See accounting policy B.

7.7.1.1Financial assets and liabilities measured at fair value

Cash and cash equivalents (excluding money market instruments) are classified as level 1 when not subject to restrictions. Money market instruments are classified as level 2.

Debt instrument funds are adjusted from level 2 to level 1 (€ 122 million) and from level 1 to level 2 (€ 73 million). Those movements are based respectively on increased and decreased observability of the inputs during the period.

Debt instrument funds are adjusted from level 2 to level 1 (€ 145 million) and from level 1 to level 2 (€ 125 million). Those movements are based respectively on increased and decreased observability of the inputs during the period.

The following two tables show the movement in financial assets measured at fair value including investments relating to direct participating insurance contracts and investment property that are categorised within level 3.

Unobservable inputs used in determining the fair value for financial assets measured at fair value (recurring basis) that are categorised within level 3

Investments at FVOCI

The main non-observable market input for the equities classified as level 3 is the net asset value as published by the investee. It is estimated that a 10% increase in valuation of these equities would have no impact on net result due to the non-recycling nature of equity treatment, but would increase equity by € 5 million (2023: € 6 million), being approximately 0.1% (before tax) (2023: 0.1% (before tax)) of total equity.

Investments at FVTPL

The mortgage loan portfolio is classified as level 3 'not measured on the basis of market observable market data'. Non-observable market inputs are used in the valuation methods, in addition to the observable market inputs. The valuation method used to determine the fair value of the mortgage loan portfolio is based on the mortgage spread of the risk-free interest rate curve and assumptions for unexpected full prepayments, originating costs, and the options related to early redemption and moving. A slight increase in the mortgage spread used would result in a significant decrease in fair value, and vice versa.

The mortgage loan portfolio consists of high quality mortgages with a relatively fixed return, limited arrears. The mortgage loan portfolio consists only of Dutch mortgages with a limited counterparty default risk in line with the strategic investment plan, see section 7.8.4.

The fair value of asset-backed securities is based on quotes retrieved from brokers or data vendors. The quotes are validated monthly and challenged if deemed necessary. The fair value of securitisations are determined based on a discounted cash flow model in case market quotes are insufficiently liquid.

The main non-observable market input for the other investment funds classified as level 3 is the net asset value as published by the investee. It is estimated that a 10% increase in valuation of these equities would increase result before tax and equity by € 61 million (2023: € 57 million), being approximately 0.7% (before tax) (2023: 0.6% (before tax)) of total equity.

The method of determining the fair value of the mortgage equity funds is based on the valuation of the underlying mortgage loans. The discounting curve used in this valuation is based on the two lowest tariffs in the market, excluding that of a.s.r.

The table on the next page discloses the sensitivities to non-observable market inputs for the real estate equity funds.

The significant inputs to the level 3 values of real estate equity funds associates are disclosed in accounting policy B.

An increase (decrease) in the gross yield in isolation will result in a lower (higher) fair value of the real estate equity funds associates. An increase (decrease) in the theoretical rental value in isolation will result in a higher (lower) fair value.

The main non-observable market input for the real estate equity funds third parties is the net asset value as published by the investee. An increase or decrease in the net asset value of equities classified as level 3 will have a direct proportional impact on the fair value of the investment.

7.7.1.2Financial assets and liabilities not measured at fair value

The method of determining the fair value of the mortgage loans at amortised cost is the same to that of mortgage loans held at FVTPL. For information regarding the measurement of the fair value of the mortgage loans, see section 7.7.1.1.

Amounts due to banks classified as level 1 primarily comprise the liability recognised for the cash collateral received.

7.7.1.3Property (including land and buildings for own use and plant)

The property portfolio are classified as a level 3 ‘not measured on the basis of market observable market data’. Non- observable market inputs are used in the valuation methods, in addition to the observable market inputs. The fair value measurement at reporting date is based on valuations by independent professional appraisers. These valuations have been performed annually, with quarterly updates, for the entire portfolio of investment property, buildings for own use and plant. Independent professional appraisers use reference transactions of comparable properties, in combination with the DCF and income capitalisation method, to determine the fair value of the property or plant. The reference transactions of comparable objects of the property portfolio are generally based on observable data consisting of the land register ‘Kadaster’ and the rural land price monitor as published by the Dutch Government ‘Grondprijsmonitor’ in an active property market.

The property has a relatively fixed return. The property portfolio is well diversified and consists of residential, retail, offices and rural property, throughout the Netherlands. The retail portfolio focusses on high street locations with relative low vacancy rates. The following table shows a breakdown of the fair value and vacancy rates of the portfolio of investment property.

The movements in plant and investment property measured at fair value (recurring basis) that are categorised within level 3 are presented in section 7.5.2 and section 7.5.3.

The significant inputs to the level 3 values of investment property are disclosed in accounting policy B.

An increase (decrease) in the gross yield in isolation will result in a lower (higher) fair value of the investment property and land and buildings for own use. An increase (decrease) in the theoretical rental value in isolation will result in a higher (lower) fair value.

The significant unobservable and observable inputs to the Level 3 values of plant are the energy prices and market interest rates. An increase (decrease) of the discount rate will lead to a lower (higher) fair value measurement

The table below discloses the sensitivities to non-observable market inputs for the property portfolio (excluding property under development, parking and plant).