Slide 1: European Embedded Value 2015
European Embedded Value 2015 July 27, 2016
Slide 2: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 2
Slide 3: Development of the EEV in 2015
1 EEV analysis Development of the EEV in 2015 2015 r% Value of In-force Business (VIF)⁽¹⁾ 1,822.7 0.6% European Embedded Value (EEV) 3,434.7 6.7% Attributable to the Parent Company 2,610.6 19.8% Attributable to Minority Interests 824.1 -20.7% Return on Embedded Value (RoEV) 7.8% -4.8 p.p. Present Va
Slide 4: EEV components and their variation in 2015
1 EEV analysis EEV components and their variation in 2015 EEV 2014 EEV 2015 4,000 2,162.5 3,750 2,153.4 3,434.7 3,500 3,219.2 (273.7) (66.2) 3,250 (276.5) (65.7) 3,000 2,750 2,500 2,250 2,000 1,750 376.9 1,500 536.6 1,235.1 1,250 1,000 871.4 750 500 250 0 ANAV ANAV PVIF⁽¹⁾ CoC TVFOGs 2014 EEV ANAV A
Slide 5: Breakdown of the 2015 EEV
1 EEV analysis Breakdown of the 2015 EEV By business line By distribution channel € mill. % r% € mill. % r% Adjusted Net Asset Value 1,612.0 46.9% 14.5% Adjusted Net Asset Value 1,612.0 46.9% 14.5% Net PVIF⁽¹⁾ - Life Assurance⁽²⁾ 1,586.9 46.2% -1.5% Net PVIF - Agents' channel 973.6 28.3% 14.2% - PVI
Slide 6: Share of the parent company in the 2015 VIF
1 EEV analysis Share of the parent company in the 2015 VIF 1,888.8 1,822.7 (66.2) 1,375.5 (447.2) Net PVIF pre- TVFOGs Net PVIF post- Minority VIF TVFOGs TVFOGs interests attributable MAPFRE Million Euros 6
Slide 7: Value added in 2015
1 EEV analysis Value added in 2015 Change in Embedded Value (26.5) (2.0) 137.5 (195.2) 35.4 142.2 253.7 19.4 104.6 RoEV = 7.8% ⁽ ¹⁾ 3,494.4 3,492.3 3,492.3 3,434.7 3,434.7 3,343.2 3,378.6 3,219.2 3,219.2 3,238.6 3,238.6 EEV 2014 Changes in Changes in Expected return Value added by Deviation Change i
Slide 8: Analysis of the main variations in EEV
1 EEV analysis Analysis of the main variations in EEV Change Description Changes in Mainly reflects the inclusion in the model of part of Aseval´s savings business, model which was not modelled in the previous year (+€9.2 million) Reflects the favorable development of the loss experience (+€74.3
Slide 9: Analysis of the main variations in EEV (contd.)
1 EEV analysis Analysis of the main variations in EEV (contd.) Change Description Deviation of actual value Reflects primarily the impact on the net asset value of the valuation adjustments from of financial investments expectations TVFOGs The increase in costs of the TVFOGs is due to the downtu
Slide 10: Value added by new business
1 EEV analysis Value added by new business Development of the value added Key highlights Excludes the new production from 1 CatalunyaCaixa Vida in 2015, which was included in 2014 4.0% 3.8% Reduction in margins in the savings 2 business, due to the low interest rate environment 182.3 142.2 Incre
Slide 11: 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 100bp increase in -107.8 1,714.8 interest rates 10% decrease in the value of stocks and real -15.9 1,806.7 estate 10% decrease in expenses 54.1 1,876.8 Base scenario 10% decrease in
Slide 12: 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 -5.4 136.9 interest rates 10% decrease in the value of stocks and real -1.3 141.0 estate 10% decrease in 147.5 expenses 5.3 Base scenario
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: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 15
Slide 16: Covered business / Non-covered business
3 Methodological appendix Covered business The 2015 embedded value was calculated for all the Life businesses issued by MAPFRE in the IBERIA region (Spain and Portugal), which include the following blocks of business: – Life assurance (including complementary) and accidental death insurance busine
Slide 17: 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 18: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Credit risk allowance: – In 2015, the spread of Spanish fixed-income rates, both of the private and public sectors, with respect to the swap curve, has decreased in relation to previous years’ levels, although it still remains at levels which are high
Slide 19: 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 underlying guarantees, or options to change, the level or nature of policyholders’ benefits and exercis
Slide 20: Methodology (contd.)
3 Methodological appendix Methodology (contd.) CoC: – In line with Spanish market practices, the CoC used in the calculation of the 2015 EEV was measured by applying a 4% p.a. fixed rate to the minimum required solvency margin applying the new Solvency II regulation. – This represents an allowance
Slide 21: 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 22: 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 not already considered in the valuation of the in-
Slide 23: Assumptions
3 Methodological appendix Assumptions EEV 2014 EEV 2015 Discount rate Euroswap zero-coupon curve as 31/12/2014 Euroswap zero-coupon curve as 31/12/2015 1 year 0.16% 1 year -0.06% 5 years 0.36% 5 years 0.33% 10 years 0.82% 10 years 1.02% 15 years 1.17% 15 years 1.45% 20 years 1.36% 20 years 1.63% Fin
Slide 24: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 24
Slide 25: 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 2014 2015 2014 2015 2014 2015 Life Assurance: 2,477.5 1,642.6 153.9 124.0 6.2% 7.6% - Agents' channel 1,160.0 1,142.2 42.8 33.9 3.7% 3.0% - Bank channel 1,317.5 500.5 111.0 90.2
Slide 26: Breakdown of 2015 change in EEV between ANAV and value of in-force business
4 Statistical appendix Breakdown of 2015 change in EEV between ANAV and value of in-force business(1) ANAV Inforce value⁽¹⁾ TOTAL Value in 2014 - Attributable to MAPFRE 871.4 1,308.2 2,179.6 Minority interests 536.6 503.0 1,039.6 EEV 2014 1,408.0 1,811.2 3,219.2 Changes in assumptions 0.0 104.6 104.
Slide 27: Breakdown of the sensitivity analysis
4 Statistical appendix Breakdown of the sensitivity analysis Sensitivity of the value of in-force business Agents' channel Bank channel Impact of: - 100bp increase in interest rates -61.3 -46.5 - 10% decrease in the value of stocks and real estate -13.2 -2.8 - 10% decrease in expenses 28.1 26.0 - 10
Slide 28: Reconciliation of the adjusted net asset value
4 Statistical appendix Reconciliation of the adjusted net asset value Consolidated shareholders' equity as at 31/12/2015 (IFRS) 1,702.6 Unrealised gains -71.9 - of which: property 42.2 - of which: financial assets -123.5 Donations and dividends 0.0 Intangible assets -396.9 Commissions and other acqu
Slide 29: Share of the parent company in the EEV
4 Statistical appendix Share of the parent company in the EEV Parent company IBERIA (LIFE business) Minority interests ANAV ANAV 1,235.1 376.9 NET PVIF ⁽¹⁾ AGENTS' CHANNEL 973.6 0.0 BANK CHANNELS 460.2 455.0 TOTAL 1,433.8 455.0 TVFOGS AGENTS' CHANNEL -50.3 0.0 BANK CHANNELS -8.0 -7.9 TOTAL -58.3 -7.
Slide 30: 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 Parent company IBERIA (LIFE business) Minority interests Value added by new business AGENTS' CHANNEL 49.3 -- BANK CHANNELS 46.7 46.3 2015 Value added by new business 96.0 46.3 Million Euros 30
Slide 31: Breakdown of the EEV 2015 attributable to the parent company - MAPFRE VIDA
4 Statistical appendix Breakdown of the EEV 2015 attributable to the parent company - MAPFRE VIDA By line of business By distribution channel € mill. % r% € mill. % r% Adjusted Net Asset Value 1,235.1 47.3% 41.7% Adjusted Net Asset Value 1,235.1 47.3% 41.7% Net PVIF⁽¹⁾ - Life Assurance⁽²⁾ 1,149.6 44
Slide 32: Content
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 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 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 EEV 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