Gjensidige Forsikring ASA

Quarterly Report • Oct 20, 2020

Gjensidige Forsikring Group

3rd quarter 2020 results

20 October 2020

Best ever quarterly underwriting result

• Pre-tax profit NOK 2,048m
• Underwriting result NOK 1,512m
• 10% premium growth
• Strong underlying frequency loss ratio
• Slightly positive Covid-19 impact
• Low large losses, run-off gains higher than planned
• Good cost control
• Financial result NOK 551m, return 0.9%
• Return on equity 15.3%1)
• Dividend declared and paid in September

Combined ratio

APMs are described at www.gjensidige.no/reporting in a document named APMs Gjensidige Forsikring Group Q3 2020. 1) Annualised, YTD

This presentation contains alternative performance measures (APMs).

Customer dividend model supports customer loyalty

• More than NOK 21bn paid out since 2007
• Highly valued customer proposition
• 8 out of 10 customers say the customer dividend model contributes to their loyalty
• 9 out of 10 customers aware of the model
• 6 out of 10 non-customers aware of the model
• Complements a strong brand and superior customer experiences in building loyalty

High and stable customer dividends

Successful marketing campaign

Strong operations

• Encouraging macro outlook for the Nordics
• Solid performance in Norway
• Maintaining superior market position
• Effective pricing measures
• Progress outside Norway
• Continued implementation of efficiency measures

Continued strong customer retention in Norway

Innovation for sustainable growth

on medical consultation

Research collaboration for customer-oriented innovation

Expanding offering Climate compensation on home content and travel insurance

New service for commercial customers, contributing to a quicker return of employees on sick leave

Financial performance

Best ever quarterly underwriting result

NOK m	Q3 2020	Q3 2019	YTD 2020	YTD 2019
Private	786	495	2 053	1 475
Commercial	603	475	1 620	1 302
Denmark	163	176	575	500
Sweden	67	22	73	58
Baltics	10	21	63	42
Corporate Centre/costs related to owner	(84)	(76)	(265)	(227)
Corporate Centre/reinsurance	(32)	(54)	(204)	(32)
Underwriting result	1 512	1 061	3 914	3 117
Pension	41	43	111	136
Financial result from the investment portfolio	551	279	190	1 474
Amortisation and impairment losses of excess value	(43)	(68)	(139)	(193)
Other items	(13)	(44)	(47)	1 492
Profit/(loss) before tax expenses	2 048	1 272	4 028	6 025

Gjensidige Forsikring Group 7

10.0 per cent premium growth - 7.3 per cent adjusted for currency effects

Premium development

Key drivers – premium development

• Private +5.6%
• Price and volume driven
• Commercial +9.4%
• Price and volume driven
• Denmark +17.8%
• Positive 8.5% in local currency, volume and price driven
• Sweden +22.7%
• Positive 10.2% in local currency, volume and price driven
• Baltics +0.6%
• Negative 7.2% in local currency, price and volume driven

Strong underlying loss ratio

69.1 (0.8) 0.3 (4.4) 64.3 Q3 2019 Change in large losses (pp) Change in run off (pp) Change in underlying frequency loss ratio (pp) Q3 2020

Loss ratio development

Loss ratio (%)

Key drivers

• Improved underlying frequency loss ratio
• Effective pricing measures
• Slightly positive Covid-19 impact
• Lower large losses

Slightly positive claims impact from Covid-19

Claims, NOK million	Q1 20	Q2 20	Q3 20	YTD 20
Corporate Center, gross	(222)	(38)	(24)	(284)
Corporate Center, net of reinsurance	(60)	(72)	(31)	(162)
Private	39	69	49	157
Commercial	30	25	17	72
Denmark	(12)	108	7	103
Sweden	(2)	(11)	(5)	(19)
Baltics	(1)	14	3	17
Total impact on claims, net of reinsurance	(6)	132	41	167

Continued good cost control – cost ratio 13.9 per cent

Cost development

NOK m

888	9	9	43	13	(3)	9	969
9 01 3 2 Q	ate v Pri	al erci m m o C	ark m en D	en wed S	cs alti B	C C	0 2 0 3 2 Q

Key drivers – cost development

• Strong cost discipline across the Group
• Cost ratio 13.3 per cent excluding Baltics

Lower profit for Pension operation

Profit and return Assets under management

Investment return of 0.9 per cent, reflecting continued rebound

Investment return per asset class Balanced investment portfolio

Strong capital generation

• Capital generation driven by a strong underwriting result and distributed dividends
• Distributed NOK 6.1 bn in dividends for 2019
• Gjensidige's appeal on the Financial Supervisory Authority of Norway's decision on the calibration of market risk partly approved, reducing the capital requirement by NOK 0.2 bn

1) Operating SII earnings comprise SII underwriting result and SII financial result of the match portfolio after tax Gjensidige Forsikring Group

2) Dividend is the total effect of the dividend paid out for 2019 of NOK 12.25 per share for the accounting year 2019 and a 80 per cent pay-out ratio according to dividend policy for the accounting year 2020

Moving ahead on operational targets

Metric	Status Q3 2020	Target 2022
Customer satisfaction (CSI)	78	> 78, Group
	90%	> 90%, Norway
Customer retention	78%	> 85%, outside Norway
Sales effectiveness	+10.0%	+ 10%, Group
Automated tariffs	52%	100%, Group
Digital claims reporting	80%	80%, Norway
Claims straight-through processing	16%	64%, Norway
Claims cost	NOK 421 million	Reduce by NOK 500 million, Group
Claims related CO -intensity 2	1.7 1)	Reduce year by year, Group

Gjensidige Forsikring Group Digital milestone – fully automated motor claims process

1) CO Gjensidige Forsikring Group ² -emissions in tonnes from claims handling processes, divided by earned premiums in NOK million from general insurance. Only reported annually. 15

Concluding remarks

• Strong and best ever underwriting result
• Encouraging outlook
• Economic rebound in the Nordics
• Strong market position and solid operational platform
• Strong capital position
• ROE target not expected to be achieved for 2020

Annual financial targets through 2022

Metric	Target
Combined ratio	86-89%1)
Cost ratio	<15%
Solvency margin (PIM)	150-200%
ROE after tax	2) >20%
UW result outside Norway	NOK 750m 3) (in 2022)
Dividends	Nominal high and stable (and >80% over time)

Appendix

Roadshows and conferences post Q3 2020 results

Date	Location	Participants	Event	Arranged by
20 October	Oslo	CFO Jostein Amdal Head of IR Mitra H. Negård	Roadshow	DNB
21 October	London	CEO Helge Leiro Baastad Head of IR Mitra H. Negård	Roadshow (tel. meetings)	DNB
4 November	Amsterdam	EVP Communication and Shared Services Janne Flessum Head of IR Mitra H. Negård	Roadshow (tel. meetings)	Barclays
10 November	Stockholm	CFO Jostein Amdal IRO Kjetil Gill Østvold	Roadshow (tel. meetings)	ABGSC
12 November	Frankfurt	CEO Helge Leiro Baastad Head of IR Mitra H. Negård	Roadshow (tel. meetings)	Berenberg
24 November	Zürich/Geneva	CFO Jostein Amdal IRO Kjetil Gill Østvold	Roadshow (tel. meetings)	Carnegie
7 December	New York	CEO Helge Leiro Baastad Head of IR Mitra H. Negård	Conference (tel. meetings)	DNB

General insurance – cost ratio and loss ratio per segment

Private Commercial

Denmark

General insurance – cost ratio and loss ratio per segment

Effect of discounting of claims provisions

Effect of discounting on CR – Q3 2020 Assumptions

• Only claims provisions are discounted (i.e. premium provisions are undiscounted)
• Swap rates in Norway, Sweden and Denmark
• Euroswap rates in the Baltic countries

Appendix

Large losses 2.1 percentage points – lower than expected

Large losses – reported vs. expected Large losses per segment

Gjensidige Forsikring Group CC = corporate centre. Large losses: Losses > NOK 10m. Weather related large losses are included. Large losses in excess of NOK 30m are charged to the Corporate Centre while up to NOK 30m per claim is charged to the segment in which the large loss occurred. The Baltics segment has, as a main rule, a retention level of EUR 0.5m. The Sweden segment has a retention level of NOK 10m. ²²

Large losses development

~ NOK 1.25bn in large losses expected annually Large losses per segment – actual vs. expected

Run-off gains 4.3 percentage points – higher than expected

Run-off development

Expected average annual run-off gains of ~4 pp (~NOK 1bn) through 2022

Gjensidige Forsikring Group 25

Appendix

Quarterly underwriting results Seasonality in Nordic general insurance

Gjensidige Forsikring Group

26

1) Reported UW result for Q1 2016 was NOK 1,251m. Adjusted for a non-recurring income of NOK 477m related to the pension plans, the UW result was NOK 774m.

2) Reported UW result for Q3 2016 was NOK 712m. Adjusted for a non-recurring NOK 120m restructuring cost the UW result was NOK 832m.

3) Reported UW result for Q4 2016 was NOK 700m. Adjusted for a non-recurring NOK 44m increase in provision for restructuring cost and NOK 23m provision for increased pay-roll tac the UW result was NOK 767m

4) Reported UW result for Q3 2018 was NOK 573m. Adjusted for a non-recurring NOK 80m restructuring cost the UW result was NOK 653m.

5) Reported UW result for Q4 2018 was NOK 1,914m. Adjusted for the extra run-off gains of NOK 1.1bn the UW result was NOK 834m .

Appendix

Investment strategy supporting high and stable nominal dividends

Match portfolio

• Duration and currency matching versus technical provisions (undiscounted)
• Credit element for increased returns
• Some inflation hedging

Match portfolio

• Compounding and focused on absolute returns
• Dynamic risk management
• Tactical allocation
• Active management fixed income and equities
• Normal risk premiums basis for asset allocation and use of capital

Key characteristics

• Limited risk appetite
• Currency hedging vs NOK ~ 100%
• Limit +/- 10% per currency
• Marked-to-market recognition
• Except bonds at amortised cost
• Stable performance

Investment portfolio

Asset class	Investments, key elements1)	Benchmark
Match portfolio
Money market	Norwegian money market	ST1X index
Bonds at amortised cost	Government and corporate bonds	Yield provided in quarterly reports
Current bonds	Mortgage, sovereign and corporate bonds, investment grade bond funds and loan funds containing secured debt	IBOX COR 1-3 years QW5C index
Free portfolio
Money market	Norwegian money market	ST1X index
Other bonds	IG bonds in internationally diversified funds externally managed and current bonds	Global Agg Corp LGCPTRUH index
High Yield bonds	Internationally diversified funds externally managed	BOAML global HY HWIC index
Convertible bonds	Internationally diversified funds externally managed	BOAML global 300 conv VG00 index / Exogen factors
Current equities	Mainly internationally and domestic diversified funds externally managed	MSCIAC NDUEACWF index
PE funds	Oil/ oil-service/ general (Norwegian and Nordic funds)	OSEBX index / oil price
Property	50% of Oslo Areal	IPD index Norway / Exogen factors
Other	Miscellaneous

1) See quarterly report for a more detailed description Gjensidige Forsikring Group

Asset allocation – as at 30.9.2020

Match portfolio

• Carrying amount: NOK 36.6bn
• Average duration: 3.4 years

Money market Bonds at amortised cost Current bonds

Free portfolio

• Carrying amount: NOK 21.8bn
• Average duration fixed-income instruments: 5.5 years

Money market Other bonds High Yield Convertible bonds Current equities PE-funds Property Other

Contribution from the portfolios

Asset allocation as at 30.9.2020 Quarterly investment returns

Balanced geographical exposure

Match portfolio Free portfolio, fixed-income instruments

Credit and counterparty risk

• The portfolio consists mainly of securities in rated companies with high creditworthiness (Investment grade)
• Issuers with no official rating are mainly Norwegian savings banks, municipalities, credit institutions and power producers and distributors

Credit exposure Total fixed income portfolio

Split - Rating	Match portfolio		Free portfolio
	NOK bn	%	NOK bn	%
AAA	13.8	37.9	1.1	9.2
AA	3.3	9.1	3.5	28.4
A	6.0	16.3	2.7	22.0
BBB	4.2	11.4	1.7	14.2
BB	0.1	0.3	0.4	3.6
B	0.8	2.1	0.2	1.9
CCC or lower	0.1	0.2	0.1	0.5
Internal rating1)	5.5	15.0	1.0	8.2
Unrated	2.8	7.7	1.5	11.9
Fixed income portfolio	36.6	100.0	12.3	100.0
Split - Counterparty	Match portfolio		Free portfolio
	NOK bn	%	NOK bn	%
Public sector	4.9	13.3	3.5	28.7
Bank/financial institutions	19.5	53.4	5.2	42.2
Corporates	12.1	33.2	3.6	29.1
Total	36.6	100.0	12.3	100.0

Capital position per operational areas

(NOK bn)	Approved partial internal model (Group)	Approved partial internal model (general insurance)	Own partial internal model (Group)1)	Own partial internal model (general 1) insurance)	Gjensidige Pensjons forsikring
Capital available	22.3	19.9	22.6	20.2	2.6
Capital requirement	10.2	9.0	8.2	7.0	1.7
Solvency margin	219%	220%	274%	288%	154%

Capital Generation year to date

Gjensidige Forsikring Group 1) Operating SII earnings comprise SII underwriting result and SII financial result of the match portfolio after tax

2) Dividend is the total effect of the dividend paid out for 2019 of NOK 12.25 per share for the accounting year 2019 and a 80 per cent pay-out ratio according to dividend policy for the accounting year 2020

34

Solvency II eligible own funds

Bridging the gap between IFRS equity and Solvency II capital

Gjensidige Forsikring Group Figures as at 30.9.2020. GPF = Gjensidige Pensjonsforsikring. Deferred tax: All differences in valuation of assets and liabilities are adjusted for tax. Tax is assumed on the security provision. Miscellanious: Main effects are related to the guarantee scheme provision and different valuation of Oslo Areal. ³⁵

Solvency II capital requirements

NOK bn	Approved partial internal model (Group)	Own partial internal model (Group)1)
Eligible own funds	22.3	22.6
Capital charge for non-life and health uw risk	8.2	6.4
Capital charge for life uw risk	2.0	2.0
Capital charge for market risk	6.5	6.0
Capital charge for counterparty risk	0.3	0.3
Diversification	(4.7)	(5.0)
Basic SCR	12.3	9.7
Operational risk	0.9	0.9
Adjustments (loss-absorbing capacity of deferred tax)	(2.9)	(2.4)
Total solvency capital requirement	10.2	8.2
Surplus	12.1	14.3
Solvency ratio	219%	274%

Scope regulatory approved PIM

Solvency II sensitivities for the approved partial internal model

Subordinated debt capacity

		Intermediate Equity Content	Constraint
S&P	25% of TAC		For the general insurance group, both Solvency II Tier 1 and Tier 2 instruments are classified as Intermediate Equity Content. Capital must be regulatory eligible in order to be included.
	T1	T2	Constraint
SII	Max 20% of Tier 1 capital	Max 50% of SCR less other T2 capital items	Must be satisfied at group and solo level

Principles for capacity Capacity and utilisation

• Tier 1 remaining capacity is NOK 2.6-3.2bn
• Utilised Tier 1 debt capacity: NOK 1.0bn
• Tier 2 capacity is fully utilised for the insurance group
• Utilised sub debt: NOK 1.5bn1)
• Utilised natural perils fund and guarantee scheme: NOK 3.5bn

Reduced Solvency II regulatory uncertainty

Element	Solvency surplus effect (NOK bn)	Comment
Guarantee scheme provision	~ (0.1) – 0.5	Increase in provision suggested, no news regarding treatment in Solvency II

Annualised return on equity 15.3 per cent

Equity (NOK m)

Annualised return on equity (%)

Market leader in Norway

Market share – Commercial Market share – Private

Growth opportunities outside Norway

Gjensidige Forsikring Group Sources: Insurance Sweden, 2nd quarter 2020 (Gjensidige including Vardia), The Danish Insurance Association 3rd quarter 2019. Baltics Insurance Supervisory Authorities of Latvia and Lithuania, Estonia Statistics, competitor reports, and manual calculations, 2nd quarter 2020 ⁴²

Ownership

No	Shareholder	Stake (%)
1	Gjensidigestiftelsen	62.24
2	Folketrygdfondet	4.29
3	Deutsche Bank	3.60
4	BlackRock Inc	3.22
5	Nordea	1.30
6	The Vanguard Group, Inc	1.04
7	ORIX Corporation	1.04
8	State Street Corporation	0.98
9	Danske Bank	0.91
10	Barclays Bank	0.81
	Total 10 largest	79.42

10 largest shareholders1) Geographical distribution of shares2)

Gjensidige Foundation ownership policy:

• Long term target holding: >60%
• Can accept reduced ownership ratio in case of acquisitions and capital issues when in accordance with Gjensidige's overall strategy

1) Shareholder list based on analysis performed by Orient Capital Ltd of the register of shareholders in the Norwegian Central Securities Depository (VPS) as per 30 September 2020. This analysis provides a survey of the shareholders who are behind the nominee accounts. There is no guarantee that the list is complete. 2) Distribution of shares excluding share held by the Gjensidige Foundation (Gjensidigestiftelsen). ⁴³

Gjensidige Forsikring Group

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Gjensidige Forsikring provides alternative performance measures (APMs) in the financial reports, in addition to the financial figures prepared in accordance with the International Financial Reporting Standards (IFRS). The measures are not defined in IFRS (International Financial Report Standards) and are not necessarily directly comparable to other companies' performance measures. The APMs are not intended to be a substitute for, or superior to, any IFRS measures of performance, but have been included to provide insight into Gjensidige's performance and represent important measures for how management governs the Group and its business activities. Key figures that are regulated by IFRS or other legislation, as well as non-financial information, are not regarded as APMs. Gjensidige's APMs are presented in the quarterly report and presentation. All APMs are presented with comparable figures for earlier periods. The APMs have generally been used consistently over time. Definitions and calclualtions can be found at www.gjensidige.no/reporting.

Notes

Notes

Investor Relations

Mitra Hagen Negård

Head of Investor Relations Mitra-Hagen.Negard@gjensidige.no Mobile: +47 95 79 36 31

Kjetil Gill Østvold

Investor relations officer Kjetil-gill.ostvold@gjensidige.no Mobile: +47 46 86 30 04

Address: Schweigaards gate 21, PO Box 700 Sentrum, 0106 Oslo, Norway www.gjensidige.no/ir