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2015 Embedded Value Results Overview

Focus on Switzerland

Deloitte's Insurance Transformation practice produced the 2016 Swiss edition of Deloitte’s analysis of the Embedded Value (EV) publications of major European insurers. The seven insurance groups with the largest direct life insurance operations in Switzerland (Allianz, AXA, Baloise, Generali, Helvetia, Swiss Life and Zurich) were selected and their 2015 results and methodologies were analysed to highlight similarities and differences.

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As a result of the Solvency II Directive that came into force on 1 January 2016 in the European Economic Area (EEA), we noticed a considerable change in the methodologies and information published between the 2014 and 2015 EV disclosures. Four out of seven insurers amended their valuation methodologies with regard to references rates and required capital to follow the new Solvency II requirements. The pioneer of our sample, Allianz, even applied a Solvency II Market Value Balance Sheet (“MVBS”) approach. On the other hand, Swiss Life and Zurich still follow the methodology of the CFO Forum from October 2009 (equivalent to the QIS5 requirements) while Helvetia uses the traditional EV approach.

The picture for 2015 is blurred for most companies with a change in their EV varying from -6% to +8% between 2014 and 2015. This is due to lower than expected interest rates in Switzerland and the USA, leading to negative economic variances as well as the impact from changes in the methodology from the application of the Solvency II requirements. All insurers reported a positive but decreasing New Business value in comparison to last year, with slightly decreasing margins on average.

The report presents the results of our analysis, which is based solely on publicly available information. Although we aim to provide as many relevant comparisons as possible, we wish to emphasize that EV disclosures have significantly changed for year-end 2015, in particular in the cases of AXA and Allianz. Not all information required for a complete like-for-like comparison was publicly available from all companies. We have also assumed that the reader is already familiar with EV.

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