Slides
Page 1
NN Group FY24 results Continued strong business performance 20 February 2025
Page 2
Continued strong business performance David Knibbe, CEO
Page 3
Today’s key takeaways 1Robust capital position with a group solvency ratio of 194%, at top-end of 150-200% comfort range Free cash flow up 8% YoY to EUR 1.5bn, well on track to deliver on EUR 1.6bn target in 2025 Operating capital generation for 2024 of EUR 1.9bn, in line with our 2025 target 3 Excellent commercial performance with VNB 20% higher YoY , EUR 2.3bn net inflows in DC in 2024, and Non-life GWP ~4.5% higher YoY
Page 4
8% increase of DPS versus 2023 DPS1 (EUR) Continuing our attractive capital return trajectory 4 1.51 1.55 1.66 1.90 2.16 2.33 2.49 2.79 3.20 3.44 0.57 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 3.5bn 6.6bn 2024 2025E 10.0bn Returned EUR 10bn to shareholders since IPO in 2014 Accumulated payout to shareholders1,2 (EURbn) 1. Dividend per share in EUR based on declared amounts in book year 2. Total dividend amounts are shown on a cash out basis. Total share buyback amounts shown in the year that the programme commences. 2025 dividends and share buybacks in this graph are indicative and in line with our capital return policy of a progressive dividend per share and annual share buyback of at least EUR 300m. Dividend per share1 Share buyback Dividend 2023 2024 3.20 3.44
Page 5
On track to achieve strategic targets 5 Employee engagement of ≥ 8.0 by 2025 Women in senior management positions2 of ≥ 40% by 2025 Reduction GHG3 emissions of corporate investment portfolio by 25% by 2025 More than double investments in climate solutions 4 by EUR 6bn to EUR 11bn by 2030 Reaching 1m people in supporting financial, physical and/or mental well- being 5 by 2025 All figures are at year-end; 1. Net Promoter Score (NPS-r) is measured for the business lines in the Netherlands and for the 10 International business units based on a four-quarter rolling average; The target score is related to the market average. The metric indicates on a scale from 0 to 10 how likely it is that someone will recommend NN as an employer; 2. Includes all managerial positions reporting directly to the CEOs of our business units in addition to the Management Board and managerial positions reporting directly to a Management Board member; 3. GHG = Greenhouse Gas. Reductions compared with portfolio financed emissions in tCo2 per EUR million invested at year-end 2021, reflecting underlying emissions of 2019; 4. The amount invested in climate solutions for the proprietary portfolio reflects the nominal value of green bonds and debt investments in certified green buildings and renewable energy, and the market value for direct and equity investments in certified green buildings, renewable energy and other investments; 5. Cumulative starting 2022. 7.8 7.9 2023 2024 2023 2024 40% 41% 2023 2024 401k 766k Above market average NPS-r1 of NL and International by 2025 10.8 12.8 2023 2024 Positive contribution to society Excellent customer experience Engaged employees 2023 2024 10% 31% On track On track On track On track Netherlands: on par International: above
Page 6
Insurance Europe outperforming, driven by profitable protection sales and pension growth OCG (EURm) 6 Continued commercial momentum in Europe and Non-life Netherlands Non-life continues strong performance with ~4.5% GWP growth versus 2023 OCG and remittances (EURm) 2021 2022 2023 2024 EUR 450m 2025 Target 318 389 422 461 +13% New business OF contribution Other 325 280 416 406 123 176 335 329 38% 63% 81% 2021 2022 2023 81% 2024 OCG Net remittances Remittances/OCG Positive impact Covid-19
Page 7
Sustainable remittances from NL Life Remittances (EURm) • Sustainable remittances for over a decade to come • Solvency II ratio of 187% at the end of 2024, supported by management actions .. and 2) pension buyouts • NL Life may selectively engage in buyouts, if above double-digit IRR • Expected to be more achievable in the latter half of the transition period • Three buyouts closed in 2024 with total AuM of EUR 0.9bn Sustainable remittances in our leading Dutch Life business 7 Pension reform provides opportunity for: 1) expansion of DC market.. DC AuM (EURbn) • Market leader and highest broker satisfaction score provide a strong foundation to further grow the franchise • Strong net DC inflows in 2024 of EUR 2.3bn and support from markets of EUR 4.1bn 19 33 7 6 Dec 20 Dec 24 25 39 Decumulation Accumulation 1,048 1,059 1,061 2021 20221 2023 2024 1,171 1. Remittances for 2022 include a non-recurring dividend of EUR 124m following the closing of the acquisition of the ABN AMRO Life business
Page 8
8 Group solvency ratio 194% (31 December 2024) Higher capital quality • Relatively low UFR benefit • Reduced longevity risk and final settlement of unit-linked issue Robust investment portfolio • High-quality real estate portfolio • Solid mortgage book with negligible default experience Low leverage ratio Delivering on financial targets 2025 Operating Capital Generation EUR 1,922m (2024) 2025 target: EUR 1.9bn1 Free Cash Flow EUR 1,519m (2024) 2025 target: EUR 1.6bn Dividend per share EUR 3.44 (2024 full-year dividend) Annual share buyback At least EUR 300m Additional excess capital to be returned unless used for value-creating opportunities Upside to capital return If NN Group SII ratio is sustainably above 200% Delivering on enhanced investor proposition 1. Based on normal weather and normalised mortgage margins, otherwise financial markets on 1 January 2024 Resilient balance sheet Strong business performance Attractive capital return NN Group will hold its Capital Markets Day on 27 May 2025
Page 9
FY24 results Annemiek van Melick, CFO
Page 10
..and delivering attractive capital distributions to shareholders Strong financial peformance 10 ..while maintaining a strong balance sheet and cash position.. Operating capital generation (EURm) Delivering on 2025 OCG and FCF targets.. 1. FCF for 2023 is adjusted for the EUR 1bn capital injection into NN Life and EUR 60m capital injection into NN Spain, as well as the non-recurring dividend for Belgium following the sale of a closed book life portfolio 2. As announced in the year-end results of the respective year 1,922 1,902 2024 2023 1,900 Free cash flow1 (EURm) Solvency II ratio (in %) Cash position at Holding (EURm) 31 Dec 2024 31 Dec 2023 194% 197% Dividend per share (EUR) Share buyback2 (EURm) 3.44 3.20 2024 2023 +8% 300 300 2024 2023 1,271 971 31 Dec 2024 31 Dec 2023 1,519 1,410 2024 2023 1,600 +8% 1,900 1,600
Page 11
11 Robust capital supported by management actions EOF1 (EURbn) SCR1 (EURbn) 1.9 -0.7 -0.6 -1.2 17.7 18.3 17.0 31 Dec 2023 -0.0 Operating capital generation2 0.0 Market variance -0.2 Other3 Solvency ratio before capital flows Capital flows 31 Dec 2024 9.0 8.8 8.8 -14% • FY24 operating capital generation of EUR 1,922m adds 22%-points to the solvency ratio • Market variance mainly reflects wider government bond spreads and negative equity variance • Other is driven mainly by regulatory changes, including the UFR step-down of 15bps and VOLA reference portfolio update as well as model and assumption changes, largely offset by management actions • Capital flows reflect the regular EUR 300m share buyback programme completed in December 2024, as well as the full-year 2024 dividend • Outlook positive into 2025, with Basel IV implementation expected to add ~3%-points to the solvency ratio -3% 194%Solvency ratio 197% 22% 1. Eligible Own Funds and Solvency Capital Requirement; Includes available and required regulatory capital for Solvency II entities, Japan Life, Banking and CEE pension funds 2. Operating capital generation (OCG) includes Solvency II entities, Japan Life, Banking and CEE pension funds, as well as the accruals of the qualifying debt and holding expenses 3. Other includes model and assumption changes, the change of non-available and non-eligible Own Funds and special items related to non-Solvency II regulated entities and the holding company, as well as the change in SCR as a result of asset portfolio changes 208% -8%
Page 12
Dutch mortgages are a safe and attractive asset class Historical losses1 (in bps) • Client rates do not respond immediately to movements in swap curve • Point in time approach results in uneconomic spread volatility Real estate improvement and less volatile mortgage spread 12 1. Losses remaining after recovery measures; mortgages on the NN Group balance sheet 2. Mortgage losses are taken from the NHG annual reports for relevant years Real estate valuations appreciated due to Residential NN Group’s real estate valuation changes (in %) • Supreme Court ruling on CPI+ favourable for Dutch residential market; NN’s market share is small (~1%), with a conservative approach to increases historically (< CPI+1% on average) • Continued improvement anticipated for 2025 0 10 20 30 40 2009 2013 2018 2023 NN losses NHG losses2 5.4% -7.5% -6.1% -3.9% 0.6% 2.5% 1H22 2H22 1H23 2H23 1H24 2H24 Updated valuation approach better reflects underlying economics • Mortgage spreads are adjusted based on observed swap curve volatility • Adjusted client rates more in line with transaction rates • Improved measurement at fair value and estimated reduction of mortgage spread volatility of ~1/3rd • Published sensitivity reduced from 50bps to 25bps to reflect lower expected volatility Sensitivities per 31 Dec 2024 Δ SII ratio (%-points) Parallel shock mortgages +25bps -6% Parallel shock mortgages +50bps -12%
Page 13
13 Delivery on OCG remains strong 1. Operating Capital Generation is the movement in the solvency surplus (Own Funds before eligibility constraints over SCR at 100%) in the period due to operating items, including the impact of new business, expected investment returns in excess of the unwind of liabilities, release of the risk margin, operating variances, non-life underwriting result, contribution of non-Solvency II entities and holding expenses and debt costs and the change in the SCR. It excludes economic variances, economic assumption changes and non-operating expenses Continued strong OCG results from Europe and Non-life • Netherlands Life’s OCG increased despite negative experience variances, mainly driven by a higher investment return • Netherlands Non-life exceptionally strong performance in 2023 was almost repeated. This year, P&C benefitted from mild weather offsetting large fire claims in 1Q24. Both P&C and Disability experienced a higher new business contribution • Insurance Europe’s OCG increased reflecting strong business growth, outperforming its 2025 target of EUR 450m • Japan Life broadly stable, despite adverse currency effects and a lower technical result, supported by the recapture of a reinsurance contract • Banking OCG decreased due to a reduced net interest margin, partly offset by a lower capital consumption while remaining at high levels • OCG for segment Other decreased due to less favourable experience variance for the reinsurance business; OCG of the holding remained stable, whilst absorbing wage inflation OCG1 by segment (EURm) FY24 FY23 Delta Netherlands Life 1,049 1,025 2% Netherlands Non-life 406 416 -2% Insurance Europe 461 422 9% Japan Life 108 107 1% Banking 119 133 -10% Other -221 -201 OCG 1,922 1,902 1% 2021 2024 1.6 1.9 +7% Strong OCG CAGR since 2021 OCG (EURbn)
Page 14
Higher operating result driven by growth of Insurance Europe, partly offset by Banking and Netherlands Life • Netherlands Life: lower operating result primarily due to a lower investment result • Netherlands Non-life: stable operating result; large fire claims in 1Q24 were largely offset by benign weather • Insurance Europe: business growth, strong pensions performance and higher technical results • Japan: higher insurance result, partly offset by adverse currency impacts • Banking: lower interest margins resulting from ECB cuts • Other: improved investment result at the holding, lower result fromthe reinsurance business • Lower non-operating items and lower special items versus 2023, which contained the unit-linked insurance products settlement of EUR 360m • Net result increased to EUR 1.6bn from EUR 1.2bn in 2023 14 Operating result up driven by Insurance Europe growth Operating result (EURm) FY24 FY23 Netherlands Life 1,368 1,390 Netherlands Non-life 364 364 Insurance Europe 559 468 Japan Life 203 197 Banking 189 226 Other -108 -118 Operating result 2,574 2,528 Non-operating items & special items -609 -985 Acquisition intangibles and result on divestments -28 -10 Result before tax 1,936 1,532 Taxation & minority interest 354 360 Net result 1,583 1,172
Page 15
• Cash capital of EUR 1.3bn at the end of 2024, supported by strong free cash flow • Free cash flow increasingly diversified, with future growth coming mainly from Europe and Non-life • Current remittances Netherlands Life are sustainable for over a decade • Track record of reducing expenses in line with portfolio run-off expected to continue over the next decade • Run-off of book very gradual at ~2% per annum, slower than before, supported by new business, renewals and interest rates • Assuming stable market conditions and regulatory framework and no significant real economic losses • Free cash flow growth sufficient to facilitate a progressive dividend as part of our capital return policy Delivering on mid-single digit FCF growth ambitions FCF (EURm) 15 Increasingly diversified and growing free cash flow 20211 20222 20233 2024 2025 Target 1,232 1,269 1,410 1,519 1,600+7% 1. FCF for 2021 is adjusted for the exclusion of NN IP (EUR 110m in 2021), a catch-up dividend of NN Bank due to Covid-19 and normalisation for Japan Life and segment Other 2. FCF for 2022 is adjusted for the issuance of EUR 500m subordinated notes by the Holding, the proceeds of which were used to provide an EUR 500m intercompany loan to NN Life, which NN Life used to redeem an external legacy Tier 2 debt in August 2022 as well as the non-recurring dividend for NN Life following the closing of the acquisition of the ABN AMRO Life business of EUR 124m 3. FCF for 2023 is adjusted for the EUR 1bn capital injection into NN Life and EUR 60m capital injection into NN Spain, as well as the non-recurring dividend for Belgium following the sale of a closed book life portfolio 4. Other includes interest on subordinated loans and debt, holding company expenses and other cash flows Remittances Of which: Life Other4
Page 16
Wrap up
Page 17
Today’s key takeaways 1Robust capital position with a group solvency ratio of 194%, at top-end of 150-200% comfort range Free cash flow up 8% YoY to EUR 1.5bn, well on track to deliver on EUR 1.6bn target in 2025 Operating capital generation for 2024 of EUR 1.9bn, in line with our 2025 target 17 Excellent commercial performance with VNB 20% higher YoY , EUR 2.3bn net inflows in DC in 2024, and Non-life GWP ~4.5% higher YoY
Page 18
Appendices
Page 19
Solvency sensitivities 19 Solvency ratio sensitivities to market shocks on 31 Dec 20241,2 Δ EOF (EURbn) Δ SCR (EURbn) Δ SII ratio (%-points) Base: 17.0 8.8 194% Interest rate: Parallel shock +50bps -0.4 -0.2 +0% Interest rate: Parallel shock -50bps +0.5 +0.2 -0% Interest rate: 10bps steepening between 20y–30y -0.1 -0.0 -1% Credit spread: Parallel shock for AAA-rated government bonds +50bps -0.5 -0.0 -6% Credit spread: Parallel shock for AA and lower-rated government bonds +50bps -0.8 -0.0 -8% Credit spread: Parallel shock corporate bonds +50bps +0.4 -0.1 +6% Credit spread: Parallel shock mortgages +25bps -0.6 -0.0 -6% Equity: Downward shock -25% -1.1 -0.2 -9% Real estate: Downward shock -10% -1.3 -0.1 -13% 1. Sensitivities are performed for Solvency II entities, NN Life Japan and NN Bank 2. Tier 3 eligible capital is maximized at 15% of SCR. Note that if Tier 3 capital becomes ineligible, the sensitivities increase as there is no offset from tax
Page 20
20 Operating capital generation by segment OCG1 by segment (EURm) 2H24 2H23 FY24 FY23 Netherlands Life 514 502 1,049 1,025 Netherlands Non-life 253 206 406 416 Insurance Europe 231 203 461 422 Japan Life 43 39 108 107 Banking 40 63 119 133 Other -118 -109 -221 -201 OCG 964 904 1,922 1,902 1. Operating Capital Generation is the movement in the solvency surplus (Own Funds before eligibility constraints over SCR at 100%) in the period due to operating items, including the impact of new business, expected investment returns in excess of the unwind of liabilities, release of the risk margin, operating variances, non-life underwriting result, contribution of non-Solvency II entities and holding expenses and debt costs and the change in the SCR. It excludes economic variances, economic assumption changes and non-operating expenses;
Page 21
OCG by source (EURm) 2H24 2H23 FY24 FY23 Investment return 681 605 1,351 1,226 Life – UFR drag -72 -58 -152 -163 Life – Risk margin release 113 124 226 250 Life – Experience variance -51 -13 -63 14 Life – New business 85 72 199 180 Non-life underwriting 195 165 288 329 Own Funds generation – SII entities 949 896 1,850 1,836 Non-Solvency II entities - Japan, Bank, Other1 161 142 343 333 Holding expenses and debt costs -155 -148 -306 -293 Own Funds generation – Total 956 889 1,887 1,876 Change in SCR 8 16 35 26 OCG 964 904 1,922 1,902 21 Operating capital generation by source 1. Other comprises CEE pension funds as well as broker and service companies. 2. Reflecting the impact on Eligible Own Funds only. OCG sensitivities2 (31 Dec 2024, EURm) Δ OCG Interest rates: Parallel shock +50bps +10 Interest rates: Parallel shock -50bps -30 Mortgage spreads: Parallel shock +25bps +40 Equity: Downward shock -25% -60 Real estate: Downward shock -10% -50
Page 22
Free Cash Flow: EUR 619m1 Movement in holding company cash capital (EURm) Free Cash Flow: EUR 1,519m1 • FY24 free cash flow of EUR 1,519m driven by remittances from subsidiaries • Capital flows to shareholders reflects cash dividends paid and share buybacks • Comfortably on track to deliver on free cash flow target of EUR 1.6bn in 2025 22 On track to deliver EUR 1.6bn free cash flow in 2025 1,359 1,271840 Beginning of period Remittances from subsidiaries -83 Capital injections2 -138 Other -708 Capital flows to shareholders 0 Change in debt and loans 31 Dec 2024 1. Other includes interest on subordinated loans and debt, holding company expenses and other cash flows 2. Capital injections reflect a Tier 2 loan of EUR 70m provided to NN Belgium from the Holding company. Remittance levels for Belgium expected to return to normal by 2026. 2H24 FY24 971 1,271 1,877 -91 -267 -1,213 -6
Page 23
Remittances from subsidiaries 23 1. Includes interest on and repayment/redemption of subordinated loans provided to subsidiaries by the holding company 2. Refers to Insurance Europe entities’ consolidated totals excluding NN Czech Life insurance business (branch of NN Life) Remittances from subsidiaries (EURm) 2H24 2H23 FY24 FY23 Netherlands Life1 531 530 1,061 1,059 Netherlands Non-life1 166 229 329 335 Insurance Europe1,2 65 52 226 370 Japan Life - - 63 68 Banking1 25 21 85 21 Reinsurance business 50 - 110 - Other 3 1 3 1 Total 840 832 1,877 1,855 • Remittances from Insurance Europe in 1H23 include a non-recurring dividend of EUR 120m from NN Belgium Life following the sale of a closed book life portfolio in 2H22
Page 24
24 Robust capital, supported by management actions EOF1 (EURbn) SCR1 (EURbn) 1.0 -0.7 -0.0 -0.6 17.4 17.6 17.0 -7% • 2H24 operating capital generation adds 11%-points to the solvency ratio • Market impact mainly reflects wider government bond and mortgage spreads, as well as unfavourable interest rate movements • Other is driven mainly by management actions such as further optimisation of the asset portfolio • Capital flows reflect the 2024 final dividend 5% 194%Solvency ratio 192% 11% 1. Eligible Own Funds and Solvency Capital Requirement; Includes available and required regulatory capital for Solvency II entities, Japan Life, Banking and CEE pension funds 2. Operating capital generation (OCG) includes Solvency II entities, Japan Life, Banking and CEE pension funds, as well as the accruals of the qualifying debt and holding expenses 3. Other includes model and assumption changes, the change of non-available and non-eligible Own Funds and special items related to non-Solvency II regulated entities and the holding company, as well as the change in SCR as a result of asset portfolio changes 200% -8% 30 June 2024 -0.0 Operating capital generation2 0.0 Market variance -0.3 Other3 Solvency ratio before capital flows Capital flows 31 Dec 2024 9.0 8.8 8.8
Page 25
Eligible Own Funds and SII headroom (31 Dec 2024, EURbn) Strong balance sheet and financial flexibility 25 Credit ratings Debt maturity profile (EURbn) Fixed-cost coverage ratio (IFRS, multiple) Financial leverage (IFRS based) Headroom RT1/T2 2025 2026 2027 2028 2029 2030 2031 2032 2033 1.0 0.6 0.9 0.8 0.6 0.5 1.0 Subordinated notes RT1 Subordinated notes T2 Senior notes 31 Dec 2023 31 Dec 2024 17.7% 17.2% 31 Dec 2023 31 Dec 2024 8.7x 10.2x Financial Strength Rating 31 Dec 2024 31 Dec 2023 Standard & Poor's A+ Stable A+ Stable Fitch1 AA- Stable AA- StableUnrestricted Tier 1 1.8 Restricted Tier 1 2.4 Tier 2 1.1 Tier 3 2.2 Non-Solvency II regulated entities Eligible Own Funds 9.6 17.0 T2 headroom EUR 0.3bn RT1 headroom EUR 0.7bn 1. Financial Strength Rating for Nationale-Nederlanden Levensverzekering Maatschappij N.V.
Page 26
Investment portfolio (NN Group excluding banking)1 (31 Dec 2024) High-quality investment portfolio 26 All figures at 31 December 2024 1. Market value, excluding separate account assets; mortgages are on amortised cost value; 2. Includes fixed income and equity mutual funds; excludes money market mutual funds; 3. Cash includes money market mutual funds; 4. The National Mortgage Guarantee is referred to in Dutch as ‘NHG’; Includes mortgages that are guaranteed by third-party providers; 5. Weighted net loan to indexed market value and remaining fixed rate period are based on NN Group excluding NN Bank; Fixed income Real estate Equity Other2 Cash3 • High-quality and conservative investment portfolio • Diversified real estate exposure across segments and regions • Core profile and strong occupancy rate >95% • Ability to price in inflation through rental income • Low leverage of ~20% • Strong credit quality mortgage portfolio • Strict personal bankruptcy laws in the Netherlands • ~24% are guaranteed, mainly by the Dutch state (NHG)4 • Average loan to value of 53%5 • ~75%5 has a fixed rate period >10 years • Credit losses in own portfolio close to zero • Close to strategic asset allocation target and gradual optimisation of investment portfolio 80% 9% 4% 5% 2% 29% 26% 17% 5% 3% EUR 136bn Fixed income: Government Mortgages Corporates Financials Other
Page 27
Investment portfolio 27 1. Market value, excluding separate account assets; mortgages originated by NN Bank are on amortised cost value; 2. Dutch residential mortgages 3. Includes fixed income and (infrastructure) equity mutual funds; excludes money market mutual funds 4. Cash includes money market mutual funds Total investment exposure decreased mainly due to a decrease in the mortgage portfolio • Fixed income portfolio relatively stable, with purchases of government bonds broadly offsetting the impact of rising yields • Mortgage exposure decreased, mainly reflecting the sale of a EUR 2.2bn portfolio as well as lower production and redemptions • Real estate exposure relatively flat, with sales broadly offset by positive real estate revaluations • Equity decreased reflecting the sale of equities • Mutual funds increased, mainly reflecting new investments in high-yield and infrastructure equity mutual funds • Cash decreased due to investments and the reduction of operational leverage Investment portfolio (NN Group excl banking)1 31 Dec 2024 31 Dec 2023 Change % of total Fixed income (excl mortgages2) 73.6 73.8 -0.2 54% Mortgages2 35.4 39.3 -3.9 26% Real estate 11.9 12.0 -0.1 9% Equity 2.9 3.7 -0.8 2% Other3 5.5 4.8 0.7 4% Cash4 6.5 8.6 -2.1 5% Total 135.8 142.2 -6.4 100%
Page 28
Details of fixed income portfolio 28 1. Excluding mortgages; Market value, excluding separate account assets; NN Group excluding NN Bank 2. Bonds and loans Government bonds and loans by country (29% of investment portfolio, at 31 December 2024) 11% 10% 9% 8%17% 29% 6%6% 4% France Belgium Netherlands Germany Spain Austria US Japan Other • Core of fixed income portfolio consists of AAA-A rated government bonds • Fixed income portfolio relatively stable, with purchases of government bonds broadly offsetting the impact of rising yields • Exposure to financials is limited representing ~5% of total investment portfolio, of which ~1% US financials • Well-diversified portfolio, skewed to the larger high-quality institutions • Exposure to AT1s is negligible and we have no equity exposure to banks EUR 39bn Fixed income1 31 Dec 2024 31 Dec 2023 Change % of total Government2 39.3 39.8 -0.5 29% Corporates2 23.3 23.3 0.0 17% Financials2 7.4 7.0 0.4 5% ABS 2.4 2.6 -0.2 2% Other loans 1.1 1.1 0.1 1% Total 73.6 73.8 -0.3 54%
Page 29
• Very comfortable average loan to value of 531%, with the vast majority reflecting LTV <80% • ~75%1,4 of the portfolio has a fixed rate period >10 years • Disciplined underwriting criteria • Mortgage exposure of EUR 36bn in the insurance entities and another EUR 23bn in the banking business on 31 December 2024 • Mortgages1 valued at market rates and reflecting pre-payment behaviour • NN Group mortgage portfolio experienced very limited losses <10bps during and after financial crisis in line with market • Mortgage losses in Dutch market are low • Recourse to all assets and earnings of borrowers • Strong social security and adequate unemployment benefits • As a result, home-owners usually continue paying their mortgages during unemployment • Restrictions for high-risk mortgages tightened past years Well-collateralised Dutch mortgage portfolio 1. Excludes banking; 2. Based on amortised cost; 3.The National Mortgage Guarantee is referred to in Dutch as ‘NHG’ or ‘Nationale Hypotheek Garantie’; Includes EUR ~0.3bn mortgages that are guaranteed by third-party providers; Note that this number is closer to 30% when including the mortgages that are on the balance sheet of NN Bank; 4. Does not include collateralised mortgages; 5. A loan is categorized as a non-performing loan if the loan is 90 days past due, or the client was in default the previous month, and the minimum holding period is active or the loan is classified as Unlikely To Pay (UTP) by the problem loans department. A loan is re-categorised as a performing loan again when the amount past due has been paid in full (and the UTP-status is withdrawn); 29 Risk measures1,3 Net loan to indexed MV 53% 56% % Non-performing loans5 0.3% 0.3% Mortgages1,2 31 Dec 2024 31 Dec 2023 % of total NHG and other guaranteed3 8.1 9.6 24% <=80% 24.1 25.4 71% 80%-90% 1.3 2.1 4% 90%-100% 0.3 0.9 1% LTV>100% 0.0 0.3 0% Subtotal 33.8 38.3 100% Other mortgage funds 1.9 1.0 Total mortgage portfolio 35.7 39.3
Page 30
Real estate exposure by segment1 (9% of investment portfolio, 31 December 2024) Real estate exposure by geography1 29% 26% 17% 42%7% 8% 11% 56% 38%18% 10% 5% Occupancy rate by segment (31 December 2024 upper line versus 31 Dec 2023) Inflation indexation through rent • Industrial: mainly logistics, full indexation • Residential: typically capped by the state • Retail: full indexation, revert at renewal • Office: majority, depends on location • Other: mainly healthcare; partly full indexation, partly capped at 4-5% Well-diversified and high-quality real estate portfolio 30 1. Breakdown is based on invested capital; Real estate at fair value based on regular appraisals by independent qualified valuers; For more details, please refer to page 192 of NN Group’s 2023 annual report 2. Investment types include joint-ventures, mutual funds and direct holdings • Actively managed portfolio; well-diversified across segments, geographies and investment types2 • Low leverage of ~20%; diversified refinancing risk • Office occupancy rate suppressed due to upcoming refurbishment plans; we expect recovery to previous levels • Portfolio has a core profile and strong occupancy rate >95% • Ability to price in inflation through rental income 98% 97% 94% 89% 98% Residential Industrial Retail Office Other Residential o/w Dutch Industrial Retail Office Other EUR 12bn Western Europe o/w Dutch Southern Europe UK and Ireland Nordics CEE
Page 31
Corporate bonds and loans by rating (17% of investment portfolio, at 31 December 2024) • Robust approach towards credit risk management • Well-diversified portfolio to sector and region • Bottom-up selection; ESG-driven, high-quality portfolio with aim to mitigate downgrade risk and preserve capital • ~85% of corporates rated BBB or higher • Underweight corporate bonds vs EIOPA reference portfolio 34% 15% 4% 8% 40% Details of corporate bond and equity portfolio 31 Equity exposure including mutual funds (3% of investment portfolio, at 31 December 2024) • Reduced public equity stake, moving closer to target asset allocation • Concentrated public equity portfolio, geographic focus on Western and Northern Europe • Active portfolio management and strong company engagement • Well-diversified private equity portfolio across funds, investment styles, market segments and vintages with low leverage AAA AA A BBB BB and lower 57% 41% 2% Public equity Private equity Equity in mutual funds 1 1. The equity exposure in mutual funds mainly reflects private equity, infrastructure equity not included EUR 23bn EUR 5bn
Page 32
• Organic CSM growth of 0.5%: • Organic growth in new and in-force business more than compensating for CSM release • Subdued CSM growth expected until recovery of NB from Japan life • Other business units expected to offset Netherlands Life’s net release of CSM, driven mainly by a strong net growth in Insurance Europe 32 Contractual Service Margin (EURm) NN Group Netherlands Life Netherlands Non-life Insurance Europe Japan Life Other Opening CSM, net (31 Dec 2023) 6,443 3,182 495 1,806 955 5 New business added 664 119 83 354 108 0 Underlying return on in-force 135 -30 7 154 3 0 CSM release -769 -213 -60 -352 -142 -1 Organic CSM movement 30 -124 30 156 -31 -1 Organic CSM growth1 (%) 0.5% -3.9% 6.1% 8.6% -3.3% -20.5% Other movements2 759 640 -7 139 -17 4 Closing balance (31 Dec 2024) 7,231 3,697 518 2,101 907 8 IFRS 9/17 - Sustainable CSM growth expected 1. Organic growth of CSM is defined as the sum of new business added and the underlying return on in-force, minus the release of the CSM to P&L 2. Other movements consists mainly of model and assumption changes, as well as experience variances
Page 33
Important legal information NN Group’s Consolidated Annual Accounts are prepared in accordance with International Financial Reporting Standards as adopte d by the European Union (“IFRS-EU”) and with Part 9 of Book 2 of the Dutch Civil Code. In preparing the financial information in this document, the same accounting principles are applied as in the NN Group N.V. consolidated interim accounts for the period ended 30 June 2024. The Annual Accounts for 2024 are in progress and may be subject to adjustments from subsequent events. 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, including, without limitation, certain statements made of future expectations and other forward-looking statements that are based on management’s current views and assumptions and involve known and unknown risks and uncertainties that could cause actual results, performance or events to differ materially from those expressed or implied in such statements. Actual r esults, performance or events may differ materially from those in such statements due to, without limitation: (1) changes in general economic conditions, in particular economic conditions in NN Group’s core markets, (2) changes in performance of financial markets, including developing markets, (3) consequences of a potential (partial) break-up of the euro or European Union countries leaving the European Union, (4) changes in the availability of, and costs associated with, sources of liquidity as well as conditions in the credit markets generally, (5) the frequency and severity of insured loss events, (6) changes affecting mort ality and morbidity levels and trends, (7) changes affecting persistency levels, (8) changes affecting interest rate levels, (9) changes affecting currency exchange rates, (10) changes in investor, customer and policyh older behaviour, (11) changes in general competitive factors, (12) changes in laws and regulations and the interpretation and application thereof, (13) changes in the policies and actions of governments and/or re gulatory authorities, (14) conclusions with regard to accounting assumptions and methodologies, (15) changes in ownership that could affect the future availability to NN Group of net operating loss, net capita l and built-in loss carry forwards, (16) changes in credit and financial strength ratings, (17) NN Group’s ability to achieve projected operational synergies, (18) catastrophes and terrorist-related events, (19) operational and IT risks, such as system disruptions or failures, breaches of security, cyber- attacks, human error, changes in operational practices or inadequate controls including in respect of third parties with whic h we do business, (20) risks and challenges related to cybercrime including the effects of cyberattacks and changes in legislation and regulation related to cybersecurity and data privacy, (21) business, operational, regulatory, reputation and other risks and challenges in connection with sustainability matters (please see our sustainability matters definition at www.nn-group.com), (22) the inability to retain key personnel, (23) adverse developments in legal and other proceedings and (24) the other ri sks and uncertainties contained in recent public disclosures made by NN Group. Any forward-looking statements made by or on behalf of NN Group speak only as of the date they are made, and NN Group assumes no obligation to publicly update or revise any forward-looking statements, whether third-party new information or for any other reason. This publication contains information and data provided by third party data providers. NN Group, nor any of its directors or employees, nor any third-party data provider, can be held directly or indirectly liable or responsible with respect to the information provided. This document does not constitute an offer to sell, or a solicitation of an offer to buy, any securities.