FY2012 Embedded Value
Disclaimer 2 본자료는미래에대한기대나예측 (forward looking statements) 을담고있습니다. 이기대와예측은경영진의현재시각과가정에기반한것이며알려지거나알려지지않은리스크와불확실성을담고있습니다. 이외에도문맥상미래기대와관련된일정한단어와문구들은미래기대나예측과동일합니다. 실제결과, 성과나사건들은이러한기대나예측과중대하게달라질수있습니다. 달라질수있는원인으로는전반적인경제현황, 금융시장의성과, 보험사고의빈도와심도, 사망률과질병률상태와트렌드, 계약유지율, 이자율, 시장의경쟁상황, 법과규제의변화, 그리고정부와규제단체정책의변화등이있습니다. 또한본자료는결정론적인전통적인가치평가방법 (Traditional Embedded Valuation Methodology) 을이용하여산출하였습니다. 시장에는다른가치평가방법도존재합니다. 당사는본자료에담긴미래에대한기대나예측을갱신할의무가없습니다. 또한이에기반하여행해진투자결과에대해당사의의무나책임은없습니다.
Contents Ⅰ. Embedded Value Ⅱ. Value of New Business (VNB) Ⅲ. Movement of EV Ⅳ. P/EV Ⅴ. Sensitivities Ⅵ. Review Statement
4 Ⅰ. Embedded Value 1. Embedded Value results 2. Adjusted Net Worth (ANW) 3. Value of in-force business (VIB) 4. RoEV
Ⅰ- 1. Embedded Value results 5/69 FY2012 Embedded Value : 24,902 억원 ( 전년대비 3,362 억원 (15.6%) 증가 ) Unit : 억원 21,540 4,730 28.1% 24,902 3,362 15.6% Embedded Value 16,810 13,166 2,749 26.4% 14,936 1,770 13.4% Value of in-force business 10,417 Adjusted Net Worth 6,393 8,374 1,981 31.0% 9,966 1,592 19.0% FY2010 FY2011 FY2012
Ⅰ- 2. Adjusted Net Worth (ANW) 6/69 FY2012 ANW : 9,966 억 ( 전년대비 1,592 억원 (19.0%) 증가 ) 1,049-532 Unit : 억원 1,307 매도가능증권평가이익 배당 -257 무형자산 25 기타 9,966 8,374 당기순이익 FY2011 FY2012
Ⅰ- 2. Adjusted Net Worth (ANW) 7/69 FY2012 ANW 조정사항 Unit : 억원 구 분 FY2012 (A) FY2011 (B) YoY (A-B) 비고 Shareholder s Equity (a) 10,867 8,990 1,877 당기순이익 : +1,307 억원 매도가능증권평가이익 : 1,049 억원 배당 : -532 억원 무형자산 : -257 억원 배당예정금액 290 억원포함 Adjusted Capital (b) -901-616 -285 정상 / 요주의대손 56 72-16 무형자산 -908-651 -257 선급비용 -49-37 -13 Adjusted Net Worth (a+b) 9,966 8,374 1,592
Ⅰ- 3. Value of in-force business - Assumptions 8/69 계리적가정 (Operational Assumption) 유지율 - 직전 3 개년경험통계사용 상품특성및판매채널에따라적용 위험손해율 - 과거 6 년간경험통계사용 17 개 Category 로구분하여적용 - Inforce Business 의현가 L/R : FY2011 86.8%, FY2012 84.7% 사업비 - 수당수수료 : 회사의지급기준적용 - 수당수수료를제외한사업비 : 직전 1 개년경험통계사용 예정이율 - 확정형 / 연동형구분하였으며, 연동형은금리유형별 ( 공시이율, 보험계약대출이율등 ) 로적용
Ⅰ- 3. Value of in-force business - Assumptions 9/69 경제적가정 (Economic Assumption) 투자이익률 (Investment yield) : 4.10%( 전년 4.85%) - 최근 3개년투자이익률 부담이율스프레드현황 ( 단위 : %) FY2010 FY2011 FY2012 투자이익률 5.6 5.6 5.7 평균부담이율 4.3 4.2 4.1 Spread 1.3 1.4 1.6 국고채 (3년) 3.6 3.5 3.0 - 최근 3개년 EV 적용스프레드 ( 단위 : %) FY2010 FY2011 FY2012 투자이익률 5.0 4.85 4.1 평균부담이율 4.24 4.11 3.62 Spread 0.76 0.74 0.48 국고채 (3 년 ): 기준년도최근 1 년평균수익률 당사의투자이익률 - 부담이율스프레드실적은전년도에비해 20bp 증가하였으나, 시중금리의하락을반영하여 FY2012 EV 산출시는투자이익률을전년보다 75bp, 투자이익률과평균부담이율간의 spread 를전년보다 26bp 하락시킨가정을적용.
Ⅰ- 3. Value of in-force business - Assumptions 10/69 경제적가정 (Economic Assumption) 자본비용 (Required Capital) : RBC 요구자본의 150% 반영 RBC 요구자본기준강화 장기보험가격리스크산출방식변경 장기보험가격리스크 2012.3월 2013.3월 Category 상품군 담보군 신뢰수준 95% 99% 리스크계수 26.6% 30.0% 리스크량증감효과 277억원 금리리스크역마진위험액신규추가 산출식 ( 운용자산이익 부담이자 ) * 0.5 운용자산이익률 : 최근 1 년국고채 5 년평균 + 위험스프레드 (5 년평균 ) 리스크량 46 억원 (2013.3 월 ) 할인율 (Risk Discount Rate) : 10.0% ( 전년도 11.0%) 구분 FY2010 FY2011 FY2012 비고 Risk Free Rate( 국고채 ) 4.8 3.6 2.8 RDR( 할인율 ) 11.5% 11.0% 10.0% 지속적인시중금리하락추세반영 국고채 (3 년 ): 기준년도말시점수익률 Inflation Rate : 3.0%, Tax : 24.2%
Ⅰ- 3. Value of in-force business (VIB) 11/69 VIB = Present Value of Future Profit Cost of Capital = 14,936 억원 구분 FY2012 FY2011 YoY Unit : 억원 PV of Future Premium (a) 164,376 138,511 25,865 18.7% PV of Future Profit (b) 18,310 15,429 2,880 18.7% Margin (b/a) 11.1% 11.1% +0.0%p Cost of Capital (c) 3,374 2,263 1,110 49.1% (c/a) 2.1% 1.6% +0.4%p Value of In-force Business (d = b - c) 14,936 13,166 1,770 13.4% Value Margin (d/a) 9.1% 9.5% -0.4%p
Ⅰ- 3. Value of in-force business (VIB) 12/69 경제적가정 (Economic Assumption) 및제도 (RBC) 변경전후 VIB 비교 2,645 688-1,295 Unit : 억원 RBC 제도 16,974 할인율 경제적가정및제도의변화에의한 FY2012 VIB 증감효과 감소요인 - 투자이익률하락및스프레드감소효과 : - 2,645 억원 - RBC 요구자본기준강화효과 : -688 억원 증가요인 14,936 투자이익률 - 할인율인하효과 : +1,295 억원 가정변경전후증감률비교 Unit : 억원 구분 現기준 전년기준 보유계약가치 (VIB) 14,936 16,974 전년대비증감률 13.4% 28.9% 現기준 전년기준
Ⅰ- 4. RoEV 13/69 RoEV 31.3% 8.4%p 22.9% 4.5%p 18.4% FY2010 FY2011 FY2012 EV( 억원 ) 16,100 17,069 EV( 억원 ) 5,036 3,904 21,477 3,957 EV : Adjusted EV at BOP
Ⅱ. Value of New Business (VNB)
Ⅱ. Value of new business (VNB) 15/69 Value of 1-year new business : 3,769 억원 Unit : 억원 구분 FY2012 FY2011 YoY PV of Future Premium (a) 47,755 37,765 9,990 26.5% Annualized Premiums equivalent (b) 12,949 11,518 1,431 12.3% PV of Future Profit (c) 4,399 3,194 1,205 37.7% Margin (c/a) 9.2% 8.5% +0.7%p Cost of Capital 630 450 180 40.1% Value of 1-year New Business (d) 3,769 2,744 1,025 37.3% Profit Margin (d/a) 7.9% 7.3% 0.6%p Profit Margin on ANP (d/b) 29.1% 23.8% +5.3%p ANP : Annualized premiums equivalent
Ⅱ. Value of new business (VNB) 16/69 Value of 1-year new business 변동요인 2,744 900 172 유지율 528-317 손해율 사업비 -314 경제적가정 56 3,769 기타 Unit : 억원 매출효과 FY2011 FY2012 구분 FY2011 변동 요인 매출효과유지율손해율사업비경제적가정기타 FY2012 누계 변동 Value 2,744 3,644 3,816 4,344 4,027 3,713 3,769 3,769 % - 32.8% 39.1% 58.3% 46.7% 35.3% 37.3% 37.3% Value - 900 172 528-317 -314 56 1,025 % - 32.8% 6.3% 19.2% -11.6% -11.4% 2.0% 37.3% 매출효과 : 매출성장 / 상품 Mix, 경제적가정 : 할인율 / 투자수익률 / 자본비용, 기타 : 배당 / 세금
Ⅲ. Movement of EV 17
Ⅲ. Movement of EV 18/69 전년대비 3,362 억원증가한 2 조 4,902 억원시현 3,769 146-1,099 184 일반계정 Discount 투자이익 Unwinding -988 (new biz) Variances P&C 영업손익 284 순자산변동 Unit : 억원 -101 24,902 영업외손익등기타 1,024-2,081 1,889 Value of New Business 순자산변동 - 배당 : -532 억 - 기타포괄손익누계액변동 : 1,101 억 - Adjusted Capital 변화 : -285 억 21,540 FY2011-63 Model Change 21,477 Adjusted EV at BOP 계리적가정변화 경제적가정변화 -467 RBC & Tax (in-force) 865 RDR Discount Unwinding (in-force) FY2012
Ⅳ. P/EV 19
Ⅳ. P/EV 20/69 주가, 주당 EV, P/EV 0.63x 19,825 원 P/EV 0.58x 22,275 원 0.50x 24,575원 12,500 원 12,900 원 12,350 원 주가 FY2010 주당 EV 주가 FY2011 주당 EV 주가 주당 EV Current (2013.5.22)
Ⅴ. Sensitivities 21
Ⅴ. Sensitivities ( In-force business ) 22/69 Unit : 억원 해약률사업비율 750(5%) 612 (4%) +10% +10% -10% -10% -704(-5%) -611(-4%) 금리 1,815 (12%) 손해율 2,870(19%) -50bp +10% +50bp -10% -1,968 (-13%) 사업비율의변동요인은직접비용인수당수수료와기타비용을제외하였음. 시장금리변동에따른투자수익률및부담금리변동을반영함. -2,812 (-19%)
Ⅴ. Sensitivities ( New Business ) 23/69 Unit : 억원 해약률 사업비율 264(7%) 279 (7%) +10% +10% -10% -10% -246(-7%) -279 (-7%) 금리 손해율 627 (17%) 266 (7%) -50bp +10% +50bp -10% -346 (-9%) 사업비율의변동요인은직접비용인수당수수료와기타비용을제외하였음. 시장금리변동에따른투자수익률및부담금리변동을반영함. -626 (-17%)
Ⅴ. Sensitivities ( Others ) 24/69 Unit : 억원 구분 Risk Discount Rate 9.0% 10.0% 11.0% Adjusted Net Worth 9,966 Shareholder s Equity 10,867 Adjusted Capital -901 Value of In-force Business 16,404 14,936 13,641 PV of future profit 19,534 18,310 17,218 Cost of Capital 3,129 3,374 3,577 Embedded Value 26,370 24,902 23,607 Value of 1-year New Business 4,120 3,769 3,458 PV of future profit 4,711 4,399 4,120 Cost of Capital 590 630 662
Ⅵ. Review Statement 25
Ⅵ. Review Statement - Towers Watson 26/69 Towers Watson has reviewed the methodology and assumptions used to determine the results of Meritz s Embedded Value as at 31 March 2013 and the value of new business written in the twelve months to 31 March 2013 for the long-term insurance business. Towers Watson has concluded that: The methodology used is consistent with recent industry practice for traditional deterministic embedded value reporting in Korea. In particular the values have been based on a deterministic projection of future profits, with allowance for risk through the use of a risk discount rate specified by Meritz and an explicit adjustment for the cost of holding an amount of solvency capital. While this is in line with recent industry practice as regards traditional deterministic embedded value calculations, this may not correspond to a capital markets valuation of such risk (so called market consistent valuation ); The operating assumptions have been set with appropriate regard to past, current and expected future experience; and The economic assumptions used have made allowance for the company's current and expected future asset mix and investment strategy and are internally consistent. Towers Watson has also reviewed the results of the calculations made by Meritz, including a number of checks of the models and processes, and considers that the results have been determined in a manner consistent with the methodology and assumptions described in this report and has confirmed that any issues discovered do not have a material impact on the disclosed embedded value as at 31 March 2013 or the disclosed value of new business written in the twelve months to 31 March 2013 for the long-term insurance business. In arriving at these conclusions, Towers Watson relied on data and information provided by Meritz. This opinion is made solely to Meritz in accordance with the terms of Towers Watson's engagement letter. To the fullest extent permitted by applicable law, Towers Watson does not accept or assume any responsibility, duty of care or liability to anyone other than Meritz for or in connection with its review work, the opinions it has formed, or for any statement set forth in this opinion.