UNIQA Insurance Group AG · VIE:UQA
UNIQA Insurance — Investor Presentation (April 2018)
26 slides from UNIQA Insurance's investor presentation, Apr 12, 2018
Slide 1: Economic Capital and Embedded Value 2017
UNIQA Insurance Group AG Economic Capital and Embedded Value 2017 12 April 2018 Kurt Svoboda, CFRO
Slide 2: Executive Summary
Executive Summary Economic Capital position remains extraordinary strong Economic Capital Ratio (ECR-ratio) stable at 210% (2016: 215%) ECR allows for significant sovereign risk capital charge Regulatory Capital Position significantly increased as at year-end 2017 Approval of Partial Inter
Slide 3: Agenda
Methodology Economic Capital Results Sensitivities and other analysis Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 3
Slide 4: Economic Capital Figures: Methodology
Group Economic Capital Figures Methodology Disclosure of Economic Capital Model (ECM) results: UNIQA discloses ECM results 2017 on the basis of the underlying and published methodology of the Group Economic Capital Model Economic capital is a key figure for steering the UNIQA Group UNIQA dis
Slide 5: Group Economic Capital Model
Group Economic Capital Figures Methodology UNIQA Group’s economic capital model Model details ECR = Basic ECR + Operat. risk – Adj. Based on SII standard approach Adj (FDB und DT) Basic ECR Operat. risk Spread risk and concentration risk are valued on the basis of Market Health Default Non-life
Slide 6: Agenda
Methodology Economic Capital Results Sensitivities and other analysis Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 6
Slide 7: Group Capital Requirements
Group Capital Requirements Economic and Regulatory SII Capital Ratio Economic capital position Development of ECR-ratio ECR-ratio 215% 210% 215% 210% 182% 5,382 5,656 EUR mn 161% 150% 2,509 2,699 108% ECR-ratio 2016 2017 2012 2013 2014 2015 2016 2017 Own Funds Capital Requirement Preliminary Regulat
Slide 8: ECR Results: Details on Economic Capital Ratio
Group ECR Results Details on Economic Capital Ratio +110% ECR development by Risk Module Moderate increase in ECR In EUR mn 5.656 Increase in market risk coming from Tier 3 0,1% interest rate, spread and equity risk Tier 2 16,2% (details slide 9) 161 165 498 Increase partially compensated by 384
Slide 9: UNIQA Group market risk profile
Group ECR Results UNIQA Group market risk profile ECR market risk profile and development In EUR mn Interest rate risk 11% 14% 394 117 1,357 2,613 Equity risk 13% 14% -820 589 Property risk 20% 495 17% 481 Interest Equity risk Property risk Spread risk Currency risk Conc. risk Diversific. ECR market
Slide 10: UNIQA Group underwriting risk profile
Group ECR Results UNIQA Group underwriting risk profile Life underwriting risk Health underwriting risk1 Non-life underwriting risk 1% 1% 3% Disability risk 4% Technic 2% 3% 4% Expense risk 6% 4% 4% 5% 5% 4% 3% CAT risk Legal Expenses 8% 7% 8% Mortality risk 24% Transport 9% Longevity risk Mortality
Slide 11: Agenda
Methodology Economic Capital Results Sensitivities and other analysis Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 11
Slide 12: ECR Sensitivities
Group ECR Results Sensitivities Impact of sensitivities on ECR-ratio Change in ECR-ratio ∆ to base value Base Value 210% Interest rates +50 bps 225% +15%-p Interest rates -50 bps 197% -13%-p Equity -30% 206% -4%-p FX +10% 213% +4%-p FX -10% 206% -4%-p Credit spread +100bps 173% -36%-p Earthquake 208
Slide 13: IFRS reconciliation and economic value creation
Group ECR Results IFRS reconciliation and economic value creation IFRS reconciliation (EUR mn) Position 2017 2016 IFRS total equity 3.193 3.213 - Goodwill -296 -295 - Intangible assets and VBI -101 -62 - Deferred acquisition costs (DAC) -1.133 -1.135 + Revaluation (after deferred taxes) 3.272 2.919
Slide 14: Agenda
Methodology Economic Capital Results Sensitivities and other analysis Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 14
Slide 15: Embedded Value: Methodology
Group Embedded Value Methodology Disclosure of Group Embedded Value (GEV) results: UNIQA discloses GEV results 2017 on the basis of the Market Consistent Embedded Value (MCEV) principles Includes MCEV using bottom-up, market consistent methodology for main Life and Health businesses Split by
Slide 16: Agenda
Methodology Economic Capital Results Sensitivities and other analysis Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 16
Slide 17: Group Embedded Value Results
Group Embedded Value Results Group Embedded Value 2017 MCEV Performance In EUR mn In EUR mn +3.2% as a %* 441 9.6% 1,792 Return on GEV 305 6.3% 5,140 2,266 3,348 128 4.3% Life&Health 976 Free Surplus Generation 107 90 3.0% Adjusted Net Value of Life & Health P&C ANAV Group Asset Value in-force MCEV
Slide 18: New Business Value
Group Embedded Value New Business Value New Business Value New Business Margin Present Value of NB Premiums In EUR mn As a % of PVNBP In EUR mn Recurring Premium Single Premium 2016* 84 +3.9% 2016* 2,031 143 2,173 2017 99 +4.5% 2017 1,967 232 2,199 NBV NBM ** Restated Split by region PVNBP split by
Slide 19: Life & Health Analysis of Change
Group Embedded Value Life & Health Analysis of Change 136 3,348 Restatement and opening adjustments -5 include: Inclusion of Croatian Life operations in 100 the covered business (EUR 66mn) 69 Rollforward Adoption of the after-tax Solvency II risk 99 margin (EUR -82mn) 3,075 31 Capital and divi
Slide 20: Agenda
Methodology Economic Capital Results Sensitivities and other analysis Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 20
Slide 21: Life & Health Sensitivities
Group Embedded Value Life & Health Sensitivities Higher interest rate in EUR mn Change in Embedded Value Change in New Business Value sensitivity: more 2017 2016 2017 2016 advanced calibration of volatility surface for Base value 3,348 100% 3,075 100% 99 100% 93 100% changes in interest rates, in
Slide 22: Agenda
Methodology Economic Capital Results Sensitivities and other analysis Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 22
Slide 23: Economic Assumptions
Economic Assumptions MCEV and ECR Consistent assumptions for MCEV and ECR valuation Reference rates based on swap rates as at 31 December 2017 including a liquidity premium (volatility adjustment). The liquidity premium is derived from observable market data and based on the approach used for in
Slide 24: Agenda
Methodology Economic Capital Results Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 24
Slide 25: Glossary
Glossary ABS Asset Backed Securities ALM Asset Liability Management ANAV Adjusted Net Asset Value CAT Catastrophe Risk CDR Counterparty Default Risk EC European Commission ECM Economic Capital Model: UNIQA‘s approach for calculating a SCR based on the standard approach with deviation of the technica
Slide 26: Disclaimer
Disclaimer Cautionary statement regarding forward looking statements This presentation contains forward-looking statements Forward-looking statements involve inherent risks and uncertainties, and it might not be possible to achieve the predictions, forecasts, projections and other outcomes descr
UNIQA Insurance Group — Investor Presentation (April 2018) on 6ix