Solvency II SFCR & QRT AnalysisNon-Life insurersOctober 2017

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SFCR High Level Messageso This year, insurance companies have for the first time (publicly) disclosed their Solvency and Financial Condition Reports

(SFCRs) and Quantitative Reporting Templates (QRTs)

o We have selected the top-10 non-life insurers in The Netherlands on solo entity level, based on the gross premium.The selected non-life insurers are:o Achmea Schadeverzekering N.V.o Nationale-Nederlanden Schadeverzekering Maatschappij N.V.o Delta Lloyd Schadeverzekering N.V.o ASR Schadeverzekering N.V.o Aegon Schadeverzekering N.V.o REAAL Schadeverzekeringen N.V.o Amlin Insurance S.E.o N.V. Schadeverzekering-Maatschappij Bovemijo Generali schadeverzekering maatschappij N.V.o Goudse Schadeverzekeringen N.V.

o The average SII ratio for the selected non-life insurers is 150%.

o A lot of attention was on the LACDT this year and so this presentation includes some dedicated slides:o There are only two non-life insurer that could substantiate the full LACDT (25% of SCR);o LACDT can help insurers to increase their SII ratio, however, it seems that only those who already have a high SII ratio are able to

make full use of the LACDT.

3© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

SFCR Analysis

Technical Provisions

Own Funds

SCR and Coverage Ratios 4

10

13

Premiums & Claims 18

Investments 15

SCR and Coverage Ratios

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Solvency II ratio• The average SII ratio for the selected non-life insurers is 150%.

• The top-3 non-life insurers are Bovemij (188%), ASR Schade (180%) and Goudse (179%).

• Internal target SII ratio is lower for non-life companies than for life insurers, probably because of less fluctuations in the SCR for non-life.

• Generali Schade has the lowest SII ratio and received a capital injection from the mother company in 2017 to increase their SII ratio.

6© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

SCR by Risk Module (SF & PIM)

= PIM* Please note that Op and LACDT = % of net SCR, LACTP = % of gross SCR, others are % of BSCR before diversification

* *

• Health Underwriting risk is a significant part of most of the non-life insurers, this is due to the disability insurance contracts

• Please note that insurers with PIM may use a slightly different setup for the SCR reporting in the QRT’s.

• More variation as compared to life, due to type of business: non-life has short duration and so lower market risk

• LACTP is rarely used in The Netherlands, this might be explained by fact that future management actions are not fomally recorded.

7© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

LACDT• All non-life insurers have made use of the LACDT, despite the additional (stricter) interpretation provided by the DNB (3 February 2017).

• Of the non-life insurers, only Achmea and Bovemij could substantiate the full LACDT (25% of SCR).

8© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

SII Ratio vs. LACDT• Non-life insurers with a high SII ratio also tend to have a high LACDT

9© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

SII Ratio vs. Market Risk• No obvious relation between SII ratio and Market risk SCR for non-life insurers

Technical Provisions

11© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

Risk Margin• The market average of the ratio Risk Margin / TP is much higher for non-life insurers (6,2%) than for life insurers (3,3%). Please note that

these ratios include the disability insurance.

• Achmea has a very low ratio (PIM) and REAAL has a much higher ratio. The difference between REAAL and the other insurers might be explained by the disability portfolio.

12© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

Impact of Reinsurance• All non-life insurers have reinsurance. In the graph below, only the impact on the BE is shown as a ratio of net BE / gross BE. This

means that the lower the bar, the higher the impact of reinsurance

• Smaller non-life insurers have more reinsurance than larger non-life insurers

Own Funds

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Own Funds Tiering• Most non-life insurers have a high quality of Own Funds.

• As compared to life insurers the capital requirement is lower and therefore the OF needed are lower. Therefore, it is easier to cover the SCR with good capital. Only DL and REAAL have used lower quality capital.

Investments

16© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

Investments & Mortgages• Less variation in investments as compared to life insurers, in general significantly in bonds. Also, as compared to life insurers, more

investments in collective investments undertakings, especially Amlin (62%) and Bovemij (47%).

• Aegon invests significantly in mortgages (43%).

17© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

Investments - Bonds• On market average, the percentage invested in corporate bonds is comparable to life insurers. However, for some non-life insurers the

part invested in corporate bonds is significant larger than for most of the life insurers.

• Bovemij did not report any investments in bonds in their QRT

Premiums & Claims

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Premium written - Gross• A lot of variation can be observed in product type; please note that there was no distinction between private and business

• Amlin has a significant part of the written premiums in general liability (22%).

• Significant part of written premiums are in income protection for NN (26%), ASR (26%) and Goudse (46%).

20© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

Incurred Claims / Earned Premiums - Gross• The motor insurance has by far the highest ratio of incurred claims / earned premiums. Therefore, this is not likely to be profitable.

• On the contrary, for fire inurance products seem relatively profitable as compared to the other lines of business.

• There are large differences between the insurers, in particular the general liability insurance.

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The information contained herein is of a general nature and is not intended to address the circumstances of any particular individual or entity. Although we endeavour to provide accurate and timely information, there can be no guarantee that such information is accurate as of the date it is received or that it will continue to be accurate in the future. No one should act on such information without appropriate professional advice after a thorough examination of the particular situation.

© 2017 KPMG Advisory N.V., registered with the trade register in the Netherlands under number 33263682, is a member firm of theKPMG network of independent member firms affiliated with KPMG International Cooperative (‘KPMG International’), a Swiss entity. All rights reserved.

Miekee Lam, PhDSenior ConsultantFRM Actuarial & Insurance RiskTel: + 31 20 656 4389Mob: + 31 6 2329 0584lam.miekee@kpmg.nl

Helen StijnenDirectorFRM Actuarial & Insurance RiskTel: +31 20 656 4591Mob: +31 6 1082 9960stijnen.helen@kpmg.nl