Slide 1: Market Consistent Embedded Value 2017
Market Consistent Embedded Value 2017 Market Consistent Embedded Value 2017 May 2018 May 2017 MAPFRE, S.A. Carretera de Pozuelo 52 28222 Majadahonda (Madrid) www.mapfre.com
Slide 2: Contents
Contents 1 MCEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 2
Slide 3: Development of the MCEV in 2017
1 MCEV analysis Development of the MCEV in 2017 2017 r% Adjusted Net Asset Value (ANAV)(1) 2,596.3 30.0% (1) Value of In-force Business (VIF) 4,754.3 86.3% Market Consistent Embedded Value (MCEV)(1) 7,350.6 61.6% Attributable to the Parent Company 4,785.1 30.6% Attributable to Minority Interests 2,5
Slide 4: MCEV components and their variation in 2017
1 MCEV analysis MCEV components and their variation in 2017 MCEV 2016 MCEV 2017 8.500 5,400.5 8.000 7.500 7,350.6 (561.7) (84.5) 7.000 6.500 6.000 5.500 3,089.3 4,548.5 5.000 4.500 (444.1) (93.1) 4.000 3.500 3.000 711.0 2.500 1,885.3 416.1 2.000 1,580.3 1.500 1.000 500 0 ANAV Parent ANAV PVFP CoC TV
Slide 5: Breakdown of the 2017 MCEV
1 MCEV analysis Breakdown of the 2016 MCEV By business line By distribution channel € mill. % r% Adjusted Net Asset Value 2,596.3 35.3% 30.0% (1) (2) Net PVFP - Life Assurance 3,405.9 46.3% 143.7% € mill. % r% - PVFP 3,908.4 0.0% 116.7% Adjusted Net Asset Value 2,596.3 35.3% 30.0% - CoC (502.5) 0.0%
Slide 6: Share of the parent company in the 2017 VIF
1 MCEV analysis Share of the parent company in the 2017 VIF 4,838.8 4,754.3 (84.5) 2,899.8 (1,854.5) Net PVFP TVFOG VIF Minority VIF pre-TVFOG interests VIF attributable to MAPFRE GROUP Million Euros 6
Slide 7: Value added in 2017
1 MCEV analysis Value added in 2017 Change in Embedded Value 2,411.3 7,350.6 (398.1) 218.3 10.3 261.9 4,548.5 350.6 11.4 831.8 (32.4) (1) RoEV =18.5% MCEV 2016 Changes in Changes in Expected Value added Deviation Others Value added Additions (2) Dividends MCEV 2017 model assumptions return by new of
Slide 8: Analysis of the main variations in MCEV
1 MCEV analysis Analysis of the main variations in MCEV Change Description Changes in Changes due to improvements in the modeling of Spain Burial business (-21.99 model million euros) and Spain Life (-3.5 million euros). Most of the increase in value (+263 million euros) comes from the improveme
Slide 9: Analysis of the main variations in MCEV (contd.)
1 MCEV analysis Analysis of the main variations in MCEV (contd.) Change Description The increase in value comes mainly from the savings business in Spain Life Vida, Value of New whose financial margins have increased, and from the group risk business, whose Business ratio has increased, due to the
Slide 10: Value added by new business (VNB)
1 MCEV analysis Value added by new business (VNB) Development of the value added Key highlights 7.2% Inclusion of MAPFRE PERU Life and 1 Burial business, and business of MAPFRE Group in Brazil (+268 million). Increase in the value of the saving business in MAPFRE VIDA and BANKIA 489.7 2 MAPFRE V
Slide 11: Sensitivity analysis of the MCEV
1 MCEV analysis Sensitivity analysis of the Market Consistent Embedded Value (MCEV)(1) Sensitivity Variation in MCEV Resulting value 100bp increase in interest rates -388.4 6,962.2 10% decrease in the value of stocks and real estate -91.3 7,259.3 10% decrease in expenses 173.5 7,524.1 Base scenario
Slide 12: Sensitivity analysis of the value added by new business (VNB)
1 MCEV analysis Sensitivity analysis of the value added by new business (VNB) Sensitivity Variation in VNB Resulting value 100bp increase in interest rates -18.9 470.8 10% decrease in the value of stocks and real estate -0.5 489.2 10% decrease in expenses 11.9 501.6 Base scenario €489.7 M 10% decrea
Slide 13: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 13
Slide 14: Willis Towers Watson opinion letter
2 Willis Towers Watson opinion letter 14
Slide 15: Willis Towers Watson opinion letter
2 Willis Towers Watson opinion letter 15
Slide 16: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 16
Slide 17: Covered business / Non-covered business
3 Methodological appendix Covered business The 2017 Embedded Value of the Life and Burial business generated by the companies with the highest business volume (measured in provisions) of the MAPFRE Group has been determined, consisting of the following business blocks: – Life assurance (including
Slide 18: Methodology
3 Methodological appendix Methodology The embedded value of the Life assurance, Accidental Death insurance, Mutual funds and Pension funds businesses includes the adjusted net asset value and the value of in-force business, defined as follows: – Embedded value = Adjusted Net Asset Value + Value of
Slide 19: Methodology (contd.)
3 Apéndice metodológico Methodology (contd.) Adjusted Net Asset Value (ANAV): – Adjusted Net Asset Value or "ANAV" is equal to equity in accordance with IFRS adjusted by: committed donations and dividends; goodwill; deferred expenses; and any other element necessary to obtain the economic value of
Slide 20: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Time Value of Financial Options and Guarantees (TVFOG): – Under MCEVP, FOG (Financial Options and Guarantees) are defined as those features of the covered business conferring potentially valuable underlying guarantees, or options to change, the level
Slide 21: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Cost of Capital (CoC): – In line with the Risk Margin Solvency II calculation, the CoC used in the 2017 MCEV has been measured by applying a fixed rate of 6% (gross of taxes) to the required solvency capital, excluding market risks. The same criterion
Slide 22: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Look through MCEVP: – In order to correctly assign revenues and expenses to the businesses that generate them and measure the value of each block of business more consistently with its economic reality, the following adjustments were made: • The Mutua
Slide 23: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Value added by New Business (VNB): – In Life assurance and Burial insurance, new business is defined as single, extraordinary and regular premiums written in the year, as well as extraordinary contributions to existing policies not already considered
Slide 24: Assumptions
3 Methodological appendix Assumptions MCEV 2016 MCEV 2017 Discount rate Risk free rates as 31/12/2016 Risk free rates as 31/12/2017 1 año -0.30% 1 año -0.36% 5 años -0.02% 5 años 0.21% 10 años 0.57% 10 años 0.80% 15 años 0.96% 15 años 1.17% 20 años 1.12% 20 años 1.36% Financial returns - Existing as
Slide 25: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 25
Slide 26: Breakdown of the value added by new business (VNB)
4 Statistical appendix Breakdown of the value added by new business (VNB) Breakdown by business line PVNBI(1) VNB (2) VNB/PVNBI 2016 2017 2016 2017 2016 2017 Life Assurance: 2,540.7 3,975.5 85.5 391.0 3.4% 9.8% - Agents' channel 1,564.6 1,467.0 0.6 27.5 0.0% 1.9% - Bank channel 976.1 2,508.5 84.9 36
Slide 27: Breakdown of 2017 change in MCEV between ANAV and VIF
4 Statistical appendix Breakdown of 2017 change in MCEV between ANAV and VIF(1) Value of in-force ANAV (1) TOTAL business Value in 2016 - Attributable to MAPFRE Group 1,580.3 2,084.2 3,664.5 Minority interests 416.1 467.9 884.0 Value in 2016 1,996.4 2,552.1 4,548.5 Changes in assumptions 0.0 350.6 3
Slide 28: Breakdown of the sensitivity analysis
4 Statistical appendix Breakdown of the sensitivity analysis Sensitivity of the Market Consistent Embedded Value LIFE BURIAL MALTA BRASIL PERU PORTUGAL SPAIN SPAIN MSV LIFE LIFE LIFE Impact of: - 100bp increase in interest rates -178.2 -124.7 -4.8 -86.1 6.6 -1.2 - 10% decrease in the value of stocks
Slide 29: Reconciliation of the Adjusted Net Asset Value (ANAV)
4 Statistical appendix Reconciliation of the Adjusted Net Asset Value (ANAV) Consolidated shareholders equity for MAPFRE Group (1) as at 31/12/2016 (IFRS) 3.118,9 Unrealised gains (losses) -44,8 - of which: property 79,3 - of which: financial assets -124,1 Donations and dividends -12,3 Intangible as
Slide 30: Share of the parent company in the MCEV
4 Statistical appendix Share of the parent company in the MCEV MAPFRE Group Minority interests ANAV ANAV 1,885.3 711.0 (1) NET PVFP AGENTS' CHANNEL 1,993.4 0.0 BANK CHANNELS 976.4 1,869.1 TOTAL 2,969.8 1,869.1 TVFOG AGENTS' CHANNEL -56.0 0.0 BANK CHANNELS -14.0 -14.6 TOTAL -70.0 -14.6 MCEV 2017 4,78
Slide 31: Share of the parent company in the VNB
4 Statistical appendix Share of the parent company in the Value added by New Business (VNB) MAPFRE Group Minority interests Value added by new business AGENTS' CHANNEL 113.7 0.0 BANK CHANNELS 122.7 253.2 VNB 2017 236.4 253.3 Million Euros 31
Slide 32: Contents
Content 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 32
Slide 33: Glossary
5 Glossary The Market Consistent Embedded Value Principles or “MCEVP” are the principles that establish the methodology that must be applied in order to calculate the Market Consistent Embedded Value. The MCEVP were agreed upon by the CFOs of the multinational European insurers belonging to the “C
Slide 34: Glossary
5 Glossary The Cost of Capital or “CoC” represents an allowance for frictional costs, non-hedgeable risks as well as unexpected credit risk which has not been considered in the value of in-force business. The CoC used in the calculation of the MCEV was measured on the basis of an amount of capital
Slide 35: Glossary
5 Glossary New Business is defined as: in the case of Life assurance, single, extraordinary and regular premiums from policies written in the year, as well as extraordinary contributions to existing policies not already considered in the valuation of the in-force business; in the case of mutual fu
Slide 36: Disclaimer
Disclaimer This document is purely informative. Its content does not constitute, nor can it be interpreted as, an offer or an invitation to sell, exchange or buy, and it is not binding on the issuer in any way. The information about the plans of the Company, its evolution, its results and its divide