Thanks to the regular cash flow monitoring, the Group has the aim of maintaining a sound financial structure over a short and medium term time horizon.
Financial Liabilities In order to achieve such results the Group set up a careful analysis of its cash flows. Financial liabilities are mainly fixed rate exposures denominated in Euro. With reference to the exposure denominated in currencies other than Euro, hedging transactions have been put in place with the task of ensuring cash flows predictability and stability, as well as mitigation of currency risks.
Liquidity risk is also managed through the placement on the market of financial instruments of different maturity, currency and seniority. This strategy allows the Group to diversify its sources of funds, drawing from different classes of investors.
For quantitative information related to financial liabilities please refer to the section “Financial Liabilities” of the Notes.
Reputational risk refers to the risk of potential losses due to a reputational deterioration or to a negative perception of Company's or Group’s image among its customers, counterparties, shareholders and Supervisory Authority.
Finally, emerging risks refer to the new risks due to internal or external environment changes, that may bring to an increase in the exposure to risks already included in the Risk Map or that may require to define a new risk category.
The main rating agencies perform periodic assessments of the Group’s financial stability by expressing their opinion on its ability to fulfil its obligations towards policyholders and bondholders.
The evaluation is performed on the basis of several factors including financial and economic data, the Group's competitive position in markets where it operates and the strategies developed and implemented by the management.
At Generali’s request, Standard & Poor’s (S&P’s) withdrew its rating on the Group on 13 February 2015. Generali will therefore no longer have a S&P’s rating. The decision is based on a thorough review including consultation with investors and other stakeholders, which highlighted the inflexibility of S&P’s criteria and its failure to take account of the significant improvement in the Group’s financial solidity achieved in the last two years. Furthermore, the automatic link to the sovereign rating applied by S&P’s did not recognize the high level of diversification in the Group, nor the benefits of its broad geographical presence. That is why General decided to ask for the S&P’s rating to be withdrawn. In accordance with industry norms, Generali will keep its rating with three major rating agencies: Moody’s, Fitch and AM Best.
The current rating and outlook assigned to Assicurazioni Generali S.p.A. by the major agencies are the following: RatingRatingRatingRating OutlookOutlookOutlookOutlook
On 26 January 2016 the rating agency Fitch confirmed Generali’s and its subsidiaries IFS (Insurer Financial Strength) rating at A-; the outlook was confirmed as stable. The rating reflects the improvement in Group’s capital position, the expectations that operating performance will remain strong and that management’s ongoing focus will be to preserve capital and reduce financial leverage. On the basis of Fitch’s internal model (FBM), Generali’s capital position remained strong at the end of 2014 and it is now very close to the “Very strong” level, thanks to the improvement in the Group’s capitalization.
In this context, the main evidences related to current capital requirements are described hereafter.
In each Country where the Group operates, local laws and/or local Supervisor Authorities require a minimum capital. This minimum capital should be maintained by each subsidiary to face its own insurance obligations and/or operational risks.
A m o u n ts c e d e d o r e in s u re rs f ro m i n s u ra n c e p ro v is io n s
N on -li fe a m ou nt s ce de d to r ei ns ur er s fro m in su ra nc e pr ov is io ns (*
M at he m at ic al p ro v is io ns
"P ro v is io ns fo r po lic ie s w he re th e in v es tm en t r is k is b or ne by th e po lic y ho ld er s an d pr ov is io ns fo r pe ns io n fu nd s"
,1 - of w hi ch q uo te d eq ui tie s 7, 8, 2, 2, 9,
In v es tm en t f un d un its
D ep os its u nd er r ei ns ur an ce b us in es s ac ce pt ed
D ep os it co m po ne nt s of r ei ns ur an ce c on tra ct s
O th er fi na nc ia l i nv es tm en ts 3, 2, 3, 3, 6, 5,
el d to m at ur ity in v es tm en ts Lo an s an d re ce iv ab le s
F in an ci al a ss et s at fa ir v al ue th ro ug h pr of it or lo ss
F in an ci al a ss et s de si gn at ed a s at fa ir v al ue th ro ug h pr of it or lo ss
A s s e ts a n d l ia b ili ti e s r e la te d t o p o lic ie s w h e re t h e i n v e s tm e n t ri s k i s b o rn e b y p o lic y h o ld e rs a n d t o p e n s io n f u n d s
N o n -l if e in su ra n ce p ro vi si o n s(
L if e in su ra n ce p ro vi si o n s( *)
M at he m at ic al p ro v is io ns 3, 9, 3, 0,
A fte r th e el im in at io n of in tra -g ro up tr an sa ct io ns b et w ee n se gm en ts
D ep os it co m po ne nt s of in su ra nc e co nt ra ct
F in an ci al li ab ili tie s he ld fo r tra di ng F
ha ng e in c la im s to b e re co v er ed d C
, re c e iv a b le s a n d p a y a b le s
,9 a fro m la nd a nd b ui lid in gs
In co m e an d e xp en se d f ro m c as h a n d c as h e q u iv al en ts
,3 b fro m fi na nc ia l l ia bi lit ie s de si gn at ed a s at fa ir v al ue th ro ug h pr of it or lo ss c fro m o th er fi na nc ia l l ia bi lit ie s
T ot al u nr ea liz ed ga in s an d lo ss es
T ot al in co m e an d ex pe ns es
U nr ea liz ed lo ss es a nd im pa irm en t lo ss es
A c q u is it io n a n d a d m in is tr a ti o n c o s ts o f in s u ra n c e b u s in e s s
O th er a cq ui si tio n co st s 1, 1, c
C om m is si on s an d ot he r ac qu is iti on c os ts n et o f c om m is si on s an d pr of it co m m is si on s fro m r ei ns ur er s(
O th er a dm in is tra tio n co st s 1, 1, 1,
N on -li fe s eg m en t Li fe s eg m en t
It em s th at m ay b e re cl as si fi ed t o p ro fi t an d l o ss i n f u tu re p er io d s
R es er v e fo r cu rr en cy tr an sl at io n di ffe re nc es
N et u nr ea liz ed g ai ns a nd lo ss es o n he dg e of a n et in v es tm en t i n fo re ig n op er at io ns
S ha re o f o th er c om pr eh en si v e in co m e of a ss oc ia te s
R ev en ue r es er v e fro m v al ua tio n of e qu ity
R es er v e fo r re v al ua tio n m od el o n in ta ng ib le a ss et s
R es er v e fo r re v al ua tio n m od el o n ta ng ib le a ss et s
Fi na nc ia l as se ts re cl as si fie d un til
Fa ir va lu e ga in s or lo ss es th at w ou ld be re co gn is ed th ro ug h pr of it or lo ss w ith ou t re cl as si fic at io n
Fa ir va lu e ga in s or lo ss es th at w ou ld b e re co gn is ed th ro ug h eq ui ty w ith ou t re cl as si fic at io n
Av ai la bl e fo r s al e fin an ci al as se ts Lo an s an d re ce iv ab le s
Lo an s an d re ce iv ab le s C
Bo ok v al ue re cl as si fie d at
Fi na nc ia l a ss et s re cl as si fie d in
D e ta ils o n f in a n c ia l a s s e ts r e c la s s if ie d a n d i ts e ff e c ts i n p ro fi t a n d l o s s a c c o u n t a n d c o m p re h e n s iv e i n c o m e (
A s s e ts a n d l ia b ili ti e s m e a s u re d a t fa ir v a lu e o n r e c u rr in g a n d n o n -r e c u rr in g b a s is
F in an ci al a ss et s de si gn at ed a t f ai r v al ue th ro ug h pr of it or lo ss
In v es tm en t p ro pe rti es
T ot al fi na nc ia l a ss et s at fa ir v al ue 9, 8,
D e ta il o f th e v a ri a ti o n s o f a s s e ts a n d l ia b ili ti e s m e a s u re d a t fa ir v a lu e o n a r e c u rr in g b a s is c la s s if ie d i n
F in a n c ia l a s s e ts h e ld fo r tr a d in g
F in a n c ia l a s s e ts d e s ig n a te d a s a t fa ir v a lu e t h ro u g h p ro fit o r lo s s
N e t g a in s a n d l o s s e s r e c o g n iz e d i n P
o f w h ic h n e t u n re a lis e d g a in s a n d l o s s e s
N e t u n re a lis e d g a in s a n d l o s s e s r e c o g n iz e d i n O
O th e r c h a n g e s
In ta n g ib le a s s e ts
F in a n c ia l lia b ili tie s a t fa ir v a lu e t h ro u g h p ro fit o r lo s s
A s s e ts a n d l ia b ili ti e s n o t m e a s u re d a t fa ir v a lu e : fa ir v a lu e h ie ra rc h y
H e ld t o m a tu ri ty i n v e s tm e n ts
in v e s tm e n t p ro p e rt ie s )
C o n s o lid a ti o n a re a : in te re s ts i n e n ti ti e s w it h s ig n if ic a n t m in o ri ty i n te re s ts
M in o ri ty i n te re s ts
(l o s s a ttr ib u ta b le t o m in o ri ty i n te re s ts
' e q u ity a ttr ib u ta b le t o m in o ri ty in te re s ts
Newly consolidated: 1. Direct Care s.r.o., Prague 2. Generali Beteiligungsverwaltung GmbH, Vienna 3. Generali Companhia de Seguros S.A., Lisbon 4. Generali Latam Prestação de Serviços e Partecipações Ltda., San Paolo 5. GID-Fonds AACAGS, Cologne 6. GID-Fonds AACBGS, Cologne 7. GID-Fonds AAINF, Cologne 8. GID-Fonds ALAET, Cologne 9. GID-Fonds CLRET 2, Cologne 10. IDEE s.r.o., Prague 11. Keviana – Empreendimentos Imobiliários, S.A., Lisbon 12. NKFE Insurance Agency Company Limited, Hong Kong 13. PL Investment Jerozolimskie I SP. Z o.o., Warsaw 14. PL Investment Jerozolimskie II SP. Z o.o., Warsaw 15. PT Generali Services Indonesia, Giakarta 16. REFICOR s.r.o., Prague 17. Telco AG S.r.l., Trieste
Company disposed of/wound up/merged in: 1. BSI Asset Managers SAM, Monte Carlo 2. BSI Bank (Panama) S.A., Panama 3. BSI Bank Limited, Singapore 4. BSI Europe S.A., Luxembourg 5. BSI Fund Management S.A., Luxembourg 6. BSI Investment Advisors (Panama) Inc, Panama City 7. BSI Monaco SAM, Monte Carlo 8. BSI Overseas (Bahamas) Ltd, Nassau 9. BSI S.A., Lugano 10. BSI Trust Corporation (Malta) Ltd, Valletta 11. Casa-Bouw Sprl, Bruxelles 12. CP Direct, a.s. (fusa in Direct Care s.r.o.), Prague 13. Delta Generali Holding d.o.o. Podgorica, Podgorica 14. E-Cie Vie S.A. (fusa in Generali Vie S.A.), Paris * Consolidation area consists of companies consolidated “line by line”.
Method(1) Activity(2) Shareholding % Group Equity Ratio(3)Direct Indirect Through Total 0.01 Banca Generali S.p.A.
Europ Assistance Italia S.p.A. 086 EUR 12,000,000 G 1 73.95 Europ Assistance Holding S.A. 100.00 99.99 26.05 Generali Italia S.p.A.
Europ Assistance Service S.p.A. 086 EUR 4,325,000 G 11 100.00 Europ Assistance Italia S.p.A. 100.00 99.99
Europ Assistance Trade S.p.A. 086 EUR 540,000 G 11 91.50 Europ Assistance Italia S.p.A. 100.00 99.99 8.50 Europ Assistance Service S.p.A.
Agricola San Giorgio S.p.A. 086 EUR 22,160,000 G 11 100.00 Genagricola - Generali Agricoltura S.p.A. 100.00 100.00
Fondo Scarlatti - Fondo Immobiliare chiuso 086 EUR 540,756,624 G 10 2.89 Generali Vie S.A. 67.31 67.28 1.94 Genertel S.p.A.
Method(1) Activity(2) Shareholding % Group Equity Ratio(3)Direct Indirect Through Total 58.46 Generali Italia S.p.A.
Generali Investments Europe S.p.A. Società di Gestione Risparmio 1.45 AachenMünchener Lebensversicherung AG
BG Fiduciaria - Società di Intermediazione Mobiliare S.p.A. 086 EUR 5,200,000 G 8 100.00 Banca Generali S.p.A. 100.00 50.44
Generali Investments Europe S.p.A. Società di Gestione Risparmio 086 EUR 39,500,000 G 8 17.13 Alleanza Assicurazioni S.p.A. 100.00 99.70 82.87 Generali Investments Holding S.p.A.
AachenMünchener Versicherung AG 094 EUR 136,463,896 G 2 100.00 Generali Deutschland AG 100.00 100.00
Cosmos Versicherung Aktiengesellschaft 094 EUR 9,205,200 G 2 100.00 Generali Deutschland AG 100.00 100.00
ADVOCARD Rechtsschutzversicherung AG 094 EUR 12,920,265 G 2 100.00 Generali Deutschland AG 100.00 100.00
ALLWO GmbH 094 EUR 17,895,500 G 10 46.86 AachenMünchener Versicherung AG 100.00 100.00 53.14 Generali Versicherung Aktiengesellschaft
Generali Private Equity Investments GmbH 094 EUR 500,000 G 9 100.00 Generali Investments Holding S.p.A. 100.00 99.63
VVS Vertriebsservice für Vermögensberatung GmbH 094 EUR 250,000 G 11 100.00
Generali Pensionsfonds AG 094 EUR 5,100,000 G 2 100.00 Generali Beteiligungs- und Verwaltungs-AG 100.00 100.00
Generali Beteiligungs- und Verwaltungs-AG 094 EUR 66,963,298 G 4 100.00 Generali Deutschland AG 100.00 100.00
Volksfürsorge 1.Immobilien AG & Co. KG 094 EUR 3,583 G 10 100.00 Generali Lebensversicherung Aktiengesellschaft 100.00 100.00
AM Vers Erste Immobilien AG & Co. KG 094 EUR 16,775,749 G 10 100.00 AachenMünchener Versicherung AG 100.00 100.00
AM Gesellschaft für betriebliche Altersversorgung mbH 094 EUR 60,000 G 11 100.00 AachenMünchener Lebensversicherung AG 100.00 100.00
Generali Pensions- und SicherungsManagement GmbH 094 EUR 25,000 G 11 100.00
GID Fonds ALAOT 094 EUR 803,034,597 G 11 100.00 AachenMünchener Lebensversicherung AG 100.00 100.00
GID Fonds CLAOT 094 EUR 330,312,556 G 11 100.00 Cosmos Lebensversicherungs Aktiengesellschaft 100.00 100.00
GID Fonds AVAOT 094 EUR 89,462,713 G 11 100.00 Generali Versicherung Aktiengesellschaft 100.00 100.00
GID Fonds VLAOT 094 EUR 1,629,328,619 G 11 100.00 Generali Lebensversicherung Aktiengesellschaft 100.00 100.00
GID Fonds GDRET 094 EUR 192,349,528 G 11 8.79 Generali Deutschland AG 100.00 100.00 43.10 Generali Versicherung Aktiengesellschaft 13.45 Cosmos Versicherung Aktiengesellschaft 34.66 ADVOCARD Rechtsschutzversicherung AG
GID Fonds AMLRET 094 EUR 574,466,602 G 11 100.00 AachenMünchener Lebensversicherung AG 100.00 100.00
GID Fonds GLMET 094 EUR 801,922,792 G 11 100.00 Generali Lebensversicherung Aktiengesellschaft 100.00 100.00
Vofü Fonds I Hamburgische Grundbesitz und Anlage GmbH & Co.KG 094 EUR 14,800,000 G 10 54.19
GID-Fonds GPRET 094 EUR 99,461,953 G 11 96.79 Generali Pensionsfonds AG 96.79 96.79
GLL AMB Generali 200 State Street 094 EUR 36,756,490 G 11 100.00 GLL AMB Generali Cross-Border Property Fund FCP 100.00 100.00
GID-Fonds CLRET 094 EUR 807,733,855 G 11 100.00 GID-Fonds CLRET 2 100.00 100.00
GID Fonds DLRET 094 EUR 58,377,878 G 11 100.00 Dialog Lebensversicherungs-
GID Fonds GLAKOR 094 EUR 153,482,488 G 11 100.00 Generali Lebensversicherung Aktiengesellschaft 100.00 100.00
GID Fonds AARGT 094 EUR 229,675,128 G 11 100.00 Cosmos Lebensversicherungs Aktiengesellschaft 100.00 100.00
Gentum Nr. 2 094 EUR 241,723,995 G 11 39.99 AachenMünchener Lebensversicherung AG 100.00 100.00
GID-Fonds AAINF 094 EUR 59,729,958 G 11 40.00 Generali Lebensversicherung Aktiengesellschaft 100.00 100.00 27.50 AachenMünchener Lebensversicherung AG
GID-Fonds AACAGS 094 EUR 276,426,351 G 11 27.48 AachenMünchener Versicherung AG 100.00 100.00 53.90 Generali Versicherung Aktiengesellschaft 11.18 Cosmos Versicherung Aktiengesellschaft 7.43 ADVOCARD Rechtsschutzversicherung AG
GID-Fonds AACBGS 094 EUR 256,580,952 G 11 38.73 AachenMünchener Lebensversicherung AG 95.88 95.88
Method(1) Activity(2) Shareholding % Group Equity Ratio(3)Direct Indirect Through Total 0.41 ENVIVAS Krankenversicherung AG
Generali IARD S.A. 029 EUR 94,630,300 G 2 100.00 Generali France Assurances S.A. 100.00 98.93
Generali Vie S.A. 029 EUR 332,321,184 G 2 100.00 Generali France Assurances S.A. 100.00 98.93
Prudence Creole 247 EUR 7,026,960 G 2 95.17 Generali IARD S.A. 95.18 94.16 0.01 Generali France S.A.
SAS Lonthènes 029 EUR 529,070 G 10 100.00 Generali Vie S.A. 100.00 98.93
Haussmann Investissement SAS 029 EUR 2,501,000 G 9 10.00 Generali IARD S.A. 100.00 98.93 90.00 Generali Vie S.A.
Immobiliere Commerciale des Indes Orientales IMMOCIO 029 EUR 134,543,500 G 10 100.00 Generali Vie S.A. 100.00 98.93
SAS IMMOCIO CBI 029 EUR 61,058,016 G 10 100.00 Immobiliere Commerciale des Indes Orientales IMMOCIO 100.00 98.93
SCI Generali Reaumur 029 EUR 10,643,469 G 10 100.00 Generali Vie S.A. 100.00 98.93
SCI 42 Notre Dame Des Victoires 029 EUR 13,869,690 G 10 100.00 Generali Vie S.A. 100.00 98.93
SCI Landy-Novatis 029 EUR 1,000 G 10 0.10 Generali Vie S.A. 100.00 98.93 99.90 SC Novatis
SCI Landy-Wilo 029 EUR 1,000 G 10 0.10 Generali IARD S.A. 100.00 98.93 99.90 Generali Vie S.A.
SCI Generali Carnot 029 EUR 10,525,000 G 10 100.00 Generali Vie S.A. 100.00 98.93
SCI Generali Commerce 1 029 EUR 100,000 G 10 100.00 Generali IARD S.A. 100.00 98.93
SCI Iris La Défense 029 EUR 1,350 G 10 44.44 Generali IARD S.A. 100.00 98.93 55.56 Generali Vie S.A.
SCI Parc Logistique Maisonneuve 2 029 EUR 5,104,000 G 10 100.00 SC Generali Logistique 100.00 98.93
SCI Parc Logistique Maisonneuve 4 029 EUR 8,004,000 G 10 100.00 SC Generali Logistique 100.00 98.93
SCI Parcolog Isle D'Abeau 1 029 EUR 11,472,000 G 10 100.00 SC Generali Logistique 100.00 98.93
SCI Parcolog Isle D'Abeau 3 029 EUR 12,476,000 G 10 100.00 SC Generali Logistique 100.00 98.93
SCI Parcolog Gondreville Fontenoy 2 029 EUR 3,838,000 G 10 100.00 SC Generali Logistique 100.00 98.93
SCI Parcolog Bordeaux Cestas 029 EUR 9,508,000 G 10 100.00 SC Generali Logistique 100.00 98.93
SC Parcolog Messageries 029 EUR 1,000 G 10 100.00 SC Generali Logistique 100.00 98.93
Method(1) Activity(2) Shareholding % Group Equity Ratio(3)Direct Indirect Through Total 1.00 Generali IARD S.A.
OPCI GR1 029 EUR 200,481,793 G 10 19.13 Generali IARD S.A. 100.00 98.92 73.69 Generali Vie S.A.
SCI 18-20 Paix 029 EUR 20,207,750 G 10 100.00 Generali Vie S.A. 100.00 98.93
SCI Berges de Seine 029 EUR 7,500,250 G 10 100.00 Generali Vie S.A. 100.00 98.93
SCI 6 MESSINE 029 EUR 9,631,000 G 10 100.00 OPCI GR1 100.00 98.93
SCI 204 PEREIRE 029 EUR 4,480,800 G 10 100.00 OPCI GR1 100.00 98.93
SCI 33 Avenue Montaigne 029 EUR 174,496 G 10 100.00 OPCI GR1 100.00 98.93
SCI 5/7 MONCEY 029 EUR 13,263,396 G 10 100.00 OPCI GR1 100.00 98.93
SCI 28 Cours Albert 1er 029 EUR 14,629,770 G 10 100.00 OPCI GR1 100.00 98.93
Europäische Reiseversicherungs AG 008 EUR 730,000 G 2 74.99 Generali Holding Vienna AG 74.99 74.99
Generali Versicherung AG 008 EUR 27,338,520 G 2 100.00 Generali Holding Vienna AG 100.00 100.00
Generali Capital Management GmbH 008 EUR 150,000 G 8 100.00 Generali Holding Vienna AG 100.00 100.00
Generali IT-Solutions GmbH 008 EUR 35,000 G 11 100.00 Generali Holding Vienna AG 100.00 100.00
CA Global Property Internationale Immobilien AG 008 EUR 11,264,315 G 10 100.00 Generali Versicherung AG 100.00 100.00
Care Consult Versicherungsmakler GmbH 008 EUR 138,078 G 11 100.00 Europäische Reiseversicherungs AG 100.00 74.99 3 Banken-Generali-GLStock 008 EUR 382,732,802 G 11 100.00 Generali Versicherung AG 100.00 100.00 3 Banken Generali GLBond Spezialfonds 008 EUR 605,639,003 G 11 100.00 Generali Versicherung AG 100.00 100.00 3 Banken-Generali-GSBond 008 EUR 313,002,141 G 11 100.00 Generali Versicherung AG 100.00 100.00 3 Banken-Generali - GEN4A Spezialfonds 008 EUR 30,758,850 G 11 100.00 Generali Versicherung AG 100.00 100.00
BAWAG Spezialfonds 6 008 EUR 117,014,976 G 11 100.00 BAWAG PSK Versicherung AG 100.00 75.00 3 Banken-Generali - GEN4Dividend Spezialfonds 008 EUR 86,095,954 G 11 100.00 Generali Versicherung AG 100.00 100.00
Generali North American Holding 1 S.A. 092 USD 13,246,799 G 11 91.80 Generali Vie S.A. 100.00 98.96 8.20 Generali Real Estate Investments B.V.
Generali European Real Estate Investments S.A. 092 EUR 205,685,116 G 8 7.45 Generali Versicherung AG 100.00 99.50 5.96 AachenMünchener Lebensversicherung AG
Generali España, S.A. de Seguros y Reaseguros 42.31 Generali Vie S.A.
BG Fund Management Luxembourg S.A. 092 EUR 2,000,000 G 11 100.00 Banca Generali S.p.A. 100.00 50.44
Generali Diversification USD Investment Grade Corporate Bond Fund 092 EUR 1,037,304,600 G 11 0.65
Sellin Bond Sub-Fund II 092 EUR 421,420,630 G 11 100.00 Generali Deutschland AG 100.00 100.00
Cajamar Vida S.A. de Seguros y Reaseguros 067 EUR 9,015,200 G 2 50.00 Generali España Holding de Entidades de Seguros S.A. 50.00 50.00
Coris Gestión de Riesgos, S.L. 067 EUR 3,008 G 11 100.00 Europ Assistance Servicios Integrales de Gestion, S.A. 100.00 99.98
Vitalicio Torre Cerdà S.l. 067 EUR 1,112,880 G 10 90.66 Generali España, S.A. de Seguros y Reaseguros 100.00 99.90
Keviana – Empreendimentos Imobiliários, S.A. 055 EUR 50,000 G 10 100.00 Generali Vie S.A. 100.00 98.93
Europ Assistance - Companhia Portuguesa de Seguros de Assistencia, S.A. 055 EUR 7,500,000 G 2 53.00 Europ Assistance Holding S.A. 53.00 52.99
Europ Assistance - Companhia Portuguesa de Seguros de Assistencia, S.A. 99.90 52.94
Europ Assistance Belgium S.A. 009 EUR 6,012,000 G 2 100.00 Europ Assistance S.A. 100.00 99.99
Flandria Participations Financières S.A. 009 EUR 40,072,900 G 9 26.00 100.00 100.00 74.00 Generali Italia S.p.A.
Generali Schadeverzekering Maatschappij N.V. 050 EUR 1,361,341 G 2 100.00 Generali Nederland N.V. 100.00 98.56
Generali Nederland N.V. 050 EUR 5,545,103 G 4 12.77 Flandria Participations Financières S.A. 98.56 98.56
Generali Turkey Holding B.V. 050 EUR 100,000 G 4 100.00 Participatie Maatschappij Graafschap Holland N.V. 100.00 100.00
Saxon Land B.V. 050 EUR 15,576 G 10 20.00 Generali Italia S.p.A. 100.00 99.68 10.00 Alleanza Assicurazioni S.p.A.
CP Strategic Investments N.V. 050 EUR 225,000 G 9 100.00 Ceská Pojištovna a.s. 100.00 100.00
Generali Saxon Land Development Company Ltd 031 GBP 250,000 G 8 20.00 Generali Italia S.p.A. 100.00 99.68 10.00 Alleanza Assicurazioni S.p.A.
Europai Utazasi Biztosito Rt. 077 HUF 400,000,000 G 2 13.00 Europäische Reiseversicherungs AG 74.00 70.75 61.00 Generali Biztosító Zrt.
Generali Pojistovna a.s. 275 CZK 500,000,000 G 2 100.00 Generali CEE Holding B.V. 100.00 100.00
Generali Development spol. s.r.o. 275 CZK 200,000 G 10 100.00 Generali Pojistovna a.s. 100.00 100.00
Ceská Pojištovna a.s. 275 CZK 4,000,000,000 G 2 100.00 CZI Holdings N.V. 100.00 100.00
Penzijní spolecnost Ceské Pojištovny, a.s. 275 CZK 300,000,000 G 11 100.00 CP Strategic Investments N.V. 100.00 100.00
Generali Services CEE a.s. 275 CZK 3,000,000 G 11 20.00 Generali Pojistovna a.s. 100.00 100.00 80.00 Ceská Pojištovna a.s.
Generali Real Estate Fund CEE a.s. 275 CZK 264,000,000 G 9 19.70 GP Reinsurance EAD 100.00 100.00
City Empiria a.s. 275 CZK 2,004,000 G 10 100.00 Generali Real Estate Fund CEE a.s. 100.00 100.00
Solitaire Real Estate, a.s. 275 CZK 128,296,000 G 10 100.00 Generali Real Estate Fund CEE a.s. 100.00 100.00
Generali Poistovna a.s. 276 EUR 25,000,264 G 2 100.00 Generali CEE Holding B.V. 100.00 100.00
Generali Finance spólka z ograniczona odpowiedzialnoscia 054 PLN 15,230,000 G 8 100.00 Generali Towarzystwo Ubezpieczen S.A. 100.00 100.00
Generali Powszechne Towarzystwo Emerytalne S.A. 054 PLN 78,000,000 G 11 100.00 Generali Towarzystwo Ubezpieczen S.A. 100.00 100.00
Generali Zavarovalnica d.d. 260 EUR 39,520,356 G 2 100.00 Generali CEE Holding B.V. 100.00 100.00
Fortuna Rechtsschutz-VersicherungGesellschaft AG 071 CHF 3,000,000 G 3 100.00 Generali (Schweiz) Holding AG 100.00 100.00
Europ Assistance (Suisse) Assurances S.A. 071 CHF 3,000,000 G 3 100.00 Europ Assistance (Suisse) Holding S.A. 100.00 84.99
Europ Assistance (Suisse) Holding S.A. 071 CHF 1,400,000 G 4 75.00 Europ Assistance Holding S.A. 85.00 84.99 10.00 Generali (Schweiz) Holding AG
Method(1) Activity(2) Shareholding % Group Equity Ratio(3)Direct Indirect Through Total 20.01 Generali Holding Vienna AG
Fortuna Investment AG 071 CHF 1,000,000 G 8 100.00 Generali (Schweiz) Holding AG 100.00 100.00
Generali Worldwide Insurance Company Limited 201 EUR 86,733,396 G 3 100.00
Generali Portfolio Management (CI) Ltd 201 USD 194,544 G 9 100.00 Generali Worldwide Insurance Company Limited 100.00 100.00
Fortuna Lebens-Versicherung AG 090 CHF 10,000,000 G 3 100.00 Generali (Schweiz) Holding AG 100.00 100.00
Fortuna Investment AG, Vaduz 090 CHF 1,000,000 G 11 100.00 Generali (Schweiz) Holding AG 100.00 100.00
Generali Sigorta A.S. 076 TRY 124,133,033 G 3 99.90 Generali Turkey Holding B.V. 99.90 99.90
Akcionarsko društvo za osiguranje Generali Osiguranje Srbija 289 RSD 2,131,997,310 G 3 0.05 GP Reinsurance EAD 100.00 100.00 99.95 Generali CEE Holding B.V.
Akcionarsko društvo za reosiguranje Generali Reosiguranje Srbija 289 RSD 616,704,819 G 6 0.01 GP Reinsurance EAD 100.00 100.00
Europ Assistance USA Inc. 069 USD 5,000,000 G 11 100.00 Europ Assistance North America, Inc. 100.00 99.99
GMMI Inc. 069 USD 400,610 G 11 100.00 Europ Assistance North America, Inc. 100.00 99.99
General Securities Corporation of North America 100.00 99.62 35.73 Generali North American Holding 1 S.A.
Europ Assistance Canada Inc. 013 CAD 6,738,011 G 9 100.00 Europ Assistance Holding S.A. 100.00 99.99
CMN Global Inc. 013 CAD 203 G 11 100.00 Europ Assistance Canada Inc. 100.00 99.99
Caja de Ahorro y Seguro S.A. 006 ARS 269,000,000 G 4 62.50 90.00 90.00 27.50 Genirland Limited
Ritenere S.A. 006 ARS 530,000 G 11 2.01 Caja de Seguros S.A. 100.00 90.00 97.99 Caja de Ahorro y Seguro S.A.
PT Generali Services Indonesia 129 IDR 11,376,454 G 10 99.00 Generali Vie S.A. 100.00 98.93 1.00 Generali IARD S.A.
IWF Holding Company Ltd 072 THB 2,300,000 G 4 43.48 Flandria Participations Financières S.A. 100.00 94.67 56.52 DWP Partnership
KAG Holding Company Ltd 072 THB 1,791,244,200 G 4 100.00 IWF Holding Company Ltd 100.00 94.67
FTW Company Limited 072 THB 200,000 G 4 90.57 Generali Asia N.V. 90.57 90.57
MGD Company Limited 072 THB 200,000 G 4 90.57 Generali Asia N.V. 90.57 90.57
NKFE Insurance Agency Company Limited 103 HKD 900,000 G 11 100.00 Generali Financial Asia Limited 100.00 89.00
Access Health Africa (Proprietary) Limited 078 ZAR 1,000 G 11 100.00 Europ Assistance Worldwide Services (South Africa) (Pty) Ltd 100.00 98.99
Randgo Rewards (Pty) Ltd 078 ZAR 1,000 G 11 50.10 Europ Assistance Worldwide Services (South Africa) (Pty) Ltd 50.10 49.59
Risparmio Assicurazioni S.p.A. in liquidazione 086 EUR 150,000 a 11 100.00 Generali Italia S.p.A. 100.00 100.00 161
Generali Horizon S.p.A. 086 EUR 120,000 a 9 100.00 Generali Italia S.p.A. 100.00 100.00
Finagen S.p.A. in liquidazione 086 EUR 6,700,000 a 8 99.90 Alleanza Assicurazioni S.p.A. 100.00 100.00 5,228 0.10 Generali Italia S.p.A.
Tiberina S.r.l. Unipersonale 086 EUR 20,000 a 11 100.00 Generali Italia S.p.A. 100.00 100.00 633
Generali Deutschland Alternative Investments GmbH & Co. KG 094 EUR 60,000 a 9 100.00 Generali Deutschland AG 100.00 100.00 75
Generali Partner GmbH 094 EUR 250,000 a 11 100.00 Generali Lebensversicherung Aktiengesellschaft 100.00 100.00 808
GLL GmbH & Co. Retail KG 094 EUR 405,010,000 a 10 31.50 52.49 52.49 127,554
BA1 Alstercampus Grundstücksgesellschaft mbH & Co. KG (*) 094 EUR 1 c 10 50.00
Zweite AM RE Verwaltungs GmbH 094 EUR 25,000 a 9 100.00 AachenMünchener Versicherung AG 100.00 100.00 25
Deutscher Lloyd GmbH 094 EUR 30,700 a 11 100.00 Generali Beteiligungs- und Verwaltungs-AG 100.00 100.00
Deutsche Vermögensberatung Aktiengesellschaft DVAG (*) 094 EUR 150,000,000 b 11 40.00 Generali Deutschland AG 40.00 40.00 263,937
MPC Real Value Fund GmbH & Co. KG 094 EUR 5,000,200 a 11 100.00 Generali Lebensversicherung Aktiengesellschaft 100.00 100.00 3,379
GLL Retail USA GmbH 094 EUR 62,586,000 a 11 100.00 GLL GmbH & Co. Retail KG 100.00 52.49
Generali SicherungsTreuhand GmbH 094 EUR 52,000 a 11 100.00 Generali Beteiligungs- und Verwaltungs-AG 100.00 100.00 112
Cosmos Fixed Assets GmbH 094 EUR 25,000 a 9 100.00 100.00 100.00 3,000
Louisen-Center Bad Homburg Verwaltungsgesellschaft mbH 094 EUR 25,000 a 10 94.90 Generali Deutschland AG 94.90 94.90 24
ASSERCAR SAS 029 EUR 37,000 b 11 14.87 Generali IARD S.A. 29.73 29.41 311
L’Equité S.A. Cie d’Assurances et Réass.contre les risques de toute nature
COSEV@D Société par actions simplifiée 029 EUR 100,000 a 11 100.00 Cofifo S.A.S. 100.00 98.93 4,755
Generali Investments Opera SAS 029 EUR 1,000,000 a 8 100.00 Generali Investments Holding S.p.A. 100.00 99.63 1,000
VIGIE Assurances SARL Agence 029 EUR 4,271,610 a 11 100.00 Generali IARD S.A. 100.00 98.93
Bourbon Courtage S.A. 029 EUR 124,500 a 11 0.12 Generali IARD S.A. 100.00 94.17 310 0.12 Generali Vie S.A.
PMC Treize Montluçon S.A.S. 029 EUR 1,000 a 9 100.00 Generali France Assurances S.A. 100.00 98.93 3,372
Generali 9 S.A.S. 029 EUR 1,000 a 9 100.00 Generali France Assurances S.A. 100.00 98.93 4 99.99 Generali France Assurances S.A.
EAP France SA (*) 029 EUR 100,000 c 11 51.00 Europ Assistance France S.A. 51.00 50.99 480
Bien Être Assistance S.A.S. (*) 029 EUR 1,000,000 c 11 51.00 Europ Assistance France S.A. 51.00 50.99 695
Metropole Assurances S.à r.l. 029 EUR 1,166,460 a 11 100.00 Generali IARD S.A. 100.00 98.93
SCI Les 3 Collines Le Ferandou 029 EUR 304,000 b 10 33.30 Generali IARD S.A. 48.30 47.78 142 15.00 Generali Vie S.A.
SCI Pasquier (*) 029 EUR 6,437,750 c 10 50.00 Generali IARD S.A. 50.00 49.46 12,309
SCI Malesherbes (*) 029 EUR 32,930,674 c 10 50.00 Generali Vie S.A. 50.00 49.46 27,624
SCI 15 Scribe (*) 029 EUR 14,738,000 c 10 50.00 Generali IARD S.A. 50.00 49.46 27,635
Lead Equities II. Private Equity Mittelstandsfinanzierungs AG 008 EUR 7,300,000 b 9 21.59 Generali Versicherung AG 21.59 21.59
Drei-Banken VersicherungsAktiengesellschaft (*) 008 EUR 7,500,000 b 7 20.00 Generali Holding Vienna AG 20.00 20.00 5,446
Generali TVG Vorsorgemanagement GmbH 008 EUR 145,346 a 11 100.00 Generali Sales Promotion GmbH 100.00 100.00 62
GBK Vermögensverwaltung GmbH 008 EUR 35,000 a 11 100.00 Generali Versicherung AG 100.00 100.00 8,982
Point Partners GP Holdco S.à r.l. (*) 092 EUR 25,000 b 11 25.00 Generali European Retail Investments Holdings S.A. 25.00 24.87
Point Partners Special Limited Partnership (*) 092 EUR 55,102,630 b 11 25.00
GARBE Logistic European Strategic Fund II (*) 092 EUR 125,633,942 b 11 7.95
GLL Retail Holding Alpah Sarl 092 EUR 15,068,000 a 11 100.00 GLL GmbH & Co. Retail KG 100.00 52.49
ANAC All-finance Nederland Advies Combinatie B.V. 050 EUR 12,500 a 11 100.00
MyDrive Solutions Limited 031 GBP 626 a 11 100.00 Participatie Maatschappij Graafschap Holland N.V. 100.00 100.00 17,842
Generali Invest CEE Public Limited Company 040 EUR 131,753,751 a 8 100.00
Famillio Befektetési és Tanácsadó Korlátolt Felelösségü Társaság 077 HUF 780,000,000 a 11 100.00 Generali Biztosító Zrt. 100.00 100.00 312
AUTOTÁL Biztosítási Szolgáltató Kft 077 HUF 104,000,000 a 11 100.00 Generali Biztosító Zrt. 100.00 100.00 1,013
Shaza & Toptorony zrt (*) 077 EUR 84,603,426 c 11 50.00 GLL AMB Generali Bankcenter S.à.r.l. 50.00 50.00 31,154
CP Asistence s.r.o. 275 CZK 3,000,000 a 11 100.00 Europ Assistance s.r.o. 100.00 99.99
Nadace GCP 275 CZK 1,000,000 a 11 100.00 Ceská Pojištovna a.s. 100.00 100.00 148
VUB Generali dôchodková správcovská spolocnost’, a.s. (*) 276 EUR 10,090,976 b 11 50.00 Generali Poistovna a.s. 50.00 50.00 8,305
Europ Assistance Polska Sp.zo.o. 054 PLN 3,000,000 a 11 100.00 Europ Assistance Holding S.A. 100.00 99.99 73
CPM Internacional d.o.o. 261 HRK 275,600 a 11 100.00 Sementi Dom Dotto S.p.A. 100.00 100.00
Generali Group Partner AG 071 CHF 100,000 a 11 100.00 Generali (Schweiz) Holding AG 100.00 100.00 92
Montcalm Wine Importers Ltd 069 USD 600,000 a 11 80.00 Genagricola - Generali Agricoltura S.p.A. 80.00 80.00
GLL 200 State Street L.P. (*) 069 USD 89,200,000 c 11 49.90 GLL AMB Generali 200 State Street 49.90 49.90 39,748
Pluria Productores de Seguros S.A. 006 ARS 50,000 a 11 96.00 Caja de Ahorro y Seguro S.A. 96.00 86.40 345
CEABS Serviços S.A. 011 BRL 6,000,000 c 11 50.00 Europ Assistance Brasil Serviços de Assistência S.A. 100.00 26.50
Europ Servicios S.p.A. 015 CLP 1,000,000 a 11 100.00 Europ Assistance SA 100.00 38.98
Atacama Investments Ltd (*) 249 USD 76,713 b 11 44.16 Participatie Maatschappij Graafschap Holland N.V. 44.16 44.16 19,126
Cabinet Richard KOCH 253 XPF 1,000,000 a 11 100.00 Generali France S.A. 100.00 98.93 2,178
MPI Generali Insurans Berhad (*) 106 MYR 100,000,000 b 3 49.00 Generali Asia N.V. 49.00 49.00 94,152
Europ Assistance India Private Ltd 114 INR 230,590,940 a 11 100.00 Europ Assistance Holding S.A. 100.00 99.99
Generali China Insurance Co. Ltd (*) 016 CNY 1,300,000,000 b 3 49.00 49.00 49.00 68,295
Europ Assistance Travel Assistance Services (Beijing) Co Ltd 016 CNY 1,750,000 a 11 100.00 Europ Assistance Holding S.A. 100.00 99.99
Guotai Asset Management Company (*) 016 CNY 110,000,000 b 8 30.00 30.00 30.00 151,216
Generali Services Pte Ltd 147 SGD 150,000 a 11 100.00 Generali Asia N.V. 100.00 100.00
Europ Assistance (Macau) - Serviços De Assistência Personalizados, Lda. 059 MOP 400,000 a 11 70.00
Europ Assistance IHS (Proprietary) Limited 078 ZAR 400,000 a 11 15.00
Europ Assistance Worldwide Services (South Africa) (Pty) Ltd 100.00 99.84 4
Europ Assistance – IHS Services Cameroun, Société à Responsabilité Limitée Unipersonnelle 119 XAF 1,000,000 a 11 100.00
EA-IHS Services Congo Sarl 145 XAF 10,000,000 a 11 100.00 Europ Assistance - IHS Services S.A.S. 100.00 99.99
(1) a=non consolidated subsidiaries (IAS 27); b=associated companies (IAS 28); c=joint ventures (IAS 31).
Attestation of the consolidated � nancial statements pursuant to the provisions of art. 154-bis, paragraph 5, of legislative decree 58 of february 24, 1998 and art. 81–ter of consob regulation no. 11971 of 14 may 1999 as amended 1. The undersigned, Gabriele Galateri di Genola, in his capacity as Chairman, and Alberto Minali, in his capacity as Manager in charge of preparing the � nancial reports of Assicurazioni Generali S.p.A., and Group CFO, having also taken into account the provisions of Art 154-bis, paragraphs 3 and 4, of the Italian Legislative Decree No. 58 dated 24 February 1998, hereby certify: ❚ the adequacy in relation to the characteristics of the Company and ❚ the effective implementation of the administrative and accounting procedures for the preparation of the consolidated � nancial statements over the course of the period from 1 January to 31 December 2015.
2. The adequacy of the administrative and accounting procedures in place for preparing the consolidated � nancial statements as at 31 December 2015 has been assessed through a process established by Assicurazioni Generali S.p.A. on the basis of the guidelines set out in the Internal Control – Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission, an internationally-accepted reference framework.
ASSICURAZIONI GENERALI S.p.A. ASSICURAZIONI GENERALI S.p.A. ASSICURAZIONI GENERALI S.p.A. ASSICURAZIONI GENERALI S.p.A.
Equivalent terms: refer to equivalent exchange rates and equivalent consolidation scope..
Gross direct premiums: equal to gross premiums written of direct business.
Operating return on investments: it is an indicator of both life segment and property and casualty segment, calculated as the ratio between the operating result and the average investments calculated based on the financial statement values, as described in the methodological notes.
Current accident year loss: it is a further detail of combined ratio calculated as the ratio between:  current year incurred claims + related claims management costs net of recoveries and reinsurance; and
Provisions for outstanding claims: it shall comprise the estimated overall amounts which, from a prudent valuation based on objective elements, are required to meet the payment of the claims incurred during the current year or the previous ones, and not yet settled, as well as the related settlement expenses. The outstanding claims provisions shall be estimated as the total ultimate
Financial asset: A financial asset is any asset that is: (a) cash; (b) an equity instrument of another entity; (c) a contractual right: (i) to receive cash or another financial asset from another entity; or
(ii) a derivative that will or may be settled other than by the exchange of a fixed amount of cash or another financial asset for a fixed number of the entity’s own equity instruments. For this purpose the entity’s own equity instruments do not include puttable financial instruments that are classified as equity instruments.
Financial liability: A financial liability is any liability that is: (a) a contractual obligation: (i) to deliver cash or another financial asset to another entity; or
(ii) to exchange financial assets or financial liabilities with another entity under conditions that are potentially unfavourable to the entity; or
Investments Properties: direct investments in real-estates. Moreover, this asset class includes also investments funds mainly exposed to real-estate investments.
Investments back to unit and index-linked policies: includes various types of investments backing insurance liabilities related to unit and index-linked policies
Earning per share: Earning per share: equals to the ratio of Group net result and the weighted average number of ordinary shares outstanding.
Net Operating Cash is a view of cash generation at the Group’s parent company level. The figure is the sum of: The dividends paid by Group subsidiaries, earnings from parent company reinsurance activities, expenses and interest paid, and the net balance of tax payments and recoveries.
Lockup clause: it imposes the unavailability of the shares assigned with respect to some incentive plans (or a specific share) for a specific time horizon as defined by any individual plan. The clause provides for the commitment of the issuing Company and potentially of some shareholders not to pursue selected actions on the equity of the company itself in the period subsequent to a public offering
Solvency I ratio: is defined as equal to the ratio of the available margin and the required margin., calculated in accordance with S1 requirements.
Investor & Rating Agency Relations Tel: + 39 040 671402 ir@Generali.com Head: Spencer Horgan
The photo shoot was organized in Trieste, Madrid, Monaco, Jakarta, Venezia
The quotes and figures accompanying the pictures are taken from the following sources: pages 8 and 20: UN pages 25 and 30: WHO page 34: CISCO page 51: OECD page 66: NAVIGANT page 116: FAO pages 125 and 320: GARTNER page 130: SENERGY4ALL.COM
3 RESULTS ................................................................................................................................ 5 3.1 OVERVIEW OF 2015 RESULTS ............................................................................................ 5 3.2 MOVEMENT OF EMBEDDED VALUE ...................................................................................... 6 3.3 VALUE IN-FORCE .............................................................................................................. 9 3.4 RECONCILIATION OF ANAV TO IFRS EQUITY ....................................................................... 10 3.5 NEW BUSINESS ............................................................................................................... 10 3.6 DISTRIBUTABLE PROFITS GENERATION ............................................................................. 12 4 RESULTS BY GEOGRAPHIC AREA ..................................................................................... 13 4.1 OVERVIEW OF RESULTS BY GEOGRAPHIC AREA ................................................................. 13 4.2 ITALY ............................................................................................................................. 14 4.3 FRANCE ......................................................................................................................... 16 4.4 GERMANY ...................................................................................................................... 18 4.5 CENTRAL AND EASTERN EUROPE .................................................................................... 20 4.6 EUROPE MIDDLE EAST AND AFRICA ................................................................................. 22 4.7 LATIN AMERICA AND ASIA ................................................................................................ 24 6 ASSUMPTIONS ..................................................................................................................... 28 6.1 ECONOMIC ASSUMPTIONS ................................................................................................ 28 6.2 OPERATING ASSUMPTIONS............................................................................................... 31
ANNEX B: “REAL-WORLD” PROJECTIONS AND IMPLIED DISCOUNT RATES ..................... 35 B1. “REAL-WORLD” BEST ESTIMATE PROJECTIONS ........................................................................ 35 B2. IMPLIED DISCOUNT RATES ..................................................................................................... 35
Assicurazioni Generali S.p.A. (Generali) reports the profits from its life and health insurance business in its published financial statements according to IFRS reporting bases. An alternative method of reporting the value and determining the performance of life and health insurance business is to use Embedded Value accounting. This method is used by a number of European insurance groups to provide supplementary information to that shown in their published accounts.
Since the year-end 2005 EV valuation, Generali has been compliant with the CFO Forum’s European Embedded Value (EEV) Principles and, starting from the year-end 2007 EV valuation, has adopted a “bottom-up” market consistent approach with allowances for the time value of financial options and guarantees, for the frictional cost of required capital and for the cost of non hedgeable risks.
During 2015, in advance of the effective date of Solvency II (1st of January 2016), surveys have been performed by the CFO Forum in order to identify which members are expected to move towards Solvency II framework for embedded value reporting. In October 2015 the CFO Forum announced additional guidance for embedded value reporting replacing the previous interim rules; in this additional guidance CFO Forum permits but does not require an allowance for Solvency II and its associated consequences when complying with the MCEV Principles©, or the EEV Principles© for reporting periods ending before 30th of June 2016.
The required capital is based on Regulatory capital requirement: Solvency II for EEA companies and Local Regulatory approach for non EEA companies.
Generali has engaged Ernst & Young to provide an external opinion on the methodology, assumptions and results according to the MCEV Principles (with the exception of the Group MCEV which, because of the non
economic representation of the value of its non covered segment, is excluded from this Supplementary Information), as described in Section Independent Auditor’s report.
With reference to the covered business, this Supplementary Information document provides the MCEV results as at 31 December 2015, together with details of the methodology and the assumptions used.
The Life EV results cover all of the Group’s direct and indirect life business, as well as the long-term health business written in Germany and Austria (which has characteristics closely related to life insurance business). For the purpose of determining the Life net asset value, the perimeter includes all the operating life and health companies, considered net of any held participations in Group companies included in the IFRS financial and non-life segments, with the exception of those companies and vehicles that offer services directly supporting the covered business. In particular, therefore, asset gathering companies, pension funds, other financial companies and holding companies have not been included in the perimeter.
In addition to the values emerging in the life and health companies, value is also attributed to the stream of profits that are expected to be generated in Head Office and in holding companies with respect to direct life insurance and intra-group life reinsurance, and to the stream of profits generated in the Group’s asset management companies, which are directly associated with life insurance business. All related expenses are taken into account on a look-through basis. Values include inwards reinsurance written, and are net of the impact of reinsurance ceded out of the Group.
No value is attributed in respect of future new business. The EV refers to contracts in force at the valuation date. Automatic premium increases, characterised by reliable acceptance ratios, are included in the projection of the future cash flows according to historical experience. Correspondingly, new business refers only to new contracts written in the year and excludes other automatic premium increases relating to prior years’ business.
Profitability on APE 21.0% 24.0% -3.1 pts changes are on a comparable basis
From year-end 2014 to year-end 2015 EV moves from 25,082mln to 30,133mln.
The following table shows the movement of the EV and its components (VIF and ANAV) from the end of 2014 to the end of 2015, together with the movement of ANAV components (Required Capital and Free Surplus). Expected results are calculated using “real world” best estimate assumptions (see Annex B1).
The impact of the Solvency II adjustment on year-end 2015 figures, in terms of reference rate and required capital, is shown as last step of the movement and not included in the earnings.
Expected contribution (in excess of reference rate) 610 610 0 0 0 Transfers from VIF and req. cap. to free surplus 0 -2,318 2,318 -727 3,045
Total Normalised EV earnings 6,375 2,706 Return on EV 25.2% 10.7%
Change in perimeter: this is the effect of the difference between the Group companies’ interest in the covered business or the covered business itself at the end of 2014 and 2015.
Exchange rate fluctuation: this is the effect of the difference between the exchange rates at the end of 2014 and 2015. The impact on EV is +206mln, mainly as a consequence of the strengthening of local currencies against Euro in Switzerland (+205mln), in Czech Republic, in Asia and of some currencies in Latin America.
New business value: this is the impact of the new business written in 2015. The impact on EV (+1,097mln) represents the new business value at point of sale, calculated as the sum of the NBV of each quarter. The impact on free surplus (-1,643mln) represents the total new business strain, which is the combined effect of the negative contribution to profit in the year of sale (-970mln) and the additional capital required by the new business (-673mln), net of eligible items that can be used to support capital requirements.
• +949mln coming from the roll forward of the beginning of year VIF and relevant required capital, calculated using the risk free component (+340mln) and the risk premium component (+610mln) of the 2014 implied discount rate (see Annex B2); • +47mln referring to the expected after tax return on free surplus, calculated using risk free assumptions.
Operating assumption changes: this is the effect of changes in future operating assumptions. The impact on VIF (+48mln) mainly comes from the revision of the mortality (mostly in France) and surrender and paid-ups (mostly in Italy and in Germany) largely offset by the review of ordinary expenses assumptions (mostly in France and in Germany).
Other operating variances: this is the combined effect of other non-recurrent operating items, such as actuarial platform enhancements, extraordinary expenses and residual variances. The significant impact on EV (+930mln) is mainly due to various improvements and refinements of the actuarial models also implemented to grant consistency to Solvency II framework (+996mln mainly coming from France, Germany and Italy).
Operating EV earnings are equal to the sum of the new business value, the expected existing business contribution (at reference rate and in excess of reference rate), the transfers from VIF and required capital to free surplus (neutral in terms of EV), the operating experience variances, the operating assumption changes and the other operating variances. Operating EV earnings amount to +3,637mln.
• +1.1bln: the positive impact of the increase of the liquidity premium; • +0.6bln: the impact of the positive equity market performance; • +0.2bln: the impact of the change in Italian taxation starting from 2017.
Total EV earnings are equal to the sum of operating EV earnings, economic variances and other non operating variances, and amount to +6,375mln. The corresponding return on EV (obtained dividing the EV earnings by the adjusted opening EV) is equal to +25.2%.
Capital movement: this amount (-946mln) comprises dividends paid in 2015 out of the consolidation perimeter by the covered companies (-979mln), together with net movements (+33mln in aggregate) corresponding to dividends received from Group companies, capital injections and changes in covered companies’ interest in other Group companies and other consolidation differences.
Value at 31/12/2015 after Solvency II adj. is obtained adding the Solvency II adjustment (-588mln) to the Value at 31/12/2015 before Solvency II adjustment (30,721mln), and amounts to 30,133mln.
The table below reports the breakdown of VIF for 2015 and 2014 into its components.
Breakdown of Value in-force as at 31 December 2015 and 2014 (€ mln)
The cost of non hedgeable risks is based on a fixed charge applied to risk capital (see Annex A2): in this case the increase (+7,0% on a comparable basis) is mostly impacted by the higher risk capital necessary to meet non headgeble risks due to business growth partially offset by the increasing discounting effect.
The profits emerging within the first 20 years of projection account for 90% of the overall VIF.
The table below shows the development of NBV from 2014 to 2015, together with the main profitability indicators.
Despite the strong recovery in the second half of the year, the NBM in 2015 is penalized by the averaged unfavourable economic scenarios in respect of 2014, mainly on account of the average reduction of interest rates (on average 72 bps) and the sharp increase in volatility in the second quarter of 2015. The new
PVFP before Time Value of FG&O 1,801 1,765 Time Value of FG&O -443 -293 PVFP after Time Value of FG&O 1,358 1,472 Cost of capital -97 -92 Cost of NHR -165 -142 New Business Value 1,097 1,239
1st year NB strain -1,643 -1,526 o/w industrial strain -970 -926 o/w capital strain -673 -600 1st year NB strain on PVNBP -3.4% -3.3% o/w industrial strain -2.0% -2.0% o/w capital strain -1.4% -1.3%
The 2015 new business strain amounts to -1,643mln, corresponding to the sum of the negative contribution to profit in the year of sale (-970mln) and the capital absorbed by the new business (-673mln). As a consequence of the reduced profitability (mainly due to the worse real world economic scenario of second quarter 2015) and the higher strain, the internal rate of return and payback period both deteriorate.
Distributable profits are defined as the sum of the profit released by the business and the release of the required capital set aside to support it.
The following table (extract from the EV movement table in Section 3.2) shows the generation of distributable profits during 2015, stemming from the new business written during the year and the portfolio already in force at the end of 2014. The table reports both the expected amount of 2015 distributable profit (calculated at the beginning of the year using “real-world” best estimate financial assumptions – see Annex B1) and its actual realisation, where variances on required capital are mainly related to the more favourable economic conditions.
It has to be noted that the In-force business, based at year-end 2015 values, takes into account the Solvency II adjustment on required capital, while new business, produced across 2015, is not taking it into consideration.
Breakdown of Embedded Value results by geographic area (€ mln) Return on EV EV VIF ANAV
In general we observe an excellent return on EV: ! Italy (+30.4%) mostly on account of the positive economic variance following the further narrowing of Italian government bonds spread and the good performance of equities; ! France (+49.4%) correlated to operating variances, particularly due to refinements of the actuarial models also implemented to grant consistency to Solvency II framework (+1,128mln); without these adjustments the return of EV would have been 23.3%; ! Germany (+23.5%) due to recovery of interest rate; ! Central Eastern Europe (+13.7%) due to the recovery of the interest rates and the further narrowing of Czech Republic government bonds spread; ! EMEA (+3.6%) is strongly impacted by the negative economic variances associated to lower interest rates and higher volatilities despite the good positive impact from operating experience variance of the year; ! Latin America and Asia (+13.3%) is driven by the good contribution of new business during the year.
Breakdown of New Business Value results by geographic area (€ mln) APE NBV Profitability on APE
On a comparable basis, APE remarkably increases in Latin America and Asia (+71.2%) and France (+16.0%), whereas the new production declines in Italy (-6.8%), Germany (-5.0%), Central Eastern Europe (-3.2%) and in EMEA (-7.2%). In aggregate, APE reports a slight decline of 0.2%.
The slight decrease of new business margin in Italy is explained by the deterioration of economic assumptions during the year partially compensated by the reduced guarantees and the higher weight of unit linked products. The decrease of profitability in France and Germany mainly due to the negative impact of the average reduction of the reference rates and high volatility, in particular on saving business with high level of guarantees. Central Eastern Europe profitability decreases mainly on account of the profitability decline observed for the protection business. Profitability increases in EMEA as a consequence of the higher weight in terms of APE of the protection business with improved profitability. The profitability increases in Latin America and Asia mainly thanks to the profitability improvement on protection business.
Change in perimeter -1 -1 0 Exchange rate fluctuation 0 0 0 Adjusted Value at 31/12/2014 8,716 4,904 3,811 New business value 589 1,052 -463 Expected contribution (reference rate) 107 117 -10 Expected contribution (in excess of reference rate) 414 414 0 Transfers from VIF and req. cap. to free surplus 0 -998 998 Operating experience variances -40 -14 -26 Operating assumption changes 77 77 0 Other operating variances -265 -262 -4 Operating EV earnings 882 387 495
Other non operating variances 0 0 0 Total EV earnings 2,647 2,033 614
Value at 31/12/2015 before Solvency II adj. 10,361 6,937 3,424 Solvency II Risk Free Rate & Req. Capital -20 -20 0
Other operating variances amount to -265mln, they mainly include some refinements into the actuarial platform (-280mln).
The economic variances amount to +1,765mln, with both ANAV (+119mln) and VIF (+1,645mln) benefiting from the further sharp narrowing of the spread between the Italian government bond rates and the swap rates. Such effect is also driven by the recovery of reference rates and a reduction of the local ordinary taxation starting from January 2017, with an impact of +242mln.
As a result, total EV earnings amount to 2,647mln, with an overall return on EV equal to 30.4%.
The Solvency II Risk Free Rate and Required Capital adjustment (-20mln) refers to the adoption of lower reference rate and lower cost of capital as a consequence of reduced required capital, leading the total EV at year-end 2015 to 10,341mln.
The new business profitability slightly reduces, with the margin on APE moving from 25.7% in 2014 to 25.4% in 2015. The reduction of the guarantees offered to the policyholder (from 0.86% at YE14 to 0.42% at YE15) and the effect of steering the business mix into more profitable unit linked business (margin on APE 47.1%) as almost smoothed the deterioration of economic assumptions of the first half of the year.
As a result, operating EV earnings amount to 1,669mln, while normalised earnings (which exclude the other operating variances) amount to 593mln, with a corresponding normalised return on EV of 13.7%.
The economic variances amount to positive 465mln and are driven by the strong impact on VIF (+445mln) of higher interest rates that, combined with the model changes, causes a huge decrease of the cost of financial guarantees and options on the long-tailed pension business, as reported in the following table: Breakdown of value in-force as at 31 December 2015 and 2014 (€ mln)
PVFP before Time Value of FG&O 3,388 2,883 Time Value of FG&O -281 -1,477 PVFP after Time Value of FG&O 3,107 1,406 Cost of Capital -130 -232 Cost of NHR -456 -404 Value In-Force 2,521 770
Total EV earnings amount to +2,134mln, with an overall return on EV equal to +49.4%.
The capital movement (+263mln) refers to changes in covered companies’ interest in other Group companies, leading the total EV at year-end 2015 before Solvency II adjustment to 6,720mln.
APE increases (+16.0%) on account of the excellent progression of regular premium production (+35.8%, representing 42.8% of APE), also helped by a more contained progression of single premiums (4.6%). In terms of main business lines, protection business and unit linked business show an increase (+46.1% and +41.7%, respectively), whereas saving business slightly reduces (-4.0%, with a weight on APE of 48.3%).
The 2015 new business strain amounts to -359mln, corresponding to the sum of the negative contribution to profit in the year of sale (-139mln) and the capital absorbed by the new business (-220mln). In terms of ratio over the present value of new business premiums, from 2014 to 2015 the first year strain decreases from -4.9% to -4.5%. The lower best estimate real-world financial assumptions lead the IRR to deteriorate from 6.6% in 2014 to 4.9% 2015 and the pay-back to increase from 9.9 years to 12.9 years.
Change in perimeter 0 0 0 Exchange rate fluctuation 0 0 0 Adjusted Value at 31/12/2014 4,613 3,461 1,152 New business value 191 244 -54 Expected contribution (reference rate) 87 87 0 Expected contribution (in excess of reference rate) -89 -89 0 Transfers from VIF and req. cap. to free surplus 0 -140 140 Operating experience variances 143 108 35 Operating assumption changes -68 -68 0 Other operating variances 165 166 -2 Operating EV earnings 428 308 119
Other non operating variances 0 0 0 Total EV earnings 1,082 907 175
The operating experience variance included in the operating EV earnings amounts to +143mln, driven mostly by the positive impact on surrender (+123mln).
Other operating variances amount to +165mln, almost entirely represented by the impact on VIF and explained by various refinements in the actuarial projection models, where the most sizable is the Zinszusatzreserve (ZZR) recalibration according to the actual change in accounting rules during the 2015.
The economic variances amount to 655mln and mainly come from the impact on VIF (599mln) of the recovery of reference rates that, combined with the mitigation of interest rate volatilities and the impact of model changes, determine an important decrease of the cost of options and guarantees, as reported in the table below.
The split of VIF is reported in the table below: Breakdown of value in-force as at 31 December 2015 and 2014 (€ mln)
The total new business strain (lower than in other countries thanks to the use of Zillmerised reserves) amounts to -89mln, corresponding to the sum of the negative contribution to profit in the year of sale (-54mln) and the capital absorbed by the new business (-35mln). The increased strain (from -0.6% in 2014 to -0.8% in 2015, in terms of ratio over the present value of new business premiums) and the lower profitability explain the internal rate of return decrease from 23.6% in 2014 to 9.7% in 2015, and the increase of the payback period from 4.8 years to 10.2 years.
Other non operating variances 0 0 0 Total EV earnings 213 43 171
Total Normalised EV earnings 213 105 Return on EV 13.7% 6.7%
In Central and Eastern Europe, the EV moves from 1,527mln to 1,644mln.
The changes in the operating assumptions amount to -4mln and mainly come from Czech Republic revision of future assumptions on expenses, surrenders and mortality.
As a result, operating EV earnings amount to 91mln, while normalised earnings (which exclude the other operating variances) equal to 105mln and lead to a normalised return on EV of 6.7%.
PVFP before Time Value of FG&O 1,189 1,154 Time Value of FG&O -18 -6 PVFP after Time Value of FG&O 1,171 1,148 Cost of Capital -2 -10 Cost of NHR -33 -59 Value In-Force 1,135 1,079
As a result, total EV earnings amount to +213mln, with an overall return on EV equal to 13.7%.
The capital movement (-118mln) refers to dividends paid in 2015 by the covered business out of the consolidation perimeter (-91mln), and to capital injections and changes in covered companies’ interest in other Group companies (-27mln), leading the total EV at year-end 2015 before Solvency II adjustment to 1,650mln.
The Solvency II Risk Free Rate and Required Capital adjustment (-6mln) refers to the adoption of lower reference rate and lower cost of capital as a consequence of reduced required capital, leading the total EV at year-end 2015 to 1,644mln.
PVNBP 897 739 6.1% 1st year NB strain on PVNBP -13.3% -16.2% NBV 39 49 -30.2% o/w industrial strain on PVNBP -11.4% -14.3% Profitability on APE 23.7% 32.8% -9.2 pts o/w capital strain on PVNBP -1.9% -2.0% Profitability on PVNBP 4.3% 6.6% -2.2 pts IRR 8.0% 9.8% changes are on a comparable basis Payback period (yrs) 6.7 6.4
Change in perimeter 5 4 0 Exchange rate fluctuation 206 139 67 Adjusted Value at 31/12/2014 5,288 2,689 2,599 New business value 174 302 -128 Expected contribution (reference rate) 50 38 13 Expected contribution (in excess of reference rate) 167 167 0 Transfers from VIF and req. cap. to free surplus 0 -536 536 Operating experience variances 141 113 28 Operating assumption changes -40 -40 0 Other operating variances -39 -77 38 Operating EV earnings 453 -34 487
Value at 31/12/2015 before Solvency II adj. 5,605 2,716 2,889 Solvency II Risk Free Rate & Req. Capital -165 -165 0
Total Normalised EV earnings 192 492 Return on EV 3.6% 9.3%
In Europe Middle East and Africa, the EV moves from 5,077mln to 5,439mln.
Opening adjustments on EV (+211mln) reflect minor movements in the Life EV perimeter and the strengthening of Swiss Franc against Euro.
As a result, operating EV earnings amount to 453mln, while normalised earnings (which exclude the other operating variances) equal to 492mln and lead to a normalised return on EV of 9.3%.
The economic variances amount to -248mln and come from the impact on ANAV (-309mln) partially offset by the positive impact on VIF (+61mln) of the recovery of interest rates. Such negative impact on EV is particularly evident in Switzerland, characterized by high level of guarantees, where interest rates and volatility have worsened. The negative impact on ANAV mainly comes from unrealized losses due to interest rate increase and from reserve strengthening in some countries due to the low interest rate environment.
Breakdown of value in-force as at 31 December 2015 and 2014 (€ mln)
PVFP before Time Value of FG&O 3,561 3,618 Time Value of FG&O -528 -637 PVFP after Time Value of FG&O 3,032 2,981 Cost of Capital -54 -132 Cost of NHR -428 -304 Value In-Force 2,551 2,546
Other non operating variances (-12mln) lead to total EV earnings amounting to 192mln, with an overall return on EV equal to 3.6%.
The capital movement (+125mln) refers to dividends paid in 2015 by the covered business out of the consolidation perimeter (-71mln), and to capital injections and changes in covered companies’ interest in other Group companies (+196mln), leading the total EV at year-end 2015 before Solvency II adjustment to 5,605mln.
New Business Value 2014 177 25.9% PVFP before Time Value of FG&O 274 243 Change in perimeter 4 0.5% Time Value of FG&O -48 -25 Exchange rate fluctuation 4 0.3% PVFP after Time Value of FG&O 227 218 Products mix/volume 5 2.8% Cost of Capital -7 -7 Profitability -17 -2.6% Cost of NHR -46 -34 New Business Value 2015 174 27.0% New Business Value 174 177
Value at 31/12/2015 before Solvency II adj. 815 289 527 Solvency II Risk Free Rate & Req. Capital -44 -44 0
Opening adjustments on EV (-27mln) reflect the impact of the weakening of most currencies of the region against Euro.
The operating experience variance included in the operating EV earnings amounts to 1mln, as a combined effect of the unfavourable deviations on expenses (-23mln) offset by favourable deviations on profit sharing (+19mln), mortality (+3mln) and surrenders (+2mln).
The changes in the future operating assumptions amount to 3mln, has a combined effect of minor changes on expenses, mortality, surrender and profit sharing.
Other operating variances (+7mln) lead to operating EV earnings amounting to 113mln, while normalised earnings (which exclude the other operating variances) equal to 106mln lead to a normalised return on EV of 13.3%.
PVFP before Time Value of FG&O 311 242 Time Value of FG&O -16 0 PVFP after Time Value of FG&O 294 242 Cost of Capital -20 -34 Cost of NHR -29 0 Value In-Force 245 208
The Solvency II Risk Free Rate and Required Capital adjustment (-44mln) refers to the adoption of lower reference rate and lower cost of capital as a consequence of reduced required capital, leading the total EV at year-end 2015 to 772mln.
APE shows positive developments in all countries of the Area and in particular in China (+86.7%). All main business lines registered a good progression. At area level the weight of protection business slight decreases from 29.9% at YE14 to 27.0% at YE15 mainly explained by the strong of increase of saving products in China (+102.2%).
The new business profitability moves from 11.8% in 2014 to 13.5% in 2015. This highlights the improvement of profitability during 2015 thanks to the protection business where the profitability is equal to 18,9%. As a consequence of the higher volumes (APE +71.2%) and the improved profitability the NBV increases on a comparable basis by 88.6%, and amounts to 42mln.
The total new business strain amounts to -124mln, corresponding to the sum of the negative contribution to profit in the year of sale (-85mln) and the capital absorbed by the new business (-40mln). The internal rate of return slightly decreases form 12.8% to 12.3% and the pay-back increases from 7.1 years to 7.3 years at YE15.
• Property Value -10%: sensitivity to a 10% market value reduction at valuation date for property investments.
• Mortality/morbidity for risk business -5%: sensitivity to a 5% decrease of mortality/morbidity (multiplicative, i.e. 95% of best estimate mortality/morbidity rates), including the effect of possible related re-pricing, for all product lines subject to mortality risk, i.e. where the present value of future profits decreases when the mortality rates increase (e.g. term assurance, whole life, annuity during the accumulation period).
Each sensitivity test is performed in isolation, i.e. all other assumptions remain unchanged except where they are directly impacted by the changed assumptions.
Reference rates without volatility adjustment -6.9% -3.6% -13.5% -7.7% -0.2% -6.2% -8.6% Reference rates with volatility adjustment +10bps 2.3% 1.7% 2.2% 2.9% 0.3% 3.6% 0.9%
The impact of the sensitivity to a 0.5% increase in the yield curve is generally positive, with different magnitudes on account of different weights of businesses with prevalent financial profits proportionally shared with policyholders (which benefit from an increase of interest rates) and businesses with prevalent fixed components of profits (“fee-based” financial margins or technical margins) which are penalised by the corresponding increase in the discount factors.
The following table, reporting the sensitivities applied to NBV, has to be read noting that, for practical reasons, the variation percentages have been exported to the official NBV (sum of the NBV of four quarters, each of them calculated with beginning of period assumptions) from an additional NBV run based on year end assumptions.
Mortality/Morbidity for Risk Business -5% 2.7% 0.3% 6.4% 3.8% 12.5% 5.4% 5.4%
The key economic assumptions for the risk-neutral 2015 valuation (modifying 2014 approach based on Liquidity Premium) are, for each economy: • the reference rates (swap curve adjusted for credit risk (CRA) as defined by EIOPA); • the volatility (VA) adjustment; • the implied volatilities for each asset class; • the correlations between different asset classes.
For maturities beyond the last term where the market is deemed to be fully deep, liquid and transparent (the extrapolation “last liquid point”), reference rates have been extrapolated. Generali’s approach to extrapolation for the year-end 2015 EV valuation is unchanged from previous year. In particular, starting from the extrapolation “last liquid point” (“LLP”), slightly changed for some currencies in accordance with EIOPA, reference rates are assumed to gradually converge to a certain ultimate long-term forward rate (“UFR”) in a certain number of years (the “convergence period”).
The following table summarises Generali’s reference rates assumptions for its main currencies.
EUR Swap (net CRA) 20 yrs 4.20% 40 yrs Smith-Wilson CHF Swap (net CRA) 25 yrs 3.20% 40 yrs Smith-Wilson GBP Swap (net CRA) 50 yrs 4.20% 40 yrs Smith-Wilson CZK Swap (net CRA) 15 yrs 4.20% 45 yrs Smith-Wilson HUF Govt (net CRA) 15 yrs 4.20% 45 yrs Smith-Wilson
EUR 22 bps -10 bps CHF 9 bps -10 bps GBP 31 bps -12 bps CZK 6 bps -10 bps
To model equity and property, a range of equity indices is considered, and a log excess return above short rate model is used to generate returns from fixed income dynamics of the economy. A time-varying volatility model is adopted for modelling the equity index. Equity volatilities are taken from implied volatilities of at the money forward equity index quoted options. Concerning property, a constant volatility model is used, with volatilities taken mainly from historic returns also reflecting other available data sources.
Swaption implied volatilities Equity option implied volatilities 1 year 2 year 5 year 10 year 20 year 1 year 2 year 5 year 7 year 10 year
Valuation at 31 December 2014 Swaption implied volatilities Equity option implied volatilities 1 year 2 year 5 year 10 year 20 year 1 year 2 year 5 year 7 year 10 year
The swaption volatilities illustrated above refer to volatilities implied in options on 10-year swap at the money; where market data were not available, model output has been used. The equity indices used in the
Correlations between asset returns, being not directly observable metrics, are inferred using an analysis of historical data, expert opinions and expectations implied by market prices. For each considered economy, the excess return correlation target between 10-year bond and equity is 15% (17% in 2014).
All the EV-related values have been calculated using local currencies, converted to EUR using year-end exchange rates. Within the full year NBV, each quarterly NBV has been converted to EUR using the exchange rates valid at the end of the quarter. The following table shows the assumed year-end exchange rates (foreign currency against 1 EUR) for selected currencies.
Regarding the expenses, full allowance has been made for all expenses within the life and health business in the Group, with the exclusion of 94mln of non-recurrent expenses (after tax) treated as extraordinary expenses. The value of new business at point of sale is shown after the deduction of all acquisition costs. Maintenance expenses, generally expressed as per-policy amounts, are assumed to increase at the inflation rate, with specific allowance for the inflation of salaries and medical costs. Commissions and other payments to distribution channels have been projected based on the agreements inforce at the valuation date. Life insurance and asset management contract charges, terms and conditions, including surrender value bases, management fees and other charges, have been assumed to remain unaltered at the levels prevailing at the valuation date, as have all infra-group arrangements.
Management actions included in the actuarial platforms (mainly consisting in decisions regarding asset investment and disinvestment, payments to and withdrawals from profit sharing funds, and the determination of crediting rates – see also Annex A2) are in line with the regulatory requirements and with actual strategies as executed in recent years and as expected in agreed business plans.
Generali has adopted a “bottom-up” market consistent stochastic approach, which is compliant with the Market Consistent Embedded Value (MCEV) Principles published by the European Insurance CFO Forum in October 2009, with the exception of Principles 14 (reference rate) and from 17.3.37 to 17.3.45 (disclosure of Group MCEV). In line with the MCEV Principles, the Embedded Value is defined as the sum of the Adjusted Net Asset Value and the Value In-Force.
A1. ADJUSTED NET ASSET VALUE With reference to the consolidation perimeter of the covered business, the Adjusted Net Asset Value (ANAV) corresponds to the consolidated market value of the assets backing the shareholders’ funds, net of taxes and policyholder interests on unrealised capital gains and losses, and net of other adjustments required to maintain consistency with the methodology underlying Value In Force. In particular, ANAV is derived from corresponding IFRS shareholder’s equity, adjusted to reflect the after tax impact of the following main items: • elimination of the value included in the IFRS Equity for Goodwill, DAC, Value of Business Acquired and other intangibles; • adjustment to fair value for assets not backing technical provisions that are not considered on a fair value basis under IFRS (in particular property and loans); • elimination of any unrealised gain/loss included in the IFRS shareholder’s equity which is already captured in the VIF; • other adjustments to reflect the economic valuation of items already captured in IFRS NAV but not considered at their fair value.
Starting from year-end 2015 Generali defines the level of required capital for each EEA business unit as the Regulatory Solvency II risk adjusted capital. It is presented net of the impact of relevant eligible items that can be used to support capital requirements with no associated cost to shareholders. For non EEA it is defined as the 100% of the local regulatory required capital, net of the relevant free coverage. In case of local restrictions on distribution of free assets, no free coverage has been applied.
A2. VALUE IN-FORCE The Value In-Force is defined as the present value of the projected stream of after tax industrial profits that are expected to be generated by the covered business in force at the valuation date, assuming assets at local statutory book values (segregated fund values for Italian revaluable business) equal to the technical reserves, net of the cost of financial guarantees and options granted to policyholders, the frictional costs of holding required capital and the cost of non hedgeable risks. Calculations are performed at local company level, based on local statutory reserving regulations.
For participating business, the profit sharing and the allocation of profits between shareholders and policyholders have been based on local company practice, taking account of regulatory constraints.
Present Value of Future Profits before Time Value of Financial Guarantees and Options
It is equal to the present value of future after tax industrial profits calculated according to a certaintyequivalent approach, i.e. projecting cash flows in a scenario in which the market return of all assets is set equal to the reference rate and discounting at the same reference rate.
It represents the value of the business without taking credit at valuation date for any future asset risk premium over the reference rate and it captures the intrinsic value of financial guarantees and options.
For the vast majority of business with financial guarantees and options, stochastic models are used to project future industrial profits over a range of risk-neutral economic scenarios, appropriately allowing for the impact of financial guarantees and options. The mean of the PVFPs arising in the different economic scenarios represents the value of the business allowing for the market consistent value of the financial guarantees and options, determined in line with the way cash flows with similar optionality would be valued in the financial markets. The Time Value of Financial Guarantees and Options is then calculated as the difference between the PVFP before the Time Value of FG&O defined above and the mean of the stochastic PVFPs.
Stochastic models are set up appropriately allowing for the business-specific structure of financial guarantees and of profit sharing, and also allowing for management actions and for the corresponding behaviour of policyholders. Management actions mainly consist in decisions regarding asset investment and disinvestment according to scenario specific cash flow positions, payments to and withdrawals from profit sharing funds, and the determination of crediting rates. The target asset allocation is consistent with the asset mix at the valuation date and the principles underlying management actions are in line with the regulatory requirements and with actual strategies as executed in recent years. The stochastic models also allow for policyholder behaviour linked to the development of the capital markets, so that the propensity for lapses increases when market yield is more competitive than the crediting rate offered by the insurer.
The most material financial guarantees and options offered by the covered business are guaranteed interest rates, minimum maturity values, guaranteed minimum surrender values and, where appropriate, inflation guarantees and guaranteed take-up rates on traditional business, and guaranteed maturity values on unitlinked business.
The cost of non hedgeable risks is calculated using a “cost of capital” approach, based on Solvency II Capital for non hedgeable risks projected across all projection years with appropriate drivers. The annual charge applied is equal to 4%, before the application of taxes at the local ordinary taxation level.
The structure of the economic assumptions used in “real-world” projections is unchanged in respect of prior years and it is based on country-specific benchmark rates set equal to the 10-year par yield of local government bonds. The returns of the other asset classes are then set by adding pre-determined risk premia to the country-specific benchmark rates. The assumptions used are summarised in the following tables with reference to 31 December 2014 and 2015.
Best-estimate economic assumptions as at 31 December 2015 Italy France Germany CEE EMEA Lat.Am.&Asia
Best-estimate economic assumptions as at 31 December 2014 Italy France Germany CEE EMEA Lat.Am.&Asia
The calculation of IDRs requires a deterministic projection of future profits in a “real-world” best estimate scenario, exactly as in the traditional deterministic EV framework. The set of deterministic “real-world” best estimate assumptions used for the calculation of IDRs is the same as that used by companies calculating a traditional deterministic EV, using Generali’s definition of required capital.
IDRs enable comparison with the traditional EV valuation and represent a meaningful measure of the risk profile of the business, as reflected in the market consistent value, providing an estimation of what return might be expected if actual future investment returns were consistent with the best estimate assumptions. According to Generali’s approach, IDRs are not only a useful measure of the risks embedded in the business, but they are also the basis used for the unwinding in the movement analysis.
Breakdown of New Business Value IDR per geographical areas 2015 and 2014 NBV - IDR 2015 NBV - IDR 2014
Value In-Force (VIF) is the present value of the projected stream of after tax industrial profits that are expected to be generated by the covered business in force at the valuation date, after allowance for: ! the cost of financial guarantees and options granted to policyholders; ! the frictional costs of holding the required capital; ! the cost of non hedgeable risks.
Embedded Value Earnings correspond to the difference between the closing and the opening EV, excluding adjustments to opening EV and capital movements.
Required Capital is the market value of assets that are needed to support the covered business in addition to those required to back technical reserves and other policyholder liabilities, taking into account local regulatory solvency requirements and internal objectives.
Present Value of New Business Premiums (PVNBP) is defined as the present value of the expected future new business premiums, allowing for lapses and other exits, discounted to point of sale using the reference rates.
Payback Period is the period of time (in years, from issue date) required to recover the cost of the initial investment in new business (i.e. new business first year industrial strain and required capital absorption) calculated by means of a deterministic projection of distributable profits based on “real-world” best estimate assumptions (see Annex B1).
Implied Discount Rate (IDR) is the discount rate that, when applied to a deterministic projection of future distributable profits based on “real-world” best estimate assumptions (see Annex B1), produces the same value as that arising from the market consistent valuation.
Disclaimer To the extent that this paper includes prognoses or expectations or forward-looking statements, these statements may involve known and unknown risk and uncertainties. The actual results and developments may, therefore, differ materially from the stated prognoses or expectations. Besides other reasons not specified here, deviations may be the result of changes in the overall economy or the competitive situation, especially in core activities and core markets. Deviations may also result from lapse ratios, mortality and morbidity rates or tendencies. The development of financial markets and foreign currency exchange rates as well as amendments of national and international law, particularly in respect of tax rules, may have an influence. The company is under no obligation to update the statements made in this paper.