Solvency II and Mandatum Life Sampo Group, Capital Markets Day

11 September 2015

Solvency II in a Nutshell • New EU-level solvency framework In force 1 January 2016

• Risks are measured in a market consistent way and set Solvency Capital Requirements (SCR) are based on

99.5% confidence level (1 year horizon)

• Own Funds (Available Capital) is based on Solvency II balance sheet • Solvency II Liability = Best Estimate Liabilities (BEL) + Risk Margin (RM) • Discounted by Solvency II curve i.e. swap curve adjusted with credit risk and volatility adjustments and

ultimate forward rate • Transitional measure on technical provisions: Book value of liabilities can be used instead of S2 Liability

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40

Solvency II discount rate (30 June 2015)

EUR SWAP Solvency II-curve

Solvency II Own Funds (30 June 2015) • Moving from IFRS Balance Sheet to SII Balance Sheet increases solvency capital

• Unit Linked S2 Liability lower than book value Increases Own Funds after tax by EUR 380 million • Within with-profit liabilities Risk Policies create OF and policies with high guarantees reduce OF • Transitional measure on technical provisions applied to pension policies with 3.5% and 4.5% guarantees

12,642

344 634 497

5,083 4,614 5,304

5,774 5,299

5,299

100 1,341

2,095 1,542

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

10,000

11,000

12,000

13,000

Assets liabilities SII liabilities (incl.transitionals)

SII liabilities (excl.transitionals)

IFRS balance sheet SII liabilities

Assets Other With-profit Unit Linked Sub. Ord. Loan SH Equity/own funds

EURm

Transitional Measures on Technical Provisions • Transitional measures are applied to

• Pension policies with 3.5% and 4.5% (excl. segregated group pension portfolio) • Book value of liabilities EUR 3,225 million (incl. discount rate reserves) • Solvency II Liability is EUR 3,915 million i.e. liability without transitional measures

Solvency II Liability

Liability without

transitional measures

EUR 3,915 million

1 January 2016*

Liability with

transitional measures

EUR 3,225 million

Deduction fixed per

1 Jan 2016 690 m

(estimate per 6/2015)

Deduction decreases to zero over 16-year transitional period.

31 December 2031

*) as of 6/2015. Solvency II liability varies in line with interest rates deduction varies until it will be fixed per 1 January 2016.

Solvency II Capital Requirement (SCR) and Own funds, 30 June 2015

Without transitional measures

LAC = Loss Absorbing Capacity TP = Technical Provision DT = Deferred Taxes

With transitional measures Equity risk transitionals decrease market risk and SCR, while transitional measures on technical provisions increase own funds

Equity transitional 7 years

Technical provisions transitional 16 years

EURm

EU

Rm

0

500

1000

1500

2000

2500

Own Funds SCR Own Funds SCR Own Funds SCR Own Funds SCR Own Funds SCR Own Funds SCR

30.6.2015 Interest Rates - 25 bp Interest Rates + 25 bp Equity -10 % Credit Spread + 50 % Equity weight - 10 %-point --> FI

Estimated Sensitivities after 1 January 2016*

*) Based on 6/2015 figures. Interest rate movements before 1 January 2016, when the effect of liability transitional is fixed, will have a smaller effect on the solvency position. **) Equity stress improves the Coverage Ratio, because the change in risk charge (symmetric adjustment decreases from +3.3% to -2.4%) mitigates equity stress’ negative impact. Anyway equity stress decreases excess capital.

155% 160% 152% 175%

EURm

151% 158% **

Trend of Liabilities and Own Funds Mi

llion

EUR

• Liabilities with highest guarantees (4.5% and 3.5%) consume Own Funds without transitional rules.

• Unit Linked portfolio creates Own Funds.

• Liabilities with highest guarantees decrease substantially during transition period (2016-2032) and Unit Linked liabilities are expected to increase.

Positive trend for Own Funds.

Trend of Liabilities and SCR • Market Risk is the main driver behind SCR.

• Most of the market risk arises from assets backing with-profit liabilities.

Decreasing trend of with-profit liabilities decreases SCR.

Expected positive trend in Coverage ratio based on Own funds and SCR expectations.

0

200

400

600

800

1,000

1,200

1,400

1,600

SCR Forecast*

EURm

*) Current asset allocation + expected liability trends.

Appendices

Mandatum Life Will Apply…

YES/NO Comments

Standard Formula YES SCR is measured by using standard formula i.e. not by internal model.

Volatility Adjustment YES Discount rate (0-20 years) is increased by volatility adjustment. EIOPA sets level quarterly (xx bp per 6/2015)

Transitional Measure on Technical Provision

YES Applied to pension policies with 3.5% or 4.5% guarantees. Book value of liabilities used instead of SII liabilities increases own funds by EUR 550 million (6/2015). Transitional period 16 years.

Transitional Measure on risk-free interest rates

NO Can not be used together with Transitional measure on technical provisions

Equity Risk Transitional YES Capital Charge 22% instead of 39% (1 January 2016) for listed EEA and OECD based equities. Transitional period 7 years.

Matching Adjustment NO Not possible in Mandatum Life

SCR Market Risk Modules Equity risk Equity Risk SCR EEA/OECD

based (Type I)non-EEA/OECD based (Type II)

Basic stress 39 % 49 %Symmetric Adjustment +/- 10 %-point +/- 10 %-pointcapital requirement 29-49 % 39-59%

Roughly: Symmetric Adjustment decreases basic capital charge, if equity indexes below 3 year average and vice versa. Equity shock decreases symmetric adjustment decreases risk charge helps solvency position after shock.

Spread risk

Alternative investments (Private EQ, Commodity) are classified as Type II equity i.e. 39-59% capital charge

Real Estate: 25% capital charge

Interest Rate Risk • Calculated from both FI assets and with-profit technical provisions

Interest rate risk stress: yield curve up or down, which ever decrease more Own Funds

duration 1 2 3 4 5 6 7 8 9 10-20 yr

Interest rate stress, down -75% -65% -56% -50% -46% -42% -39% -36% -33% ≈ -30%

Interest rate stress, up 70% 70% 64% 59% 55% 52% 49% 47% 44% 42%→26%

Duration AAA AA A BBB BB B CCC or lower Unrated

1 0.9% 1.1% 1.4% 2.5% 4.5% 7.5% 7.5% 3.0%

3 2.7% 3.3% 4.2% 7.5% 13.5% 22.5% 22.5% 9.0%

5 4.5% 5.5% 7.0% 12.5% 22.5% 37.5% 37.5% 15.0%

10 7.0% 8.5% 10.5% 20.0% 35.0% 58.5% 58.5% 23.0%

Equity risk 923 EURm

66 %

Interest rate risk

164 EURm 12 %

Spread risk 226 EURm

16 %

Property risk 42 EURm

3 %

Concentration risk

1 EURm 0,1 %

Currency risk 50 EURm

4 %

Fixed Income3970 EURm

59 %

Listed Equity1750 EURm

26 %

Private Equity / Alternative693 EURm

10 %

Real Estate297 EURm

4 %

Mandatum Life - Solvency II SCR (Market Risk)*

Market Risk SCR (diversified) EUR 1,406 million

30 June 2015

Asset Allocation EUR 6,710 million

30 June 2015

*) Excl. Unit Linked Market Risk

Transitional Measure for Standard Equity Risk • For type 1 equities (equities listed in regulated markets in the EEA or OECD countries) it is possible to

apply transitional measure for standard equity risk calculation. • 22% risk charge can be used instead of 39% standard equity risk charge. This applies to type 1

equities purchased before 1 January 2016. • Risk charge increases linearly towards 39% in seven years. • Due to practical reasons Mandatum Life is planning to apply this transitional measure only for direct

type 1 equity investments.

0%5%

10%15%20%25%30%35%40%45%

2016 2017 2018 2019 2020 2021 2022 2023 2024

Type 1 risk charge without Symmetric Adjustment

Solvency II and Mandatum Life Sampo Group, Capital Markets Day

11 September 2015

IF P&C Sampo Capital Market Day

Ricard Wennerklint, Deputy CEO of If P&CLondon, 11 September 2015

DIGITALISATION

DESIGN OVERHAUL AND RESPONSIVE SITESAll policies available online

CUSTOMER CENTRIC WEBSHOPS INCREASE ONLINE SALES

WE MEET THE CUSTOMER IN THE CHANNEL OF THEIR CHOICE

NUMBER OF CONTACTSPER CHANNEL

SHARE OF VISITS TO IF.SE FROM MOBILE DEVICES

0%

5%

10%

15%

20%

25%

30%

35%

40%

Q1 2

01

1

Q2 2

01

1

Q3 2

01

1

Q4 2

01

1

Q1 2

01

2

Q2 2

01

2

Q3 2

01

2

Q4 2

01

2

Q1 2

01

3

Q2 2

01

3

Q3 2

01

3

Q4 2

01

3

Q1 2

01

4

Q2 2

01

4

Q3 2

01

4

Q4 2

01

4

Q1 2

01

5

-

2

4

6

8

10

12

14

16

2009 2010 2011 2012 2013 2014

Mill

ion

s

Inbound calls Visits to if.xx

DIGITAL CUSTOMER JOURNEY

SERVICE

CLAIMS

SALES

25% eCustomers

Customers withdigital payment and digital policy letters on all their policies

23% increase in online sales(last 6 months)

40% of claims arereported online

INTERNET IS THE FASTEST GROWING DISTRIBUTION CHANNELBA Private

NORDIC ONLINE SALES, PREMIUM ONLINE SALES BY COUNTRY 6M-15, PREMIUM

2012 2013 2014

Sweden

38%

Finland

26%

Norway

19%

Denmark

17%

Sweden

38%

Finland

22%

Norway

32%

Denmark

8%

TOTAL PREMIUM BY COUNTRY 6M-15

EFFICIENCY THROUGH ONLINE CLAIM REPORTS

29%33% 34% 35%

40%

2011 2012 2013 2014 6M 2015

62%

33%28% 27%

Finland Denmark Norway Sweden

NORDIC SHARE OF ONLINE CLAIMS ONLINE CLAIMS BY COUNTRY 6M-15

SIGNIFICANT INVESTMENT IN ONLINE SOLUTIONS

ONLINE INVESTMENTS AS % OF TOTAL IT DEVELOPMENT COST

13%11%

18%

19%

2012 2013 2014 6M 2015

13%11%

18%19%

2012 2013 2014 6M 2015

Online investments - share of IT development cost

SOLVENCY

SOLVENCY II DELIVERIES

2016

1 Jan 2016: Solvency II comes into effect

201520142011 - 2013

Preparatory SII reporting delivered according to plan

Internal model pre application processApplication

process

First ORSA

Full SII reports

Own Risk and Solvency Reports (ORSA-reports)

IF CAPITAL AND CAPITAL REQUIREMENT Q2 2015

1 9391 779

2 267

3 063

3 8003 965

3 806 3 866

0

1 000

2 000

3 000

4 000

Capital requirement

Capital

MEUR

Economic Capital and Adjusted

Solvency Capital

Partial Internal Model Solvency

Capital Requirement and

Eligible Own Funds

Standard formula Solvency

Capital Requirement and

Eligible Own Funds

Rating S&P (A-rating level)

223% 168%196% 126%

STILL UNCERTAINTY AROUND SOLVENCY II

Element Solvency Capital Requirement

Internal model regulatory approval Increased Solvency Capital Requirement through capital add on or use of standard

formula

Risk reducing effect of deferred tax MEUR 160

Element Eligible Own Funds

Norwegian natural perils fund MEUR 328

Norwegian tax on Solvency II valuation of technical provisions

Increased tax paid. Impact depends on overall tax position and tax mitigating tools

These open questions are expected to be clarified during 2015 or beginning of 2016 at the latest

IF PARTIAL INTERNAL MODEL SOLVENCY CAPITAL REQUIREMENT PER RISK Q2 2015

575

1 416220

215

607

120 1 939

160

1 779

3 965

0

1 000

2 000

3 000

4 000

MEUR

223% 224% 222%228%

218% 218%228%

213%220% 215%

0%

50%

100%

150%

200%

250%

SOLVENCY II STRESS TESTS

+10% -10% +25 bps -25 bps +50 bps -50 bps

IF RATING CAPITAL REQUIREMENT Q2 2015High liability risk charges and low diversification benefits in S&P model

1 636

1 882

3 063

2 382

3 314

3 866

257198

0

1 000

2 000

3 000

4 000

MEUR

Asset risks Liability risks

Diversification M-factor adjustment

Total A capital charge

Total BBB capital charge

Total AA capital charge

S&P capital base

IF S&P RATING – DETAILED VIEW

Assessment

Overall rating A with stable outlook

Business Risk Strong

Financial Risk Strong

Anchor a

Enterprise Risk Management and Management and Governance

a+

Group support a

THANKS FOR LISTENING

Nordea Life & Pensions and Solvency II

Snorre Storset Head of Nordea Life & Pensions

Finland & Sweden: Individual life savings and risk-related products. Nordea Bank distribution

Denmark & Norway: Corporate & individual pensions and risk-related products. NLP’s sales force, Nordea Bank & external distribution

Pension Funds: Poland, Estonia & Latvia

MAIN FOCUS AREAS

Total income EUR 291m, up 13%

Operating expenses EUR 99m, down 4%

AuM EUR 61bn, up 9%

GWP EUR 4.8bn, up 23%

90% of GWP in Market Return Products

Dividend of EUR 220m in 2014

FINANCIALS, H115 VS H114

SHARE OF NORDEA GROUP, FY 2014 5 % 8% 5 %

Total income Operating profit Equity

Largest Life & Pension provider in the Nordic countries - a business within Wealth Management

2 •

3

Cost efficiency

Capital efficiency

Product portfolio optimised

Bancassurance

Trends

Profitability (RoE) over volume (GWP)

Low yield environment

Regulatory transformation

Responding to market development

Demographics and customer behaviour

Strategic response

Delivered a turnaround – Strong starting point

4 •

GWP DEVELOPMENT, EURbn COST DEVELOPMENT, EURm

AUM DEVELOPMENT, EURbn RoE DEVELOPMENT, EURm

46 51 53 57 61

32%

42% 50% 52%

57%

0%

10%

20%

30%

40%

50%

60%

20

30

40

50

60

70

2011 2012 2013 2014 2015Q2

Total AUM MRP share of AUM

5.9 5.7 6.7

7.6 8.5

56%

72% 82% 87% 90%

0%10%20%30%40%50%60%70%80%90%100%

2 000

4 000

6 000

8 000

10 000

2011 2012 2013 2014 2015Q2

Total GWP R12m MRP share of GWP

1649 1693 1754

1517 1565 1614 1674 1498 1566

1674

12.0%

18.4%

5%

10%

15%

20%

25%

30%

400

800

1 200

1 600

2 000

Q12013

Q22013

Q32013

Q42013

Q12014

Q22014

Q32014

Q42014

Q12015

Q22015

Equity YTD ROE

220 214 209 206 <200

53%

43% 43% 37%

0%

10%

20%

30%

40%

50%

60%

180

190

200

210

220

230

2011 2012 2013 2014 2015F

Total costs C/I

Low cost growth through bancassurance

Simplified product options

Automated processes

Deep integration with the Bank

Looking around the corner

5 •

3.1 3.2 4.2 5.1 6.1

2012 2014 2013 H1-15 R12

+97%

2011

BANK SOLD MARKET RETURN PROUCTS, GWP, EURbn

COMMENTS

Attractiveness of endowment products plays to our strengths

6 •

1.5 1.5 3.0 3.9 4.6

2012 2014 2013 H1-15 R12m

Tax advantages reduced on private pension savings

Tax effective savings need from increased longevity

Low yield environment

New product generation

Well-suited for bancassurance Advisory and content

+314%

2011

PREMIUM DEVELOPMENT ENDOWMENTS, GWP, EURbn

COMMENTS

-1.0 -1.5 -2.6 -1.8

-2.8

2.2 2.8 3.5 3.8 4.4

2011 2012 2013 2014 H1-15R12m

31 30 26 27 26

15 22 27 30 35

2011 2012 2013 2014 H1-15

Market Return Company also in terms of AuM

7 •

51 53 57

61

46 +136%

-15%

AuM SPLIT BY PRODUCT CATEGORY, EURbn NET INFLOW SPLIT BY PRODUCT CATEGORY, EURbn

-15%

MRP Trad

Strong growth in market return and risk profits

2012 2013 2014 H1-15 R12m

237

199 170

+62%

PRODUCT PROFITS, MARKET RETURN AND RISK, EURm

Risk MRP

8 •

275

11%9%

6% 5% 4%

25%

Nordea Peer1 Peer2 Peer3 Peer4 Peer5

Market position: Clear market leader in market return products

4% 16% -5% -3% 16% 24%

Growth in GWP vs Q1/14

Finland

Sweden

Norway

Denmark

1

1

1

3

Nordea estimates based on local insurance association statistics

LIFE & PENSIONS MRP MARKET SHARE 12 MONTHS ROLLING EST, Q1/15

9 •

2.5 2.7 3.2 4.1 4.0

Significantly improved cost efficiency

48 40 38 35 302012 2014 2013 2015

H1 2011

2012 2014 2013 2015 H1 R12

2011

COST DEVELOPMENT, EURm COST/AuM, BPS

COST/GWP, %

10 •

220 214 209 206

<200

53%

43% 43% 37%

0%

10%

20%

30%

40%

50%

60%

180

190

200

210

220

230

2011 2012 2013 2014 2015F

Total costs C/I

Solvency II considerations

11 •

Attractive new market return and risk business

Disciplined risk management of legacy traditional business – Liability Driven Investments

Cost efficiency

Further optimisation of investment strategy/hedging

Volatility adjustment in DK, NO

No use of matching adjustment

Transitional on technical provisions in NO

Equity transitionals in DK, FI, SE

Partial internal model longevity in DK

IORP* exception in SE not included

Business driven Regulatory driven

*Institutions for Occupational Retirement Provision

114 133

149

12 12

12

12 8

4 15

15 15

Q4 2015 Low Q4 2015Medium

Q4 2015High

Planned businessactionsTransitionalmeasuresVolatilityadjustmentBase incl targetlevel of sub-debt

Meet Solvency II requirements without equity capital injection

12 •

Projection of the Solvency II position to the end of 2015 under high, medium and low assumptions on the development of swap rates during 2015 • Low represents a scenario where interest rates during 2015 falls similar to 2014 • Medium represents an interest flat scenario from December 2014 onwards • High is based on internal ICAAP scenario with slight rise in interest rates Similar asset return assumptions applied across all three scenarios for equity, property and credit spread over swap rates

IR ±50 bps

EQ - 25%

+7%

-10% -11%

*Base position end Q2 2015, i.e. excluding transitional rules

EXPECTED CAPITAL POSITION ENTERING SOLVENCY II

KEY SENSITIVITIES*

Room to optimise investment strategy further

13 •

74%

22%

1% 1% 2%

Market Risks Life Underwriting RisksHealth Underwriting Risks Default RiskOperational Risk

~3/4 of SCR comes from market risks

Gives room to optimize further through re-allocation and hedging

~15% improvement by year-end possible with current plans

Reduces balance sheet volatility

CURRENT SCR COMPOSITION COMMENTS

Business model supporting future dividend capacity

Dividends paid: EUR 300m in 2013,

EUR 220m 2014

Self-financing growth in market

return and risk products

Capital release from run-off

traditional book

Balance sheet volatility management

CAPITAL REQUIREMENT VS CONTRIBUTION, EURm

COMMENTS

14 •

Trad MRPSolvency capital requirementReconciliation reserve

15 •

by

Market return company

Low cost growth through bancassurance

Competitive product offering

Leading market position

Continue to improve quality of Life

Next generation product offering fuel growth

Life business platform efficiency improve further

Solvency II optimised business model/strategy

Strong risk culture

Strong platform RoE 18% in 2018

Nordea Life & Pensions and Solvency II

Snorre Storset Head of Nordea Life & Pensions

Framework for solvency in Sampo Group Capital Markets Day, September 11th 2015 CFO Peter Johansson

1. Present framework for solvency in Sampo Group

03/09/2015

2

Present Regulatory Framework for solvency in Sampo Group, 30 June 2015

10,991

1,622 2,825

9,788

873 280

3,826

68

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

Sampo plcNordeaLifeP&C

5,047

Group solvency ratio 194%

EURm

3

03/09/2015

Solvency I and Nordea with adjustment to Basel I floor

Present Internal framework for solvency in Sampo Group

1,939

1,320

3,469

853

5,876

9,788

273 313

10,373

01,0002,0003,0004,0005,0006,0007,0008,0009,000

10,00011,000

If P&C MandatumLife

Sampo plc'sshare ofNordea

Diversific. Group EC Adj. Groupsolv. capital

*) Liability side adjustments, which equal discount effect less risk margin **) Finnish equalization provisions

EURm

*) **)

4

03/09/2015

Group economic capital and solvency, 30 June 2015

2. Solvency II in Sampo Group as of 1.1.2016

03/09/2015

5

Solvency II developments

03/09/2015

6

Mandatum Life • The Finnish FSA issued its decision to approve the use of transitional

measures on August 11, 2015 If P&C Group

• If Group aims to use a Partial Internal Model (PIM) for Solvency II

Solvency II rules will replace EC models both in Mandatum Life and If P&C

Mandatum Life Solvency II Capital Requirement (SCR) and Own Funds 30.6.2015

Without transitional measures.

LAC = Loss Absorbing Capacity TP = Technical Provision DT = Deferred Taxes

With transitional measures. Equity risk transitionals decrease market risk and SCR, while transitional measures of technical provisions increase own funds

Equity transitional 7 years

Technical provisions transitional 16 years

7

03/09/2015

3,965

1,779

3,866 3,063

3,866

2,342

0500

1,0001,5002,0002,5003,0003,5004,0004,500

Solvency IIcapital

SCR Totalavailable

capital

Targetcapital

Totalavalablecapital

Targetcapital

03/09/2015

8

S&P A BBB

Solvency II

Solvency II and S&P Capital Model Q2/2015 If P&C Insurance EURm

Group capital and solvency 30 June 2015

1,779

1,350

3,826

72 7,027

9,788

273 313

10,373

01,0002,0003,0004,0005,0006,0007,0008,0009,000

10,00011,000

If P&C(PIM****)

Mandatum Life(SCR***)

Sampo plc'sshare ofNordea

Other Total capitalrequirement

AdjustedGroup

Solvencycapital

*) Liability side adjustments, which equal discount effect less risk margin **) Finnish equalization provisions ***) SCR with transition rules ****) Partial internal model SCR

EURm

*) **)

9

Solvency ratio 148%

03/09/2015

Sampo Group capital and solvency Sensitivities under Solvency II, 30 June 2015

03/09/2015

10

10,373

7,027

10,202

7,003

10,530

7,053

10,034

6,809

10,241

7,024

0

2,000

4,000

6,000

8,000

10,000

12,000

Interest Rates -25bp

Interest Rates +25bp

Equity -10%

Spread +50bp

148% 146% 149% 147% 146% Group

Solvency Ratio

EURm

3. Solvency II and Basel III

03/09/2015

11

9,788

1,780 1,780 1,780

313

1,350 1,350 1,350

273

3,826 3,342 4,742

68 68

68

0

2,000

4,000

6,000

8,000

10,000

12,000

Adjustedsolvency capital

Minimum SCR& B III floor

Minimum SCR &B III EU/Finnish,

10.5%

Minimum SCR &B III Swedish,

14.9%

Sampo plc

Nordea

Life

P&C

Solvency II and Basel III Group Solvency, Q2/2015

* **

10,373

7,024 7,940

* Equalization provisions ** Liability side adjustments

ASC / SCR & B III floor 148% ASC / SCR & B III EU/Finnish 158% ASC / SCR & Basel III 132%

12

6,540

03/09/2015

EURm

Basel IV?

EURbn REA 150 Basel I floor 75 225 Min. 8% 18 21.25% 3,826

Framework for solvency in Sampo Group Capital Markets Day, September 11th 2015 CFO Peter Johansson