Sampo Oyj · OMXHEX:SAMPO
Sampo Oyj — Investor Day (September 2015)
14 slides from Sampo Oyj's investor day presentation, Sep 11, 2015
Slide 1: Solvency II and Mandatum Life
Solvency II and Mandatum Life Sampo Group, Capital Markets Day 11 September 2015
Slide 2: Solvency II in a Nutshell
Solvency II in a Nutshell • New EU-level solvency framework In force 1 January 2016 • Risks are measured in a market consistent way and set Solvency Capital Requirements (SCR) are based on 99.5% confidence level (1 year horizon) • Own Funds (Available Capital) is based on Solvency II balance sheet
Slide 3: Solvency II Own Funds (30 June 2015)
Solvency II Own Funds (30 June 2015) • Moving from IFRS Balance Sheet to SII Balance Sheet increases solvency capital • Unit Linked S2 Liability lower than book value Increases Own Funds after tax by EUR 380 million • Within with-profit liabilities Risk Policies create OF and policies with high gu
Slide 4: Transitional Measures on Technical Provisions
Transitional Measures on Technical Provisions • Transitional measures are applied to • Pension policies with 3.5% and 4.5% (excl. segregated group pension portfolio) • Book value of liabilities EUR 3,225 million (incl. discount rate reserves) • Solvency II Liability is EUR 3,915 million i.e. liabili
Slide 5: Capital Requirement (SCR) and Own funds, June 2015
Solvency II Capital Requirement (SCR) and Own funds, 30 June 2015 With transitional measures Equity risk transitionals decrease market risk and SCR, while transitional measures on technical provisions increase own funds EURm Equity Technical transitional provisions Without transitional measures 7 ye
Slide 6: Estimated Sensitivities after 1 January 2016
Estimated Sensitivities after 1 January 2016* 2500 155% 151% 158% 160%** 152% 175% 2000 1500 EURm 1000 500 0 Own Funds SCR Own Funds SCR Own Funds SCR Own Funds SCR Own Funds SCR Own Funds SCR 30.6.2015 Interest Rates - 25 bp Interest Rates + 25 bp Equity -10 % Credit Spread + 50 % Equity weight - 1
Slide 7: Trend of Liabilities and Own Funds
Trend of Liabilities and Own Funds • Liabilities with highest guarantees (4.5% and 3.5%) consume Own Funds without transitional rules. • Unit Linked portfolio creates Own Funds. • Liabilities with highest guarantees decrease substantially during transition period (2016-2032) and Unit Linked liabilit
Slide 8: Trend of Liabilities and SCR
Trend of Liabilities and SCR • Market Risk is the main driver behind SCR. • Most of the market risk arises from assets backing with-profit liabilities. Decreasing trend of with-profit liabilities decreases SCR. Expected positive trend in Coverage ratio based on Own funds and SCR expectations. SC
Slide 9: Appendices
Appendices @ MANDATUM LIFE
Slide 10: Mandatum Life Will Apply…
Mandatum Life Will Apply… YES/NO Comments Standard Formula YES SCR is measured by using standard formula i.e. not by internal model. Volatility Adjustment YES Discount rate (0-20 years) is increased by volatility adjustment. EIOPA sets level quarterly (xx bp per 6/2015) Transitional Measure on YES A
Slide 11: SCR Market Risk Modules
SCR Market Risk Modules Equity risk Equity Risk SCR EEA/OECD non-EEA/OECD based (Type I) based (Type II) Roughly: Symmetric Adjustment decreases basic capital charge, Basic stress 39 % 49 % if equity indexes below 3 year average and vice versa. Symmetric Adjustment +/- 10 %-point +/- 10 %-point Equi
Slide 12: Mandatum Life - Solvency II SCR (Market Risk)
Mandatum Life - Solvency II SCR (Market Risk)* Asset Allocation Market Risk SCR (diversified) EUR 6,710 million EUR 1,406 million 30 June 2015 30 June 2015 Concentration risk Real Estate 1 EURm Currency risk 297 EURm 0,1 % Property risk 50 EURm 4% 42 EURm 4% Private Equity / 3% Alternative 693 EURm
Slide 13: Transitional Measure for Standard Equity Risk
Transitional Measure for Standard Equity Risk • For type 1 equities (equities listed in regulated markets in the EEA or OECD countries) it is possible to apply transitional measure for standard equity risk calculation. • 22% risk charge can be used instead of 39% standard equity risk charge. This ap
Slide 14: Solvency II and Mandatum Life
Solvency II and Mandatum Life Sampo Group, Capital Markets Day 11 September 2015