Scor Se · EURONEXT:SCR
Scor — Investor Presentation (July 2005)
32 slides from Scor's investor presentation, Jul 5, 2005
Slide 1: Embedded Value of SCOR VIE as at 31 December 2004
SCOR VIE Embedded Value of SCOR VIE as at 31 December 2004 5 July 2005 London
Slide 2: Notice
Notice Certain statements contained in this presentation are forward-looking statements, of necessity provisional, that are based on risks and uncertainties that could cause actual results, performance or events to differ materially from those in such statements. Additional information regarding
Slide 3: Plan
Plan Introduction Embedded Value – Methodology Economic Assumptions Results Analysis of Changes SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 3
Slide 4: Introduction
Introduction Scope SCOR VIE Including Branches (except Canada) SCOR Vie Canadian 100% Branch SFS (Ireland) 100% SCOR Life Re (USA) SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 4
Slide 5: Plan
Plan Introduction Embedded Value – Methodology Economic Assumptions Results Analysis of Changes SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 5
Slide 6: Methodology
Methodology Net Asset Value + Value of portfolio of treaties in force - Cost of locking-in a solvency margin Embedded Value SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 6
Slide 7: Methodology: Net Asset Value
Methodology Net Asset Value z Capital and surplus z Retreatment for participation in subsidiaries z Removing the intangible assets z Adding the part of the unrealised capital gains that is attributable to the shareholders and that is not taken into account in the value of business in force Î This is
Slide 8: Methodology
Methodology Net Asset Value + Value of portfolio of treaties in force - Cost of locking-in a solvency margin Embedded Value SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 8
Slide 9: Methodology: Value of the portfolio
Methodology Value of the portfolio z Value of the portfolio of treaties in force = Present value of future profits, net of tax, generated by the portfolio of treaties in force as at the valuation date. z Projection of the profit and loss account: Premiums + Investment return - Claims - Change in res
Slide 10: Methodology: Business in force and new business
Methodology Business in force and new business z Prudent definition of the business in force: New treaties Premiums New business n on in force treaties Premiums from business in force as at n-1 SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 10
Slide 11: Methodology: Future investment return rate
Methodology Future investment return rate • Asset investmnt return rate determined: 9 On the basis of the asset mix as at 31/12/2004 for each entity 9 For SCOR Vie Paris, with constant market return assumptions for each type of asset (stocks, bonds, cash) 9 For the portfolios of SCOR Life Re and of
Slide 12: Methodology: Modeling of operating expenses
Methodology Modeling of operating expenses • Direct expenses of SCOR Vie, internal billing for common services from SCOR to SCOR VIE, SCOR holding expenses allocated to SCOR VIE Split administration / acquisition expenses • Based on an internal study Projection : only administration expenses • Ass
Slide 13: Methodology: Approach for tax
Methodology Approach for tax z Valuation before and after tax z The effect of the fiscal integration of SCOR VIE into SCOR Group has not been taken into account SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 13
Slide 14: Methodology
Methodology Net Asset Value + Value of portfolio of treaties in force - Cost of locking-in a solvency margin Embedded Value SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 14
Slide 15: Methodology: Cost of locking-in a solvency margin
Methodology Cost of locking-in a solvency margin z Solvency margin: 9 minimum European regulatory margin for insurers (used for SCOR VIE and SFS), because European reinsurance directive not yet in force 9 200% of NAIC Risk Based Capital (SLRe) z The cost of locking-in reflects the spread between: 9
Slide 16: Plan
Plan Introduction Embedded Value – Methodology Economic Assumptions Results Analysis of Changes SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 16
Slide 17: Economic Assumptions
Economic Assumptions z Risk free rate (Europe, USA, Canada) : 10 year Governement Bonds z A spread on bond portfolio is taken into account z Stocks: Risk free rate + 350 bp = discount rate z Cash Europe : EONIA z Cash US : 6 month Treasury Bills rate z Cash Canada : overnight target rate SCOR Vie :
Slide 18: Economic Assumptions: Basis
Economic Assumptions Basis of economic assumptions Euro Zone Canada USA 10 year Government Bond 3.70 % 4.30 % 4.24 % Spread 20 bp 30 bp 30 bp Bond yield 3.90 % 4.60 % 4.54 % Cash et short term investment 2.11 % 2.50 % 2.59 % Stocks 7.20 % 7.80 % 7.74 % Discount rate 7.20 % 7.80 % 7.74 % Net investme
Slide 19: Plan
Plan Introduction Embedded Value – Methodology Economic Assumptions Results Analysis of Changes SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 19
Slide 20: Results: Consolidated Embedded Value
Results Consolidated Embedded Value EV SCOR VIE EV SCOR VIE 31/12/2003 31/12/2004 EUR million Adjusted net asset value (after tax) 230.7 266.9 Value of business in force before cost of locking-in 457.6 432.8 (after tax) Cost of locking-in the solvency margin (85.8) (80.8) (after tax) Value of busine
Slide 21: Results: Adjusted net asset value as at 31/12/2004
Results Adjusted net asset value as at 31/12/2004 after tax EUR million Shareholders’ equity of SCOR Vie (Paris) 392.0 Intangible assets (19.2) Retreatment of participation in subsidiaries (109.3) Shareholders’ interest in unrealised capital gains 3.4 Total net adjusted value 266.9 SCOR Vie : Embedd
Slide 22: Plan
Plan Introduction Embedded Value – Methodology Economic Assumptions Results Analysis of Changes SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 22
Slide 23: Analysis of Changes
Analysis of Changes EUR million Embedded value as at 31/12/2003 before tax 827.7 Operating activity of SCOR Vie (before tax) 24.5 Change due to the economic environment (before tax) 18.3 Embedded value as at 31/12/2004 before tax (constant euro ) 870.6 Impact of exchange rate (12.9) Embedded value a
Slide 24: Analysis of Value Creation
Analysis of Value Creation EUR million +78.9 -70,3 +34,2 -12.9 + 3.6 % 857.6 827.7 30 30 30 30 30 30 30 30 30 30 Embedded Effect of moving Experience Value of New Impact of Embedded value value* as at forward** deviation and Business exchange rate as at 31/12/2004 31/12/2003 change of assumptions *
Slide 25: Analysis of operating activity
Analysis of Changes Analysis of operating activity EUR million Effect of moving forward 78.9 Experience deviation during the year (48.0) Impact of change in non economic assumptions (40.6) Value of new treaties (before tax) 5.8 Value of new business on in force treaties (before tax) 28.4 Operating a
Slide 26: Analysis of operating activity (continued)
Analysis of Changes Analysis of operating activity (continued): • Non economic assumptions: change in mortality assumptions and lapses assumptions on two blocks of business • New treaties: significant decrease from 2003 (EUR 5.8 M compared to 19.1 M), due to reduced activity in writing business • Ne
Slide 27: Economic environment
Analysis of Changes Economic environment EUR million Financial deviation from expected to actual 4.1 during current year Changes in economic assumptions 14.2 Changes due to the economic environment 18.3 (before tax) SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 27
Slide 28: Impact of exchange rate
Analysis of Changes Impact of exchange rate: (12.9) Million EUR • Negative 20.6 M EUR impact mainly due to the strengthening of EUR against USD • Partially offset by 7.7 M EUR gains from currency hedging. SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 28
Slide 29: Sensitivity Analysis for Business in Force
Sensitivity Analysis for Business in Force EUR million Value of business as at 31/12/2004 (after tax) 352.0 Discount rate – 0.50% 19.8 Discount rate + 0.50% (18.8) Claims reduction by 5% 82.6 Expenses reduction by 10 % 7.8 Increase in lapses by 10 % (9.5) Future investment return + 0.50 % 19.3 Incre
Slide 30: Embedded Value and consolidated balance sheet of SCOR VIE
Embedded Value and consolidated balance sheet of SCOR VIE EUR million 800 618,9 533,2 600 85,7 400 200 0 Consolidated Capital Embedded Value SCOR VIE Part of embedded value non recognized in consolidated balance sheet of SCOR VIE SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 30
Slide 31: Conclusion: Embedded value 2004
Conclusion ‒ Embedded value 2004 z stability compared to 2003 z Confirms the solidity of SCOR VIE’s portfolio z Despite a decrease in new business SCOR Vie : Embedded Value au 31/12/2004 5 July 2005 31
Slide 32: Slide 32