ASR Nederland N.V. · EURONEXT:ASRNL
ASR Nederland — DNB Insurance Conference (April 2018)
17 slides from ASR Nederland's conference presentation, Apr 25, 2018
Slide 1: Capital Management at a.s.r.: Solvency II is all about stock and flow
Capital Management at a.s.r. Solvency II is all about stock and flow Chris Figee, CFO 25 April 2018 DNB Insurance Conference
Slide 2: Topics
Topics Introduction Solvency II “stock” Solvency II “flow” Trade-off of stock and flow Assessing capital distribution capacity Wrap up 2
Slide 3: Evolution of insurance metrics
Evolution of insurance metrics 4 5 6 EEV MCEV Δ MCEV 2 3 12 Customers IFRS Operating Δ CSM? result result (IFRS 17) anyone? 1 7 8 Dutch Gaap Solvency II Δ Solvency II result In/excl. transitionals 11 In/excl. UFR unwind Δ ECAP In/excl. book run-off 10 9 In/excl. normalized Organic capital ECAP/PIM e
Slide 4: Dynamics of Solvency II: balancing stock and flow
Dynamics of Solvency II: balancing stock and flow Hi Solvency “stock” (SCR ratio) “Do we generate Insurance enough?” Nirvana 1 “Do we have enough?” Lo Hi 2 Solvency “flow” (capital generation) Introduction Solvency II “stock” Solvency II “flow” Trade-off stock and flow Assesing capital distribution
Slide 5: Quality of Capital: The next focus point
Quality of Capital: The next focus point Max 50% RT2 / RT3 of SCR headroom is effectively a function of required RT3 capital including RT2 market risk UT-1 DTA’s will consume Ineligibility not a problem RT3 space; in “all is well scenario”, but eventually also may become a serious RT-1 reducing elig
Slide 6: Beware of the spiral accelerating effect; down is dangerous!
Beware of the spiral accelerating effect; down is dangerous! • Reduced capital requires • Capital enables generation de-risking, reducing future of flow that creates future capital generation capacity capital • Evaporation of vulnerable • Excess returns continue to LACDT components be realized “Sudd
Slide 7: Indicators of "positive/negative spiral" potential
Indicators of “positive/negative spiral” potential LACDT dependent LACDT founded in Restricted Tier 2/3 Headroom in on current and tangible claims capacity Restricted Tier 2/3 future against fully utilized capacity fiscal profits tax authorities Underwriting and Market risk largest Underperformance
Slide 8: Flow perspective: OCC & EOF accretion
Flow perspective: OCC & EOF accretion EOF accretion: € 712 million 300 7,011 -230 OCC: € 377 million -255 6,826 419 106 -101 6,299 288 EOF 3,479 3,479 0 0 183 3,338 -43 SCR FY16 Operational Release Technical Market & FY2017 Restricted Proposed SBB FY17 after capital of capital movements operational
Slide 9: How to positively impact 'flow'
How to positively impact ‘flow’ • Re-risk investment a.s.r. EOF bridge • Increase total portfolio with focus on investment return investment returns • Outperform BEL • Increase investment assumptions (esp. Life) portfolio • Realize cost and capital • Write profitable new synergies business ~0 • Incr
Slide 10: What about the UFR?
What about the UFR? 10- and 30-yr swap curve since 2007 As from 1/1/2018 the UFR is decreased with 15bps from 4.2% to 4.05% and further 6 downwards thereafter in steps of 15bps 5 UFR • Current target of 3.65%, to 4 be realized in 2021 3 30-yr swap 2 1 10-yr swap 0 2007 2013 2018 2021 Introduction So
Slide 11: Indifferent to UFR?
Indifferent to UFR? Stock of SII* (in %) Additional annual OCC (“flow”) of SII from lower UFR unwind (in € mln) 193 196 60 185 174 162 150 44 28 15 4 0 2.2 2.7 3.2 3.65 4.05 4.2 2.2 2.7 3.2 3.65 4.05 4.2 * Excluding a.s.r. Bank. Introduction Solvency II “stock” Solvency II “flow” Trade-off stock and
Slide 12: Capital distribution capacity and UFR effect assessed via 3 perspectives
Capital distribution capacity and UFR effect assessed via 3 perspectives How much room to distribute capital? 1 2 3 Headline SII ratio at Economic UFR, representing Available capital based on Based on… “nominal” UFR achieved investment results “exit” scenario Substantially above 100% Capital level a
Slide 13: "Nominal" UFR
Dividend capacity according to perspective #1 “Nominal” UFR Across the cycle Solvency II management ladder (based on standard model and UFR of 4.2%) dividends 196% a.s.r. SII ratio FY 2017 @ UFR 4.2% 185% a.s.r. SII ratio FY 2017 @ UFR 3.65% Optimal range >160%: entrepreneurial level 160% >140% cash
Slide 14: "Economic" UFR
Dividend capacity according to perspective #2 “Economic” UFR Solvency II ratio FY 2017 185 193 196 162 174 150 2.2 2.7 3.2 3.65 4.05 4.2 • Economically, a UFR that is in line with long term investment results would be optimal way to measure capital base (and compare to >100% threshold) • Typical cur
Slide 15: "Exit" scenario
Dividend capacity according to perspective #3 “Exit” scenario • Immediate freeze Economic • De-risk business assumption • Protecting the rights of the policyholder • Solvency II ratio ex. UFR Current a.s.r. (w.i.p.) Basic modelling • Solvency II ratio ex. VA perspective on exit assumptions • Solvenc
Slide 16: Summary: stock & flow, it's all about the trade-off
Summary: stock & flow, it’s all about the trade-off H Consistent Tier 1 / 2 / 3 contribution capital & distribution Excess returns strategy Assumptions in BEL Contri- STOCK Underwriting results Quality of bution of Sensitivities capital capital “STOCK” generation Managing of costs “FLOW” Standard fo
Slide 17: Afterthought… themes for coming years
Afterthought… themes for coming years Best estimate assumptions Balance sheet metrics • What assumptions in COR, cost level are embedded in • With IFRS 17 inevitable approaching, what metrics will your BEL? Especially in LT liabilities you steer your balance sheet on going forward? • As time passes,
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