS P&L capital gains & losses and impairments) 2) Interest on insurance liabilities 3) Incurred claims incl. change in reserves 4) Acquisition cost result (incl. net DAC effect) plus administration cost result, both before policyholder participation 43 | Investor presentation | Full-year results 2020 SwissLife#44New business mix New business production (NBP) 27% 24% 25% 27% 26% 28% 31% 33% 34% 33% 33% 35% 30% 40% 36% 39% 21% 18% 26% 22% 28% 25% 26% 27% Risk, health and P&C Modern Modern-traditional 20% 21% 16% 19% 9% 11% Traditional 7% -3% FY 2013 FY 2014 FY 2015 FY 2016 FY 2017 FY 2018 FY 2019 FY 2020 Shift excl. traditional 88% 90% 92% 95% 97% 98% 98% 99% CH GL 44 Investor presentation | Full-year results 2020 SwissLife#45Supplementary information Profit and loss -> Balance sheet Investments Value of new business Corporate sustainability Abbreviations and disclaimer Contact details and financial calendar 45 | Investor presentation | Full-year results 2020 SwissLife#46Allocation of unrealised gains/losses on financial assets CHF million (IFRS basis), as of 31.12.2020 19 963 Unrealised gains/losses on financial assets 1) -12 750 5 500 -280 -1 433 -1 Deferred policyholder bonuses Shadow DAC adjustment Deferred taxes Non-controlling interests 1) Including cash flow hedge reserve of CHF 1 381 m in FY 2020 and CHF 1 122 m in FY 2019 46 | Investor presentation | Full-year results 2020 Allocated to shareholders' equity SwissLife#47Return on equity CHF million (IFRS basis) FY 2019 FY 2020 FY 2020 ROE calculation Net profit FY 2020 Shareholders' equity 15 920 16 745 1 046 (attributable to shareholders) Unrealised gains/losses on financial Average adjusted -5 024 -5 500 11 071 assets allocated to shareholders' equity shareholders' equity Adjusted shareholders' equity 10 897 11 244 Return on equity 9.4% 47 Investor presentation | Full-year results 2020 SwissLife#48Insurance reserves excluding policyholder participation liabilities CHF million (IFRS basis) Switzerland 34 959 France 32 808 17 674 Germany 17 290 21 630 International 22 667 Total¹) Local currency 96 619 +2% +2% 94 599 IN 13% +7% +7% DE 10% 57% +2% +3% 20% FR -5% -3% 170 800 +2% +2% 167 287 FY 2020 FY 2019 1) Total includes intersegment eliminations of CHF -82 m in FY 2020 and CHF -77 m in FY 2019 48 Investor presentation | Full-year results 2020 CH SwissLife#49Insurance reserves and borrowings CHF million (IFRS basis) Local 31.12.2019 31.12.2020 currency Insurance reserves 183 339 189 624 +3% +4% Policyholder participation liabilities 16 052 18 824 +17% Insurance reserves w/o PHP liabilities 167 287 170 800 +2% +2% Insurance liabilities 124 985 128 776 +3% Investment contracts 15 995 16 331 +2% Unit-linked contracts 26 308 25 693 -1% Borrowings 3 951 3 949 0% 49 | Investor presentation | Full-year results 2020 SwissLife#50Swiss Life Group reserves subject to BVG minimum interest rates CHF billion (IFRS basis) Breakdown of insurance reserves (incl. unit-linked) as of 31.12.2020 Total Group 189.6 1.0 Non-life 56.3 Investment contracts & PH deposits Traditional business 132.3 50 | Investor presentation | Full-year results 2020 Europe 33.4 Individual 19.5 Annuitised 9999 & other 37.5 99.0 Group 79.5 Non- 21.3 Non-mandatory annui- tised 20.7 Mandatory 42.0 Guaranteed rates (from 1 Jan 2021) 0.125% 1.00% SwissLife#51Average technical interest rate CHF / EUR/USD/GBP million (statutory basis), as of 31.12.2020 Total reserves CHF EUR USD GBP 92 363 34 109 143 12 Average technical interest rate 0.72% 1.85% 2.11% 1.78% 51 Investor presentation | Full-year results 2020 Overall: 1.05% (01.01.2020: 1.12%) SwissLife#52Weighted duration gap 0.9 0.4 0.6 0.7 1.2 1.2 1.1 нн н нн нн 31.12.2010 31.12.2012 31.12.2014 31.12.2016 31.12.2018 31.12.2019 31.12.2020 52 Investor presentation | Full-year results 2020 SwissLife#53Supplementary information >>> Profit and loss Balance sheet Investments Value of new business Corporate sustainability Abbreviations and disclaimer Contact details and financial calendar 53 | Investor presentation | Full-year results 2020 SwissLife#54Change analysis of assets under management CHF billion (fair value basis) Assets under management Total beginning of period FY 2019 FY 2020 Change (bn) 232.6 254.4 +21.8 Net new assets PAM -0.4 -0.4 TPAM 8.9 7.5 Market performance 15.7 8.7 FX translation effects -2.9 -0.5 Scope changes 0.6 Total end of period 254.4 269.7 +15.3 PAM 171.4 178.1 +6.7 TPAM 83.0 91.6 +8.6 - Collective investments 67.0 74.5 - Institutional mandates 16.0 17.1 Double counts 23.1 25.1 54 Investor presentation | Full-year results 2020 SwissLife#55Assets under management and administration CHF billion, as of 31.12.2020 269.7 77.7 Real estate under management (both PAM & TPAM) 297.4 27.7 Total real estate under 105.5 management and administration Share of real estate by managing country CH: 51% FR: 27% DE: 20% UK: 2% Share of real estate by managing country CH: 57% DE: 43% Share of real estate by managing country CH: 52% DE: 26% FR: 20% UK: 2% Total assets under management Real estate under administration¹) Total assets under management and administration 1) Not included in Swiss Life AuM definition 55 | Investor presentation | Full-year results 2020 SwissLife#56TPAM: AuM and NNA TPAM AUM: CHF 91.6 bn as of 31.12.2020 (fair value basis) Breakdown by asset class Infrastructure Equity 4% 7% Balanced mandates 21% TPAM NNA: CHF 7.5 bn as of 31.12.2020 (fair value basis) Breakdown by asset class Real estate Bonds Real estate 64% 42% Balanced mandates Equity Infrastructure 15% Money market funds 12% 11% -1%- --1% 6% Money market funds 20% Bonds Breakdown by managing country UK 2% Germany 12% 51% Switzerland 35% France 56 | Investor presentation | Full-year results 2020 Breakdown by managing country 56% 25% 19% -0% Switzerland France Germany UK TPAM SwissLife#57Bond portfolio: Ratings and classification Insurance portfolio for own risk (fair value basis) CHF million 180 225 Breakdown by rating BB B 3% BBB 2% 19% AAA 37% 12% 27% AA Breakdown by classification Bonds 57.2% Corporate bonds¹) 44% 56% Governments & 31.12.2020 1) Including senior secured loan funds 57 | Investor presentation | Full-year results 2020 supranationals PAM SwissLife#58Government & supranational bonds: Ratings and currency Insurance portfolio for own risk (fair value basis) CHF million 180 225 Breakdown by rating BBB A Government & supranational bonds 43% AA 5% 4% 48% AAA Breakdown by currency 32.0% GBP CAD USD 3% 10% 1% 48% EUR 31.12.2020 58 | Investor presentation | Full-year results 2020 CHF 38% PAM SwissLife#59Government & supranational bonds: Country split Government and supranational bond portfolio (fair value basis), as of 31.12.2020, 32.0% of insurance portfolio for own risk (CHF 57.7 bn) Switzerland France Netherlands Germany Belgium Supranationals Other Europe USA Canada Supranationals Other Rest of the world Total % of total government and supranational bond portfolio 29% 13% 10% 10% 5% 4% 12% 83% 7% 3% 3% 4% 17% 100% 59 | Investor presentation | Full-year results 2020 PAM SwissLife#60Corporate bond portfolio: Ratings and currency Insurance portfolio for own risk (fair value basis) CHF million 180 225 Breakdown by rating BB B 7% 4% 21% AAA Corporate bonds¹) 25.2% 31.12.2020 1) Including senior secured loan funds 60 | Investor presentation | Full-year results 2020 6% AA 40% BBB 22% A Breakdown by currency GBP Other 2% 1% USD 29% EUR 41% 27% CHF PAM SwissLife#61Corporate bond portfolio: Industry split Corporate bond portfolio¹) (fair value basis), as of 31.12.2020, 25.2% of insurance portfolio for own risk (CHF 45.4 bn) Breakdown by rating Breakdown by industry % of total corporate bond portfolio BBB 22% Banks 36% Other financials 5% 49% AAA Utilities 8% Industrial 6% Consumer non-cyclical 9% 22% A 7% AA Energy 4% Communication 6% Breakdown by structure Subordinated bonds Thereof in % of total Consumer discretionary 7% banks: 16% Health 5% Tier 1: Tier 2: 16% 0% Material 4% Other 10% Senior 53% bonds 31% Covered bonds 100% Total 1) Including senior secured loan funds 61 Investor presentation | Full-year results 2020 PAM SwissLife#62Loan and mortgage portfolio Insurance portfolio for own risk (fair value basis) Mortgages CHF million 180 225 6.6% Loans 4.4% 31.12.2020 62 Investor presentation | Full-year results 2020 Breakdown by country Germany 41% 1% France 58% Switzerland Breakdown by type Other loans 2% Purchased loans 38% 60% PAM Mortgages Average loan to value ratio < 60% SwissLife#63Real estate portfolio Insurance portfolio for own risk (fair value basis) CHF million 180 225 Real estate 21.7% 31.12.2020 63 | Investor presentation | Full-year results 2020 Breakdown by country Germany Other 2% 9% France 12% 77% Switzerland Breakdown by type Other 11% Retail 15% Office 32% Residential 42% PAM SwissLife#64Equities and alternative investments: Gross exposure Insurance portfolio for own risk (fair value basis) CHF million 180 225 Equity & equity funds -7.4% 1.4% Breakdown by currency Other CHF GBP 4% 8% 11% Alternative investments 31.12.2020 64 | Investor presentation | Full-year results 2020 USD 30% 47% EUR Breakdown by investment type Private equity Hedge funds 5% 2% Infrastructure 93% PAM SwissLife#65Forex and interest rates Foreign currency exchange rates 31.12.19 30.06.20 31.12.20 01.01.-31.12.19 01.01.-31.12.20 EUR 1.0852 1.0648 1.0821 1.1125 1.0717 GBP 1.2817 1.1724 1.2083 1.2688 1.2051 USD 0.9664 0.9471 0.8852 0.9938 0.9387 Interest rates (10-year government bond) 31.12.19 30.06.20 31.12.20 CHF -0.471 -0.438 -0.550 EUR -0.185 -0.454 -0.569 GBP 0.822 0.172 0.197 USD 1.918 0.656 0.913 65 | Investor presentation | Full-year results 2020 SwissLife#66Supplementary information Profit and loss Balance sheet Investments Value of new business Corporate sustainability Abbreviations and disclaimer Contact details and financial calendar 66 | Investor presentation | Full-year results 2020 SwissLife#67Value of new business Value of new business (VNB), CHF million 561 +15 -57 -25 -29 465 FY 2019 Economic Volume, business mix Expense FX and other FY 2020 and pricing 28 894 1.9% 2 094 26.8% 67 | Investor presentation | Full-year results 2020 PVNBP New business margin (% PVNBP) APE New business margin (% APE) 18 056 2.6% 1 590 29.2% SwissLife#68Value of new business per segment CHF million (MCEV basis) Switzerland France Germany International Total 561 465 308 191 164 142 60 60 78 52 52 32 PVNBP APE 18 958 1 045 7 720 447 5 928 728 6 900 920 1 811 2 201 103 108 2 196 1235 218 114 28 894 2 094 18 056 1 590 NBM in % PVNBP in % APE 29.5% 1.6% 2.5% 42.7% 2.4% 2.4% 19.5% 17.8% 3.3% 3.5% 57.9% 71.5% 2.4% 23.8% 28.2% 2.6% 1.9% 2.6% 26.8% 29.2% FY 2019 FY 2020 68 | Investor presentation | Full-year results 2020 SwissLife#69Supplementary information Profit and loss Balance sheet Investments Value of new business Corporate sustainability Abbreviations and disclaimer Contact details and financial calendar 69 Investor presentation | Full-year results 2020 SwissLife#70Swiss Life acts sustainably in business, in society, as an employer and in the environment Sustainability memberships Signatory of: PRI Principles for Responsible Investment WE SUPPORT UN GLOBAL COMPACT • ° UNEP FINANCE INITIATIVE PSI Principles for Sustainable Insurance TCFD Swiss TASK FORCE ON CLIMATE-RELATED FINANCIAL DISCLOSURES Sustainable Finance IIGCC The Institutional Investors Group on Climate Change GRES B INFRASTRUCTURE Member Climate Action 100+ CDP GRES B DISCLOSURE INSIGHT ACTION REAL ESTATE Member FNG ICGN Ferua hacHTE GELDA International Corporate Governance Network Our reports Sustainability Report: swisslife.com/sustainabilityreport Responsible Investment Report: swisslife-am.com/rireport 70 | Investor presentation | Full-year results 2020 In business • Good governance, diligence and responsible conduct form the basis for successful business operations and for long-term and sustainable customer and business relationships In the investment process we take ESG criteria into account and are a signatory of the Principles for Responsible Investment (PRI) In society As a pension provider, we assume social and economic responsibility and support projects and institutions in the fields of culture, science, education and the environment As an employer We promote flexible working models and continuous development throughout all phases of life; our employees work in a collaborative environment in which they can act with personal responsibility In the environment • As a property owner and in our own operations, we strive for energy- saving measures, renewable energy and the sparing use of resources SwissLife#71Supplementary information -> Profit and loss Balance sheet Investments Value of new business Corporate sustainability Abbreviations and disclaimer Contact details and financial calendar 71 Investor presentation | Full-year results 2020 SwissLife#72Abbreviations ALM Asset and liability management IL AM Business division Asset Managers IN APE Annual premium equivalent LC AuM Assets under management m bn Billion MCEV bps Basis points NBM Individual life Business division International Local currency Million Market consistent embedded value New business margin BVG Swiss federal law on occupational retirement, NBP New business production survivors' and disability pension plans n.a. Not available/applicable CAD Canadian dollar n.m. Not mentioned CH Business division Switzerland NNA Net new assets CHF Swiss francs PAM DAC DE DoJ EUR Euro FR FX Deferred acquisition costs Business division Germany Department of Justice Business division France Foreign exchange P&C P&L Profit and loss PHD PHP PVNBP RoE FY Full-year TPAM GBP British pound SST Proprietary insurance asset management Property and casualty Policyholder deposits Policyholder participation Present value of new business premiums Return on equity Third-party asset management Swiss Solvency Test GL Group life UK United Kingdom GWP Gross written premiums UL Unit-linked IFA Independent financial advisor USD US dollar IFRS International Financial Reporting Standard VNB Value of new business Segment Other: Includes Swiss Life Holding and finance/service companies Owned IFAs: Includes Swiss Life Select, tecis, Horbach, Proventus, Chase de Vere, Pôle Agami and Fincentrum 72 | Investor presentation | Full-year results 2020 SwissLife#73Disclaimer and cautionary statement This presentation is made by Swiss Life and may not be copied, altered, offered, sold or otherwise distributed to any other person by any recipient without the consent of Swiss Life. Although all reasonable effort has been made to ensure the facts stated herein are accurate and that the opinions contained herein are fair and reasonable, this document is selective in nature and is intended to provide an introduction to, and overview of, the business of Swiss Life. Where any information and statistics are quoted from any external source, such information or statistics should not be interpreted as having been adopted or endorsed by Swiss Life as being accurate. Neither Swiss Life nor any of its directors, officers, employees and advisors nor any other person shall have any liability whatsoever for loss howsoever arising, directly or indirectly, from any use of this information. The facts and information contained herein are as up to date as is reasonably possible and may be subject to revision in the future. Neither Swiss Life nor any of its directors, officers, employees or advisors nor any other person makes any representation or warranty, express or implied, as to the accuracy or completeness of the information contained in this presentation. Neither Swiss Life nor any of its directors, officers, employees and advisors nor any other person shall have any liability whatsoever for loss howsoever arising, directly or indirectly, from any use of this presentation. This presentation may contain projections or other forward-looking statements related to Swiss Life that involve risks and uncertainties. Readers are cautioned that these statements are only projections and may differ materially from actual future results or events. All forward-looking statements are based on information available to Swiss Life on the date of its posting and Swiss Life assumes no obligation to update such statements unless otherwise required by applicable law. This presentation does not constitute an offer or invitation to subscribe for, or purchase, any shares of Swiss Life. Please note: Sums in this presentation are based on unrounded figures and may not add up due to rounding differences. Furthermore, year-on-year changes are calculated on the basis of unrounded figures. 73 Investor presentation | Full-year results 2020 SwissLife#74Supplementary information -> Profit and loss Balance sheet Investments Value of new business Corporate sustainability Abbreviations and disclaimer Contact details and financial calendar 74 | Investor presentation | Full-year results 2020 SwissLife#75Contact details and financial calendar Contact Heidi Hinterhuber Phone +41 (43) 284 67 67 Head of Investor Relations E-mail [email protected] Rolf Winter Phone +41 (43) 284 49 19 Senior Investor Relations Manager E-mail [email protected] Martina Bihr Phone +41 (43) 284 49 74 Investor Relations Manager E-mail [email protected] Financial calendar Annual General Meeting Interim statement Q1 2021 Half-year results 2021 Interim statement Q3 2021 Investor Day 75 | Investor presentation | Full-year results 2020 23 April 2021 11 May 2021 17 August 2021 09 November 2021 25 November 2021 Visit our website for up-to-date information www.swisslife.com SwissLife#76We enable people to lead a self-determined life. 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