UNIQA Insurance Group AG · VIE:UQA
UNIQA Insurance — Investor Presentation (April 2019)
26 slides from UNIQA Insurance's investor presentation, Apr 10, 2019
Slide 1: Economic Capital and Embedded Value 2018
UNIQA Insurance Group AG Economic Capital and Embedded Value 2018 10 April 2019 Kurt Svoboda, CFRO
Slide 2: Executive summary
Executive summary Economic Capital Embedded Value Economic New Business Unrestricted Life & Health Value Capital Ratio Tier 1 Capital MCEV 205% 83% EUR +3.3% 103m Solvency Standard & Poor’s New Business Free Surplus Capital Ratio1 rating Margin Generation 248% A- EUR 89m 5.9% ▪ Economic Capital posi
Slide 3: Content
Content I. Group Economic Capital ▪ Risk Strategy ▪ Results ▪ Sensitivities and other analysis II. Market Consistent Embedded Value ▪ Results ▪ Sensitivities and other analysis III. Appendix ▪ ECR Methodology ▪ MCEV Methodology ▪ Assumptions ▪ Glossary & Disclaimer 3
Slide 4: Key Elements of our Risk Strategy
I. Group Economic Capital Risk Strategy Key Elements of our Risk Strategy ▪ Target Range of 155% - 190% for ECR Ratio ▪ We focus on underwriting risks and take market/credit risks only to the extent necessary ▪ Target market risk share of total ECR is ~65% ▪ We steer our risk profile on economic mod
Slide 5: Economic and Regulatory SII capital ratio
I. Group Economic Capital Economic and Regulatory SII capital ratio Economic capital position Development of ECR-ratio ECR-ratio 210% 205% 215% 210% 205% 182% 5,656 5,286 EUR mn 161% 150% 2,699 2,584 108% ECR-ratio 2017 2018 2012 2013 2014 2015 2016 2017 2018 Own Funds Capital Requirement Preliminar
Slide 6: Details on Economic capital ratio
I. Group Economic Capital Details on Economic capital ratio +105% ECR development by Risk Module Moderate decrease in ECR In EUR mn 5.286 ▪ Decrease in market risk coming from Tier 3 0% equity, spread and currency risk Tier 2 17% (details slide 10) 151 169 543 ▪ Increase in non-life in line with 365
Slide 7: Own Funds variation analysis
I. Group Economic Capital Own Funds variation analysis Own Funds development 172 5.656 5.449 5.286 -281 -98 -163 EUR mn 2 2017 Operating Market Impact Other 2018 prior Capital flows 2018 1 SII Earnings capital flows Development of Own Funds ▪ Operating earnings driven by new business coming from Lif
Slide 8: Own Funds
I. Group Economic Capital Own Funds Own Funds tiering Own Funds (EUR mn) 2018 2017 ▪ Share of Own Funds of highest quality (Tier 1) Basic Own Funds 5.286 5.656 stays at a strong level of 83% Tier 1 4.362 83% 4.736 84% ▪ Decrease in Tier 1 items between 2017 and 2018 Tier 1 unrestricted 4.362 100% 4.
Slide 9: IFRS reconciliation and financial leverage
I. Group Economic Capital IFRS reconciliation and financial leverage IFRS reconciliation Financial leverage (EUR mn) 2018 2017 22% 21% IFRS total equity 2.987 3.193 - Goodwill -296 -296 - Intangible assets and VBI -171 -101 850 850 - Deferred acquisition costs (DAC) -1.152 -1.133 + Revaluation (afte
Slide 10: Market risk profile
I. Group Economic Capital Market risk profile ECR market risk profile and development In EUR mn 166 Interest rate risk 14% 17% 323 1,267 2,436 Equity risk 14% 11% -822 600 Property risk 17% 18% 349 552 Interest Equity risk Property risk Spread risk Currency risk Conc. risk Diversific. ECR market rat
Slide 11: Underwriting risk profile
I. Group Economic Capital Underwriting risk profile Life underwriting risk Health underwriting risk Non-life underwriting risk 1% 1% 2% Disability risk Expense risk 4% 4% Technic 2% 4% 5% 4% 4% CAT risk 5% 5% Legal Expenses 3% 4% 7% 11% 6% Mortality risk 7% Mortality risk 24% 26% Transport 10% Longe
Slide 12: Partial Internal Model Non-Life
I. Group Economic Capital Partial Internal Model Non-Life PIM NL vs. Standard formula ▪ Internal model non-life accounts for significant capital -1.046 -569 release compared to the standard formula ▪ This is mostly because of 1.588 3.153 2.584 ▪ Usage of own history for calibration ▪ Detailed modell
Slide 13: Sensitivities
I. Group Economic Capital Sensitivities Impact of sensitivities on ECR-ratio Change in ECR-ratio ∆ to base value Base Value 205% Interest rates +50 bps 220% +16%-p Interest rates -50 bps 193% -12%-p Equity -30% 200% -5%-p FX +10% 208% +4%-p FX -10% 201% -4%-p Credit spread +100bps 175% -30%-p Earthq
Slide 14: Content
Content I. Group Economic Capital ▪ Risk Strategy ▪ Results ▪ Sensitivities and other analysis II. Market Consistent Embedded Value ▪ Results ▪ Sensitivities and other analysis III. Appendix ▪ ECR Methodology ▪ MCEV Methodology ▪ Assumptions ▪ Glossary & Disclaimer 14
Slide 15: Life & Health Embedded Value 2018
II. Market Consistent Embedded Value Results Life & Health Embedded Value 2018 In EUR mn Austria CEE2 Total +3.3% 1 +3.2% 1 2,333 2,164 3,032 3,363 +4.4% 1 170 1,030 868 331 162 Adjusted Net Value of in-force Life & Health Adjusted Net Value of in-force Life & Health Adjusted Net Value of in-force L
Slide 16: New Business Value
II. Market Consistent Embedded Value New Business Value New Business Value New Business Margin Present Value of NB Premiums In EUR mn As a % of PVNBP In EUR mn Recurring Premium Single Premium 2017 * 99 +4.5% 2017 * 1,967 232 2,199 2018 103 +5.9% 2018 1,672 76 1,748 NBV NBM ** Restated Split by regi
Slide 17: Analysis of Change: In-Force Business
II. Market Consistent Embedded Value Analysis of Change: In-Force Business 16 Restatement and opening adjustments 47 Rollforw ard include: 2 3,363 103 ▪ Capital and dividend flows 3,348 -13 (EUR -83mn) ▪ Foreign exchange variance (EUR -9mn) 31 Assumptions Increase in Life & Health MCEV driven by and
Slide 18: Analysis of Change: New Business
II. Market Consistent Embedded Value Analysis of Change: New Business 7 3 103 ▪ Minor effects from foreign exchange 99 0 99 variances and modelling changes 97 0 5 -2 ▪ Improved business mix driven by Austria Life, with higher proportion of Term and lower proportion of Unit-linked business Opening NB
Slide 19: Life & Health Sensitivities
II. Market Consistent Embedded Value Life & Health Sensitivities ▪ Changes in interest in EUR mn Change in Embedded Value Change in New Business Value rates remain the most 2018 2017 2018 2017 relevant sensitivities for the Life & Health Base value 3,363 100% 3,348 100% 103 100% 99 100% Embedded Val
Slide 20: Content
Content I. Group Economic Capital ▪ Risk Strategy ▪ Results ▪ Sensitivities and other analysis II. Market Consistent Embedded Value ▪ Results ▪ Sensitivities and other analysis III. Appendix ▪ ECR Methodology ▪ MCEV Methodology ▪ Economic Assumptions ▪ Glossary & Disclaimer 20
Slide 21: ECR Methodology
III. Appendix ECR Methodology ▪ Disclosure of Economic Capital Model (ECM) results: ▪ UNIQA discloses ECM results 2018 on the basis of the underlying and published methodology of the Group Economic Capital Model ▪ Economic capital is a key figure for steering the UNIQA Group ▪ UNIQA discloses the Ow
Slide 22: ECR Methodology
III. Appendix ECR Methodology UNIQA Group’s economic capital model Model details ECR = Basic ECR + Operat. risk – Adj. ▪ Based on SII standard approach Adj (FDB und DT) Basic ECR Operat. risk ▪ Spread risk and concentration risk are valued on the basis of Market Health Default Non-life Life Intang a
Slide 23: MCEV Methodology
III. Appendix MCEV Methodology ▪ Disclosure of Life & Health Market Consistent Embedded Value (MCEV) results: ▪ UNIQA discloses 2018 Life & Health results on the basis of the Market Consistent Embedded Value (MCEV) principles ▪ Includes MCEV using bottom-up, market consistent methodology for main Li
Slide 24: Economic Assumptions
III. Appendix Economic Assumptions ▪ Consistent assumptions for MCEV and ECR valuation ▪ Reference rates based on swap rates as at 31 December 2018 including a liquidity premium (volatility adjustment). The liquidity premium is derived from observable market data and based on the approach used for i
Slide 25: Glossary
III. Appendix Glossary ABS Asset Backed Securities ALM Asset Liability Management ANAV Adjusted Net Asset Value CAT Catastrophe Risk CDR Counterparty Default Risk EC European Commission ECM Economic Capital Model: UNIQA‘s approach for calculating a SCR based on the standard approach with deviation o
Slide 26: Disclaimer
III. Appendix Disclaimer ▪ This presentation contains forward-looking statements ▪ Forward-looking statements involve inherent risks and uncertainties, and it might not be possible to achieve the predictions, forecasts, projections and other outcomes described or implied in forward-looking statement
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