Storebrand Asa · OSL:STB

Storebrand Asa — FY2008 Earnings Presentation

19 slides from Storebrand Asa's earnings presentation, March 2009

  1. Slide 1: Embedded Value 2008

    Storebrand Embedded Value 2008 March 2009 Analyst presentation

  2. Slide 2: Reduced MCEV 2008

    Reduced MCEV 2008 ƒ 2008 embedded value earnings of NOK - 5.2 billion*, - 20% return on restated MCEV 2007, -29% on reported MCEV 2007 ƒ Introduction of CNHR reduces the MCEV with NOK 3.0 billion for the restatement of MCEV 2007 ƒ Challenging financial markets gives negative economic variances of NO

  3. Slide 3: 2008 MCEV analysis – Storebrand Life Group

    2008 MCEV analysis – Storebrand Life Group NOK million Of which look through value of asset -5,183 management 4.022 -236 -3,864 23.041 23,893 14,610 882 7,550 8,431 Required Free surplus PVFP TVOG FCRC CNHR MCEV 2008 capital PVFP – Present value of future profits 3 TVOG – Time value of financial opt

  4. Slide 4: Cost of residual non-hedgeable risk (CNHR)

    Cost of residual non-hedgeable risk (CNHR) ƒ Cost of non hedgeable risk of NOK 3,864 million in 2008 ƒ Non-financial non-hedgeable risks: 1. Operational risk / Uncertainty 2. Insurance risk ƒ Financial non-hedgeable risks: 1. Credit risk / counterparty risk 2. Taken special allowance for the extrapo

  5. Slide 5: Asset Management look through value

    Asset Management look through value Look through value of NOK 4,022 NOK billion million, stable development from 2007 400 350 ƒ NOK 3,098 million in look through 300 value in SBL 250 ƒ NOK 924 million in look through 200 value in SPP 150 100 ƒ Reserves projected to increase over the next 22 years 50

  6. Slide 6: 2008 MCEV earnings – Storebrand Life Group

    2008 MCEV earnings – Storebrand Life Group NOK billion 2008 embedded value earnings of 29.9 Published MCEV at year-end 2007 NOK - 5,230 million - 20% RoEV Restatement -3.4 ƒ Opening balance reduced by Opening MCEV 26.6 introduction of new methodology Opening adjustments 0 ƒ Positive VNB from Norwegi

  7. Slide 7: Strong value of New Business - Storebrand Life

    Strong value of New Business - Storebrand Life Value of New Business -55 165 -175 157 504 413 NOK million Traditional, DC & individual, Risk FCRC CNHR Total VNB fee based Unit Linked 863 528 192 1,583 APE (NOK mill) NA NA (890) (248) (49) (1,187) 48% 30% 86% 32% APE margin (%) NA NA (41%) (45%) (55%

  8. Slide 8: Challenging value of new business - SPP

    Challenging value of new business - SPP 2008 VNB of NOK -109 million in Swedish operations ƒ Cost reduction programs introduced ƒ LEAN processes to streamline processes and reduce unit cost ƒ Product development ƒ Increase sales through a more efficient sales organisation 8 MCEV 2008

  9. Slide 9: Operating MCEV earnings

    Operating MCEV earnings NOK billion Comments MCEV unwind 1.5 ref. rate ƒ Unwind of MCEV in 2008 exceeds reference rate MCEV unwind 0.7 excess of ref. rate ƒ Negative assumption changes mainly stem from higher modeled costs in SPP Experience variances 0.0 ƒ Other variances positively influenced by th

  10. Slide 10: Weak economic variances after turbulent year in financial markets

    Weak economic variances after turbulent year in financial markets ƒ Negative economic variances of NOK 7.1 billion ƒ Influenced by: 1. Reduced buffer capital from equity fall 2. Lower interest rates 3. Increased volatility 4. Allowance for tax in SPP Sensitivities Movements Expected 2007 2008 econom

  11. Slide 11: MCEV sensitivities 2008 - Storebrand life group

    MCEV sensitivities 2008 - Storebrand life group MCEV MCEV NOK million 2007 2008 Base 29,940 23,041 100 basis point pa increase in the interest rate 5% 13 % 100 basis point pa decrease in the interest rate -10 % -23 % 10% decrease in equity/property capital -7 % -16 % 10% decrease in equity capital -

  12. Slide 12: MCEV sensitivities new business 2008 - Storebrand life group

    MCEV sensitivities new business 2008 - Storebrand life group VNB VNB NOK million 2007 2008 Base 503 395 100 basis point pa increase in the interest rate 0% 31 % 100 basis point pa decrease in the interest rate -6 % -73 % 10% decrease in equity/property capital -20 % -9 % 10% decrease in equity capit

  13. Slide 13: Embedded Value Storebrand Group 2008

    Embedded Value Storebrand Group 2008 31.12.2007 31.12.2007 31.12.2008 NOK million Group Group Group (restated) ANAV 7,478 6,984 8,431 PVFP1 28,412 27,558 23,893 Cost of holding capital -248 -236 -236 Cost of volatility -5,701 -4,709 -5,183 Cost of residual non hedgeable risks - -3,044 -3,864 Total M

  14. Slide 14: Embedded Values 2007 – 2008 - Storebrand Life Group

    Embedded Values 2007 – 2008 - Storebrand Life Group MCEV NOK million 2007 MCEV Reduction in MCEV value 2008 (restated) of NOK 3,513 Total shareholder surplus at market value comprising 6,984 8,431 ƒ Shareholders free surplus of NOK 882 million, due - required capital 8,389 7,550 to 160% solvency rat

  15. Slide 15: Economic assumptions

    Economic assumptions Interest rate (%) - Illustrative example - Illiquid marked Comments ƒ Storebrand does not consider the quoted B swap rates for NOK and SEK as a robust C Band for long- basis for embedded value calculations or term Interpolation equilibrium level A other valuations. Storebrand ha

  16. Slide 16: Cost of volatility

    Cost of volatility - modelled using stochastic simulations Implied volatilities for Comments option on 10 year swaps at ƒ The stochastic scenarios have been calibrated to the money average (over 2008) implied volatilities of 2008 2007 swaptions at the money NOK SEK NOK SEK ƒ Various equity indices a

  17. Slide 17: Frictional cost of holding required capital

    Frictional cost of holding required capital ƒ The amount of required capital for Storebrand Life has been set as the greater of - Norwegian regulatory requirement - Banking requirement (Basel I) - EU minimum solvency (Solvency I) - internal requirement based on obtaining a targeted rating ƒ For SPP,

  18. Slide 18: External opinion 2008

    External opinion 2008 ƒ Tillinghast, the insurance consulting business of Towers Perrin, reviewed the methodology and assumptions used to determine the 2008 embedded value results. The review covered the European Embedded Value as at 31 December 2008, the value of 2008 new business, the analysis of

  19. Slide 19: Storebrand's objective is to be the leading and most respected institution in the Nordic market

    Storebrand's objective is to be the leading and most respected institution in the Nordic market for long-term savings and insurance 19 MCEV 2008

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