Slide 1: European Embedded Value 2011
European Embedded Value 2011 26th July 2012 No. 2012 - 14
Slide 2: Contents
Contents 1 EEV analysis 2 Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 2 No. 2012 - 14
Slide 3: Development of the EEV in 2011
1 EEV analysis Development of the EEV in 2011 2011 U% Value of In-force Business (VIF) 1,781.4 4.0% (1) European Embedded Value (EEV) Consolidated 2,326.5 Aggregate 2,729.0 9.6% Return on Aggregate Embedded Value (RoEV) 7.8% 2.9 p.p. Present Value of New Business Income (PVNBI) 3,877.8 -4.2% (2) Val
Slide 4: Inclusion of CCM and UNIÓN DUERO in the scope of consolidation of MAPFRE VIDA
1 EEV analysis Inclusion of CCM and UNIÓN DUERO in the scope of consolidation of MAPFRE VIDA MAPFRE VIDA holds the MAPFRE Group’s stake in the share capital of MAPFRE-CAJA MADRID VIDA, BANKINTER VIDA Y PENSIONES and the Life Assurance operations of 2007-2010 CATALUNYACAIXA MAPFRE S.A. holds a 50
Slide 5: EEV components and their variation in 2011
1 EEV analysis EEV components and their variation in 2011(1) 2010 EEV 2011 EEV 2,149.7 164.8 1,984.9 (27.1) 2,729.0 (69.4) (254.8) 2,490.5 (113.5) 238.5 (227.7) (44.1) 2,326.5 (402.5) 947.6 777.4 170.2 2010 ANAV PVIF CoC TVFOGs 2010 EEV 2011 ANAV PVIFs CoC TVFOGs Aggregate Consolidation Consolidated
Slide 6: Breakdown of the aggregate 2011 EEV
1 EEV analysis Breakdown of the aggregate 2011 EEV (1) By business line By distribution channel € mill. % U% € mill. % U% Adjusted Net Asset Value 947.6 34.7% 21.9% Adjusted Net Asset Value 947.6 34.7% 21.9% (2) (3) Net PVIF - Life Assurance 1,573.0 57.6% 14.7% Net PVIF - Agents' channel 869.3 31.9%
Slide 7: Share of the parent company in the 2011 VIF
1 EEV analysis Share of the parent company in the 2011 VIF Breakdown of MAPFRE’s 2011 VIF 1,894.9 1,781.4 (113.5) 1,281.4 (500.0) Aggregate PVIF pre- TVFOGs Aggregate PVIF post- Minority interests VIF attributable to TVFOGs TVFOGs MAPFRE S.A. Million Euros 7 No. 2012 - 14
Slide 8: Value added in 2011
1 EEV analysis Value added in 2011 Change in Embedded Value 237.5 (51.0) 77.2 (63.0) 50.2 5.1 3.6 204.3 (79.8) 58.7 (402.5) 2,326.5 RoEV(1) = 7.8% 2,729.0 2,490.5 2,326.5 Aggregate 2010 Net impact of Changes in Variation in Changes in Expected Value added by Deviation Change in Value added in Divide
Slide 9: Analysis of the main variations in EEV
1 EEV analysis Analysis of the main variations in EEV Change Description Consolidation of Positive impact of the capital increase by contribution in kind carried out by CCM and UDVyP MAPFRE VIDA to absorb the Group’s stake, net of the intangible assets acquired Reflects primarily the positive im
Slide 10: Analysis of the main variations in EEV (contd.)
1 EEV analysis Analysis of the main variations in EEV (contd.) Change Description In 2011 their impact was significantly lower than in previous years. This reflects mainly three opposite effects: — the decline in interest rates, which adds €129.0 million due to the Changes in application of lower
Slide 11: Value added by new business
1 EEV analysis Value added by new business Development of the value added Key highlights 6.1% 5.4% Growing contribution of the Life- 1 Protection business to the value added S Success of the sales campaigns in Life 2 Assurance implemented through the S agents’ channel 237.5 220.6 Improvement of marg
Slide 12: Sensitivity analysis of the value of in-force business
1 EEV analysis Sensitivity analysis of the value of in-force business(1) Sensitivity Variation in VIF Resulting value -60.6 1,720.8 100bp increase in interest rates -24.3 1,757.1 10% decrease in the value of stocks and real estate 10% decrease in 33.3 1,814.7 Base expenses scenario: €1,781.4 10% dec
Slide 13: Sensitivity analysis of the value added by new business
1 EEV analysis Sensitivity analysis of the value added by new business Variation in the value Sensitivity added by new business Resulting value 100bp increase in interest rates -16.9 220.6 10% decrease in the value of stocks and real estate -1.6 235.9 Base 10% decrease in expenses scenario: 4.3 241.
Slide 14: Contents
Contents 1 EEV analysis 2 Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 14 No. 2012 - 14
Slide 15: Towers Watson opinion letter
2 Towers Watson opinion letter 15 No. 2012 - 14
Slide 16: Contents
Contents 1 EEV analysis 2 Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 16 No. 2012 - 14
Slide 17: Covered business and non-covered business
3 Methodological appendix Covered business The 2011 embedded value was calculated for all business produced by MAPFRE VIDA and its subsidiaries consistent of the following blocks of business: – Life assurance (including complementary) and accidental death insurance businesses of MAPFRE VIDA, sold
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 Methodological appendix Methodology (contd.) Credit risk allowance: – In 2011, the spread of 10Y Spanish government bonds vs. the swap curve has increased to around 320 basis points. In our opinion this reflects the uncertainty concerning Spain’s economic development, but not a manifest event wi
Slide 20: Methodology (contd.)
3 Methodological appendix Methodology (contd.) TVFOGs: – Under EEVP, FOGs (Financial Options and Guarantees) are defined as those features of the covered business conferring potentially valuable guarantees underlying, or options to change, the level or nature of policyholders’ benefits and exercis
Slide 21: Methodology (contd.)
3 Methodological appendix Methodology (contd.) CoC: – In line with market practices, the CoC used in the calculation of the 2011 EEV was measured by applying a 4% fixed rate to the minimum required solvency margin. – This represents an allowance for frictional costs, non-hedgeable risks as well as
Slide 22: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Look through EEVP: – In order to assign correctly 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 mutual
Slide 23: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Value added by new business: – In Life assurance, new business is defined as single, extraordinary and regular premiums written in the year, as well as extraordinary contributions to existing policies. In the mutual funds business, new business is def
Slide 24: Assumptions 2010 EEV and 2011 EEV
3 Methodological appendix Assumptions 2010 EEV 2010 EEV 2011 EEV Discount rate Euroswap zero-coupon curve as at 31/12/2010 Euroswap zero-coupon curve as at 31/12/2011 1 year 1.31% 1 year 1.41% 5 years 2.59% 5 years 1.75% 10 years 3.47% 10 years 2.49% 15 years 3.78% 15 years 2.84% 20 years 3.82% 20 y
Slide 25: Contents
Contents 1 EEV analysis 2 Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 25 No. 2012 - 14
Slide 26: Breakdown of the value added by new business
4 Statistical appendix Breakdown of the value added by new business Breakdown by business line PVNBI(1) VNB(2) VNB/PVNBI 2010 2011 2010 2011 2010 2011 Life Assurance: 3,021.3 2,857.6 208.7 233.2 6.9% 8.2% - Agents' channel 731.6 1,101.7 34.9 46.1 4.8% 4.2% - Bank channel 2,289.7 1,755.9 173.8 187.1
Slide 27: Breakdown of 2011 change in EEV between ANAV and value of in-force business
4 Statistical appendix Breakdown of 2011 change in EEV between ANAV and value of in-force business(1) ANAV Value of in-force business(1) TOTAL 2010 EEV 777.4 1,713.1 2,490.5 Changes in assumptions 0.0 3.6 3.6 Expected return 254.8 -177.6 77.2 Value added by new business -76.1 313.6 237.5 Deviation o
Slide 28: Breakdown of the sensitivity analysis
4 Statistical appendix Breakdown of the sensitivity analysis Sensitivity of the value of in-force business (1) MAPFRE VIDA Bank channels - Other Impact of: - 100bp increase in interest rates -27.4 -33.2 - 10% decrease in the value of stocks and real estate -25.5 1.2 - 10% decrease in expenses 19.8 1
Slide 29: MAPFRE VIDA: reconciliation of the adjusted net asset value
4 Statistical appendix MAPFRE VIDA: reconciliation of the adjusted net asset value Consolidated net assets for MAPFRE VIDA as at 31/12/11 (IFRS) 1,087.3 Unrealised gains 126.2 - of which: property 33.8 - of which: financial assets 92.4 Donations and dividends 0.0 Intangible assets -669.8 Commissions
Slide 30: Units and operating companies included in the 2011 EEV
4 Statistical appendix Units and operating companies included in the 2011 EEV MAPFRE VIDA(1) OTHER BANK CHANNELS(2) 2010 2011 2010 2011 Adjusted Net Asset Value 366.0 545.1 Adjusted Net Asset Value 411.4 402.5 Net PVIF - Life Assurance 814.3 870.6 Net PVIF - Life Assurance 556.7 702.4 - PVIF 987.1 1
Slide 31: EEV 2011 MAPFRE S.A. – Domestic Life Assurance business
4 Statistical appendix EEV 2011 MAPFRE S.A. – Domestic Life Assurance business Aggregate(1) Consolidated(2) 2010 2011 2010 2011 Adjusted Net Asset Value 777.4 947.6 Adjusted Net Asset Value 545.1 Net PVIF - Life Assurance 1,371.0 1,573.0 Net PVIF - Life Assurance 1,573.0 - PVIF 1,580.4 1,807.9 - PVI
Slide 32: Share of the parent company in the EEV
4 Statistical appendix Share of the parent company in the EEV MAPFRE stake Parent company Minority interests ANAV ANAV(1) 545.1 -- NET PVIF MAPFRE VIDA - AGENTS' CHANNEL 100.0% 869.3 0.0 MAPFRE - CAJA MADRID VIDA 51.0% 126.7 121.7 OTHER BANK CHANNELS(2) 50.0% 388.6 388.6 TOTAL 1,384.6 510.3 TVFOGS M
Slide 33: Share of the parent company in the value added by new business
4 Statistical appendix Share of the parent company in the value added by new business MAPFRE stake Parent company Minority interests Value added by new business MAPFRE VIDA - AGENTS' CHANNEL 100,0% 47,4 -- MAPFRE - CAJA MADRID VIDA 51,0% 17,2 16,5 OTHER BANK CHANNELS(1) 50,0% 78,2 78,2 2011 Value ad
Slide 34: Breakdown of the consolidated EEV 2011 attributable to the parent company
4 Statistical appendix Breakdown of the consolidated EEV 2011 attributable to the parent company By line of business By distribution channel € mill. % U% € mill. % U% Adjusted Net Asset Value 545.1 29.8% Adjusted Net Asset Value 545.1 29.8% (1) (2) Net PVIF - Life Assurance 1,100.1 60.2% 13.4% Net P
Slide 35: Glossary
Content 1 EEV analysis 2 Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 35 No. 2012 - 14
Slide 36: Glossary
5 Glossary The European Embedded Value Principles or “EEVP” are the principles that establish the methodology that must be applied in order to calculate the European Embedded Value. The EEVP were agreed upon by the CFOs of the multinational European insurers belonging to the “CFO Forum” in order t
Slide 37: Glossary
5 Glossary The Cost of Capital or “CoC” represents an allowance for frictional costs, non-hedgeable risk 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 2011 EEV was measured on the basis of an amount of capi
Slide 38: 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; in the case of Mutual Funds, new contributions; in the case of Pension Funds, single, ext
Slide 39: 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