Slide 1: European Embedded Value 2012
European Embedded Value 2012 25th July 2013
Slide 2: Contents
Contents 1 EEV analysis 2 Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 2
Slide 3: Development of the EEV in 2012
1 EEV analysis Development of the EEV in 2012 2012 U% Value of In-force Business (VIF) 1,734.8 -2.6% (1) European Embedded Value (EEV) 2,604.9 -1.3% Attributable to the Parent Company 1,796.6 -1.6% Attributable to Minority Interests 808.3 -0.4% Return on Embedded Value (RoEV) 4.9% -2.9 p.p. Present
Slide 4: EEV components and their variation in 2012
1 EEV analysis EEV components and their variation in 2012 2011 EEV 2012 EEV 2,149.7 2,098.2 2,638.1 2,604.9 (254.8) (257.6) (113.5) (105.8) 311.6 303.4 545.1 566.7 ANAV ANAV PVIF CoC TVFOGs 2011 EEV ANAV ANAV PVIF CoC TVFOGs 2012 EEV Parent Minority Parent Minority (1) (1) (1) (1) 2011 Interests 201
Slide 5: Breakdown of the 2012 EEV
1 EEV analysis Breakdown of the 2012 EEV By business line By distribution channel € mill. % U% € mill. % U% Adjusted Net Asset Value 870.1 33.4% 1.6% Adjusted Net Asset Value 870.1 33.4% 1.6% Net PVIF(1) - Life Assurance(2) 1,519.4 58.3% -3.4% Net PVIF - Agents' channel 814.5 31.3% -6.3% - PVIF 1,76
Slide 6: Share of the parent company in the 2012 VIF
1 EEV analysis Share of the parent company in the 2012 VIF 1,840.6 1,734.8 (105.8) 1,229.9 (504.9) Net PVIF pre-TVFOGs TVFOGs Net PVIF post-TVFOGs Minority interests VIF attributable to MAPFRE VIDA Million Euros 6
Slide 7: Value added in 2012
1 EEV analysis Value added in 2012 Change in Embedded Value 183.0 14.9 71.2 130.9 3.1 (42.7) (179.0)) 311.6 (83.7) RoEV(1) = 4.9% 2,604.9 2,638.1 2,326.5 Reported EEV Minority Interests EEV 2011 Changes in model Changes in Expected return Value added by Deviation of Change in TVFOGs Value added in D
Slide 8: Analysis of the main variations in EEV
1 EEV analysis Analysis of the main variations in EEV Change Description The minority interests have been included in the adjusted net asset value. For Minority consistency purposes, the figures corresponding to the EEV 2011 have been interests restated as well. Changes in Reflects primarily the
Slide 9: Analysis of the main variations in EEV (contd.)
1 EEV analysis Analysis of the main variations in EEV (contd.) Change Description Includes the impact of the unwinding of the discount rate, which amounted to €33 Expected return million, and the expected after-tax investment return on the beginning-of-the year adjusted net asset value, net of the
Slide 10: Value added by new business
1 EEV analysis Value added by new business Development of the value added Key highlights 6.1% Decrease in the volume of new policies in the bank channel, offset by 5.3% 1 the good issuance of Life-Savings T products in the agents’ channel 2 Increase in the projected lapse rate T 237.5 183.0 Lower re
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 -77.2 1,657.6 100bp increase in interest rates 10% decrease in the value of -28.8 1,706.0 stocks and real estate 10% decrease in 32.9 1,767.7 Base expenses scenario: €1,734.8 10% dec
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 interest rates -12.9 170.1 10% decrease in the value of stocks and real estate -0.8 182.2 Base 10% decrease in expenses scenario: 4.2 187.
Slide 13: Contents
Contents 1 EEV analysis 2 Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 13
Slide 14: Towers Watson opinion letter
2 Towers Watson opinion letter 14
Slide 15: Towers Watson opinion letter
Contents 1 EEV analysis 2 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 2012 embedded value was calculated for all business produced by MAPFRE VIDA and its subsidiaries, which includes the following blocks of business: – Life assurance (including complementary) and accidental death insurance businesses of MAPFRE VIDA, sol
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: – By year-end 2012, the spread of 10Y Spanish government bonds vs. the swap curve increased to around 400 basis points from around 320 basis points at year-end 2011. In our opinion this reflects the uncertainty concerning Spain’
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 2012 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
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. In the mutual funds business, new business is def
Slide 23: Assumptions
3 Methodological appendix Assumptions EEV 2011 EEV 2012 Discount rate Euroswap zero-coupon curve as at 31/12/2011 Euroswap zero-coupon curve as at 31/12/2012 1 year 1.41% 1 year 0.33% 5 years 1.75% 5 years 0.77% 10 years 2.49% 10 years 1.61% 15 years 2.84% 15 years 2.09% 20 years 2.83% 20 years 2.26
Slide 24: Statistical appendix
Contents 1 EEV analysis 2 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 2011 2012 2011 2012 2011 2012 Life Assurance: 2,857.6 2,675.1 233.2 181.1 8.2% 6.8% - Agents' channel 1,101.7 1,287.7 46.1 38.5 4.2% 3.0% - Bank channel 1,755.9 1,387.4 187.1 142.
Slide 26: Breakdown of 2012 change in EEV between ANAV and value of in-force business
4 Statistical appendix Breakdown of 2012 change in EEV between ANAV and value of in-force business(1) Value of in-force ANAV TOTAL business(1) Value in 2011 - Attributable MAPFRE VIDA 545.1 1,281.4 1,826.5 Minority interests 311.6 500.0 811.6 EEV 2011 856.7 1,781.4 2,638.1 Changes in assumptions 0.0
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 -30.0 -47.2 - 10% decrease in the value of stocks and real estate -27.4 -1.4 - 10% decrease in expenses 13.0 19.8 - 10
Slide 28: Reconciliation of the adjusted net asset value
4 Statistical appendix Reconciliation of the adjusted net asset value Consolidated shareholders' equity for MAPFRE VIDA as at 31/12/12 (IFRS) 1,214.8 Unrealised gains 2.8 - of which: property 31.9 - of which: financial assets -29.1 Donations and dividends 0.0 Intangible assets -652.1 Commissions and
Slide 29: Share of the parent company in the EEV
4 Statistical appendix Share of the parent company in the EEV Parent company - MAPFRE VIDA Minority interests ANAV ANAV 566.7 303.4 NET PVIF AGENTS' CHANNEL 814.5 0.0 BANK CHANNELS 515.2 510.9 TOTAL 1,329.7 510.9 TVFOGS AGENTS' CHANNEL -93.8 0.0 BANK CHANNELS -6.0 -6.0 TOTAL -99.8 -6.0 EEV 2012 1,79
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 - MAPFRE VIDA Minority interests Value added by new business AGENTS' CHANNEL 37,8 -- BANK CHANNELS 72,9 72,3 2012 Value added by new business 110,7 72,3 Million Euros 30
Slide 31: Breakdown of the EEV 2012 attributable to the parent company - MAPFRE VIDA
4 Statistical appendix Breakdown of the EEV 2012 attributable to the parent company - MAPFRE VIDA By line of business By distribution channel € mill. % U% € mill. % U% Adjusted Net Asset Value 566.7 31.5% 4.0% Adjusted Net Asset Value 566.7 31.5% 4.0% Net PVIF(1) - Life Assurance(2) 1,048.1 58.3% -4
Slide 32: Glossary
Content 1 EEV analysis 2 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 2012 EEV was measured on the basis of an amount of cap
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; in the case of Mutual Funds, new contributions; in the case of Pension Funds, single, ext
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