CapitalMarkets
Day 2024
12 June 2024

© Lloyd’s 2024

Disclaimer
This Presentation has been prepared by Lloyd’s (a) solely to provide information about Lloyd’s and the business of the Lloyd’s market and (b) for general information purposes only.
This Presentation is not an offering of securities or other financial products for sale or other investment. No recipient of this Presentation should construe the information contained herein or in any prioror subsequent communication as a recommendation that such recipient invest in securities or other financial products. The information contained in this Presentation is in summary form for convenienceof presentation. It is not complete, and it should not be relied upon as such. Nothing contained herein should be relied upon as a promise or representation as to past or future performance. In addition,
past performance is not necessarily indicative of future performance.
The Presentation is directed at, and is solely for the use of, persons with professional experience in investments (“professional investors”) and any security or financial product referred to in thisPresentation is only available to professional investors. This Presentation is provided on the basis that, as a professional investor, you understand and accept the inherent limitations of this Presentation.
While care has been taken in the preparation of this Presentation, no representation or warranty, express or implied, is made or given on behalf of Lloyd’s or any other person or entity as to the accuracy,completeness or fairness of the information contained in this Presentation or any other material referred to herein. Lloyd’s accepts no responsibility or liability for any loss or damage of any kindoccasioned to any person or entity as a result of acting or refraining from acting as a result of, or in reliance on, any sta tement, fact, figure or expression of opinion or belief contained in this Presentation.
This Presentation does not constitute advice of any kind.
No money or other consideration is being solicited by reason of the delivery of this Presentation. Any indication of interes t to participate in the Lloyd’s market or to invest in any participant in the Lloyd’s
market in response to this Presentation involves no obligation or commitment of any kind.
United States
Certain of the statements included in this Presentation may constitute forward-looking statements within the meaning of the US Private Securities Litigation Reform Act of 1995. Words such as “expects,”“believes,” “anticipates,” “includes,” “plans,” “assumes,” “estimates,” “projects,” “intends,” “should,” “will,” “shall” or variations of such words are generally part of forward-looking statements. These
forward-looking statements are not a guarantee of future performance and involve risks and uncertainties, and there are certain important factors that could cause actual results to differ, possibly
materially, from expectations or estimates reflected in such forward-looking statements Forward-looking statements cannot be verified solely by reference to historical facts. Because they are based onassumptions about future events or circumstances, forward-looking statements can only illustrate hypothetical results given those assumptions. Assumptions may be based upon historical experience,but there is no assurance that future performance will be consistent with historical experience. Actual events or circumstances are unlikely to be consistent with, and may differ materially from, assumed
events or circumstances (including historical experience).
In order to be eligible to receive and review this Presentation, you must be (a) a “qualified institutional buyer” within the meaning of Rule 144A under the US Securities Act of 1933, as amended (the“Securities Act”), (b) an “accredited investor” within the meaning given to such term in paragraph (1), (2), (3), (7), (8), (9), (12) or (13) of Rule 501(a) under the Securities Act that is also a “qualified
purchaser” within the meaning of Section 3(c)(7) of the US Investment Company Act of 1940, as amended (the “Investment Company Act”), or (c) not a “U.S. person” within the meaning of Regulation S
under the Securities Act.

© Lloyd’s 2024

Overview of Lloyd’s
John Neal
Chief Executive Officer, Lloyd's

Agenda14:30 Opening and overview of Lloyd’s

16:30 A view from Aviva

John Neal, Chief Executive Officer, Lloyd’s

Amanda Blanc DBE, Group Chief Executive Officer, Aviva

14:55 Managing market performance

16:40 Panel discussion

Patrick Tiernan, Chief of Markets, Lloyd’s

Ryan Mather, Chief Executive Officer, Ariel Re
Richard Watson, Founder & Chief Executive Officer, Inigo

15:20 Performance, progress and investing at Lloyd’s
Burkhard Keese, Chief Financial Officer, Lloyd’s

Moderated by Alex Cliff, Deputy Chief Financial Officer,
Lloyd’s

15:40 Q&A

17:15 Closing

John Neal, Chief Executive Officer, Lloyd’s

John Neal, Chief Executive Officer, Lloyd’s

Patrick Tiernan, Chief of Markets, Lloyd’s
Burkhard Keese, Chief Financial Officer, Lloyd’s
16:10 Break© Lloyd’s 2024

17:30 Reception in Lloyd’s underwriting room
Hosted by Lloyd’s Executive team4

Five years of transformation and progress
Lloyd’s global gross written premium exceeded £50bn in 2023
Executing our strategy

Sustaining our performance•

Solid progress against our strategic priorities
over the past five years•

Consistent financial performance: Combined
ratio at 84%•

Modernising digital framework of the market
and driving down operating costs•

Double digit premium growth: 11.6% increase
with 4% organic growth•

Showing leadership on priority issues
including climate, geopolitics, cyber andpandemic•

High quality balance sheet: Strong solvency
ratios; Reserve margin of £4.6bn; S&P, Fitch
and Kroll AA- ratings and A.M. Best A
Positive Outlook

A profitable market delivering sustainable value for customers and capital partners© Lloyd’s 2024

5Serving clients around the world
248 territories by geography
USA

28%

UK
European Economic
Area access via
Lloyd's Europe

2%Australia

Insurance andReinsurance
Reinsurance
Cross-border
Reinsurance

47%

Canada5%

Bermuda

8%
10%

Other

6 segments
200 lines of business
200

77

3,300+

350+

5%

2%

Property

7%
Casualty

Reinsurance
licences

Direct licences

Coverholder officelocations with alocal route to
Lloyd’s

Brokers

33%

Marine & Aviation

14%
Specialty
Other Energy

Accident & Health© Lloyd’s 2024

35%

Why Lloyd’s?

Distinctive investor
proposition

Oversight platform

Performance

Strongecosystem

Discipline

Trusted brand

Scale

Unique and flexible© Lloyd’s 2024

Truly global
7Delivering outstanding performance in 2023

£52.1bn

84.0%£5.3bn£10.7bn

Gross written premium

Combined ratio

Investment result

Profit before tax

AA- Fitch Ratings (Very Strong) Stable
120.0%

AA- KBRA (Very Strong) Stable

AA- S&P Global (Very Strong) Stable

A A.M. Best (Excellent) Positive

110.3%

114.0%(97.0% exc. COVID)

104.5%
102.1%

93.5%

100.0%

91.9%

Combined ratio

39.5%

39.2%

80.0%

84.0%
38.7%

37.2%
35.5%

60.0%

18.5%

11.6%

COVID-19 related major claims

34.4%

34.4%
7.0%

9.7%

11.2%

Expense ratio

12.7%

3.5%

40.0%

Major claims ratio
58.9%

57.6%

57.3%

51.9%

48.9%

48.4%

48.3%

20.0%

Attritional loss ratio

0.0%

Prior year releases(2.9)%(3.9)%(0.9)%(1.8)%(2.1)%(3.6)%(2.2)%

2017

2018

2019

2020

2021

2022

2023

-20.0%© Lloyd’s 2024

8

Our long-term value proposition
We areUniqueProfitable

AlignedDiscipline

Scale

Present

FutureBecause we offer

Performance
By focusing on our

Past© Lloyd’s 2024

Managing market
performance
Patrick Tiernan
Chief of Markets, Lloyd's

Managing market performance1

Current state of the Lloyd’s market portfolio

2

Peak risks to the Lloyd’s market

3

Uniquely aligned regulatory framework

4

Future outlook and opportunities ahead© Lloyd’s 2024

11

Current state
Shape of the portfolio

Geographic shape

Distribution channel

2023 Gross Signed Premium (£bn)

2023 Gross Signed Premium (£bn)

25

20

15

10

5

18%

36%

42%

0
USA

© Lloyd’s 2024

CanadaAustralia

UK

BermudaEuropeRest of
APMEA

Delegated Authority

Open Market

Reinsurance

Source: Premium is based on Xchanging & LDR Gross Signed Premiums by Calendar Year and Country of Origin

Current state

Lloyd’s relative performance over the past five years
Lloyd'sPeeraverage

Gross written premium (£bn)

Gross written premium

Expense ratio
38.7%

50

37.2%

19.2%

60

35.5%
15.5%

5.1%

40

6.4%

15.1%

30
20

31.0%

34.4%

34.4%

30.6%

7.0%

-1.2%

-3.5%

13.9%
11.6%

29.0%

28.9%
27.4%

10

0
2019

2020

2021

2022

2023

2019

2020

2021

2022

2023

Combined ratio

Loss ratio

102.1%

73.0%

67.8%

67.7%

67.0%

101.1%
94.9%

96.4%

93.5%

63.4%
59.8%

58.0%

93.5%

97.0%

61.6%

91.9%

89.0%

57.5%
84.0%

49.6%
2019

© Lloyd’s 2024

2020

2021

2022

2023

2019

2020

2021

2022

2023

Source: Annual Reports, Investor Presentations & Financial Supplements

Current state
Resilience from compounding rate gains and strong diversification of risk
Risk adjusted rate change index

Exposure growth260

Aviation240

Pro perty
TreatyPro perty(D&F)
Casualty
FinProCasualty
Other
Ene rgy

220
200
180

160

Marine140

Casualty
TreatySpe cia lty
Other

120

100
2018

2019

2020

2021

2022

2023

2024

2%
0%

-2%
-4%
-6%

-8%
-10%
-12%

2020

2021

2022

2023

Realistic disaster scenarios

31%

2014

2023

41%
59%

69%

© Lloyd’s 2024

4%

2019

Short vs long tailShort Tail

6%

Long Tail

Short TailLong Tail
Natural catastrophe

Non-natural catastrophe

Source: Lloyd’s Annual Report, Lloyd's quarterly reporting and syndicate business plans

Peak risks

Lloyd’s top natural catastrophe perils

12

Final Net Loss 1 in 200 (GBP Bn)

10

8

6

4

2

0

US windstorm

US earthquake

Europe windstorm

US severeconvective storm

Japan earthquake

US wildfire

US flood

New Zealandearthquake

Japan windstorm

Region PerilLCM5 (Lloyd’s Catastrophe Model 5 Key Peak Perils)
LCM5+ (Lloyd’s Catastrophe Model Additional 4 Perils)© Lloyd’s 2024

Source: Lloyd's realistic disaster scenarios

Peak risks

Lloyd’s top non-natural catastrophe perils
3.52024 Final Net Loss (GBP Bn)

3.0

2.5

2.0

1.5

1.0

0.5

0.0

© Lloyd’s 2024

Source: Lloyd's realistic disaster scenarios

Peak risks
Cyber aggregations in context

Cyber Realistic Disaster Scenarios© Lloyd’s 2024

Nat Cat Realistic Disaster Scenarios

Source: Lloyd's realistic disaster scenarios

Peak risks
Cyber aggregations in context

Cyber Realistic Disaster Scenarios© Lloyd’s 2024

Nat Cat Realistic Disaster Scenarios

Source: Lloyd's realistic disaster scenarios

Regulatory framework
Uniquely aligned interests

Unique license network
Insurance andreinsurance licenses
embedded directly in
local legislation

Central fundThree-tiered chain of
security

Strong financial rating
A.M. BestA

Fitch Ratings

AA-

S&P

AA-

Kroll

AA-

© Lloyd’s 2024

19

Regulatory framework
Principles-based oversight
Hurdle dimensions outlined in boxes

Oversight
objectives

1. Lloyd’s oversightsupports the delivery of
the Lloyd’s strategy

2. Lloyd’s oversight isaligned w ith the Risk
Appetite set by theCouncil

3. Lloyd’s oversight instils
confidence in regulatorsand rating agencies

4. Lloyd’s oversightcreates the conditions
for good businesses tothrive5. Lloyd’s oversight isdecisive and im pactful

6. Lloyd’s places primary
responsibility foroversight on managing
agents’ boards andmanagement

7. Lloyd’s oversight isrisk based, forw ardlooking and responsive toa changing risk profile

8. Lloyd’s oversight isholistic and joined up

9. Lloyd’s oversight isconsistent andtransparent

Principles

ASSESSED PRINCIPLE RATINGM ATERIALITY AND EXPECTED MATURITY (PRINCIPLE LEVEL)

Meeting Expectations

Oversight
ApproachMarginally Below Expectations
Below Expectations
Well Below Expectations

Syndicate
Categorisation© Lloyd’s 2024

OUTPERFORMING

GOODMODERATEUNDERPERFORMINGUNACCEPTABLE

20

Future outlook
Focus on the fundamentals

Underwriting Profit
7.0

120%

5.9

6.0

2
3

100%

CapitalDemandVolatility

5.0
Underwriting Profit (£bn)

1

80%
4.0
3.0

60%

2.6
1.7

2.0

40%
0.8*

1.0

20%
0.0
-1.0

-0.5
2019

0%
2020

2021

Underwriting Profit

2022

2023

Net Combined Ratio*2020 results ex-covid© Lloyd’s 2024

Source: Lloyd’s Annual Reports

Future outlook
Securing our strategic relevance

Developing wholesale markets•

Focusing on markets withpotential for wholesale structures•

Managing expense

Driving efficiency and improving
expense from three lenses:•

Strategically essential platform forthe world's best underwriters

Developing tools for underwriters
to service needs of clienteleo Performance related
expenses•

Clearly defined routes in for new
and existing participants•

UKs only fully operationalised
captive market

o Frictional costs of operating
at Lloyd’s•

Bespoke structuring providing anarray of optionality•

Enhancing existing licenses for atrue multinational offeringo Making market charges
simpler and more attractive
for scale•

Ease of attaching capital tounderwriting risks

Structural growth© Lloyd’s 2024•

Attracting the best underwriters

Superior performance

Strategically essential platform

22

Key takeaways

1Superior underwriting performance2£52bn of speciality premium diversified across key global wholesale markets

3

Resilience to take volatility from both nat-cat and non-nat-cat events

4

Uniquely aligned interests built into oversight framework

5

Bright future and bullish outlook© Lloyd’s© Lloyd’s 2024

23
23

Performance, progress andinvesting at Lloyd’s
Burkhard Keese
Chief Financial Officer, Lloyd'sOur track record since 2019+45%
GWP growthsince 201915%ptsUnderlying COR improvement
since 2019

© Lloyd’s 2024

1

Economic profit and return on capital2

Progress report on the commercialisation of Lloyd’s

3

Investments into the Lloyd’s market including ourcapital framework4

Updates on Q1 2024 and outlook25

2024 expected returns of £5.9bn
Five-year view

26
© Lloyd’s 2024

For disclaimer for EP Curves of overall Lloyd's market please see page 40

Mean return increased by £3.4bn between 2021 and 2024

2021

2023

2022

2024

27
For disclaimer for EP Curves of overall Lloyd's market please see page 40

Expected economic return on capital of 18.1%
Double gearing of assets£5.9bnUnderwriting & investment incomeof syndicates+1~£1.7bn

Funds at Lloyd’s investment
return

£42bn

18.1%
Expected return on capital
before leverage

28

1 Assuming a risk-free rate of ~4% of £42bn Funds at Lloyd’s.

© Lloyd’s 2024

The foregoing should not be relied upon as a promise or representation as to past or future performance. Furthermore, past performance is not necessarily indicative of future performance.

Progress report on the commercialisation of Lloyd’s
Expanding our global
relevance

Commercial strategy to attract the best underwriters

Aviva, Fidelis, one captive

Ongoing cost structure
review

Simplify charging model

Flat rate on GWP up to £3bn and thereafter 0.35%
central fund charge•
Reducing reporting
burdens•

Redesigning reporting:o Reserving data (TPD)o Quarterly reporting (QMA)
Asset platform to streamline accounting, reconciliation,and reporting of PTF assets

Ongoing capitalmanagement

•
•
•
•

Cost reduction

Reducing net operating cost by 25%© Lloyd’s 2024

Early renewal of Central Fund Insurance (CFI)
Redemption of syndicate loans to reduce complexity
Solvency II coverage ratio
Rating improvement•••

Market standard set of reserve classes
Removing 70 annual reporting forms and ~50
quarterly forms
Consulting the market on the asset infrastructure

•
•
•
•

CFI renewed in Q2 2024
Redemption of syndicate loans in 2024
Solvency coverage ratio of over 500%
Upgrade to AA- by S&P

Programs started in 2024

29

Capital efficiency

Low upfront capital requirement•

135% of solvency capitalrequirement•

Significantly lower capitalrequirement compared to otherAA- institutions•

50% of capital requirement canbe lodged as LOCs

© Lloyd’s 2024

Quarterly corridor test•

We expect that losses get pickedup quarterly up to 90% of yourcapital requirement•

Profits can be released when
they exceed 110% of capitalrequirement

Market liquidity•

Investors can exit the market
after a Reinsurance to Close(RITC) transaction has
transferred the risk•

Large run-off market in Lloyd’s
provides additional liquidity andexit strategies•

The RITC market has sufficientliquidity30

Investing your funds at Lloyd’s

Double gearing

Investment flexibility•

Assets deployed at Lloyd’s havea double gearing effect•Pre-approved asset allocation of
40% growth and 60% core assets•

Underwriting income fromsyndicates supported••

Investment return from assets
invested according to desired
asset allocation

The amount of illiquid assets islimited to 10% but exceptions canbe granted depending on level ofcapitalisation© Lloyd’s 2024

Co-investment•

Co-investing with other market
participants in tailor-madeinvestment propositions using ourInvestment Platform

31

Flexibility in structure
Institutional
investor

Investor

CapitalLondon Bridge
2

CapitalCapitalCorporate
memberModified freehold
capacity

SyndicateManaging
agent
32© Lloyd’s 2024

32

London Bridge 2 provides flexible structuring to match your appetite

Issue debt
or equity
securities

Route one - Reinsuranceof portfolio(s) of a syndicate
London Bridge 2 ​Collateral
Qualifiedinvestors

Flexible
structuring andtranching

Speed and ease of execution

Pre-agreed regulatory permissions to
execute a wide range of transactions
including member reinsurance andsyndicate reinsurance (sidecars and144A cat bonds)

Corporate
member

Lloyd'sSyndicate
Risk

Route two - Reinsuranceof member​

Tax transparent

Solid track record

Taxes payable in the domicile of theinvesting entity£590m+ now deployed throughLondon Bridge 2

33© Lloyd’s 2024

33

Why invest in the Lloyd’s market?

Robust growth outlook
Sound market conditions

Capital efficiency

Stable underwriting conditions
likely to continue
Progressing our journey ofcommercialisation© Lloyd’s 2024

Outlook
2024 Outlook

1£57bn +/- 5%

90-95%~4%

15-20%

Gross written premium

Combined ratio

Investment return

UK GAAP return on capital

35

1 Subject to financial markets, F/X, unpredictable economic developments, and major losses w ithin normal expected range.

© Lloyd’s 2024

The foregoing should not be relied upon as a promise or representation as to past or future performance. Furthermore, past performance is not necessarily indicative of future performance.

Q&A
John Neal
Chief Executive Officer, Lloyd's
Patrick Tiernan
Chief of Markets, Lloyd's
Burkhard Keese
Chief Financial Officer, Lloyd's

Closing remarks
John Neal
Chief Executive Officer, Lloyd'sOur long-term value proposition
We areUniqueProfitable

AlignedDiscipline

Scale

Present

FutureBecause we offer

Performance
By focusing on our

Past© Lloyd’s 2024

Thank youDISCLAIMER: EP curves for overall Lloyd’s Market
The 1-year Exceedance Probability (EP) curve shows the distribution of overall profit and loss outcomes that can emerge in a single year across all syndicate
risks written in the Lloyd’s market. It is calculated on a Solvency II basis and is therefore not directly comparable to soci ety results published on a UK GAAP
basis.
The curve is calculated using the Lloyd’s Internal Model (LIM) as a base with an additional overlay to reflect greater alignment to syndicates’ view of risk basedon their own models. This overlay ensures that aspects of the risk profile that cannot be reflected in the LIM (due to lack of data/knowledge of specific exposure)are adjusted to be more in line with syndicates’ overall risk views. As with any model that projects extreme losses with low probabilities, there is a high degree of
uncertainty and actual losses arising in rare scenarios may differ from the results shown.
Curves for past years are presented on an “as at” basis, using the same methodology as for 2024 applied to the models and returns that would have been
available at the time. This includes the premium and reserve volumes quoted on each slide. There are no backwards -looking corrections to figures or models
based on actual performance.
The overall EP curves models market-wide Lloyd’s risk profile and is subject to modelling limitations and significant uncertainty, and includes the following
controls:••

The Lloyd’s Internal model is informed by backwards looking performance and volatility of the Lloyd’s market over the last 25 years, as well as a forwards
looking view informed by experts on the future risk and return profile. Syndicates models will undergo similar considerations but with greater sight andability to reflect specific exposures and mitigations.
Both the Lloyd’s Internal Model and the local syndicate models are subject to annual independent validation to ensure appropriateness – a key control
which both the Lloyd’s Council and managing agency Boards rely on. Lloyd’s ongoing oversight and annual approvals of syndicate’s models and businessplans is a further control.

Note that individual syndicate risks would typically be expected to have higher volatility than the market since there is no benefit from diversification between
syndicates.
Further detail on the basis of the EP curve, as well as the associated controls is available upon request.
© Lloyd’s 202440