ASR Nederland N : Analist presentation

2020 full year results

Jos Baeten, CEO

Annemiek van Melick, CFO

ANALYST CONFERENCE CALL

18 February 2021

Strong operational performance and robust solvency in 2020

• • Operating result of € 885m up € 27m, driven primarily by higher Life investment margin and strong Non-life performance

• • Impact COVID-19 limited due to diversification of business activities

• • Combined ratio1at 93.6%. Non-life organic GWP growth of 4.6%

• • Efficiency ratios improved in all business segments, despite higher operating expenses, mainly driven by growth and acquisitions

• • Operating RoEof 15.3% exceeds target range

• • IFRS net result down to € 657m due to COVID- 19 impact on financial markets and one-offs

• • Robust Solvency II ratio on standard formula, up 5%-ptto 199% after proposed dividend

• • OCC stable at € 500m, higher business capital generation offset by higher UFR drag

• • FY20 dividend2up 7.4% to € 2.04 per share.

Final dividend equals € 1.28, share buyback of € 75m announced

• 1 P&C and Disability

• 2 FY19 dividend includes special dividend of €1.20 to make up for final dividend 2019

• 3 After proposed FY20 dividend

• 4 OCC 2019 restated for new OCC definition

2

Delivering on sustainable value creation for all stakeholders

Overall limited impact of COVID-19

Customers

• • First focus was a seamless transition to providing full customer support from home and efficiently dealing with increased client contact requests in specific business lines

• • In the 1st half of the year, clients in need were offered client solutions, including payment arrangements. In the 2nd half of the year, there was less demand for these solutions

• • Rent arrears in real estate portfolio reverted in the 2nd half of the year from c. €16m at HY20 to c. € 7m at FY20

• • Excellent customer satisfaction illustrated by further increase in NPS to 49 from 44

Employees

• • From one day to the next, some 4,000 colleagues switched seamlessly to fully working from home

• • Mood monitor (HR tool), which measures the employees' wellbeing, motivation and vitality, scored 7.3 out of 10 on average

• • Further focus on mood monitor scores to improve sense of involvement of our employees

• • Frequent all-company meetings to update employees on latest trends and situation

Financial results

• • COVID-19 impact on operating result limited at c. € -1m. Negative impact on Life

  (c. € -22m) was offset by Non-life (c. € 21m)

• • Due to underlying increasing trend in claims (particularly sickness leave) Disability provisions further strengthened in 2nd half of the year, re-integration processes reverted to normal

• • Within P&C, a higher traffic intensity was observed in the 2nd half of the year

• • Life COVID-19 impact mainly due to lower (equity) dividends and rental income

• • IFRS net result considerably lower due to impact on financial markets, goodwill impairments and the reported purchase gain from Loyalis in 2019

Solid progress in executing our strategy in 2020

Portfolio matrix

BRobust and predictable service books

• • Successful IT costs reduction due to system rationalisations within Ind. Life and Pensions DB and a reduction of the number of applications

• • All systems within Individual Life were converted to a SaaS solution, including Loyalis and VvAA portfolios

• • Ongoing focus on cost efficiency illustrated by decrease in Life operating expenses, supported by acquisition of VvAA Life. Life operating expenses decreased from 62 bps in 2016 to 45 bps in 2020

ANon-life business domains with growth potential

• • Combination of Loyalis, Veherex and Vitality partnership strengthens client proposition in the business domain of sustainable employability. Vitality helpful in further improvement of customer relevance and loyalty1

• • In-house execution of reintegration activities strengthens customer connection

• • Expense ratio decreases from 8.4% to 8.1%

Asset management related growth business

• • Assets under Management ("AuM") for third parties increased by € 3.4bn to € 25.4bn, mainly driven by growth in the mortgage and DC funds

• • Brand New Day IORP2 supports growth in DC business and Asset Management

• • Mortgage origination ended up at € 4.6bn in FY20

• • 3rd party AuM increased from € 12.4bn in 2016 to € 25.4bn in 2020, operating result increased from € 4m in 2016 to €31m in 2020

Divestments

• • Remaining investment accounts of a.s.r. bank were transferred to Van Lanschot Kempen

• • Banking license of a.s.r. bank was withdrawn in December 2020

1 At FY20 50k participants and 10k employers participated in a.s.r. Vitality programme 2 Institution for Occupational Retirement Provision refers to Dutch abbreviation "PPI"

5

Non-life: strong organic and inorganic GWP growth

• • Non-life operating result increased to € 241m, including a € 21m positive COVID-19 effect

• • In Disability, COVID-19 resulted in reserve strengthening and higher claims. In the 2nd half of the year reintegration processes reverted to normal

• • P&C benefitted from lower claims in motor and fire due to COVID-19, offset by reserve strengthening, primarily on account of bodily injury

• • Combined ratio1 of 93.6% including c. 0.6%-pt (positive) effect of COVID-19

• • Improvement in expense ratio from 8.4% to 8.1% reflects realised cost synergies from Generali NL and Loyalis IT migration and increase in GWP

• • Organic growth of P&C and Disability combined 4.6%, at upper end of target of 3-5% growth p.a.

• • Significant inorganic growth in Disability GWP due to Loyalis + Veherex (€ 158m)

• • Increase in Health GWP reflects strong interest in the newly introduced benefit-in-kind insurance product

Life: investment margin drives higher operating result

Operating result (in €m)

Investment marginResult on costsTechnical result and Other

+4.9%

+13.3%

696

730

369

16

98

32

78

326

50

6

49

583

620

271

18 302

FY 2019

FY 2020

H2 2019

H2 2020

Gross written premiums

(in €m)

RecurringSingle

+11.8%

1,810

1,619

FY 2019

FY 2020

283

405

1,336

1,405

Investment margin (in €m)

Direct investment incomeAmortised realised gainsRequired interest

+6.3%

583

620

FY 2019

FY 2020

298

1,063

-778

New business (APE) (in €m)

RecurringSingle

-22.1%

159 18

124

141

108

FY 2019

FY 2020

16

277

1,090

-747

Life operating expenses (in bps of basic Life provision)

bps Life opex

UL provision in €bnNominal provision in €bn

53

37

38

45

FY 2019

FY 2020

12	13
25	25

• • Operating result of Life segment increased by € 34m, to € 730m, despite a € 22m negative impact due to COVID-19

• • Investment margin rose by € 37m despite € -20m COVID-19 impact on direct investment income

• • Result on costs rose to € 32m due to a partly one-off decline in cost level, supported by ongoing cost efficiency and realisation of cost synergies from acquisitions

• • Decrease in technical result of € 20m, mainly driven by relatively strong mortality result in 2019. Limited positive impact of COVID-19 on mortality result

• • Higher investment margin mainly driven by:

  • • Positive effect from derivatives portfolio (swaptions)

  • • Optimisation of illiquidity (mortgages) and credit risk premium and additional contribution of acquisitions

  • • Required interest decreased due to maturing Individual life book

• • GWP increased by 11.8%, driven by strong growth in Pensions DC and acquisitions (Loyalis and VvAA), partly offset by a decline in Pensions DB and Individual life

• • New Business (APE) lower due to positive one-offs in 2019

• • Expenses dropped to 45bps, which is at the lower end of target range of 45-55bps

Operating result fee-based businesses delivering on ambitious targets

• • Fee-based business operating result amounts to € 57m for 2020 (2019: € 48m). Increase of 19% exceeds the target of 5% growth per annum

• • Operating result of Asset Management increased by € 7m, driven by an increase in fee income from external mandates (primarily mortgage fund and DC funds). COVID-19 impact in 2020 neutral

• • Third-party assets increased to € 25.4bn (FY19: € 22.0bn1)

• • Operating result of Distribution and Services increased by c. € 2m, mainly due to small acquisitions and organic growth

• • Decrease in operating result of Holding and Other is mainly driven by the increase in current net service costs (pension plan) due to lower interest rates (€ 20m), the additional interest expenses from the € 500m Tier 2 subordinated liability placed in April 2019 (€ 6m) and higher indirect costs

• • As from 2021 a.s.r. has shifted from DB to DC pension plan for future accrual, leading to an expected positive impact on operating result (c. €20m) and OCC (c. €7m). Accrued rights of a.s.r. employees remain in DB account

1 Reclassified figure

8

Solid track record in rational capital management

• • 2020 regular full year dividend amounts to € 2.04 per share, equal to 7.4% DPS growth. Final dividend amounts to € 1.28 per share

• • Dividend policy: pay-out ratio of 45% to 55% of the net operating result attributable to shareholders (i.e. net of hybrid costs and after tax)

• • Dividend threshold at 140% SII. Above 180% room for additional capital returns. Rational allocation OCC towards organic growth, bolt-on M&A and/or rerisking, regular dividend and additional capital returns

• • € 75m share buyback announced for 2021, starting 19 February until 18 May 2021 at the latest

• • Total capital return since IPO in 2016 amounts to € 1.6bn (36% of current market cap1)

Ample capital return since IPO (in €m)

DPS (in €)

1.27

1.63

1.74

485

FY 2016

FY 2017

FY 2018

FY 2019

FY 2020

SBBInterim DividendFinal Dividend

• 1 Market capitalisation as at 31 December 2020

• 2 SBB announced at FY19, FY20 results and to be executed in 2020, 2021 respectively

  9

• 3 Special dividend of €1.20 per share equals the postponed final dividend for FY19

Solvency and capital position

Annemiek van Melick, CFO

Solvency II: high quality balance sheet

• • Solvency II ratio is 199% based on standard formula (FY 2019: 194%)

• • Unrestricted Tier 1 capital increased by € 425m, to € 6,213m: 75% of total own funds and 149% of SCR, absorbing the reduction of the UFR to 3.75% (-4%-pts)

• • Ample headroom available within SII framework:

  - RT1: € 1,019m

  - T2 & T3: € 554m

• • No use of Tier 3 capacity

• • Market risk at 44%, well under the soft limit of 50% of required capital (pre-diversification and LAC DT), leaving room for asset optimisation

• • An increase in insurance and market risk was partially mitigated by increased positive impact of diversification and the LAC DT

• • Both market and insurance SCR increased due inorganic and organic growth of Non-life segment, lower interest rates partly offset by maturing Individual life book

Solvency II ratio movements in 2020

• 1 Includes the closing of the Veherex and VvAA acquisitions

  • • Solvency II ratio increased 5%-pts to 199%, on standard formula and after capital distributions, 208% before capital distributions

  • • Robust organic capital creation of € 500m or 12.2%-pts of required capital. Higher business capital generation as well as release of capital make up for € 79m higher UFR drag

  • • Market & operational developments are positive, mainly due to higher LAC DT benefit2 and adjustment of mortality assumptions, partially mitigated by the reduction of the UFR

  • • Capital distributions reflect € 282m FY20 dividend (€ 105m interim dividend, € 177m proposed final dividend) and € 75m share buyback executed in 2020

• 2 Reversal of previously expected corporate tax lowering incorporated in LACDT and DTA/DTL positions, as corporate tax rate remains 25%

OCC development

Business Capital Generation (+€ 42m)

• • Excess returns higher due to spread widening and shift to higher yielding assets

• • Higher income from fee-based business

Release of capital (+€ 42m)

• • Higher contribution from Loyalis(acquisition 2019)

• • Lower interest rates lead to higher release of capital

Technical movements (-€ 85m)

• • Decreasing interest rates led amongst others to an increase of the UFR drag of € 79m

• • For 2021 an echo of UFR drag of € 37m is starting point for 2021 due to the averaging methodology, leaving ample ambition in 2021 target of € 500m

1 UFR drag contains averaging methodology, i.e. taking avarage of € 161m UFR drag at rates at 1/1/2020 and € 247m UFR drag at rates at 31/12/20.

This results in a UFR drag echo of € 37m in 2021 if rates would remain unchanged in 2021 (half of the impact of interest rate movements in 2020, taking into account lowering of UFR to 3.6% as of 1/1/2021).

Manageable Solvency sensitivities

1 Steepening of the curve of 10bps between 20Y and 30Y

• 2 Bars represent a period of 2 years

  • • Limited impact of parallel and non-parallel interest rate shocks on SII ratio

  • • a.s.r.uses a combination of cash flow hedging and duration hedging to manage interest rate risk

  • • For the longer maturities, a.s.r.applies duration hedging of the liabilities, including the risk margin, based on parallel as well as non-parallel interest rate shocks. This is done trough a combination of bonds and derivatives, which allows for accurate hedging of optionality in liabilities (e.g.profit sharing) as well as assets (e.g.mortgages)

  • • For its hedging strategy a.s.r.uses a limit of 100bps parallel shift on sensitivity of SII ratio to a maximum 15%-pts

  • • Impact non-parallel curve shocks managed by sensitivity of duration buckets

  • • Sovereign and corporate spread sensitivities are stated excluding VA impact3

• 3 Note that at FY20, a corporate spread widening of 75bps corresponded with c. 15bps of VA increase. A 50bps of sovereign spread widening corresponded with c. 10bps VA increase

Robust and diversified investment portfolio

• 1 Investment portfolio distinguishes different investment categories from an asset management perspective. Therefore, this breakdown differs from the financial statement presentation based on IFRS

• 2 Excluding the other (external) mortgage funds (€ 0.4bn), for which no LtMV data is provided

• 3 In % of required capital excl. LAC DT and diversification between Market, Life, Non-life and Health risks

• 4 For calculation of risky assets, see appendix P

Strong balance sheet with ample financial flexibility

Robust solvency and cash support our businesses and dividends

• • HoldCo Liquidity at FY 2020 stood at € 502m, in line with a.s.r's policy of maintaining cash at operating companies and upstream cash to cover dividends, coupons and other Holding expenses for the current year

• • Cash remittance mainly from the Life entity

Wrap-up

Jos Baeten, CEO

Key take-aways

Strong business performance in all segments

Solid progress in executing our strategy, on track to meet medium-term targets

Strong balance sheet, robust solvency with ample financial flexibility

Solid track record in rational capital management

Appendices

Appendices

• A. Financial ratios

  • L. Details of Corporates and Financials bond portfolio

• B. Combined ratio per product line

  • M. Fixed Income portfolio government credit rating

• C. Calculation of operating ROE

• D. IFRS profit vs. operating result per segment

• E. IFRS equity and SII EOF multi-year development

  • N. Fixed Income portfolio Corporates and Financials credit rating

  • O. Details of equities and real estate portfolio

  • P. Calculation of asset leverage

• F. SCR movement in 2020

  • Q. Life segment book development

• G. Sensitivities Solvency II ratio

  • R. Life segment investment contribution

• H. Sensitivities Solvency II ratio - UFR

  • S. Track record in stable investment margin

• I. Investment portfolio

  • T. Medium-term group targets (2019 - 2021)

• J. Details of fixed-income portfolio

  • U. Medium-term business targets (2019 - 2021)

• K. Dutch mortgage portfolio, strong return with low risk

• V. Medium-term non-financial objectives (2019 - 2021)

A. Financial ratios

B. Combined ratio per product line

FY 2019

FY 2020

Property & Casualty

Net earned premiums (in €m) Claims ratio

1,466 1,492

62.4% 58.2%

Expense ratio Commission ratio Combined ratio

8.2% 8.1%

26.3% 26.2%

96.9% 92.5%

Net earned premiums (in €m) Claims ratio

981 1,182

70.2% 77.4%

Disability

Expense ratioCommission ratio Combined ratio

8.6% 8.1%

9.5% 9.5%

88.3% 95.1%

P&C & Disability

Net earned premiums (in €m) Claims ratio

2,447 2,674

65.5% 66.7%

Expense ratio Commission ratio Combined ratio

8.4% 8.1%

19.6% 18.8%

93.5% 93.6%

Net earned premiums (in €m) Claims ratio

712 894

93.9% 92.7%

Health

1.6% 1.9%

99.0% 97.7%

Non-life segment1

Expense ratio Commission ratio Combined ratio

3.5% 3.1%

Net earned premiums (in €m) Claims ratio

3,159 3,568

72.1% 73.6%

Expense ratio Commission ratio Combined ratio

7.4% 7.0%

15.5% 14.6%

95.0% 95.2%

1 Note that the Non-life CoR calculation differs from the sum of the three product lines due to elements that affect the overall segment (i.e. amortisation of intangible assets)

C. Calculation of operating ROE

Average adjusted IFRS equity

(in €m) FY 2018	FY 2019 FY 2020
Operating result (before tax, annualised) 749	858 885
Minus: Interest on hybrid instruments through equity1 59	60 48
Operating result after hybrid costs (before tax, annualised) 689	798 837
Tax effect (25% tax rate) 172	203 209
Operating result after hybrid costs (net of taxes) 517	595 628
(in €m) FY 2018	FY 2019 FY 2020
Equity attributable to shareholders 4,478	5,089 5,309
Minus: Unrealised gains and losses reserve2 586	937 1,137
Minus: IFRS equity discontinued3 115	54 56
Adjusted IFRS equity 3,777	4,098 4,116

3,607

3,937

4,107

Operating ROE 14.3%

15.1% 15.3%

• 1 Interest on hybrid instruments is deducted to show the return to equity shareholders after hybrid costs

• 2 Unrealised revaluation reserves are excluded as the operating result adjusts all capital gains and losses

• 3 Discontinued equity (Real Estate development and Bank) is excluded from the calculation as it is also excluded from the operating result due to its "non on-going" classification

D. IFRS profit vs. operating result per segment

IFRS profit
before tax
FY 2019 (in €m)
Non-life	292	102	-37
Life	913	243	-27
Asset Management	24	0	-1
Distribution and Services	21	0	-2
Holding and Other / Eliminations	-39	-3	76
Total	1,210	343	10

Investment	Operating	IFRS profit	Operating
related	result	before tax	result
FY 2020 (in €m)
226	261	38	-18	241
696	747	139	-122	730
24	30	0	-1	31
23	-6	0	-31	25
-112	-203	8	-68	-143
858	829	185	-241	885

Investment related

Incidentals

Incidentals

E. IFRS equity and Solvency II EOF multi-year development

F. SCR movement in 2020 (in €m)

FY 20194,035

Market riskCounterparty default riskInsurance risk LifeInsurance risk HealthInsurance risk Non-lifeOperational riskDiversificationLAC DT

-168

FY 20204,159

-109

SCR increases inMarket risk:

• • Interest rate risk

• • Equity and real estate risk

Insurance risk Life:

• • Longevity risk

Insurance risk Health:

• • HSLT risk and HNSLT risk

Insurance risk Non-life:

• • Premium reserve risk

Operational risk

G. Sensitivities Solvency II ratio

13

199%1

VA -10bps

Sovereign spread +50bpsCorporate credit spread +75bps

Interest +50bpsInterest -50bps

Equities -20%

Real estate -10%Mortgage spread +50bps

Total impact expressed as % of group solvency ratioImpact on required capital expressed as % of SCR ratioImpact on EOF expressed as % of SCR ratio

• • The dominant interest rate scenario (down) does not change in these parallel interest rate sensitivities

• • Sovereign and corporate spread sensitivities are stated excluding VA impact2. Corporate spread sensitivity includes impact of spread widening on IAS19 pension provision

• • Limited impact of equity shocks due to dampening impact of equity dampener

• • Current solvency level enables a.s.r. to potentially absorb multiple downward adjustments

• 1 Calculation based on standard model

• 2 Please note that spread widening will lead to a VA increase. At FY20, a corporate spread widening of 75bps corresponded with c. 15bps of VA increase. A 50bps of sovereign spread widening corresponded with c. 10bps

VA increase

H. Sensitivities Solvency II ratio - to UFR

• • EIOPA intends to lower the UFR towards the current target1 of 3.5% in steps of max. 15bps per annum

• • Lowering the UFR would lead to lower "stock" of capital but would increase organic capital creation ("flow") because of reduced UFR unwind

I. Investment portfolio

Assets (in €bn, fair value)1

FY 2019

• • Increase in fixed income was mainly due to market effects

  Fixed income2

• • Solid fixed income portfolio with AAA/AA rating and corporates and financial with A rating

  Equities

  Real estate

• • Acquisitions of VvAA and Veherex added € 0.4bn of assets to the portfolio

  Mortgages / other loans

  Cash (equivalents) for investments

• • Increase in real estate portfolio was mainly the result of acquisitions in rural real estate portfolio and positive revaluations

  Other3

• • Mortgages also include exposure of € 2.1bn through (fixed income) mortgage funds

  Total investments

  Investments on behalf of policyholders

  Other assets4

• • Mortgage exposure further increased. High quality mortgage portfolio with stable credit performance, small arrears positions and foreclosure losses incurred < 0.1bps

Total balance sheet a.s.r.

Note: This table is on an investment portfolio basis and distinguishes different investment categories from an asset management perspective. Therefore, this table differs from the financial statement presentation based on IFRS

• 1 Rounding differences occur

• 2 Consists of Government, Corporates, Financials, Structured and Derivatives

• 3 "Other" represents mainly equity associates

• 4 'Other assets' mainly represents loans and receivables (mainly due from credit institutions), cash and cash equivalents

J. Details of fixed-income portfolio

• • The core of the FI portfolio consists of AAA and AA government bonds, with selective peripheral sovereign exposure

• • The increase in value of the fixed income portfolio was mainly due to revaluations of € 3.0bn. Increase in the credits portfolio driven by transactions and spreads tightening in 2nd half of the year

• • Limited defaults and downgrades in actively managed credit portfolio

• • Our mortgage portfolio is well protected as 33% is NHG (government guarantee) and the average loan-to-value improved to c. 73% due to increased value of collateral

• • Also, mortgage portfolio is very stable, with <0.1bps credit losses

• • Mortgages also include exposure of € 2.1bn through (fixed income) mortgage funds

Mortgages (€m)	FY 2019 FY 2020 Delta % of total
NHG	3,380 3,278 -3.0% 33%
LtMV < 55%	1,450 1,645 13.4% 17%
LtMV < 65%	434 625 43.8% 6%
LtMV < 85%	1,479 2,280 54.2% 23%
LtMV < 95%	705 1,072 52.2% 11%
LtMV < 110%	900 598 -33.5% 6%
LtMV > 110%	52 20 -60.9% 0%
Subtotal	8,401 9,519 13.3% 96%
Other mortgage funds1	270 393 45.6% 4%
Total	8,671 9,912 14.3% 100%

Governments (in €m) Netherlands Germany France

FY 2019 2,856 3,031 1,297

FY 2020 2,943 2,678 1,137

Delta

% of total

3.0% 21%

-11.7% 19%

-12.4% 8%

Belgium

1,432

1,392

-2.8% 10%

Supranationals Austria

865

1,429

65.2% 10%

988

1,083

9.6% 8%

Spain Ireland United States

788

787

-0.1% 6%

603

684

13.5% 5%

479

452

-5.7% 3%

Other

Total

1,332 13,671

1,580

18.7% 11%

14,166

3.6% 100%

K. Dutch mortgage portfolio, strong return with low risk

• • Historic credit losses were very low. In general, there is a high payment morale and social security is usually enough to pay the mortgage4

• • 3.8m households in the Netherlands with a mortgage loan, end of 2019 there were 39k arrears, which is c. 1.0%

• • Total payment arrears for a.s.r. portfolio was 0.4% at FY20

• • Number of market foreclosures in 2020 was 0.01%

• • 72k clients in a.s.r. portfolio, of which c. 7% is self-employed

• • 33% of total a.s.r. mortgage portfolio is backed by the state (NHG)

• • Quality of the mortgages have improved over the last decade (i.e., cap on LTV, changes in dual income etc.)

• 1 Source: National Mortgage Guarantee

• 2 Source: Bureau of Credit Registration (BKR) Netherlands

• 3 a.s.r. mortgage rate versus swap rate (weighted average)

• 4 Source: National Institute for Family Finance Information (NIBUD)

L. Details of Corporates and Financials bond portfolio

Comments on Corporates portfolio

• • The increase of € 325m in the Corporates and Financials portfolio was mainly due to transactions and positive revaluations

• • Investments were made mostly in Retail and Consumer Goods

• • The acquisition of Veherex added € 23m of Corporates to the portfolio

Portfolio quality

• • > 97% of the Corporates and Financials portfolio, excluding fixed income funds and preferred shares, is rated investment grade

  or higher

  16%

• • BBB category is skewed towards BBB+

  BBB+BBBBBB-

• • If 20% of the entire Corporates and Financials creditportfolio would experience a full letter downgrade (3 notches) it would result in approximately 4%-point impact on our Solvency II ratiodue to higher SCR.

• • Due to our strict ESG criteria, exposure to Oil & Gas (included in Energy) was limited. Exposure to other sectors heavily impacted by COVID-19 such as Leisure (& Travel) and Transportation was also limited

Corporates portfolio (in €m)

FY 2019

FY 2020

Delta

% of total

Automotive

482

488

6 4%

Basic industry

Capital goods

Consumer goods

564

705

141 5%

Energy

326

365

39 3%

Healthcare

531

618

87 5%

Leisure

0

0

0 0%

Media

Real estate

Retail

101

226

125 2%

Services

407

420

13 3%

Technology & electronics

Telecommunications

Transportation

263

358

95 3%

Utility

Other Corporates

Subtotal

5,694

6,262

568 49%

Financials

6,862

6,619

-243 51%

Total

12,556

12,881

325 100%

M. Fixed Income portfolio government credit rating

Market value governments (in €m)	0-1	1-2	2-3	3-5	5-10	10-20	20-30	30+	Total	Delta1	% of total
AAA	679	173	285	348	1,042	1,635	2,617	184	6,964	80	49%
AA	836	175	106	314	993	926	839	1,371	5,560	126	39%
A	130	15	44	141	198	37	0	17	582	270	4%
BBB	213	145	329	193	178	0	0	0	1,058	21	7%
BB	0	0	0	0	0	0	0	0	0	0	0%
B or below	0	0	1	0	0	0	0	0	1	0	0%
Not rated	0	0	0	0	0	1	0	0	1	1	0%
Total	1,858	509	765	995	2,411	2,600	3,456	1,572	14,166	498	100%

N. Fixed Income portfolio Corporates and Financials credit rating

Market value credits (in €m)	0-1	1-2	2-3	3-5	5-10	10-20	20-30	30+	Total	Delta2	% of total
AAA	368	55	47	46	131	58	0	0	705	-410	6%
AA	85	184	174	176	370	126	0	0	1,116	-248	9%
A	377	689	837	1,217	1,810	298	0	0	5,228	189	43%
BBB	635	563	706	1,461	1,279	204	0	0	4,848	497	40%
BB	143	3	37	91	15	0	0	0	290	37	2%
B or below	3	0	0	0	13	0	0	0	16	-2	0%
Not rated	23	17	1	1	1	0	0	0	42	-28	0%
Total	1,635	1,511	1,802	2,992	3,618	687	0	0	12,244	36	100%

Table contains Financials, Structured and Corporates from slide J. Details of fixed-income portfolio totalling € 13,290m. Excluded are:

• • Preference shares € 316m

• • Fixed income funds € 729m

Fixed income funds contain, on a look through basis:

• • Investment grade (>BB) € 267m

• • Not rated

• • High yield

€ 259m1 € 203m

O. Details of equities and real estate portfolio

Highlights

Equities

• • During H1 2020, equity markets declined sharply due to COVID-19 and subsequently bounced back in H2, resulting in an overall increase in equity exposure

• • Continuation of the active hedging policy for the illiquid part of the portfolio

  Realestate

• • Total increase of 2.8% in real estate portfolio mainly as a result of acquisitions in rural real estate portfolio and offices and as well as positive revaluations

• • COVID-19 effects are mainly in the Retail portfolio. Vacancy rates remain low and relatively stable. In H2 vacancy rates for offices and residential improved

ASR Dutch Core Residential Fund ASR Dutch Mobility Office Fund Other Funds

Total real estate (excluding own use)

Offices in own use

Total real estate

4,350

4,473

2.8%

9.6%

Equities (in €m) FY 2019 FY 2020	Delta
Equities 2,059 2,288	11.1%
Private equities 99 147	48.2%
Hedge funds 0 0	-98.3%
Other funds 443 288	-35.0%
Derivatives 5 13	162.7%
Total 2,607 2,736	5.0%

Real estate vacancy rates (%)1

7.7%

3.5%

3.7%

1.4%

1.7%Offices

Residential

Retail

FY 2019FY 2020

P. Calculation of asset leverage

Risky assets (€m)	FY 2019	FY 2020
Equities	2,607	2,736
Real estate1	2,615	2,601
BB bonds or below	341	350
Preference shares	320	316
Fixed income funds (not rated & high yield)	265	333
Mortgages with LtMV >110%	52	20
Total risky assets	6,200	6,357
Unrestricted Tier 1	5,789	6,326
Asset leverage	107%	100%

Q. Life segment book development

R. Life segment investment contribution

(in €m)	H1 2018	H2 2018	H1 2019	H2 2019	H1 2020	H2 2020
Direct investment income1	529	519	535	527	562	528
Amortisation of realised gains reserve	155	159	161	137	132	145
Total investment contribution	684	678	696	664	694	673
Required interest on liabilities2	-404	-420	-384	-394	-376	-371
Investment margin	280	258	312	270	318	302
Shadow accounting reserve (Life)	2,841	2,914	6,018	6,719	9,156	9,672
Realised gains reserve (Life)	3,083	2,897	2,906	2,483	2,398	2,241
Basic nominal provision (Life)	24,179	24,988	24,890

• 1 This line item differs from ''investment income'' in the Annual Report due to (i) interest expenses on derivatives and (ii) savings mortgages (offset by technical provisions)

• 2 Including other components, such as profit sharing

S. Track record in stable investment margin

• • Investment margin has been stable over past years

• • Additional margin realised by optimising exposure to illiquidity premium (e.g. mortgages)

• • Successful bolt-on M&A strategy has increased basic provision and investment margin in recent years. Strategy will be continued

• • Required interest decreasing over time due to maturing Life book

• • Projected decline of Best Estimate Liabilities2 equals c. -2.7% CAGR for upcoming 10 years

  • • Gradual decline; No cliff pattern

  • • No acquisitions / management actions included

• 1 Direct investment income + Amortization Realised Gains - Required interest divided by Basic Life Provision. See also appendix R

• 2 Note that BEL represents Liabilities discounted against Solvency II discount curve and does not equal Basic nominal Life provision on IFRS standards

T. Medium term group targets (2019 - 2021)

• 1 Targets are based on the assumption of normal market, environmental and economic conditions and no material regulatory changes and on a stand-alone basis

• 2 In general, a.s.r. expects not to pay cash dividends if the Solvency II ratio (calculated in accordance with the standard formula) falls below 140%

• 3 Target announced during CMD 2018 is adjusted for acquisitions and new OCC methodology

U. Medium term business targets (2019 - 2021)

• 1 Targets are based on the assumption of normal market, environmental and economic conditions and no material regulatory changes and on a stand-alone basis

• 2 Fee based businesses are Asset Management and Distribution and Services

V. Medium term non-financial objectives (2019 - 2021)

1 Targets are based on the assumption of normal market, environmental and economic conditions and no material regulatory changes and on a stand-alone basis

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Cautionary note regarding forward-looking statements

The terms of this disclaimer ('Disclaimer') apply to this document of ASR Nederland N.V. and all ASR Nederland N.V.'s legal vehicles and businesses operating in the Netherlands ('ASR Nederland'). Please read this Disclaimer carefully.

ASR Nederland's condensed consolidated financial statements are prepared in accordance with International Financial Reporting Standards as adopted by the European Union ('IFRS-EU') and with Part 9 of Book 2 on the Netherlands Civil Code 2019. In preparing the financial information in this document, the same accounting principles are applied as in the 2019 ASR Nederland consolidated financial statements. All figures in this document are unaudited. Small differences are possible in the tables due to rounding. Certain of the statements contained herein are not (historical) facts but are forward looking statements ('Statements'). These Statements may be identified by words such as 'expect', 'should', 'could', 'shall' and similar expressions. The Statements can change as a result of possible events or factors. The Statements are based on our beliefs, assumptions and expectations of future performance, taking into account information that was available to ASR Nederland at the moment of drafting of the document. ASR Nederland warns that the Statements could entail certain risks and uncertainties, so that the actual results, business, financial condition, results of operations, liquidity, investments, share price and prospects of ASR Nederland could differ materially from the Statements.

Factors which could cause actual results to differ from these Statements may include, without limitation: (1) changes in general economic conditions; (2) changes of conditions in the markets in which ASR Nederland is engaged; (3) changes in the performance of financial markets in general; (4) changes in the sales of insurance and/or other financial products; (5) the behavior of customers, suppliers, investors, shareholders and competitors; (6) changes in the relationships with principal intermediaries or partnerships or termination of relationships with principal intermediaries or partnerships; (7) the unavailability and/or unaffordability of reinsurance; (8) deteriorations in the financial soundness of customers, suppliers or financial institutions, countries/states and/or other counterparties; (9) technological developments; (10) changes in the implementation and execution of ICT systems or outsourcing; (11) changes in the availability of, and costs associated with, sources ofliquidity; (12) consequences of a potential (partial) termination of the European currency: the Euro or the European Union; (13) changes in the frequency and severity of insured loss events; (14) catastrophes and terrorist related events; (15) changes affecting mortality and morbidity levels and trends and changes in longevity; (16) changes in laws and regulations and/or changes in the interpretation thereof, including without limitation Solvency II, IFRS and taxes; (17) changes in the policies of governments and/or regulatory-or supervisory authorities; (18) changes in ownership that could affect the future availability of net operating loss, net capital and built-in loss; (19) changes in conclusions with regard to accounting assumptions and methodologies; (20) adverse developments in legal and other proceedings and/or investigations or sanctions taken by supervisory authorities; (21) risks related to mergers, acquisitions, and divestments (22) other financial risks such as currency movements, interest rate fluctuations, liquidity, and credit risks could influence future results and (23) the other risks and uncertainties detailed in the Risk Factors section contained in recent public disclosures made by ASR Nederland.

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