sampo group's capital market day
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Framework for solvency in Sampo Group Capital Markets Day, September 11th 2015 CFO Peter Johansson
1. Present framework for solvency in Sampo Group
03/09/2015
2
Present Regulatory Framework for solvency in Sampo Group, 30 June 2015
10,991
1,622 2,825
9,788
873 280
3,826
68
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
Sampo plcNordeaLifeP&C
5,047
Group solvency ratio 194%
EURm
3
03/09/2015
Solvency I and Nordea with adjustment to Basel I floor
Present Internal framework for solvency in Sampo Group
1,939
1,320
3,469
853
5,876
9,788
273 313
10,373
01,0002,0003,0004,0005,0006,0007,0008,0009,000
10,00011,000
If P&C MandatumLife
Sampo plc'sshare ofNordea
Diversific. Group EC Adj. Groupsolv. capital
*) Liability side adjustments, which equal discount effect less risk margin **) Finnish equalization provisions
EURm
*) **)
4
03/09/2015
Group economic capital and solvency, 30 June 2015
2. Solvency II in Sampo Group as of 1.1.2016
03/09/2015
5
Solvency II developments
03/09/2015
6
Mandatum Life • The Finnish FSA issued its decision to approve the use of transitional
measures on August 11, 2015 If P&C Group
• If Group aims to use a Partial Internal Model (PIM) for Solvency II
Solvency II rules will replace EC models both in Mandatum Life and If P&C
Mandatum Life Solvency II Capital Requirement (SCR) and Own Funds 30.6.2015
Without transitional measures.
LAC = Loss Absorbing Capacity TP = Technical Provision DT = Deferred Taxes
With transitional measures. Equity risk transitionals decrease market risk and SCR, while transitional measures of technical provisions increase own funds
Equity transitional 7 years
Technical provisions transitional 16 years
7
03/09/2015
3,965
1,779
3,866 3,063
3,866
2,342
0500
1,0001,5002,0002,5003,0003,5004,0004,500
Solvency IIcapital
SCR Totalavailable
capital
Targetcapital
Totalavalablecapital
Targetcapital
03/09/2015
8
S&P A BBB
Solvency II
Solvency II and S&P Capital Model Q2/2015 If P&C Insurance EURm
Group capital and solvency 30 June 2015
1,779
1,350
3,826
72 7,027
9,788
273 313
10,373
01,0002,0003,0004,0005,0006,0007,0008,0009,000
10,00011,000
If P&C(PIM****)
Mandatum Life(SCR***)
Sampo plc'sshare ofNordea
Other Total capitalrequirement
AdjustedGroup
Solvencycapital
*) Liability side adjustments, which equal discount effect less risk margin **) Finnish equalization provisions ***) SCR with transition rules ****) Partial internal model SCR
EURm
*) **)
9
Solvency ratio 148%
03/09/2015
Sampo Group capital and solvency Sensitivities under Solvency II, 30 June 2015
03/09/2015
10
10,373
7,027
10,202
7,003
10,530
7,053
10,034
6,809
10,241
7,024
0
2,000
4,000
6,000
8,000
10,000
12,000
Interest Rates -25bp
Interest Rates +25bp
Equity -10%
Spread +50bp
148% 146% 149% 147% 146% Group
Solvency Ratio
EURm
3. Solvency II and Basel III
03/09/2015
11
9,788
1,780 1,780 1,780
313
1,350 1,350 1,350
273
3,826 3,342 4,742
68 68
68
0
2,000
4,000
6,000
8,000
10,000
12,000
Adjustedsolvency capital
Minimum SCR& B III floor
Minimum SCR &B III EU/Finnish,
10.5%
Minimum SCR &B III Swedish,
14.9%
Sampo plc
Nordea
Life
P&C
Solvency II and Basel III Group Solvency, Q2/2015
* **
10,373
7,024 7,940
* Equalization provisions ** Liability side adjustments
ASC / SCR & B III floor 148% ASC / SCR & B III EU/Finnish 158% ASC / SCR & Basel III 132%
12
6,540
03/09/2015
EURm
Basel IV?
EURbn REA 150 Basel I floor 75 225 Min. 8% 18 21.25% 3,826
Framework for solvency in Sampo Group Capital Markets Day, September 11th 2015 CFO Peter Johansson
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