UNIQA Insurance Group AG · VIE:UQA

UNIQA Insurance — Investor Presentation (April 2020)

23 slides from UNIQA Insurance's investor presentation, Apr 16, 2020

  1. Slide 1: Solvency Capital and Embedded Value 2019

    UNIQA Insurance Group AG Solvency Capital and Embedded Value 2019 16 April 2020 Kurt Svoboda, CFRO

  2. Slide 2: Executive summary

    Executive summary Solvency Capital Embedded Value Solvency Unrestricted Life & Health New Business Capital Ratio1 Tier 1 Capital MCEV Value 216% 80% -14.4% EUR 92m Part of risk profile Standard & Poor’s covered by Free Surplus New Business rating Margin internal model Generation 78% A- EUR 89m 4.3%

  3. Slide 3: Content

    Content I. Group Solvency Capital  Risk Strategy  Results  Sensitivities and other analysis II. Market Consistent Embedded Value  Results  Sensitivities and other analysis III. Appendix  SCR Methodology  MCEV Methodology  Assumptions  Glossary & Disclaimer 3

  4. Slide 4: Key Elements of our Risk Strategy

    I. Group Capital Requirement Risk Strategy Key Elements of our Risk Strategy  Target Range of 155% - 190% for SCR Ratio  We focus on underwriting risks and take market/credit risks only to the extent necessary  Target market risk share of total SCR is ~65%  The target rating for UNIQA Group is c

  5. Slide 5: SII capital ratio

    I. Group Capital Requirement SII capital ratio SII capital position1 EUR mn By Risk Module By Segment By Region3 248% 216% Health SLT & CAT Non-Life SEM EEM Life Non-Life underwriting CEE 5,319 3% 4% WEM 4,754 14% 6% 4% 3% 28% Life underwriting 45% 2,142 2,203 15% 64% 4% Counterparty default 27% 83%

  6. Slide 6: Details on SII capital ratio

    I. Group Capital Requirement Details on SII capital ratio SCR increase by 61 MEUR +116%  Increase of market risk by 127 EUR mn SCR development by Risk Module compared to 2018 In EUR mn 4.754  Driven by increased market values Tier 2 because of the decrease of interest 930 rates  Increase of life

  7. Slide 7: Own Funds variation analysis

    I. Group Capital Requirement Own Funds variation analysis Own Funds development 262 5.319 EUR mn 75 4.923 4.754 -733 -169 2 2019 prior 2018 Operating Market Impact Other Capital flows 2019 1 capital flows SII Earnings Development of Own Funds  Operating earnings driven by new business and in-force

  8. Slide 8: IFRS reconciliation and financial leverage

    I. Group Capital Requirement IFRS reconciliation and financial leverage IFRS reconciliation Financial leverage (EUR mn) 2019 2018 20% 22% IFRS total equity 3.420 2.987 - Goodwill -291 -296 - Intangible assets and VBI -226 -171 850 850 - Deferred acquisition costs (DAC) -1.124 -1.152 + Revaluation (a

  9. Slide 9: PIM market risk profile & comparison with standard formula

    I. Group Capital Requirement PIM Market risk profile & comparison with standard formula SCR PIM market risk profile In EUR mn 310 256 19% 782 Interest rate risk 33% 14% 2,056 128 660 -1,149 Equity risk 21% 21% 1,068 Property risk 4% Spread risk 24% 31% Interest rate Equity risk Property risk Spread

  10. Slide 10: Underwriting risk profile

    I. Group Capital Requirement Underwriting risk profile Life underwriting risk Health underwriting risk Non-life underwriting risk 1% 2% 2% 1% Disability risk 4% Expense risk 4% Technic 1% 1% 5% 11% 5% 5% 4% 5% CAT risk Legal Expenses 7% 7% 7% 8% Mortality risk Mortality risk 26% Transport 15% 14% Lo

  11. Slide 11: Sensitivities

    I. Group Capital Requirement Sensitivities Impact of sensitivities on SCR-ratio Change in SCR-ratio ∆ to base value Base Value 216% Interest rates +50 bps 243% +28%-p Interest rates -50 bps 187% -29%-p Equity -25% 213% -3%-p FX +10% 221% +5%-p FX -10% 210% -6%-p Credit spread corp. +50bps 209% -7%-p

  12. Slide 12: 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  SCR Methodology  MCEV Methodology  Assumptions  Glossary & Disclaimer 12

  13. Slide 13: Life & Health Embedded Value 2019

    II. Market Consistent Embedded Value Results Life & Health Embedded Value 2019 In EUR mn Austria CEE2 Total -14.4%1 -16.5%1 1,862 1,702 2,502 2,836 +5.9%1 159 974 799 334 175 Adjusted Net Value of in-force Life & Health Adjusted Net Value of in-force Life & Health Adjusted Net Value of in-force Life

  14. Slide 14: 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 2018 * 103 +5.9% 2018 * 1,672 76 1,748 2019 92 +4.3% 2019 2,078 60 2,138 NBV NBM ** Restated Split by regio

  15. Slide 15: Analysis of Change: In-Force Business

    II. Market Consistent Embedded Value Analysis of Change: In-Force Business 145 Restatement and opening adjustments 84 Rollforward 92 include: 3,363 3,313 61  Capital and dividend flows Assumptions -51 and Variance (EUR -58mn)  Foreign exchange variance (EUR +7mn) Stable New Business Value contribu

  16. Slide 16: Analysis of Change: New Business

    II. Market Consistent Embedded Value Analysis of Change: New Business 2 105 2  Minor effects from foreign exchange 103 0 103 variances, modelling changes and -1 business mix changes 1 92 12  Portfolio change effect driven by lower volumes in Russia and higher acquisition costs than anticipated for

  17. Slide 17: 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 2019 2018 2019 2018 relevant sensitivities for the Life & Health Base value 2,836 100% 3,363 100% 92 100% 103 100% Embedded Val

  18. Slide 18: 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  SCR Methodology  MCEV Methodology  Economic Assumptions  Glossary & Disclaimer 18

  19. Slide 19: SCR Methodology

    III. Appendix SCR Methodology  Disclosure of Solvency Capital Requirement (SCR) results:  UNIQA discloses SCR results 2019 on the basis of the principles and requirements as defined in the Solvency II framework directive as well as the corresponding delegated regulation  UNIQA uses an approved pa

  20. Slide 20: MCEV Methodology

    III. Appendix MCEV Methodology  Disclosure of Life & Health Market Consistent Embedded Value (MCEV) results:  UNIQA discloses 2019 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

  21. Slide 21: Economic Assumptions

    III. Appendix Economic Assumptions  Consistent assumptions for MCEV and SCR valuation  Reference rates based on swap rates as at 31 December 2019 including a liquidity premium (volatility adjustment). The liquidity premium is derived from observable market data and based on the approach used for i

  22. Slide 22: 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 EV, MCEV Embedded Value, Market Consistent Embedded Value FS Free Surplus Health NSLT Health Not Similar to Life T

  23. Slide 23: 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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