UNIQA Insurance Group AG · VIE:UQA
UNIQA Insurance — Investor Presentation (April 2016)
27 slides from UNIQA Insurance's investor presentation, Apr 14, 2016
Slide 1: Economic Capital and Embedded Value 2015
UNIQA Insurance Group AG Economic Capital and Embedded Value 2015 14 April 2016 Kurt Svoboda, CFRO
Slide 2: Executive Summary
Executive Summary Economic Capital Ratio (ECR) increased to 182% (2014: 150%) Portion of market risk further reduced (66%, 2014: 70%) Regulatory Solvency II capital ratio increased to 195% (2014: 153%) GEV increased to EUR 4,725mn (+13%) driven by strong operating earnings Improved New Bus
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: Group Economic Capital Figures: Methodology
Group Economic Capital Figures Methodology Disclosure of Economic Capital Model (ECM) results: UNIQA discloses ECM results 2015 on the basis of the underlying and published methodology of the Group Economic Capital Model Economic capital is a key figure for steering UNIQA Group UNIQA disclos
Slide 5: UNIQA Group's 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 Measures used ECR-ratio 150% 182% ECR SCR 5,205 Internal Model Yes, P&C business No In EUR mn 4,080 Sovereign Risk charge Yes (full loading) No 2,722 2,857 Volatility Adjustments Yes (static) Yes (static)
Slide 8: Group ECR Results
Group ECR Results Details on Economic Capital Ratio +82% ECR development by Risk Module 5,205 Stable ECR development Tier 2 16% ECR increase mainly driven by 136 298 915 Tier 1 restr. 5% Counterparty Default Risk and Life 504 underwriting module which allows for 460 3,157 494 2,674 194 2,857 vol
Slide 9: UNIQA Group market risk profile
Group ECR Results UNIQA Group market risk profile Market risk Asset allocation (based on EBS1) Interest rate risk 12.7% 10.9% 2014 2015 9.7% Equity risk 11.4% 4.0% 4.2% 15.5% 4.4% 2.6% 5.8% 10.4% Property risk 16.6% 10.2% 44.7% 9.7% 44.7% 45.5% Spread risk 44.5% 12.4% 10.5% 18.4% 18.0% Currency risk
Slide 10: UNIQA Group underwriting risk profile
Group ECR Results UNIQA Group underwriting risk profile Life underwriting risk Health underwriting risk Non-life underwriting risk 2% 3% Disability 1% 2% 1% 5% 6% Technic Insurance 3% Expense 2% 4% 7% Legal Expenses 7% 4% CAT 11% 5% Mortality 19% 8% 9% Longevity 21% Transport Other 6% Mortality Moto
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 Estimated sensitivity of ECR quota Impact on change to ECR quota 2015 2014 Base Value 182% Interest rates +100 bps 199% +17%-p +20%-p Interest rates -100 bps 171% -12%-p -16%-p Equity -30% 181% -1%-p -5%-p FX +10% 187% +5%-p +3%-p FX -10% 178% -4%-p -3%-p Credit sprea
Slide 13: IFRS reconciliation and economic value creation
Group ECR Results IFRS reconciliation and economic value creation IFRS reconciliation (EUR mn) Position 2015 2014 IFRS total equity 3,175 3,102 - Goodwill 429 425 - Intangible assets and VBI 63 66 - Deferred acquisition costs (DAC) 980 999 + Revaluation (after deferred taxes) 2,566 2,032 Revaluation
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 2015 on the basis of the Market Consistent Embedded Value©(a) (MCEV) principles Includes MCEV using bottom-up, market consistent methodology for main Life and Health businesses Spli
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
Group Embedded Value Results GEV changed by Group Embedded Value Life & Health Property & Casualty Total Change over +13.2% to in EUR mn 2015 2014 2015 2014 2015 2014 period EUR 4,725mn Free surplus 494 482 Value increase driven by both adjusted net asset value and value of in-force Required cap
Slide 18: Life & health analysis of change
Group Embedded Value Life & health analysis of change 417 3,272 Restatement and opening adjustments include Capital and dividend 66 flows (EUR -194mn) 315 103 Rollforward Foreign exchange 2,593 192 variance (EUR 2mn) 73 2,401 Ongoing positive development 212 Assumptions of operating earnings
Slide 19: Embedded Value split by regions
Group Embedded Value Results split by regions Positive MCEV Embedded Value by region 2015 2014 development in EUR mn Austria Italy CEE Total Austria Italy CEE Total across all regions, overall value still Free surplus 387 52 55 494 422 43 17 482 dominated by Austria Required capital 834 74 22 931
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 in EUR mn Change in Embedded Value Change in New Business Value 2015 2014 2015 2014 Base value 3,272 100% 2,593 100% 73 100% 53 100% EV change by economic factors Decreased interest rate Risk free yield curve -100bp -316 -10% -508 -20% -7 -9% -42 -7
Slide 22: Implied Discount Rate / IRR / Free Surplus Generation
Group Embedded Value Implied Discount Rate / Internal Rate of Return / Free Surplus Generation Implied Discount Rate 2015 Internal Rate of Return 2015 in %, based on in-force business in %, based on new business Implied discount rate on 20.8% comparable level to 2014 12.9% IRR overall decreases
Slide 23: Agenda
Methodology Economic Capital Results Sensitivities and other analysis Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 23
Slide 24: Economic assumptions
Economic assumptions MCEV and ECR Consistent assumptions for MCEV and ECR valuation Reference rates based on swap rates as at 31 December 2015 including a liquidity premium (volatility adjustment). The liquidity premium is derived from observable market data and based on the approach used for in
Slide 25: Agenda
Methodology Economic Capital Results Methodology Embedded Value Results Sensitivities and other analysis Assumptions Appendix Glossary & Disclaimer 25
Slide 26: 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 27: 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
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