Slide 1: Market Consistent Embedded Value 2016
Market Consistent Embedded Value 2016
Slide 2: Contents
Contents 1 MCEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 2
Slide 3: Reconciliation between EEV and MCEV
1 MCEV analysis Reconciliation between EEV(1) y MCEV(1) 3,434.7 3,158.8 (124.1) (14.3) (137.4) Changes in the Cost of Capital: 1 • Rate of 6% before taxes • Limits of the contract 2 Solvency II discount curve Market Consistent methodology: • Financial incomes adjusted to Market Value 3 • Matching Ad
Slide 4: Development of the MCEV in 2016
1 MCEV analysis Development of the MCEV in 2016 2016 r% (1) Value of In-force Business (VIF) 2,552.1 65.0% (1) Market Consistent Embedded Value (MCEV) 4,548.5 44.0% Attributable to the Parent Company 3,664.5 53.7% Attributable to Minority Interests 884.0 14.1% Return on Embedded Value (RoEV) 10.4% 2
Slide 5: MCEV components and their variation in 2016
1 MCEV analysis MCEV components and their variation in 2016 MCEV 2015 MCEV 2016 5.500 3,089.3 5.000 4,548.5 4.500 (444.1) (93.1) 4.000 2,162.5 3,434.7 3.500 (273.7) (66.2) 3,158.8 3.000 (275.9) 2.500 416.1 2.000 376.9 1,580.3 1.500 1,235.1 1.000 500 0 ANAV Parent ANAV PVFP CoC TVFOG 2015 EEV MCEV MC
Slide 6: Breakdown of the 2016 MCEV
1 MCEV analysis Breakdown of the 2016 MCEV By business line By distribution channel € mill. % r% Adjusted Net Asset Value 1,996.4 43.9% 23.8% Net PVFP (1) - Life Assurance (2) 1,397.6 30.7% 6.6% € mill. % r% - PVFP 1,803.5 6.7% Adjusted Net Asset Value 1,996.4 43.9% 23.8% - CoC (406.0) 7.1% Net PVFP
Slide 7: Share of the parent company in the 2016 VIF
1 MCEV analysis Share of the parent company in the 2016 VIF 2,645.2 2,552.1 (93.1) 2,084.2 (467.9) Net PVFP TVFOG VIF Minority VIF pre-TVFOG interests VIF attributable to MAPFRE GROUP Million Euros 7
Slide 8: Value added in 2016
1 MCEV analysis Value added in 2016 Change in Embedded Value 1,214.7 4,548.5 (174.6) 142.9 124.5 19.1 32.1 51.3 (20.1) 330.6 3,158.8 (1) RoEV = 10.4% MCEV 2015 Changes in Changes in Expected Value added Deviation Change in Value added Additions (2) Dividends MCEV 2016 model assumptions return by new
Slide 9: Analysis of the main variations in MCEV
1 MCEV analysis Analysis of the main variations in MCEV Change Description Changes in Improvements in Cost of Capital valuation models. model Reflects the unfavorable development of the loss experience (-€11.7 million), Changes in favorable developments in lapses (+€29.7 million) and expenses (+
Slide 10: Analysis of the main variations in MCEV (contd.)
1 MCEV analysis Analysis of the main variations in MCEV (contd.) Change Description Deviation of actual value Reflects primarily the impact on the net asset value of the valuation adjustments from of financial investments. expectations The increase in costs of the TVFOG is due to the downturn in
Slide 11: Value added by new business (VNB)
1 MCEV analysis Value added by new business (VNB)(1) Development of the value added Key highlights Excludes new production from UNION 1 DUERO VIDA and PENSIONES in 2016, 3.8% which was included in 2015. 3.2% Increase in acquisition costs other 2 than commissions in the agent channel. 155.5 142.2
Slide 12: Sensitivity analysis of the MCEV
1 MCEV analysis Sensitivity analysis of the Market Consistent Embedded Value (MCEV)(1) Sensitivity Variation in MCEV Resulting value 100bp increase in interest rates -290.9 3,959.8 10% decrease in the value of stocks and real estate -66.7 4,183.9 MCEV 2016 €4,548.5 M 10% decrease in expenses 134.0 4
Slide 13: Sensitivity analysis of the value added by new business (VNB)
1 MCEV analysis Sensitivity analysis of the value added by new business (VNB) Sensitivity Variation in VNB Resulting value 100bp increase in interest rates -11.1 144.4 10% decrease in the value of stocks and real estate -0.4 155.1 10% decrease in expenses 7.6 163.0 Base scenario €155.5 M 10% decreas
Slide 14: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 14
Slide 15: Willis Towers Watson opinion letter
2 Willis Towers Watson opinion letter 15
Slide 16: Willis Towers Watson opinion letter
2 Willis Towers Watson opinion letter 16
Slide 17: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 17
Slide 18: Covered business / Non-covered business
3 Methodological appendix Covered business The 2016 Embedded Value of the Life and Burial business generated by the companies with the highest business volume (measured in provisions) of the MAPFRE Group has been determined, consisting of the following business blocks: – Life assurance (including
Slide 19: 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 20: Methodology (contd.)
3 Apéndice metodológico Methodology (contd.) Adjusted Net Asset Value (ANAV): – Adjusted Net Asset Value or "ANAV" is equal to equity in accordance with IFRS adjusted by: committed donations and dividends; goodwill; deferred expenses; and any other element necessary to obtain the economic value of
Slide 21: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Time Value of Financial Options and Guarantees (TVFOG): – Under MCEVP, FOG (Financial Options and Guarantees) are defined as those features of the covered business conferring potentially valuable underlying guarantees, or options to change, the level
Slide 22: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Cost of Capital (CoC): – In line with the Risk Margin Solvency II calculation, the CoC used in the 2016 MCEV has been measured by applying a fixed rate of 6% (gross of taxes) to the required solvency capital, excluding market risks. The same criterion
Slide 23: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Look through MCEVP: – In order to correctly assign 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 Mutua
Slide 24: Methodology (contd.)
3 Methodological appendix Methodology (contd.) Value added by New Business (VNB): – In Life assurance and Burial insurance, new business is defined as single, extraordinary and regular premiums written in the year, as well as extraordinary contributions to existing policies not already considered
Slide 25: Assumptions
3 Methodological appendix Assumptions EEV 2015 MCEV 2016 Discount rate Euroswap zero-coupon curve as 31/12/2015 Risk free rates as 31/12/2016 (EIOPA curve without VA) 1 año -0.06% 1 año -0.30% 5 años 0.33% 5 años -0.02% 10 años 1.02% 10 años 0.57% 15 años 1.45% 15 años 0.96% 20 años 1.63% 20 años 1.
Slide 26: Contents
Contents 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 26
Slide 27: Breakdown of the value added by new business (VNB)
4 Statistical appendix Breakdown of the value added by new business (VNB) Breakdown by business line PVNBI(1) VNB (2) VNB/PVNBI 2015 2016 2015 2016 2015 2016 Life Assurance 1,642.6 2,540.7 124.1 85.5 7.6% 3.4% - Agent channel 1,142.2 1,564.6 33.9 0.6 3.0% 0.0% - Bancassurance channel 500.5 976.1 90.
Slide 28: Breakdown of 2016 change in MCEV between ANAV and VIF
4 Statistical appendix Breakdown of 2016 change in MCEV between ANAV and VIF(1) ANAV VIF(1) TOTAL Value in 2015 - Attributable to MAPFRE Group 1,235.1 1,149.0 2,384.1 Minority interests 376.9 397.8 774.7 EEV 2015 1,612.0 1,546.8 3,158.8 Changes in assumptions 0.0 32.1 32.1 Expected return 215.2 -163
Slide 29: Breakdown of the sensitivity analysis
4 Statistical appendix Breakdown of the sensitivity analysis Sensitivity of the Market Consistent Embedded Value(1) LIFE SPAIN BURIAL PORTUGAL MALTA Agent channel Bancassurance channel SPAIN LIFE MSV Impact of: - 100bp increase in interest rates -47.9 -111.5 -131.9 1.8 -1.4 - 10% decrease in the val
Slide 30: Reconciliation of the Adjusted Net Asset Value (ANAV)
4 Statistical appendix Reconciliation of the Adjusted Net Asset Value (ANAV) Consolidated shareholders' equity for MAPFRE Group (1) as at 31/12/2016 (IFRS) 1,973.8 Unrealised gains (losses) -65.4 - of which: property 52.7 - of which: financial assets -118.0 Donations and dividends -3.2 Intangible as
Slide 31: Share of the parent company in the MCEV
4 Statistical appendix Share of the parent company in the MCEV MAPFRE Group Minority interests ANAV ANAV 1,580.3 416.1 (1) NET PVFP AGENT CHANNEL 1,694.5 0.0 BANCASSURANCE CHANNEL 462.5 488.2 TOTAL 2,157.0 488.2 TVFOG AGENT CHANNEL -53.9 0.0 BANCASSURANCE CHANNEL -18.8 -20.3 TOTAL -72.8 -20.3 MCEV 2
Slide 32: Share of the parent company in the Value added by New Business (VNB)
4 Statistical appendix Share of the parent company in the Value added by New Business (VNB) MAPFRE Group Minority interests Value added by New Business AGENT CHANNEL 67.5 -- BANCASSURANCE CHANNEL 42.8 45.2 2016 Value added by New Business 110.3 45.2 Million Euros 32
Slide 33: Contents
Content 1 EEV analysis 2 Willis Towers Watson opinion letter 3 Methodological appendix 4 Statistical appendix 5 Glossary 33
Slide 34: Glossary
5 Glossary The Market Consistent Embedded Value Principles or “MCEVP” are the principles that establish the methodology that must be applied in order to calculate the Market Consistent Embedded Value. The MCEVP were agreed upon by the CFOs of the multinational European insurers belonging to the “C
Slide 35: 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 MCEV was measured on the basis of an amount of capital
Slide 36: 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 not already considered in the valuation of the in-force business; in the case of mutual fu
Slide 37: 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