#1Market updates on impact of IFRS 17 and IFRS 9 Observations from investor presentations by selected insurance groups March 2023 EY Building a better working world#2Introduction Observations were taken from IFRS 17 and IFRS 9 impact presentations published in 2022 by a panel of 20 global insurance groups: Background: Insurers are implementing IFRS 17 Insurance Contracts (IFRS 17) since 1 January 2023 and most of them are also applying IFRS 9 Financial Instruments (IFRS 9) at the same date for the first time. ► In 2022, several insurance groups published information to the investor community on the expected impacts of implementing IFRS 17 and IFRS 9 on their financial position and performance. Analysis performed: ► We have selected a panel of 20 listed insurance groups who have globally adopted IFRS as their accounting framework. For these companies, we have analyzed and summarized the publicly available information on the impacts of implementing IFRS 17 and IFRS 9 from investor presentations. ►Our analysis considers investor information published up to 31 December 2022. During 2023, insurers will provide, or have already provided, further updates and details on the impact of IFRS 17 and IFRS 9 through various sources. This information has not been considered in this analysis. We intend to update our analysis during Q2 2023 as more information on the expected impacts of IFRS 17 and IFRS 9 becomes available. Insurers by geography: 12 based in Continental Europe Segment: 03 05 based in Americas based in UK ► Life and Health: 6 groups underwrite only life and health business, that includes short- and long-term savings, and retirement products. ► Composite: 12 groups are composite and underwrite both P&C business and life business (with two of them also having major reinsurance segments). P&C: 2 groups underwrite only non-life business, that includes property and casualty products. 2 Market updates on impact of IFRS 17 and IFRS 9 EY#33 Table of contents 1 GP10G12 2 Highlights from IFRS 17/9 investor presentations Selected insurers benchmarking Market updates on impact of IFRS 17 and IFRS 9 222 1110 3 Appendix: Glossary EY#4Highlights from IFRS 17/9 investor presentations 4 Market updates on impact of IFRS 17 and IFRS 9 EY#5Executive summary: IFRS 17 has limited impact on overall financial strength and strategy, but impacts on equity and profit going forward could be significant During their investor presentations, insurers focused on educating the analyst community on the direction of travel and the impact of IFRS 17 on day one equity and on future profitability/volatility: Key highlights to investors: ► Most insurance groups expect minimal disruptions from IFRS 17 and IFRS 9. Strategy, cash flow, capital management and dividend capacity not expected to change. ► The CSM will become a key indicator of future profitability. Establishing the CSM and risk adjustment on transition has a downward impact on reported equity, but is a store of future earnings. ►Insurers highlighted the improvements in disclosures that IFRS 17 brings. ► KPIs are continuing the shift to cash flow-based metrics and are focusing on regulatory capital. New business measures and value added metrics may make use of the CSM going forward. ► Planned publication of IFRS 17 and IFRS 9 impacts in the year-end 2022 (YE22) financial results or annual report varies. Most do not plan to provide a detailed opening balance sheet and a restated 2022 P&L with their YE2022 results announcements. Publication of restated 2022 comparative numbers typically expected for 20 2023 (often alongside 10/1H 2023 presentations). Key observations on IFRS 17/9 expected impacts: ►IFRS 17 could lift reported ROE, mostly because the transition shareholders' equity would be lower compared to IFRS 4: Due to the transition and accounting for the CSM, shareholders' equity will reduce for many of the insurers reporting, particularly for Life business. ► However, for the insurers presenting their ROE based on adjusted equity (excluding OCI and including CSM), this ratio should remain stable. A number of reporters noted that leverage ratios would reduce as a result of including the CSM as equity in the denominator of the leverage ratio. ► Life results expected to be more steady and predictable than today. On the P&C side, technical results would be improved due to the effect of discounting of claims. The combined ratio will change for many of the selected insurers by: ► Reporting insurance revenue gross of reinsurance. ► Reduction in insurance revenue and insurance service expenses for non-distinct investment components. 5 Market updates on impact of IFRS 17 and IFRS 9 EY#6Accounting policies and methodology: many insurers opted to leverage regulatory frameworks and manage the impact on transition to reduce profit volatility Solvency II (SII) framework European groups have indicated their intent to leverage the SIl framework to determine the IFRS 17 liabilities, utilizing similar assumptions or calculation methods as much as possible. Premium Allocation Approach (PAA) For most of the players, the use of the PAA for a majority of their P&C business will reduce the impact of the transition to IFRS 17. Bottom-up approach Many of the insurers in the panel use the bottom-up approach to set the IFRS 17 discount curves, including an illiquidity premium. Annuity writers reported the use of the top- down approach. Disclosures of these curves will enable users of the financial statements to compare reported results. OCI approach Continental European insurers have generally opted for the OCl approach to account for the impact on insurance liabilities caused by changes in economic assumptions in order to reduce P&L volatility. Others have selected the P&L approach with financial assets and even then also classified as FVPL under IFRS 9. Retrospective approach Many insurers reported using the retrospective approach to transition (either full or modified retrospective) for most of their business. The fair value approach has often been used for older or less significant groups of insurance contracts. 6 Market updates on impact of IFRS 17 and IFRS 9 EY#7Contractual service margin (CSM) will become a KPI, while the combined ratio will generally be based on gross earned premiums IFRS 17 and 9 bring some changes to the design of KPIs: Combined ratio Mostly planned to be presented based on gross earned premiums. However, others will continue to use net-earned premiums. The combined ratio is likely to improve (decrease) due to the discounting of the liability for incurred claims. Contractual Service Margin This is expected to become a KPI. One insurer also noted that its new business metric will include the IFRS 17 CSM at inception. Another will use an IFRS 17 value added metric consisting of the IFRS 17 operating profit plus the change in the CSM for the year. Some insurers plan to separately present the CSM on the face of the balance sheet. New business (NB) This will now include the CSM of the new business. Certain players are presenting a gross CSM, whereas others are presenting it net of taxes and of projected non- attributable costs. This would impact the comparability of the NB value across the market. New business margin Since single premiums are now released over the coverage period, the annual premium equivalent (APE) disclosed by some insurers as a new business volume metric will be replaced for certain companies by the present value of expected premiums measured on an IFRS 17 basis. Return on Equity (ROE) A number of insurers plan to exclude from equity the total of OCI in ROE calculations. The use of OCI for the impact of changes in financial assumptions on insurance liabilities is envisaged to provide a better matching between the revaluation of investments and insurance liabilities. Leverage ratio CSM is added to the denominator of the leverage ratio. One insurer also plans to include the risk adjustment net of tax as part of the denominator. 7 Market updates on impact of IFRS 17 and IFRS 9 EY#8KPI impacts: for most (not all) insurers, operating profit should be similar or lower under IFRS 17 while the level of Shareholders' Equity (SHE) is generally expected to go down Limited quantitative disclosure regarding the impact on KPIs has been provided. During their presentations, insurers focused on educating the analyst community on the direction of travel, and the impact of the standard on transition and future profitability or volatility: Operating profit Operating profit is generally expected to be similar or lower compared to IFRS 4. The reported reduction varies from 5% to 25% compared to the IFRS 4 operating profit, mostly driven by the Life business. However, more than 50% of insurers did not disclose an expected quantitative impact. Level of Shareholders' Equity This is expected to decrease at transition date for most life and composite insurers, with reported reduction varying from 5% to 50%. Some insurers noted that excluding OCI from equity, or adding CSM to equity, would result in equity remaining more or less stable on transition. Several insurers mention that the reduction of SHE is due to setting up a CSM. Contractual Return on Equity Service Margin Depending on previous practices, the ROE targets will remain unchanged or will be improved. Indeed, in the past, some insurers were excluding OCI from the ROE calculation where others were not. Since part of the amounts previously in OClare now included in the CSM, the ROE of the latters will be mechanically improved. This is presented as gross, net of tax, or net of tax and projected non- attributable expenses. This latter view is perceived to provide a more direct view on the net-income impact of the release of CSM. Risk adjustment This could present varying levels of calibration depending on the risk appetite of the groups. Some insurers plan to use the cost of capital approach, whereas others are using value at risk. Insurers reported the expected percentile range of the risk adjustment to vary between 62.5% and 90%. Release of Contractual Service Margin The indication of pattern of release helps analysts to anticipate expected future profitability. Insurers reported an expected release of CSM ratio (release divided by CSM before release) between 4% and 12% per annum depending on the type of business. 8 Market updates on impact of IFRS 17 and IFRS 9 EY#9Analysts agree with insurers that there will be lower impacts on earnings, cash or solvency than previously anticipated Observations Most insurance groups are expecting limited disruptions from IFRS 17 and IFRS 9. CSM will be the biggest change, as it impacts reported book value negatively. Performance KPIs are shifting to cash flow-based metrics. IFRS 17 will lift reported RoE - this could flow through to higher valuations. What analysts are saying 66 We think UK annuity writers are set to see the greatest noise from IFRS 17 but valuations should not change for any insurers. Cash, dividends and solvency are unchanged. Fair IFRS PE ratios need to be adjusted to reflect the new paradigm. - BofA 66 The CSM is the biggest change. We view the treatment of new business gains, essentially "unearned profits" which are capitalized under IFRS 4 but will now be deferred and amortized under IFRS 17 through the CSM, as the biggest difference, which, from an accounting perspective, will lower reported book value upon transition and impact the timing of earnings. - BMO 66 Many life insurance-heavy names have switched their KPIs to non-earnings metrics, e.g., capital generation or cash, which are unaffected by IFRS 17. That said, we think IFRS 17 could introduce an element of 'presentational volatility' to earnings, which could conceivably increase the cost of equity in the space. Morgan Stanley 66 - We believe that the change to accounting linked to IFRS 17 is a positive — this is because it is reducing reported equity and, therefore, is lifting ROE (earnings are largely unchanged) ... Higher ROEs deserve a higher price-to-book ratio. This is because investing in a business with a high ROE produces a higher profit. - Berenberg 9 Market updates on impact of IFRS 17 and IFRS 9 EY#10Selected insurers benchmarking 10 Market updates on impact of IFRS 17 and IFRS 9 2017 yours GROUP A GROUP B EY#11Timeline of publication a.s.r. Admiral Group PLC Ageas Allianz Aviva Date of IFRS 17 presentation 15 June 2022 28 November 2022 7 December 2022 22 November 2022 9 December 2022 Planned disclosure to be provided in YE22 annual reporting Not disclosed Preliminary IFRS17 disclosures on impact of transition Not disclosed OBS IFRS 17/9 and outlook based on IFRS 17/9 Only indication is that the reporting will be under IFRS 4 First publication of FY22 comparatives 1H23 results (August 2023) 1H23 results (August 2023) June 2023 12 May 2023 (1023) 2023 results (primary statements) No group has indicated plans to communicate HY22 or YE22 IFRS 17 numbers in their YE2022 publications. Some groups will provide the opening balance sheet 1 January 2022. FY22 numbers will be published in most cases during the Q2 2023 presentations. 11 Market updates on impact of IFRS 17 and IFRS 9 EY#12Timeline of publication (cont'd) AXA CNP Assurances Generali Great-West Lifeco HISCOX Date of IFRS 17 presentation 3 November 2022 12 December 2022 13 December 2022 28 June 2022 6 December 2022 Planned disclosure to be provided in YE22 annual reporting Only indication that reporting will be under IFRS 4 Only indication that reporting will be under IFRS 4 Opening balance 2022 Transition impact on IFRS 17 First publication of FY22 comparatives 1Q 2023 publication (May 2023) 202023 (April 2023) By the end of April 2023 1023 results IFRS 17 transition impacts 1H23 results (August 2023) (primary statements) No group has indicated plans to communicate HY22 or YE22 IFRS 17 numbers in their YE2022 publications. Some groups will provide the opening balance sheet January 1 2022. FY22 numbers will be published in most cases during the Q22023 presentations. 12 Market updates on impact of IFRS 17 and IFRS 9 EY#13Timeline of publication (cont'd) Legal & General M&G Manulife Munich Re NN Group Date of IFRS 17 presentation 29 November 2022 7 December 2022 12 May 2022 10 November 2022 15 December 2022 17 November 2022 Planned disclosure to be provided in YE22 annual reporting First publication of FY22 comparatives (primary statements) Based on existing IFRS 4 only; a further education session to be held in May 20231 Not disclosed Transition impact on IFRS 17 Detailed opening balance sheet IFRS 17 Transitional disclosures in March HY 23 results (August 2023) 1H23 results 1023 results 1023 results (May 2023) Early disclosure of 2022 comparatives in 2Q 2023 No group has indicated plans to communicate HY22 or YE22 IFRS 17 numbers in their YE2022 publications. Some groups will provide the opening balance sheet January 1 2022. FY22 numbers will be published in most cases during the Q2 2023 presentations. 1 Plan to provide HY 22 results restated on an IFRS 17 & 9 basis as well as further detail to support analyst forecasts under IFRS 17 13 Market updates on impact of IFRS 17 and IFRS 9 EY#14Timeline of publication (cont'd) Sampo Group Storebrand Sun Life Talanx Date of IFRS 17 presentation 1 December 2022 8 December 2022 31 May 2022 12 October 2022 6 December 2022 Planned disclosure to be provided in YE22 annual reporting Transition effects and OBS (10 February 2023) Details of transition effects (4 April 2023) Not disclosed Transition impact on IFRS 17 Zurich 27 September 2022 16 November 2022 Management comments on material accounting changes Discussion of IFRS 17 transition impacts First publication of FY22 comparatives Press release (at end of March 2023) 1023 results 10 May 2023 1023 results (4 May 2023) Shortly post 1Q 2023 publication (primary statements) No group has indicated plans to communicate HY22 or YE22 IFRS 17 numbers in their YE2022 publications. Some groups will provide the opening balance sheet January 1 2022. FY22 numbers will be published in most cases during the Q2 2023 presentations. 14 Market updates on impact of IFRS 17 and IFRS 9 EY#15Core messages during the investor presentation a.s.r ►No changes to underlying business fundamentals or cashflows ► No impact on existing share buyback commitment and progressive dividend policy ►Higher volatility expected in net result, mostly driven by operating result ► Change in timing of earnings recognition anticipated mostly impacting Life products Admiral Group PLC No change in ultimate profitability of business written No impact on group strategy, solvency, dividend policy and cash generation ► No effect on investment and interest income on assets ►Equity to reduce ► Will maintain conservative reserving policy Enhanced disclosures in respect of claims reserves Ageas No change to dividend strategy, economic leverage, capital and cash generation, and solvency position Limited impact on net- operating result and non-life liabilities Limited transition impact on shareholders' equity for consolidated entities while more stable equity development is expected over time Allianz ►Limited economic impact (SII, cash flows, dividend) ► Strong fundamentals (operating profit slightly higher, net income similar level, equity less volatile and adjusted for OCI slightly lower, ROE slightly higher) ➤Improved disclosures (transparency, comparability, simplicity, profitability) Aviva No impact on cash remittances, capital generation, financial targets, dividend guidance ► £3b reduction in shareholders' equity although adjusted shareholders' equity (including CSM) higher by circa £2b and broadly equal to Solvency II net assets ► Operating profit to reduce by circa 15% per annum 60% of operating profit unaffected by IFRS 17 15 Market updates on impact of IFRS 17 and IFRS 9 EY#16Core messages during the investor presentation (cont'd) AXA ► Group underlying earnings power to remain unaffected post-transition ►Shareholders' Equity (excl. OCI) expected to remain stable at transition ►Limited reporting impacts reflecting our profile focused on technical lines ► No change to capital management and strategy ►"Driving Progress 2023" key financial targets reaffirmed CNP Assurances Company's underlying qualities unchanged ▸ Two new items on the liabilities side of the balance sheet: CSM for around €17b and RA for around € 1.5 b Equity slightly lower for around €1b (out of €21.1b) ► Earnings to be more volatile due to the market effects Financial reporting to be tailored due to adjustments to the formulas for calculating key indicators Generali No impact on cash and capital generation, net holding cash flow, dividends and solvency ► SHE expected to be broadly stable at transition Improved visibility and predictability of profits anticipated from life business ► P&C to be more volatile but its business mix to reduce the sources of volatility Group operating result expected to be broadly stable Great-West Lifeco No impact on business strategy SHE expected to decrease by 10%-15%, driven by the establishment of the new CSM ➤ Low-single-digit percentage decrease in base earnings expected ►Base EPS growth and dividend pay-out ratio to remain unchanged, base ROE objective expected to increase by 2% ► Positive impact to LICAT¹ expected HISCOX No change in strategy and reserving philosophy, and no impact on regulatory capital, cash and dividends ►Reduced volatility expected in group's earnings Shareholders' equity to likely see a small net increase on transition, primarily due to discounting ► Greater transparency due to more granular disclosures 1 Life Insurance Capital Adequacy Test 16 Market updates on impact of IFRS 17 and IFRS 9 EY#17Core messages during the investor presentation (cont'd) Legal & General ► No impact on strategy, capital and cash generation, solvency or dividends ►Financial reporting of annuity/life insurance businesses (i.e., LGRI, retail), shareholders' equity (at transition) and composition of profit (on adoption) to be impacted ►More stable and predictable earnings from insurance products M&G No change in strategy, solvency, capital management framework or dividend policy SHE expected to increase ► Leverage ratio expected to fall Volatility related to assumption changes (e.g., longevity) removed from annuities- adjusted operating profit result ►Profit signature of "with- profits" business (including PruFund) no longer back-end loaded Manulife Core earnings expected to decline by 10%, driven by the recognition of new business gains in the CSM and the timing of earnings from investment- related activities Decrease in equity of -20% due to the establishment of CSM ► Capital position expected to remain strong ► ROE to increase, driven by changes to core earnings and equity Munich Re ► No impact on business strategy, dividend and share buy-back policy, reserving strategy, capital strength ► More transparency in revenues and future profit margins from long-tail business ►Increase in total investments due to stronger reflection of fair values ▸ Overall earnings level to likely increase NN Group No impact on strategy or targets (focus on Sll and operating cash generation unchanged, no impact on dividend/capital return) Equity more stable and closer to SII, leverage ratio expected to be slightly higher, due to inclusion of CSM, operating profit expected to be slightly higher On track for implementation 17 Market updates on impact of IFRS 17 and IFRS 9 EY#18Core messages during the investor presentation (cont'd) Sampo Group No effect on the business mix, balance sheet targets, solvency, capital management and financial targets ► No material change in net profit ►Limited positive effect expected on P&C KPIs, with combined ratio expected to decrease marginally due to the broadening of discounting Storebrand No impact on cash generation, solvency margin and dividend Timing of profit recognition to be affected ►Higher and more volatile earnings expected on normalized basis ► Shareholders' equity to reduce Current reporting standards to continue while IFRS 17 (insurance contracts) supplements them Sun Life No impact on business strategies Increase in underlying ROE expected ►Reduction in SHE by 15%-20% expected largely due to establishing the CSM Mid-single-digit reduction to underlying net income anticipated in 2022 comparative year Positive underlying net-income growth is expected from 2022 to 2023 Talanx ►P/C equity expected to be more stable due to consistent discounting of assets and liabilities L&H business expected to see a significant initial drop in equity due to rise in liabilities and loss recognition results ► More earnings volatility expected due to stricter fair value approach adopted for investments ►Insurance revenues to be lower than gross written premiums ►KPIs like combined ratio to also change Zurich No major impact given the nature of business (75% unaffected or subject to PAA) ► Shareholders' equity impact driven by CSM and discounting of long-term liabilities Limited changes to P&C, and improved disclosures for Life ► Cash and capital generation remain strong 18 Market updates on impact of IFRS 17 and IFRS 9 EY#19Some figures at transition OBS a.s.r. Admiral Group PLC Level of SHE €5.7b (vs. €5.4b) at FY20 No quantitative disclosure Level of CSM Ageas €7.9b (vs. €8.1bn) at the beginning of year No quantitative disclosure No quantitative disclosure €2.4b before tax CSM release duration Risk adjustment No quantitative disclosure €2.3b (vs. €2.8b Sll) Expected operating profit Expected revenue ROE Financial leverage ratio No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure €0.3b No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure Allianz €60b (vs. €80b incl. OCI) €54b-€60b (€33b-€37b net of reinsurance, non- attributable cost, tax and minorities) €4.5b to €5b over €60b CSM (circa 8%) No quantitative disclosure Similar for P&C (€6b-€6.5b) Similar for L&H (€4.5b-€5b) No quantitative disclosure No quantitative disclosure 23% (vs. 26%) Aviva £21b-£22b (incl. CSM)/ £16b-£17b (excl. CSM) (vs. £19b) £4b-£5b (net of tax) No quantitative disclosure No quantitative disclosure Reduction of circa 15% per annum No quantitative disclosure No quantitative disclosure Target <30% 19 Market updates on impact of IFRS 17 and IFRS 9 EY#20Some figures at transition OBS (cont'd) Level of SHE Level of CSM AXA CNP Assurances Generali €58b excl. OCI (vs. €58b excl. OCI) ~€20b (vs €21.1b) €32b (vs. €32b) €34b gross of tax (€25b Life, €9b Health) -€17b -€33b Great-West Lifeco HISCOX €3b No quantitative disclosure No quantitative disclosure No quantitative disclosure 16% (vs. 26%) Decrease of 10%-15% No quantitative disclosure No quantitative disclosure No quantitative disclosure Decrease by low single-digits No quantitative disclosure 16% -17% (vs. 14%-15%) No quantitative disclosure $2.5b at HY22 No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure $2.6b at HY22 No quantitative disclosure 22% at 4021 CSM release duration Risk adjustment Expected operating profit Expected revenue Expected to be 9%-11% per annum for L&S, 6%-8% for Health €3b-€4b Similar; no quantitative disclosure Approx. 12% per annum 8%-10% ~€1.5b ROE No quantitative disclosure No change to 13 %-15% target No quantitative disclosure No quantitative disclosure No quantitative disclosure Financial leverage ratio 19%-23% (vs. 25%-28%) No quantitative disclosure 20 Market updates on impact of IFRS 17 and IFRS 9 EY#21Some figures at transition OBS (cont'd) Legal & General M&G Manulife Decrease of -20% No quantitative disclosure 8%-10% per annum Decline by 10% €28.4b Munich Re €22.3b (€16.3b after tax) ~4-8% p.a. (ERGO L&H Germany) ~8% p.a. (L&H reinsurance) €5.6b -€4.0b No quantitative disclosure >15% (vs. >13%) 25% (adjusted for CSM) ~€58b 14%-16% (2025 target) 10.7% (vs. 14.7%) NN Group No quantitative disclosure (vs. €33b) No quantitative disclosure (depend on FV level) No quantitative disclosure No quantitative disclosure Slightly higher due to higher investment margins on NN Life; no quantitative disclosure No quantitative disclosure No quantitative disclosure Less than 23% (vs. 23%) Level of SHE £5b (vs. £10.5b) No quantitative disclosure Level of CSM CSM RA expected to be £13b-£14b (net of tax) No quantitative disclosure CSM release duration No quantitative disclosure No quantitative disclosure Risk adjustment Expected operating profit CSM RA expected to be £13b-£14b (net of tax) Reduction in operating profit from divisions by -20%-25% No quantitative disclosure No quantitative disclosure No quantitative disclosure Expected revenue ROE No quantitative disclosure Should increase; No quantitative disclosure No quantitative disclosure No quantitative disclosure Financial leverage ratio Will decrease (27% by HY22) No quantitative disclosure 21 Market updates on impact of IFRS 17 and IFRS 9 EY#22Some figures at transition OBS (cont'd) Sampo Group Storebrand Level of SHE No quantitative disclosure Reduction by 20% Level of CSM €0.4b (Mandatum) No quantitative disclosure CSM release duration ~7%-8% per annum (Mandatum) No quantitative disclosure No material change in net profit; no quantitative disclosure No quantitative disclosure No quantitative disclosure Risk adjustment Expected operating profit Expected revenue ROE Financial leverage ratio Limited changes in P &C insurance revenue; no quantitative disclosure No quantitative disclosure <30% (vs. 26% at 9M 2022) No quantitative disclosure Sun Life Decrease of 15%-20% ~Two-thirds of the transfer from shareholders' equity is related to establishing the CSM No quantitative disclosure No quantitative disclosure Mid-single-digit reduction to underlying net income in 2022 comparative year No quantitative disclosure No quantitative disclosure No quantitative disclosure No quantitative disclosure > 18% No quantitative disclosure Talanx €8.5b (vs. €10.8b) 1 -€9b No quantitative disclosure ~€4b ~€1,25b > €38b (2022 estimate) > 10% (vs. ~9%) -22% Zurich €27b (vs. €28b) at HY22 €9b net of tax at HY 22 No quantitative disclosure €2.5b net of tax at HY22 Limited impact; no quantitative disclosure Limited impact; no quantitative disclosure >20% (vs. >14%) 26% at HY22 1 31 December 2022 estimate: >9b (vs <8b) 22 Market updates on impact of IFRS 17 and IFRS 9 EY#23Impact to KPIs P&C combined ratio P&C profitability NBV a.s.r. Not commented Future profitability to be determined by combination of CSM and risk adjustment release ► Not commented Admiral Group PLC No longer reported net of all reinsurance No impact on ultimate profitability of business written Not commented Ageas ►Deterioration by ~1.5pp due to movement to gross while improvement by 2.5pp due to discounting of all new claims ►Positive impact of discounting of new claims partially off-set by lower investment result Not commented Allianz Expected to be similar or lower level due to discounting ► (-93%-94% vs. ~94%) ► Operating profit expected to be on similar level ►Higher than SII ►Includes IFRS9 contracts and is net of tax, reinsurance and NAE NBV margin and APE Not commented Not commented Not commented Not commented Aviva Calculated net of reinsurance Limited financial impact IFRS 17 value-added will be key metric = IFRS 17 operating profit + change in CSM. IFRS 17 NB more aligned to Solvency II VNB Not commented 23 Market updates on impact of IFRS 17 and IFRS 9 EY#24Impact to KPIs (cont'd) P&C combined ratio P&C profitability NBV AXA Not commented ► Future profitability to be determined by combination of CSM and risk adjustment release A CNP Assurances Not commented Not commented Generali ► Ratio methodology to change, incl. all expenses in the numerator Slightly higher, owing to higher restated expense ratio and prior-year development ► Operating result more sensitive to interest rates due to discounting Not commented Not commented Will be key (newly introduced) life KPI going fwd.1 NBV margin and APE Not commented Not commented Not commented Great-West Lifeco ►Life business only HISCOX ► Slight deterioration expected due to increase in numerator (now gross basis) Life business only New business gains recorded as CSM ►New business gains deferred and recognized over the life of contracts Not commented ►Reduced volatility as changes to investment return arising from interest rate movements are now partially offset by discount rate on net insurance liabilities Not commented Not commented 1 Compared to the old representation of NBV, the new definition considers IFRS 17 economic assumptions, different contractual boundaries and risk adjustment in place of Cost of Capital & Non-Hedgeable Risk (CoC &NHR). 24 Market updates on impact of IFRS 17 and IFRS 9 EY#25Impact to KPIs (cont'd) P&C combined ratio Legal & General M&G ►Life business only Life business only Manulife ►Life business only ►Life business only ►Life business only ►Life business only P&C profitability NBV NBV margin and APE Defers new business gains over life of the contract day 1 profit deferred on the balance sheet and spread over contract life through release of CSM. Day 1 losses go through P&L, with some offset against reinsurance profits Not commented Adjusted operating profit remains the key indicator for the IFRS underlying performance New business gains recorded as CSM and recognized over the life of the contract Munich Re ►Reduction in combined ratio of each business segment of 1%-2% points due to deduction of commission from revenue ► Calculation based on net COR Generally stable, currently benefitting from increasing interest rates ►Higher current interest rates lead to higher discount NN Group Expected to be similar Expected to be similar Not commented ► Not commented NB CSM growth of 15% expected Not commented Not commented 25 Market updates on impact of IFRS 17 and IFRS 9 EY#26Impact to KPIs (cont'd) P&C combined ratio P&C profitability NBV Sampo Group ► Small combined ratio benefit expected on run- rate basis Will remain on a net of reinsurance basis ► No material change in net profit Storebrand Sun Life ►Expected to be marginally lower ►Life business only Limited impact on P&C, health and group life profits Life business only ► Not commented Not commented ► Not commented Not commented NBV margin and APE New business gains deferred and recognized over the life of contracts Not commented Talanx P&C combined ratio to look different Expected to increase (driven by lower claims due to discounting, lower allocation of technical cost) Not commented Not commented Zurich Insurance revenue used as denominator in IFRS 17 resulting in slightly higher combined ratio all else equal due to higher base ► Not expected to be materially different ►NB CSM PV of NB premiums X NB margin APE replaced by the PV of NB premiums 26 Market updates on impact of IFRS 17 and IFRS 9 EY#27Impact to KPIs (cont'd) CSM Shareholder's equity ROE a.s.r. Admiral Group PLC Not commented Not commented Expected to be lower compared to SII, mainly due the application of the CSM ► Greater than IFRS 4 equity Not commented ► Expected (one-off) reduction in equity on transition Ageas CSM valued at locked-in rates (BBA) or current rates (VFA) Operational variance for future service accounted for in CSM ►Limited impact of transition on equity excl. unrealized gains and losses Measures still relevant under IFRS 17 ► Not commented Not commented Not commented Financial leverage ratio Allianz New KPI, CSM at inception before non- attributable cost and reinsurance, and excluding investment contracts and PAA business ► Comprehensive SH capital incl, net CSM Decrease when incl. OCI,- stable at transition excl. OCI Aviva ►Stock of future profit to be a key measure of future value = CSM plus risk adjustment ►Including CSM broadly equivalent to Solvency II own funds No impact IFRS financial leverage to be considered in relation to comprehensive equity ►Slightly higher ➤Improvement due to the inclusion of CSM at the denominator Not commented ► Continuing to view leverage on a Solvency II basis 27 Market updates on impact of IFRS 17 and IFRS 9 EY#28Impact to KPIs (cont'd) CSM Shareholder's equity ROE Financial leverage ratio 28 AXA CNP Assurances Not commented ►Decrease when incl. OCI,- stable at transition excl. OCI ► No expected change ► Improvement due to the inclusion of CSM in the denominator The CSM (excluding taxes and non-controlling interests) increased by €1.3b at 30 June 2022, mainly due to higher interest rates ►IFRS 17 equity at 30 June 2022 to be less volatile than under IFRS 4 (€1.7b vs. €3.6b) Not commented Not commented Generali ► CSM expected to be ~€33b, reflecting profit of in-force business ► Broadly stable (decrease of €2b in life offset by increase of €2b in P&C) ► Not commented ►Decrease due to the inclusion of net CSM in comprehensive equity Great-West Lifeco CSM growth to moderate over time as earnings mix shifts to US and other less impacted product lines ▸ Expected to reduce by 10% to 15% due to establishment of the CSM ►Increase in ROE by 2% to 16% -17% due to reduction in SHE No impact is expected ► HISCOX Not applicable (PAA only) ►Marginal increase expected on transition due to discounting ▸ Impact expected through change in profit emergence ►Decrease due to the increase in SHE on transition with no changes to the valuation of borrowings Market updates on impact of IFRS 17 and IFRS 9 EY#29Impact to KPIs (cont'd) CSM Shareholder's equity ROE Legal & General The CSM represents a discounted store of future value that can be added to IFRS 17 equity from a valuation prospective No change to the definition Increase due to the reduced SHE at transition and a more gradual release of profit over time M&G CSM release to become main profit driver in adjusted operating profit Expected to increase due to the recognition of circa 10% of the with- profits surplus as SHE Not commented Manulife CSM represents expected future profits and to be treated as available capital under LICAT Expected to decrease due to the establishment of CSM Will increase due to the expected changes to core earnings and equity Munich Re ►L&H Re: Increase due to profitable business growth ERGO: Decrease due to run-off of traditional life business and build-up of short-term health business. ►Decrease due to shift of unrealized gains to CSM Increase driven by higher consolidated result NN Group CSM at transition highly dependent on fair value transition ► SHE to be more stable (impact mainly driven by introduction of CSM and active discounting) 1 Not commented Financial leverage ratio Ratio to decrease if CSM is included in the denominator and to increase if CSM is not included Expected to fall ►Adjusted for CSM Decrease due to the inclusion of CSM 1 Impact on reported equity dependent on interest rates: IFRS 9/17 equity lower than current equity at 1/1/22; IFRS 9/17 equity similar to current equity at 30 June 2022 29 Market updates on impact of IFRS 17 and IFRS 9 ► Slightly lower, reflecting higher equity base, while financial debt is the same EY#30Impact to KPIs (cont'd) CSM Shareholder's equity ROE Sampo Group Limited impact of overall CSM as UL savings policies (including all UL new business) are accounted for under IFRS 9 ►Increase due to the wider discounting of claims reserves Not commented ►Slightly lower due to higher equity Financial leverage ratio Storebrand New component to the balance sheet Key driver for operating profit u/IFRS 17 Equity expected to be lower by 20% due to the requirement to set up a CSM and RA Higher due to the lower IFRS 17 equity ►Will reduce due to the CSM addition at the denominator Sun Life ► Significantly larger and more stable than existing reinvestment PfA Ds¹ Decrease driven by new CSM liability Expected to increase due to transfer of equity to liabilities (for CSM establishment) Not commented Talanx CSM end balance expected to increase Expected to be stable for P&C due to consistent discounting of assets and liabilities ► Significant initial drop for L&H due to rise in liabilities and loss recognition results For long-term technical performance, additional communication of RoE excluding earnings from SPPI-fail assets ► Not commented Zurich New business CSM, a new ΚΡΙ ▸ Decrease mainly driven by introduction of CSM and discounting of long- term liabilities ►Higher due to impact on denominator (equity adjusted for unrealized gains/losses related to assets and liabilities) ►Economic leverage expected to remain unchanged post IFRS 17 transition 1 Provisions for Adverse Deviation 30 Market updates on impact of IFRS 17 and IFRS 9 EY#31Accounting policies and methodological choices – IFRS 17 Measurement Models (PAA, GMM, VFA) a.s.r. PAA for P&C and Health ►GMM for Disability Discount rate curve OCI option for insurance finance income/expense Two approaches mentioned: ►Similar to Solvency II incorporating 20-30 year market observations ►Using observations up to a last liquid point of 30 years Not commented 31 Market updates on impact of IFRS 17 and IFRS 9 Admiral Group PLC ►PAA for short-term contracts GMM for the rest ►Bottom-up approach RFRILP Ageas For P&C PAA for majority of business; GMM/ BBA for contracts with >1 year coverage period For life: GMM/ BBA for discretionary profit-sharing business, UL business spread over BBA/ PAA/VFA ► Top-down approach aligned with discount rates in S2 Allianz For P&C, 99% of PAA For L&H, 79% VFA, 21% GMM ► Bottom-up approach ►RFR+ILP Aviva ► Of operating profit: 40% GMM, 15% V FA, 35% PAA ►Remaining business out of scope ►Bottom-up approach other than for annuities which uses top-down approach Applied disaggregation approach ►For non-V FA business, OCI-option preferred ➤ Applied disaggregation approach Not commented EY#32Accounting policies and methodological choices - IFRS 17 (cont'd) Measurement models (PAA, GMM, VFA) Discount rate curve OCI option for insurance finance income/expense AXA ►60% of PAA (99% of P&C), 24% of VFA and 11% of GMM Remaining 5% business to be in asset management Bottom-up approach RFR ILP (framework similar to SII) ► Applied disaggregation approach CNP Assurances BBA for term creditor and disability/health insurance (4%-9%) VFA for direct participating savings/pensions and unit-linked savings contracts (94.9%) PAA for disability/health insurance group and P&C (0.2%) ►Bottom-up approach: a Solvency II-inspired yield curve: risk-free rate + liquidity premium (e.g., on initial application in France a volatility adjustment at 64 bps) ►OCI option activation to the liabilities balance sheet in VFA and BBA Generali Great-West Lifeco ►For life: 96% VFA, 4% GMM Not commented For P&C: 99% PAA, 1% GMM Bottom-up approach aligned with S2 RFR + ILP HISCOX PAA ► Not commented RFR + ILP Changes in discount rates reported through OCI (non-VFA) Not commented ► Not commented 32 Market updates on impact of IFRS 17 and IFRS 9 EY#33Accounting policies and methodological choices - IFRS 17 (cont'd) Legal & General Measurement models (PAA, GMM, VFA) Discount rate curve OCI option for insurance finance income/expense GMM for all business ► Top-down approach starting from an appropriate asset portfolio with economic deductions M&G GMM for annuities and other insurance contracts VFA for "with-profits" (incl. PruFund) and unit- linked business ►Top-down approach for GMM Bottom-up approach (risk free + illiquidity premium) for VFA Intend to use OCI for vast majority of liabilities within its protection business Not commented Manulife ► Not commented ► GMM (30%) PAA (56%) all P&C ► VFA (14%) Munich Re NN Group PAA for P&C GMM for traditional life VFA for unit linked Not commented Interest rate impacts and hedge ineffectiveness recorded in OCI and CSM ► Bottom-up approach in accordance with Solvency II parameters ►Separation of the effect of changes in discount rates between income statement and OCI ► Methodology similar to SII Parameters used for IFRS 17: last liquid point at 30y, long-term forward rate at 3.35%, ILP derived from own assets ► Applied disaggregation approach 33 Market updates on impact of IFRS 17 and IFRS 9 EY#34Accounting policies and methodological choices - IFRS 17 (cont'd) Measurement models (PAA, GMM, VFA) Sampo Group PAA for P &C ►GMM and VFA for life liabilities Storebrand GMM for long-term non- participating business VFA for long-term participating business ►PAA for short-term business such as P&C and Health Sun Life Not commented Discount rate curve ►Bottom-up approach RFR + ILP ➤S2-like discount rate applied ► Not commented Talanx ►GMM for long-term business (~60%) PAA for short-term business (~35%) VFA long-term direct participating business (-5%) ►Bottom-up approach RFR + ILP OCI option for insurance finance income/expense Not commented Not commented ►Not commented ► Changes in discount rate to be recorded in OCI Zurich PAA for P&C BBA (GMM)/VFA for life insurance ►Bottom-up approach RFR ILP (Illiquidity premium not applied for onerous contracts) ► Applied disaggregation approach incl. for RA 34 Market updates on impact of IFRS 17 and IFRS 9 EY#35Accounting policies and methodological choices - IFRS 17 (cont'd) Risk adjustment information Non-attributable expenses a.s.r. ➤ Risk adjustment is discounted including liability illiquidity premium (LIP) Not commented Full retrospective approach Funeral (Life) ➤Fair value approach - Life and pensions Partly retrospective and partly fair value approach Disability (non-life) Transition method Admiral Group PLC ▸ Confidence level approach, corridor around 90th percentile Not commented ► Not commented Ageas ► Confidence level method at 75th percentile (both for life/non-life) Allianz ► Assumptions broadly consistent with Sll risk margin Full cost view, allocating non-attributable costs both in life & P &C Not commented ► Full retrospective approach for several years in both life and non-life ► Early years: life majority fair value approach; non- life majority modified retrospective approach For L&H, retrospective approach for ca 75% (25% FVA) Aviva ►Leverages Solvency II view of risk but allows for diversification and considers lifetime (vs. one year) view More than 90% of Solvency II maintenance expenses are directly attributable ►FRA from 1 January 2016 (-35%) ▸ Extensive use of FVA for heritage, annuity and protection prior to 2016 (- 55%), ►Limited use of MRA (-10%) 35 Market updates on impact of IFRS 17 and IFRS 9 EY#36Accounting policies and methodological choices - IFRS 17 (cont'd) Risk adjustment information Non-attributable expenses Transition method AXA Percentile approach based on 62.5th-67.5th percentile On L&H, ca 5% of non- attributable expenses indicated by AXA For L&S, retrospective approach for ca 80% (20% FVA to manage risk of onerous contracts) CNP Assurances ► Quantile approach based on 80% confidence level Most of the administrative expenses now included in the insurance service result as they represent attributable costs FVA for the majority of contracts within the scope inspired by the mandarine valuation covering more than 70% of the CSM FRA for 2021 term creditor insurance cohorts ►MRA for the BPCE term creditor insurance portfolio and certain Brazilian portfolios Generali ► Percentile approach: 75th percentile Not commented Great-West Lifeco HISCOX ► Value at risk (percentile) and scenario (sensitivities on a range of outcomes) approach Excluded from CoR in line with insurance service result Not commented Not commented ► Retrospective approach (-95%) Not commented ► Full retrospective approach Fair value approach (-5%) 36 Market updates on impact of IFRS 17 and IFRS 9 EY#37Accounting policies and methodological choices - IFRS 17 (cont'd) Risk adjustment information Legal & General Value at risk (VaR) method used to derive the overall non-financial risk M&G ► Confidence level approach ► Not commented Manulife Munich Re ► Cost-of-capital approach based on Solvency II risk capital ► Not commented Not commented Not commented NN Group Consistent with SII, with a lower cost of capital (4% vs. 6% under S2) IFRS 17 risk adjustment <S2 risk margin Not commented Non-attributable expenses Transition method Not included within IFRS 17 insurance liabilities; recognized as incurred in P&L -55% of the CSM calculated using the modified retrospective approach -35% using the fair value -10% using the fully retrospective approach 37 Market updates on impact of IFRS 17 and IFRS 9 More than 50% of business to use the FVA, ~40% the MRA and -10% the FRA ► Not commented ► Full retrospective approach (-10%) ►Fair value approach (-40%) ►Modified retrospective approach (-50%) Extensive use of the FVA: ►Retrospective where possible or necessary (e.g., international) FVA where historical information is not sufficient EY#38Accounting policies and methodological choices - IFRS 17 (cont'd) Risk adjustment information Sampo Group ► Confidence level approach Non-attributable expenses Transition method Not commented ►Full retrospective approach to be applied in the Group's non-life companies whereas all transition methods are expected to be applied in the Group's life company 38 Market updates on impact of IFRS 17 and IFRS 9 A Storebrand Sun Life No specific comment Not commented Not commented Not commented Not commented Not commented Talanx Percentile approach in primary insurance (65%- 75%) ►Pricing margin approach in reinsurance (non- financial risk loadings in premium) ► Not commented FVA where FRA/MRA not applicable ►FVA used for insurance liabilities before 2016 due to lack of detailed yield curve data Zurich Percentile approach, based on SST target level of 160%, with a periodical review of cost of capital ► Not commented For L&H, 80% of CSM based on retrospective approach, 20% on FVA Discount rates 2021 used for pre 2016 P&C LIC No restatement of 2022 numbers under IFRS 9 EY#39Accounting policies and methodological choices - IFRS 9 a.s.r. Admiral Group PLC¹ Not commented Largely FVOCI Ageas ►Largely FVOCI Allianz Listed equity investments Investment funds and Not commented FVPL FVPL ►FVOCI without P&L recycling FV PL private equity Vanilla fixed income Not commented FVOCI Real estate Not commented Not commented Amortized cost ECL not material ECL FVOCI ► Amortized cost ► Not material as major portion of portfolio (97%) is investment grade Not commented FVOCI with P&L recycling ►Mostly at FVPL Aviva No measurement differences expected on adoption of IFRS 9 IFRS 9 does not recognize future profits for Wealth business ► Retain current approach and report fair value movements on assets backing insurance business in P&L 1) IFRS 9 already adopted 39 Market updates on impact of IFRS 17 and IFRS 9 EY#40Accounting policies and methodological choices - IFRS 9 (cont'd) AXA FVOCI without P&L recycling FVOCI Listed equity investments CNP Assurances FVPL Generali ➤ Equities not backing variable fee approach (VFA) at FVOCI w/o recycling FVPL Great-West Lifeco HISCOX Not commented Investment funds and Private Equity FVPL Vanilla fixed income HTCS ► Amortized cost FVOCI or amortized cost ► Amortized cost or FVPL Real estate ECL Not expected to be material 40 Market updates on impact of IFRS 17 and IFRS 9 Not commented Not commented Mark-to-market investments at fair value through profit and loss At the transition, expected ECL for approx. €500m FVOCI ► Real estate backing VFA business at FVPL (83%) At cost (17%) ►Limited impact from recognition of ECL reflecting portfolio credit quality ► Not commented Not commented Not commented EY#41Accounting policies and methodological choices - IFRS 9 (cont'd) Listed equity investments Investment funds and Private Equity Vanilla fixed income Real estate ECL Legal & General L&G's statement that assets to be classified based on their characteristics and the business model Annuities: A portion of annuity assets, broadly backing the CSM, classified as amortized cost Protection: All assets backing the protection business classified as either fair value through OCl or amortized cost ► Not commented M&G Manulife ► Not commented ▸ FVPL Not commented Not commented Not commented Munich Re NN Group FVOCI without P &L recycling FV PL Not commented ► Not commented FVPL FVOCI (SPPI-passed) FVPL (SPPI-failed) Not commented Not commented ► Amortized costs (non- VFA) ► Not commented Not commented ▸ FVPL (VFA) HTCS (low volume that fails SPPI test) Not commented ECL at transition to be small given the high portfolio quality Not expected to be significant 41 Market updates on impact of IFRS 17 and IFRS 9 EY#42Accounting policies and methodological choices - IFRS 9 (cont'd) Listed equity investments Investment funds and Private Equity Vanilla fixed income Sampo Group ►Following the implementation of IFRS 9, Sampo to mark financial assets to market though the P&L instead of in OCI Storebrand Amortized cost portfolio to be recognized as "hold to collect and sell" Under IFRS 9 Real estate ECL 42 Sun Life Talanx Zurich FVOCI FVPL ► Not commented Not commented FVPL Not commented FVOCI ►Only a minor amount of assets to be held at amortized cost ► Not commented ►FVPL Effect expected to be minor Not commented ► Not commented ► Quarterly impairment test Market updates on impact of IFRS 17 and IFRS 9 FVPL HTCS (low volume that fails SPPI test) ► Not commented ► Not expected to be material EY#43Appendix 43 Market updates on impact of IFRS 17 and IFRS 9 EY#44Glossary Abb. Full expression Abb. Full expression CSM Contractual Service Margin OBS Opening Balance Sheet (1/1/22) ECL Expected Credit Loss OCI Other Comprehensive Income FVPL Fair Value through Profit & Loss FVOCI Fair Value through Other Comprehensive Income GMM General Measurement Model PAA Premium Allocation Approach GOC Group of Contracts P&C Property & Casualty HTCS Held to collect and sell PfAD Provisions for Adverse Deviation IFRS International Financial Reporting Standard PVEP Present Value of Expected Premiums ILP Illiquidity Premium RFR Risk Free Rate L&H Life & Health RA Risk Adjustment LICAT Life Insurance Capital Adequacy Test ROE Return on Equity L&S Life & Savings SHE Shareholders' equity NAE Non Attributable Expenses VFA Variable Fee Approach NBV New Business Value 44 Market updates on impact of IFRS 17 and IFRS 9 EY#45Thank you 45 Market updates on impact of IFRS 17 and IFRS 9 EY#46EY | Building a better working world EY exists to build a better working world, helping to create long-term value for clients, people and society and build trust in the capital markets. 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