Scor Se · EURONEXT:SCR
Scor — Investor Day (July 2009)
135 slides from Scor's investor day presentation, Jul 8, 2009
Slide 1: SCOR Group Investors' Day 2009
SCOR GROUP Investors’ Day 2009 Making decisions in times of uncertainty Paris, 8 July 2009
Slide 2: Disclaimer
Disclaimer Certain statements contained in this presentation are forward-looking statements, of necessity provisional, that are based on risks and uncertainties that could cause actual results, performance or events to differ materially from those in such statements. Undue reliance should not be pla
Slide 3: Investors' Day 2009 Agenda
Investors’ Day 2009 Agenda Paris, 8 July 2009
Slide 4: Agenda of the day
Agenda of the day 11:00 Registration and coffee How does SCOR make decisions in times of 11:30 Denis Kessler, Chairman & Group CEO uncertainty? How does SCOR Global P&C underwrite Victor Peignet, CEO, SCOR Global P&C 12:15 reinsurance in an uncertain and cyclical Antoine Neghaiwi, Chief Pricing Actu
Slide 5: How does SCOR make decisions in times of uncertainty?
SCOR GROUP Investors’ Day 2009 How does SCOR make decisions in times of uncertainty? Denis Kessler, Chairman & Group CEO
Slide 6: SCOR is fully operational with powerful twin engines
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR is fully operational with powerful twin engines… Fully operational Rating upgrades Î Integrations completed Î Upgrade to “A” from S&P Î Hub organization in place A powerful twin-
Slide 7: Economic environment re-shaping the financial industry and demonstrating SCOR's resilience
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks …in an economic environment which is re-shaping the financial industry and demonstrating SCOR’s resilience Impact for many financial institutions SCOR’s improved relative position Î S
Slide 8: Improved relative position reflected in renewed mission statement
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s improved relative position in the industry and aspirations are reflected in renewed mission statement SCOR’s mission, as an independent leading reinsurance company with a globa
Slide 9: SCOR's strategic map has not changed during the crisis
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s strategic map has not changed during the crisis… Portfolio RISK BASED CAPITAL Capital Management Management lower (economic capital) diversification lower rating Ri sk di ve A+
Slide 10: Major achievements since last year
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks … resulting in major achievements since last year Investors’ Day ÎFinalized hub structure Franchise ÎIncreased local presence in emerging markets Strengthened management ÎPositive per
Slide 11: Strategic approach based on constant cornerstones
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s strategic approach based on constant cornerstones and their relationship with the surrounding environment Constant strategic cornerstones Independently of what is happening in
Slide 12: Business model based on constant strategic cornerstones
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s business model is based on constant strategic cornerstones… Strong franchise Controlled risk appetite ÎFocusing on medium to long term relationship ÎRemaining a key element of
Slide 13: Changing economic and industry environments
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks …which take into account changing economic and industry environments Economic cycle Reinsurance cycle ΓArmageddon” scenario unwinding, but the ÎGlobally positive and reflecting soft
Slide 14: Decision making in times of uncertainty
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s decision making in times of uncertainty… Environmental variables Economic Reinsurance Capital Regulatory cycle cycle markets environment Î Apply Asset Î Maintain current risk Î
Slide 15: Rational decision-making between strategies with different risk/return profiles
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks … follows a rational decision-making process for selecting between strategies having different risk / return profiles Risk profiles business model I + II Business model I Illustrative
Slide 16: Decision making in times of uncertainty
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s decision making in times of uncertainty Environmental variables Economic Reinsurance Capital Regulatory cycle cycle markets environment Î Apply Asset Î Maintain current risk Î
Slide 17: Reinsurers need to watch out for inflation risk
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Inflation Reinsurers need to watch out for inflation risk Huge increase of central banks’ balance sheets 2 500 US Federal reserve Banks, Total Assets or Liabilities, USD bns Î The rei
Slide 18: Limiting shareholders' exposure to inflation risk
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s position is to limit shareholders’ Inflation exposure to inflation risk SCOR Strategy Inflation I: protect II: do not protect Cost (C) related to: Losses (L) due to: Î Mitigati
Slide 19: Growth management aligned with economic and market conditions
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s growth management is aligned with Growth economic and market conditions Economic environment & reinsurance market conditions Growth Strategies Endogenous Exogenous Î Hardening
Slide 20: Why make major acquisitions when organic growth exists?
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Why should SCOR make major acquisitions when Growth there are organic growth opportunities? Gross written premium A theoretical in € billions example Î SCOR would need to grow by appr
Slide 21: Confirming 2007-2010 targets and preparing next three-year plan
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR confirms its 2007-2010 strategic targets and actively prepares for the next three-year plan Actively preparing for the next three- SCOR confirms its Dynamic year plan Lift plan w
Slide 22: How does SCOR Global P&C underwrite in an uncertain, cyclical environment?
SCOR GROUP Investors’ Day 2009 How does SCOR Global P&C underwrite reinsurance in an uncertain and cyclical environment? Victor Peignet, CEO, SCOR Global P&C Antoine Neghaiwi, Chief Pricing Actuary, SCOR Global P&C
Slide 23: Decision making in times of uncertainty
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s decision making in times of uncertainty Environmental variables Economic Reinsurance Capital Regulatory cycle cycle markets environment Î Apply Asset Î Maintain current risk Î
Slide 24: SCOR Global P&C constant profitability focus
1 SCOR Global P&C constant profitability focus 2 Pricing as cornerstone for sustainable technical profitability 3 SCOR Global P&C profitability assumptions for Dynamic Lift
Slide 25: Stable operating performance with minimum volatility
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global P&C delivers stable operating performance with minimum volatility…. Net Technical Ratio 120% SCOR Global P&C (SGPC) 110% superior stability with lowest 100% volatility tha
Slide 26: No recourse to reserve releases
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks …without recourse to reserve releases (nor to changes in reserving policy) Points of 2008 combined ratio improvement for a Î High confidence in P&C reserving panel of major reinsurers
Slide 27: P&C management system centered on key parameters
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global P&C management system is centered on key parameters and performance indicators Active portfolio management Set of key parameters Î The Net Written / Earned Premium (NWP /
Slide 28: Crisis forces P&C insurers to improve technical results
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks The crisis forces P&C (Re)insurers to improve their technical results Active portfolio management Maximum Tolerable Combined Ratio In function of performance of Investment Return In f
Slide 29: Three features of a highly diversified portfolio
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global P&C: three main features of a highly diversified portfolio High Diversification 1 Diversification by geography 3 Diversification by Long vs Short tail segmentation Treaty
Slide 30: Active Treaty P&C portfolio management by geography
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Active and dynamic Treaty P&C portfolio management for a greater diversification and best achievable return… Active portfolio management A most valuable franchise resulting from 40 ye
Slide 31: Specialization in Specialty Lines and Business Solutions
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks … coupled with strong specialization in selected Specialty Lines & Business Solutions segments Active portfolio management More opportunities for profitable growth in existing segment
Slide 32: No major shift foreseen in portfolio mix
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global P&C foresees no major shift in the portfolio mix…-1) High Diversification Treaty P&C 2008 2010 27% 25% Property 35% 37% Motor 6% 7% Liability 5% 6% Others 65% 63% Proporti
Slide 33: Improved expectations for 2009 and 2010
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks … with continued profitability focus leading to improved expectations for 2009 and 2010 The path from the underwriting plan to the combined ratio and ROE… Average 10% impact of cat an
Slide 34: Dynamic Lift V2 targets achievable with positive ROEC outlook
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Dynamic Lift V2 targets achievable today, with a positive ROEC-1) outlook Total Investment Return %-2) 5.0 Current 4.6 4.5 environment 3.9 4.0 3.5 3.3 Today safe Î Tomorrow safer 3.0
Slide 35: SCOR Global P&C constant profitability focus
1 SCOR Global P&C constant profitability focus 2 Pricing as cornerstone for sustainable technical profitability 3 SCOR Global P&C profitability assumptions for Dynamic Lift
Slide 36: Actuarial pricing efficiency as foundation of profitability
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Actuarial pricing efficiency at the foundation of sustainable technical profitability Mission ÎSet the technical/Actuarial Price, reflecting all costs, including cost of capital, and
Slide 37: Actuarial pricing supported by integrated monitoring system
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Actuarial pricing supported by an integrated monitoring system with a window on the status of the underwriting cycle Pricing monitoring between January and April 2009 By LOB (%) By Re
Slide 38: Expected 2009 technical profitability improvement
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Clear improvement in expected 2009 technical profitability due to pricing improvements and active portfolio management Excluding Aviation and C&S, the proportion of premium with Under
Slide 39: Actuarial pricing prepared for 2009 renewals
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global P&C Actuarial pricing proactively prepared for 2009 renewals SCOR Global P&C pushed for market CoC Rates Variance (’09-’08) hardening Target as RoE + 125 bps Target as Spr
Slide 40: Economic development leads to higher pricing
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Economic development leads to higher pricing Pricing underwriting ratio: expected profitability year on year comparison 2008/2009 Jan-Apr 09 Underwriting – Profitability / Portfolio s
Slide 41: P&C portfolio largely unaffected by the economic crisis
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global P&C portfolio largely unaffected by the economic crisis Significant economics-related concerns raised… 1 Î Economic environment has changed dramatically over the last few
Slide 42: Minimal impact on SCOR's portfolio
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global P&C portfolio largely unaffected by the economic crisis … but minimal impact on SCOR’s portfolio 1 Î Most direct line affected is C&S (insignificant D&O and E&O book), but
Slide 43: Risk of long-term inflation and slide inflation
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Further considerations for risk of long-term inflation and slide inflation 2 Current scenario and SCOR mitigants Î Economists’ general consensus is for very low inflation in the short
Slide 44: Euro yield curve change to pricing profitability
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Euro yield curve change to pricing profitability… While current short-term rates are currently lower, long-term rates are slightly higher; 3 we are more concerned about the effect of
Slide 45: Minimum effect on short and long-tail lines
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks …has minimum effect on both short and long-tail lines Yield curve has minimal effect on ROE and no effect on the spread above Risk Free Rate Treaty example 1: Property XL Treaty examp
Slide 46: SCOR Global P&C constant profitability focus
1 SCOR Global P&C constant profitability focus 2 Pricing as cornerstone for sustainable technical profitability 3 SCOR Global P&C profitability assumptions for Dynamic Lift
Slide 47: Cycle expected to harden further
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Cycle expected to harden further: SCOR Global P&C ready to profit from its improved competitive position Improved market conditions… … actively managed by SGPC Î The reinsurance cycle
Slide 48: Lunch buffet with SCOR management team
SCOR GROUP Investors’ Day 2009 Lunch buffet with SCOR management team The presentation will restart at 14:00 Paris time
Slide 49: How does SCOR Global Life build up Embedded Value?
SCOR GROUP Investors’ Day 2009 How does SCOR Global Life build up Embedded Value at a time of high financial market volatility? Gilles Meyer, CEO, SCOR Global Life Frieder Knüpling, Deputy Group Chief Risk Officer Bruno Latourrette, Chief Pricing Actuary, SCOR Global Life
Slide 50: Decision making in times of uncertainty
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s decision making in times of uncertainty Environmental variables Economic Reinsurance Capital Regulatory cycle cycle markets environment Î Apply Asset Î Maintain current Î Incre
Slide 51: SCOR Global Life business model delivers profitable results
1 SCOR Global Life business model delivers profitable results 2 Managing EEV through strong ERM and sound pricing SCOR Global Life continues to create value through new 3 profitable business
Slide 52: Strong customer base with leading positions in key markets
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Life has a strong customer base, with leading positions in key markets… A European top-tier reinsurer 8% Global Life reinsurance with a worldwide network market share Cust
Slide 53: Business model built to take on market opportunities
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks …leveraging on a business model built to strategically take on market opportunities Best-in-class services Highly demanded products and innovations ÎActuarial and medical underwriting
Slide 54: Embedded Value growth driven by traditional portfolio mix
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Life Embedded Value growth driven by traditional portfolio mix and strong ERM foundations Mortality-based book… Robust EEV development Total 2008 gross written premiums of
Slide 55: SCOR Global Life business model delivers profitable results
1 SCOR Global Life business model delivers profitable results 2 Managing EEV through strong ERM and sound pricing 3 SCOR Global Life continues to create value through new profitable business
Slide 56: EEV growth in volatile markets through ERM and pricing
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Life achieves EEV growth in volatile financial markets through strong ERM and solid pricing after tax, in € millions EEV earnings of € 63 million manages EEV earnings +182
Slide 57: How SCOR Global Life ensures operating profitability
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks How does SCOR Global Life ensure operating profitability? Measurement Portfolio Management EEV IFRS Operating Margin Î Pricing and profitability assessed at treaty Î EEV analysis of i
Slide 58: New business adds limited IFRS contribution but is incremental for EEV
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks New business adds limited contribution to IFRS operating results but is incremental for EEV growth Illustrative: IFRS operating result mainly based on profitability of in- Limited con
Slide 59: Different risk profile than primary Life insurers
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Life has a different risk profile than primary Life insurers Focus on ERM to mitigate risks Comparison of EEV sensitivity between SCOR Global Life and primary Life insurer
Slide 60: Focus on ERM: main risks of Life portfolio
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Focus on ERM: main risks of SCOR Global Life’s portfolio Focus on ERM to mitigate risks Risk type Mitigating measures (examples) Î Treaty wording, Counterparty credit monitoring Asset
Slide 61: Mortality swap to mitigate extreme pandemic risk
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Life employs alternative way to mitigate extreme pandemic risk through mortality swap Focus on ERM to mitigate risks 100% Payment to SCOR in % of the notional amount Morta
Slide 62: Focus on risk it knows
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Life focuses on risk it knows – “If I am a baker I bake bread” Focus on ERM to mitigate risks Approximate composition of Life insurance risks Î Retained risks concentrated
Slide 63: Future performance dependent on pricing of New Business
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Future operating performance dependent on pricing of New Business… Pricing methodology Capital allocation Î Pricing methodology based on clear Î SGL segments risk into 4 categories de
Slide 64: New Business profitability shapes by measurement
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks … with New Business profitability showing different shapes depending on measurements Illustrative example only, with detailed figures in the appendix Pricing projections 400 Î First y
Slide 65: SCOR Global Life business model delivers profitable results
1 SCOR Global Life business model delivers profitable results 2 Managing EEV through strong ERM and sound pricing SCOR Global Life continues to create value through new 3 profitable business
Slide 66: Leveraging on traditional base: development by line of business
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Life leverages on traditional base… Development by lines of business 2008 Value in Force Gross Premium CAGR-1) 2010 Life 7% 13% Financing 6% Reinsurance 10% Critical Illne
Slide 67: Development by geography
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks …with continued strong presence in Europe and higher growth coming from Emerging markets… Development by geography 2008 Value in Force Gross Premium CAGR-1) 2010 Europe 8% 1% 5% Germa
Slide 68: Delivering strong added-value to the SCOR Group
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks …to deliver strong added-value to the SCOR Group … to profitably grow in a difficult Leveraging on solid foundations… environment Î Fifth largest global reinsurer, with 8% Î Continued
Slide 69: Q&A – Panel
SCOR GROUP Investors’ Day 2009 Q&A – Panel 1
Slide 70: Coffee break
SCOR GROUP Investors’ Day 2009 Coffee break
Slide 71: How can SCOR Global Investments pursue strategic asset allocation?
SCOR GROUP Investors’ Day 2009 How can SCOR Global Investments pursue a strategic asset allocation with limited market visibility? François de Varenne, CEO, SCOR Global Investments
Slide 72: Prudent investment strategy with cautious inflection from Q2 2009
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Investments continues to pursue prudent strategy with a cautious inflection started in Q2 2009 Environmental variables Economic Reinsurance Capital Regulatory cycle cycle
Slide 73: Risk-conscious, liability-driven investment decision process
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Investments is fully operational with a risk- conscious and liability-driven investment decision process A new governance through a clear and An explicit investment manage
Slide 74: Closely monitoring the environment and actively taking decisions
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR closely monitors the environment and actively takes decisions H1’07 H2’07 – H1’08 Sep’08 – Feb’09 Mar’09 – Jul’09 Financial Early warning signs Reduced market No market visibilit
Slide 75: Focus on cash protected asset value through the crisis
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s continued focus on cash has been successful in protecting asset value throughout the crisis Increased level of liquidity Cash strategy keeps all options open to 30% capture any
Slide 76: Scorecarding of all investments (sovereign risk)
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR regularly scorecards all its investments to preserve its financial strength Sovereign risk scorecard: example of the November 2008 study 4.00 Watch List Reduce Iceland 3.50 3.00
Slide 77: Investment strategy safeguarded shareholders' value
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Since 2007, the investment strategy has been able to safeguard shareholders’ value and to preserve capital March 2009: Investment portfolio actively de- Total Investments-1) | € 19.1
Slide 78: View on interest rate developments in Europe and US
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s view-1) on interest rates developments in Europe and in the US Potential impact Timing Scenario Description on interest rates and inflation Next few Î Lengthening of the durati
Slide 79: Mid-2010 road map: managing the transition phase
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Mid-2010 SCOR road map: managing the transition phase 2009-2010 investment strategy ÎGiven the economic scenario and the global trends in long-term interest rates and in inflation, de
Slide 80: Managing increasing interest rates under IFRS constraints
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Managing increasing interest rates under IFRS constraints: which target should be maximized? “Economic” benefit from the duration gap Cash strategy keeps all options open to Interest
Slide 81: Target asset allocation by mid 2010
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Target asset allocation-1) by mid 2010-2) Mid 2009 Mid 2010 asset class Q1 2009 target target ranges-3) Low High Cash & short-term investments 41% 30% 25% 30% Fixed income 49% 60% 50%
Slide 82: Full alert to identify market risks and seize opportunities
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR Global Investments is on “full alert” to early identify market risks and to seize investment opportunities SCOR Global investments’ key principles and objectives ÎSCOR Global inv
Slide 83: How can SCOR drive efficient capital management?
SCOR GROUP Investors’ Day 2009 How can SCOR drive an efficient capital management in an erratic economic environment? Paolo De Martin – Group Chief Financial Officer Michel Dacorogna – Head of Group Financial Modeling
Slide 84: Capital management driven by strategic cornerstones
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Capital management approach is driven by SCOR’s key strategic cornerstones Environmental variables Economic Reinsurance Capital Regulatory cycle cycle markets environment Î Apply Asse
Slide 85: Capital needs, financial crisis impact, financial flexibility
1 Capital needs definition based on a limited risk appetite 2 Impact of the financial crisis on SCOR’s capital needs calculation 3 Strong financial flexibility and robust capital position
Slide 86: Capital requirements defined by risk appetite and capital shield
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s capital requirements are defined by its controlled risk appetite and robust capital shield policy A controlled risk appetite… ÎImplicit and explicit mandate from our shareholde
Slide 87: Why a controlled risk appetite?
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Why a controlled risk appetite? Risk appetite Risk profiles business model I + II Illustrative Business model I Probability Î Business model II has a much higher probability of encoun
Slide 88: Controlled risk appetite determines risk tolerance
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks A controlled risk appetite determines SCOR’s risk tolerance Risk appetite Î Solvency – Internal Risk Based Capital (RBC) Î SCOR’s risk measure for solvency is 99%Tail Value at Risk (T
Slide 89: Capital shield policy and the capital buffer
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks The capital shield policy translates into the need to carry capital buffer Capital shield Î A capital buffer is required for two reasons: Î Need for a safety margin to avoid too stron
Slide 90: Capital buffer determined by economic capital model
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks The capital buffer is determined by using SCOR’s economic capital model Capital shield Buffer Capital limits the probability of consuming the required capital In € billions Probabilit
Slide 91: Capital shield consistent with return target
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks The capital shield policy is consistent with the return target Capital shield Risk/Return trade-off Target Capital range RoE incl CoC before tax (above RFR) 12.7% 11.9% 11.2% 10% 9.3%
Slide 92: Capital shield absorbs key extreme scenarios
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks The capital shield absorbs key extreme scenarios Capital shield Capital shield checked against key extreme scenarios (examples) In € millions-1) Probability in years Major Fraud in la
Slide 93: Available capital in excess of target capital
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Current available capital in excess of target capital, with intact capital buffer Very strong capital position In € billions Signalling Capital 4.3 0.5 4.1 3.6 3.6 3.4 Take the maximu
Slide 94: Risk appetite and capital shield determine risk profile
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Controlled risk appetite and robust capital shield determine SCOR Group’s risk profile Economic value distribution of the SCOR Group Î Despite the financial crisis Net income 2008 SCO
Slide 95: Capital needs, financial crisis impact, financial flexibility
1 Capital needs definition based on a limited risk appetite 2 Impact of the financial crisis on SCOR’s capital needs calculation 3 Strong financial flexibility and robust capital position
Slide 96: Influence of the economy on a reinsurer
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Influence of the economy on a reinsurance company like SCOR Interest Rates Investment Indices Î Value of bond investments Î Value of ÎGovernment bonds ÎEquity investments ÎCorporate b
Slide 97: Dependencies of economic variables are complex to model
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Dependencies of economic variables are very complex to model Dependency flow example For illustration purposes Corporate yield Yield spreads are a proxy for Credit cycle spread the cr
Slide 98: Models capture dependencies between assets, liabilities and economy
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s models capture full circle of dependencies between assets, liabilities and the economy Assets Cash flow Liabilities Investments Lines of business (LoB) Cash & short-term invest
Slide 99: Extreme scenarios are part of our model
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Extreme scenarios are part of our model Extreme scenarios are an integral part of our ESG Extreme rates of 0% or below Extreme rates of around 40% Î The ESG calculates scenarios with
Slide 100: Model evolved during the crisis
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR’s model evolved during the crisis, respecting the limits set to protect the Group against model shortcomings We made some changes in our model due We protect SCOR against model t
Slide 101: Prudent risk measure and full allocation of capital
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks A prudent risk measure and a full allocation of capital Capital definition and allocation Î Our RBC is defined as 99% TVaR of the economic results distribution less expected profit, b
Slide 102: Risk Based Capital stays at €3.4 billion
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Risk Based Capital stays at € 3.4 billion The development of the model and the analysis of its output provide fundamental insights into the nature of SCOR’s risk portfolio The resulti
Slide 103: Risk category movements from 2008 to 2009
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Risk category movements from 2008 to 2009 In € millions 4000 = change compared to 2008 210 3 400 Two material changes 40 60 130 3000 +75 900 flat +25 -40 -170 +200 1 240 Î Drivers for
Slide 104: Diversification between P&C and Life
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Diversification between P&C and Life in line with Dynamic Lift V2 Internal Risk-Based RBC stand RBC Diversification Share of RBC Capital, SCOR Group alone diversified Benefit in € mil
Slide 105: Evolution of the available capital
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Evolution of the available capital Stable available capital net of dividend payout throughout the crisis In € millions 5000 4000 -190 -60 3000 Î Decrease mainly 4 540 driven by divide
Slide 106: Capital needs, financial crisis impact, financial flexibility
1 Capital needs definition based on a limited risk appetite 2 Impact of the financial crisis on SCOR’s capital needs calculation 3 Strong financial flexibility and robust capital position
Slide 107: Strong capital position with high financial flexibility
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks Strong capital position coupled with high financial flexibility Î SCOR’s capital position has been resilient throughout the crisis and Robust capital demonstrates to continuously be v
Slide 108: Continuing controlled risk appetite and capital shield strategy
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR will continue to follow its controlled risk appetite and its robust capital shield strategy Doubling the performance target would lead to a 14 times higher probability of ruin Î
Slide 109: Q&A – Panel
SCOR GROUP Investors’ Day 2009 Q&A – Panel 2
Slide 110: Closing remarks
SCOR GROUP Investors’ Day 2009 Closing remarks Denis Kessler, Chairman & Group CEO
Slide 111: SCOR is fully operational and mobilized
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks SCOR is fully operational and mobilized… Î Strong franchise leveraging on Treaty P&C and Specialty lines SCOR Global Î Focus on profitability P&C Î Ready to profit from improved Î DL
Slide 112: Consistently delivers over time: ROE versus peers
Group strategy | SCOR Global P&C | SCOR Global Life I SCOR Global Investments I Capital Management I Closing remarks …and consistently delivers over time SCOR - Among the most profitable reinsurers, with low earning volatility Standard Company’s ROEs 2005 2006 2007 2008 Average Deviation Odyssey Re
Slide 113: Appendix
SCOR GROUP Investors’ Day 2009 APPENDIX Appendix A: Group triangles Appendix B: Life pricing example Appendix C: Extreme scenarios description
Slide 114: High confidence in SCOR Global P&C reserving adequacy
Appendix A: High confidence in SCOR Global P&C reserving adequacy Internal actuarial review External actuarial review Group Actuarial study confirms: Î Legacy issues are resolved: SCOR US, CRP, Î SCOR retained one of the leading French Motor, French Medical Malpractice and worldwide independent actu
Slide 115: Prudent reserving policy with top-class processes and methods
Appendix A: A prudent Reserving policy with top of the class processes and methods Î Following IT integration, all Group historical data are in Omega, providing Group methodology higher transparency and full consistency of data and triangles applied on each segment thanks to Î Prudent reserving poli
Slide 116: High level of transparency (I)
Appendix A: High level of transparency (I) Group Triangles / Perimeter, segmentation and methodology Group triangles shown Î Disclosure addresses 80% of gross carried property and casualty reserves (Lloyd’s and run-off portfolios excluded) Î Triangles are based on statistical figures as at 31 Decemb
Slide 117: High level of transparency (II)
Appendix A: High level of transparency (II) Group Triangle all segments combined Ultimate Development Year Ultimate Case UW Premium Loss Paid Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 (€ millions) Ratio Ratio Ratio Ratio 1999 1,278 13.3% 77.1% 94.2% 101.6% 107.9% 109.6% 112.5% 112.5% 113.1% 113.8
Slide 118: Group Triangle: Worldwide engineering
Appendix A: Group Triangle / Worldwide engineering all natures Ultimate Development Year Ultimate Case UW Premium Loss Paid Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 (€ millions) Ratio Ratio Ratio Ratio 1999 61 1.0% 19.4% 47.7% 67.4% 78.4% 80.1% 79.1% 78.1% 78.1% 78.1% 82.8% 70.5% 7.5% 4.7% 2000
Slide 119: Group Triangle: Property fire excluding US
Appendix A: Group Triangle / Property fire all natures including Nat Cat - excluding US Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 353 22.8% 144.4% 158.4% 159.6% 157.6% 156.2% 154.9% 154.1% 153.8
Slide 120: Group Triangles: Property fire US
Appendix A: Group Triangles / Property fire all natures including Nat Cat - US Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 137 30.5% 70.8% 83.0% 84.4% 84.8% 83.9% 86.2% 86.2% 86.3% 87.3% 87.4% 82.
Slide 121: Group Triangle: Casualty proportional
Appendix A: Group Triangle / Worldwide casualty proportional – including PA, WC, IDI and Medical Malpractice Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 72 3.4% 48.8% 60.9% 65.6% 68.8% 70.3% 73.9%
Slide 122: Group Triangle: Casualty non proportional
Appendix A: Group Triangle / Worldwide casualty non proportional – including PA, WC, IDI and Medical Malpractice Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 63 13.4% 28.4% 46.8% 69.9% 85.8% 97.5%
Slide 123: Group Triangles: Casualty facultative
Appendix A: Group Triangles / Worldwide casualty facultative, including PA, WC, IDI and Medical Malpractice Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 39 1.4% 20.6% 34.5% 48.6% 47.2% 66.6% 124.5%
Slide 124: Group Triangles: Marine, transport, aviation
Appendix A: Group Triangles / Worldwide marine, transport, aviation all natures including GAUM Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 136 4.4% 34.6% 57.1% 62.9% 93.7% 95.4% 96.8% 98.2% 97.7%
Slide 125: Group Triangles: Credit & surety
Appendix A: Group Triangles / Worldwide credit & surety all natures Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 132 0.0% 28.1% 48.8% 69.1% 74.3% 76.1% 76.6% 73.3% 73.5% 73.1% 73.1% 69.7% 3.4% 0.0%
Slide 126: Group Triangles: Motor non-proportional and facultative
Appendix A: Group Triangles / Worldwide motor non- proportional and facultative Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 61 21.0% 121.2% 139.0% 156.3% 184.7% 193.1% 200.2% 207.0% 211.2% 223.0%
Slide 127: Group Triangles: Motor proportional
Appendix A: Group Triangles / Worldwide motor proportional Ultimate Development Year Ultimate Case UW Paid Loss Premium Loss Reserves IBNR Year 1 2 3 4 5 6 7 8 9 10 Ratio (€ millions) Ratio Ratio Ratio 1999 224 7.3% 65.9% 84.2% 87.2% 88.1% 88.7% 88.8% 88.4% 88.5% 88.4% 88.6% 85.1% 3.3% 0.2% 2000 271
Slide 128: Pricing example – new 10-year Life product
Appendix B: Pricing example – new 10-year Life product Background information Illustrative example only Contract terms Î Credible experience on mortality is being provided by the client (past 5 years with more than 500 claims) Î Slight change in Underwriting: medical questionnaire simplified (3 ques
Slide 129: Economic and actuarial assumptions
Appendix B: Pricing example – new 10-year Life product What economic & actuarial assumptions do we consider? Illustrative example only Best estimate computation Î Internal discussion between pricing actuaries, medical underwriters and doctors to assess simplification of questionnaires and impact on
Slide 130: How do we allocate risk-based capital?
Appendix B: Pricing example – new 10-year Life product How do we allocate risk-based capital? Illustrative example only Asset Risks (C1) Insurance Risks (C2) Î Invested assets will be in Government Î Mortality Risk is mainly assessed based Bonds on 2 scenarios : a mortality trend Î There will be no
Slide 131: Economics of such a transaction
Appendix B: Pricing example – new 10-year Life product What are the economics of such a transaction? Illustrative example only Projections of statutory accounting with a 5% renewal commission in € millions Year 1 2 3 4 5 6 7 8 9 10 Premium 1,000 900 828 770 724 688 653 621 590 560 Claims (310) (418)
Slide 132: Risk sensitivities for future profit
Appendix B: Pricing example – new 10 year Term Life product What are the risk sensitivities for future profit? Illustrative example only Monitoring key sensitivities over the term of the treaty in € millions PFVP - CoC - Premium Return on Scenarios AE Margin Capital Base 0 8.5% 12.5% Mortality Rate
Slide 133: Flow into statutory accounts and EEV
Appendix B: Pricing example – new 10-year Life product How does it flow into the statutory accounts and EEV? Illustrative example only Statutory accounts & Embedded Value in € millions Year 0 1 2 3 4 5 6 7 8 9 10 Profit & Loss Account (End of Period) Pre Tax Treaty Profit (696) 236 221 209 198 190 1
Slide 134: Impact on the IFRS accounts
Appendix B: Pricing example – new 10-year Life product What is the impact on the IFRS accounts? Illustrative example only IFRS accounts – P&L and simplified balance sheet in € millions Profit & Loss Account Year 1 2 3 4 5 6 7 8 9 10 Premium 1,000 900 828 770 724 688 653 621 590 560 Pre Tax Profit (7
Slide 135: Extreme scenarios descriptions
Appendix C: Extreme scenarios descriptions Extreme scenario Description Cedant does not have sufficient warning and hence time to reduce its granted limit as under normal circumstances. This inability to react quickly enough Major Fraud in largest C&S means that for these cases the Loss Given Defaul