Protector Forsikring

Investor Presentation • Jul 7, 2022

Disclaimer

This presentation and the information contained herein have been prepared by and is the sole responsibility of Protector Forsikring ASA (the "Company"). Such information is being provided to you solely for your information and may not be reproduced, retransmitted, further distributed to any other person or published, in whole or in part, for any purpose. Failure to comply with this restriction may constitute a violation of applicable securities laws. The information and opinions presented herein are based on general information gathered at the time of writing and are therefore subject to change without notice. The Company assumes no obligationsto update or correct any of the information set out herein.

These materials may contain statements about future events and expectations that are forward-looking statements. Any statement in these materials that is not a statement of historical fact including, without limitation, those regarding the Company's financial position, business strategy, plans and objectives of management for future operations is a forward-looking statement that involves known and unknown risks, uncertainties and other factors which may cause our actual results, performance or achievements of the Company to be materially different from any future results, performance or achievements expressed or implied by such forward-looking statements. Such forward-looking statements are based on numerous assumptions regarding the Company's present and future business strategies and the environment in which the Company will operate in the future. The Company assumes no obligations to update the forward-looking statements contained herein to reflect actual results, changes in assumptions or changes in factors affecting these statements.

This presentation does not constitute or form part of, and is not prepared or made in connection with, an offer or invitation to sell, or any solicitation of any offer to subscribe for or purchase any securities and nothing contained herein shall form the basis of any contract or commitment whatsoever. No reliance may be placed for any purposes whatsoever on the information contained in this presentation or on its completeness, accuracy or fairness. The information in this presentation is subject to verification, completion and change. The contents of this presentation have not been independently verified. While the Company relies on information obtained from sources believed to be reliable, it does not guarantee its accuracy or completeness. Accordingly, no representation or warranty, express or implied, is made or given by or on behalf of the Company or any of its owners, directors, officers or employees or any other person as to the accuracy, completeness or fairness of the information or opinions contained in this presentation. None of the Company, its affiliates or any of their respective advisors or representatives or any other person shall have any liability whatsoever (in negligence or otherwise) for any loss howsoever arising from any use of this presentation or its contents or otherwise arising in connection with the presentation. The Company's securities have not been and will not be registered under the US Securities Act of 1933, as amended (the "US Securities Act"), and are offered and sold only outside the United States in accordance with an exemption from registration provided by Regulation S of the US Securities Act.

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Investor Presentation

Vision

The Challenger

Business Idea

This will happen through unique relationships, best in class decisionmaking and cost effective solutions

Main targets

Cost and quality leadership

Profitable growth

Top 3

Values

Credible

Innovative/Open

Bold

Committed

Other highlights:

• Large losses at 3.1 % (3.9 % lower than normalized)
• Interest rates increasing and credit spreads widening
• Running yield at 3.9 %
• Capital and risk assessment imply high attractivity in holding cash as an option

Claims update

• Large losses¹ at 3.1 % (1.8 %) in Q2, 6.8 % (1.5 %) in H1
• Majority from UK in Q2, UK and Sweden in H1.
• Net run off gains at 3.4 % (-1.9 %) in Q2, 3.5 % (-1.1 %) in H1
• Mainly due to run-off gains in Sweden and UK
• Aggregated COVID-19 effects at 0 % (-1.4 %) in Q2, 0 % (-1.7 %) in H1
• H1: 0 % (1.7% in H1 21)

PROTECTOR
			Insurance

Business unit	Q2 22 Gross	Q2 22 Net	Q2 21 Gross	Q2 21 Net
Norway	73 %	75 %	72 %	82 %
Sweden	65 %	67 %	59 %	63 %
Denmark	81 %	77 %	119 %	84 %
UK	79 %	80 %	82 %	85 %
Finland	91 %	90 %	60 %	65 %
Protector	73.7 %	74.2 %	77.3 %	76.3 %

Business unit	H1 22 Gross	H1 22 Net	H1 21 Gross	H1 21 Net
Norway	81%	83 %	70 %	83 %
Sweden	75 %	76 %	60 %	64 %
Denmark	89 %	88 %	111 %	84 %
UK	73 %	77 %	79 %	84 %
Finland	85 %	84 %	80 %	81%
Protector	78.3 %	80.2%	76.0%	77.4 %

Large losses¹ and run-off

• Net large losses of MNOK 44, or 3.1 % (3.9 %-points lower than normalized)

6

• H1: Net large losses of MNOK 188, or 6.8 % (1.5 % H1 21)

• H1: Net run off gains at 3.5 % (-0.9 % in H1 21)

• Net run-off gains at 3.4 % (-1.9 % in Q2 21)

• MNOK 359 (25 %) growth (24 % in LCY)
• Majority from UK, Sweden and Norway
• April 1st a significant inception date for our UK business
• Low new sales within commercial sector

• Increased activity with brokers from medio Q2

• Renewal rate at 98 % (93% in H1)

• Supported by low churn and price increases above claims inflation

MNOK
Business unit	Q2 22	Q2 21	Growth	$\overline{\ldots}$ NOK % $^{\prime}$	$$ LCY $%$
Norway	338	262	76	29%	29%
Sweden	515	402	114	28%	31%
Denmark	63	39	24	61%	34%
UK	863	721	142	20%	18%
Finland	8	4	4	112%	37%
Protector	1788	1429	359	25%	24%

MNOK
Business unit	H1 22	H1 21	Growth	$$ NOK $%$	$$ LCY $%$
Norway	1 2 9 4	1 1 1 9	175	16%	16%
Sweden	1459	1 2 9 7	161	12%	19%
Denmark	875	766	109	14%	17%
UK	1059	959	100	10%	9%
Finland	212	168	44	26%	29%
Protector	4899	4 3 0 9	590	14%	16%

Country-by-country key metrics

Quarterly volatility must be expected, especially by country

PROTECTOR insurance

Q2 2022

	Norway		Sweden		Denmark		UK		Finland		Protector
MNOK	Q2 22	Q2 21	Q2 22	Q2 21	Q2 22	Q2 21	Q2 22	Q2 21	Q2 22	Q2 21	Q2 22	Q2 21
Gross premium written	338	262	515	402	63	39	863	721	8		1788	1 429
Gross premium earned	397	350	508	422	257	216	423	352	41	75	1627	1 415
Net premium earned	360	311	461	366	230	187	340	289	37	67	1428	1 219
Gross claims ratio	73.4 %	72.2 %	64.6 %	59.4%	81.1%	119.0%	78.6%	82.1%	91.4 %	59.8%	73.7 %	77.3 %
Gross cost ratio	5.4 %	5.0%	11.3 %	10.6%	6.1%	6.8%	12.8%	12.6 %	5.7%	3.1 %	9.3%	8.7%
$\mid$ Gross combined ratio	78.8%	77.2 %	75.8%	70.1 %	87.2 %	125.8 %	91.4%	94.7%	97.2%	62.9%	82.9%	86.1%
Net claims ratio	75.0%	82.0%	66.8%	63.1%	77.3 %	83.9%	79.7 %	84.8%	89.8%	64.9%	74.2 %	76.3%
Net cost ratio	3.9%	3.8%	9.6%	8.4 %	4.8%	6.2%	13.8%	13.2 %	5.6 %	$-0.2%$	8.3%	7.6 %
$\mid$ Net combined ratio	78.8 %	85.8%	76.4%	71.5 %	82.1%	90.1%	93.5 %	98.0%	95.4%	64.7 %	82.5 %	83.9%

H1 2022

	Norway		Sweden		Denmark		UK		Finland		Protector
MNOK	H 1 22	H1 21	H 1 22	H 1 21	H 1 22	H 1 21	H1 22	H1 21	H 1 22	H 1 21	H 1 22	H1 21
Gross premium written	1 294	1 1 1 9	1459	1 2 9 7	875	766	1059	959	212	168	4899	4 3 0 9
Gross premium earned	769	693	957	857	501	423	811	686	113	145	3 1 5 2	2 8 0 3
Net premium earned	698	616	872	739	448	367	643	543	104	129	2764	2 3 9 5
Gross claims ratio	80.9%	70.2%	74.9 %	60.3%	88.6%	111.4 %	72.7 %	78.7%	84.8%	79.9%	78.3 %	76.0%
Gross cost ratio	6.1%	6.9%	11.8%	12.7 %	6.7 %	8.6%	13.0%	15.5 %	4.3 %	5.6 %	9.6%	11.0 %
Gross combined ratio	87.0%	77.1 %	86.7 %	72.9%	95.3%	120.0%	85.6%	94.2 %	89.2 %	85.5 %	88.0%	86.9%
Net claims ratio	83.2 %	82.8%	75.7%	64.1%	88.0%	84.0%	76.9%	84.0%	84.4 %	81.0%	80.2 %	77.4 %
Net cost ratio	5.3 %	7.1%	10.9%	10.9%	6.6%	6.3%	14.3 %	15.9%	3.6 %	4.4 %	9.3%	10.0%
Net combined ratio	88.5 %	90.0%	86.6%	75.0%	94.6 %	90.3%	91.2 %	100.0%	88.0%	85.4 %	89.5 %	87.4 %

Vision

The Challenger

Business Idea

This will happen through unique relationships, best in class decisionmaking and cost effective solutions

Main targets

Cost and quality leadership

Profitable growth

Top 3

Values

Credible

Innovative/Open

Bold

Committed

Investments

Investment is core

Investment performance Return at -1.2 % in Q2 and H1

• Q2 return on investment portfolio at -1.2%, or MNOK -175
• Equity portfolio returning -4.0%, or MNOK -97
• Bond portfolio returning -0.7%, or MNOK -81

• Return on put options MNOK 2

• H1 return on investment portfolio at -1.2%, or MNOK -185

• Equity portfolio returning -4.5%, or MNOK -104
• Bond portfolio returning -0.6%, or MNOK -78
• Return on put options MNOK -3

• DNB Markets Nordic HY index return at -2.5% in Q2

¹ Equity return excludes results from put options, total return includes results from put options and B3 Consulting valued at SEK 70,7 (Equity method). We hold 2.158.022 shares in B3.

What has happened in the quarter?

Increased interest rates and spread levels

3yr interest rate swaps in relevant countries, +50bps to +100bps in Q2 '22 Euro vs Nordic: iTraxx crossover index and Nordic spread development LTM

Source: Bloomberg Source: Bloomberg and Carnegie

Higher interest rates effecting our Solvency

Significantly increased interest rates implying increased duration and more "fixed yield"

• Solvency effect of MNOK 200 from higher interest rates in Q2

• Historically, low interest rate duration in bond portfolio
• Duration increased to 1.1 years throughout Q2 (from 0.4 in Q1)
• Expected to increase further
• Higher duration will balance solvency effect going forward, but P&L more volatile

Investment portfolio statistics

Bond portfolio yield at 3.9 %, before cost of risk – duration increased

No. of companies 30 21 32

• Bond portfolio yielding 3.9 %, before cost of risk
• Avg. reference rate up 0.9 %-points from Q1
  • Positive sloping interest rate curve
• Bond portfolio's average rating at A
  • HY portfolio totalling BNOK 3.7 vs BNOK 3.2 in Q1
  • Increased appetite for bonds at higher spread levels
  • Increased cost of risk expected
• Avg. spread widening 52bps from Q1
• Credit duration increased by 0.5 years from Q1
• Equity share at 15.5%, down from 16.2% in Q1

Vision

The Challenger

Business Idea

This will happen through unique relationships, best in class decisionmaking and cost effective solutions

Main targets

Cost and quality leadership

Profitable growth

Top 3

Values

Credible

Innovative/Open

Bold

Committed

Balance Sheet SCR ratio at 206%

In millions	30.06.2022	30.06.2021	31.12.2021
Financial assets	13 708	13 379	13 067
Derivatives	142	63	94
Bank deposits	105	109	300
Other assets	4 913	4 796	4 338
Discontinued operations	1 090	1 712	1 448
Total assets	19 958	20 059	19 246
Total equity	2 659	3 483	3 582
Subordinated loan capital	1 245	1 244	1 385
Total reserves	12 175	10 853	9 980
Derivatives	100	38	26
Other liabilities	3 140	3 490	3 440
Discontinued operations	638	951	834
Total equity and liabilities	19 958	20 059	19 246

Numbers may not add up due to rounding

• Positive contribution from technical result and negative contribution from investment result
• Positive effect from change in discounting rates:
• 0.5 %-point movement in discounting rates, correspond to a total solvency effect of approx. MNOK 200

16

18 %; Health

SCR OF

0

Solvency II SCR ratio at 206%

Composition of SCR:

• Net insurance risk 65%
• Net market risk 25%
• Other risks 10%

Eligible solvency capital:

17

• Guarantee provision subtracted from own funds

Eligible solvency capital

Profit and loss Q2 22 (& H1 22) Profit of MNOK 66 (21) | EPS at NOK 0.6 (0.4)

MNOK	Q2 22	Q2 21	H1 22	H1 21	FY 21
Gross premiums written	1788	1429	4899	4 3 0 9	5951
Earned premiums, net of reinsurance	1428	1 2 1 9	2 7 6 4	2 3 9 5	4921
Claims incurred, net of reinsurance	(1060)	(931)	(2 218)	(1854)	(3 810)
Sales cost	(86)	(77)	(179)	(178)	(362)
Administration cost	(65)	(47)	(124)	(129)	(257)
Commission from reinsurer	33	31	46	67	131
Other insurance related income/expenses	(2)	(6)	(10)	(19)	(29)
Technical result	249	190	280	282	594
Other income/costs	(13)	(13)	(28)	(30)	(56)
Net financial income	(165)	136	(174)	659	878
Profit before tax	70	313	78	910	1416
Tax	(5)	(70)	(30)	(141)	(252)
Discontinued operations	(14)	20	(17)	70	67
Net comprehensive income	14	5	(10)	$\mathbf 0$	(28)
Profit for the period	66	267	21	840	1 2 0 4
Claims ratio, net of reinsurance	74.2 %	76.3%	80.2%	77.4 %	77.4 %
Expense ratio, net of reinsurance	8.3 %	7.6%	9.3 %	10.0%	9.9%
Combined ratio, net of reinsurance	82.5%	83.9%	89.5 %	87.4 %	87.3%
Gross claims ratio	73.7%	77.3 %	78.3 %	76.0%	77.8%
Gross expense ratio	9.3 %	8.7%	9.6%	11.0%	10.8%
Gross combined ratio	82.9%	86.1%	88.0%	86.9%	88.5%
Retention rate	87.8%	86.2%	87.7%	85.4%	85.6%
Earnings per share	0.6	3.2	0.4	10.2	15.0

Risk and capital management process Controlling all company risks and historical investment stress

ILLUSTRATIVE

Main objectives Three main risk categories

3 How much capital should be kept for enabling to act when opportunities arrive?

4 An attractive alternative if meeting hurdle; will normally have to bid with significant premium

5 Capital base discipline; flexible distribution of excess capital if allocation cannot be made elsewhere

Capital allocation
approach

• Determine minimum hurdle rate (ROE > 20 %)

Capital allocation – maximize shareholder return

• Calculate returns for all internal and external allocation alternatives available, by return and risk
• Deploy capital in the most attractive alternatives above hurdle.
• Release underperforming capital (COI, WC Denmark and Norway as example)

	Q2	H1
• Net combined ratio	82.5 %	89.5 %
• Gross written premium	MNOK 1788 $(+25%)$	MNOK 4899 $(+14%)$
• Investment return	MNOK - 175 $(-1.2 %)$	MNOK - 185 $(-1.2 %)$
• Profit for the period	MNOK 66	MNOK 21
• Earnings per share	NOK 0.6	NOK 0.4
• Solvency Capital Ratio	206%	206%

This presentation contains alternative performance measures (APMs). APMs are described here: https://protectorforsikring.no/en/investor/documents/spreadsheets/

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Appendix

Protector aims to be a responsible, trusted and credible ESG actor

• Responsible business behaviour in our

We have responsible business behaviour at the heart of our operations

• Responsible business behaviour in our

own operations

external relationships • Responsible investments

• EU Corporate Due Diligence

• Investors and banks are requesting standardized information and disclosures on risk management and

business ethics compliance

Accelerating our business through leveraging sustainability

ESG Roadmap A set of required activities to gradually take us to our ambition