Annual Report 2012 - Swiss Life

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168 Consolidated Financial Statements at the same level (going concern) and the current cost ratios – adjusted for inflation – are thus assumed to hold good for the future as well. Future costs for maintaining classic solvency capital funded by the shareholders and which underpins the insurance business are charged to the MCEV. The Swiss Life Group calculates the embedded value for all its life and health insurance companies. All other companies are taken into account at their IFRS net asset value. As a consequence, embedded value sensitivities do not affect the value of these companies. An analysis of sensitivity indicates to what extent the embedded value is affected by variations in risk factors. The analysis is based on changes in the assumptions used in the embedded value calculation whereby a specific risk factor is changed while holding all other assumptions constant. In practice, this is unlikely to occur and changes in some of the assumptions may be correlated. In the event of a change in a specific risk factor, the effect of different allocations to policyholder participation as a consequence is considered in the analysis. The changes in a specific risk factor are applied to the entire projection period. The sensitivity analysis with regard to insurance risk is as follows: Higher overall mortality would have a significant positive effect on the embedded value of life annuities (survival risk) whereas the negative effect on the embedded value of contracts with mortality risk is comparatively limited due to corresponding reductions in policyholder bonuses. Therefore, this sensitivity is considered not significant as an adverse risk for the embedded value. At 31 December 2012, if the longevity improvement parameter had increased by 5%, the embedded value would have been CHF 60 million lower (2011: CHF 37 million lower). At 31 December 2012, if morbidity had been 5% higher, the embedded value would have been CHF 61 million lower (2011: CHF 87 million lower). At 31 December 2012, if morbidity had been 5% lower, the embedded value would have been CHF 54 million higher (2011: CHF 85 million higher). The sensitivity analysis with regard to market risk is as follows: The MCEV calculations of the Swiss Life Group are based on economic scenarios which are calibrated to market conditions at valuation date. At 31 December 2012, if the interest rates had been 100 basis points higher, the embedded value would have been CHF 166 million higher (2011: CHF 283 million higher). At 31 December 2012, if the interest rates had been 100 basis points lower, the embedded value would have been CHF 567 million lower (2011: CHF 729 million lower). At 31 December 2012, if the swaption implied volatilities (interest rates) had been 25% higher, the embedded value would have been CHF 444 million lower (2011: CHF 709 million lower). At 31 December 2012, if the swaption implied volatilities (interest rates) had been 25% lower, the embedded value would have been CHF 15 million lower (2011: CHF 544 million higher). At 31 December 2012, if the market value of equity securities and property had been 10% higher, the embedded value would have been CHF 653 million higher (2011: CHF 746 million higher). Swiss Life – Annual Report 2012
In CHF million (if not noted otherwise) 2012 2011 169 Consolidated Financial Statements At 31 December 2012, if the market value of equity securities and property had been 10% lower, the embedded value would have been CHF 732 million lower (2011: CHF 814 million lower). At 31 December 2012, if the equity securities and property implied volatilities had been 25% higher, the embedded value would have been CHF 261 million lower (2011: CHF 243 million lower). At 31 December 2012, if the equity securities and property implied volatilities had been 25% lower, the embedded value would have been CHF 211 million higher (2011: CHF 200 million higher). The sensitivity of insurance liabilities is also analysed on an economic basis for internal risk management purposes and to satisfy regulatory requirements (Swiss Solvency Test). 6 Earnings per Share Basic earnings per share (EPS) are calculated on the weighted average number of shares outstanding during the reporting period, excluding the average number of shares purchased by the Group and held as treasury shares. Diluted earnings per share include the dilutive effect of convertible bonds and share options issued. In the diluted EPS calculation, the profit attributable to shareholders is adjusted for the applicable interest expense minus the related taxes. Share options are dilutive when they would result in the issuance of shares for less than the average market price during the period. Dilutive share options are assumed to have been exercised. The assumed proceeds are regarded as having been received from the issuance of shares at the average market price during the period. The difference between the number of shares issued and the number of shares that would have been issued at the average market price during the period is considered as an issuance of shares for no consideration. Basic earnings per share Net result attributable to equity holders of Swiss Life Holding 92 605 Weighted average number of shares outstanding 31 902 670 31 893 573 Basic earnings per share for the net result attributable to equity holders of Swiss Life Holding (in CHF) 2.88 18.97 Diluted earnings per share Net result attributable to equity holders of Swiss Life Holding 92 605 Result used to determine diluted earnings per share 92 605 Weighted average number of shares outstanding 31 902 670 31 893 573 Adjustments (number of shares) Equity compensation plans 142 012 166 740 Weighted average number of shares outstanding for diluted earnings per share 32 044 682 32 060 313 Diluted earnings per share for the net result attributable to equity holders of Swiss Life Holding (in CHF) 2.86 18.87 Swiss Life – Annual Report 2012
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Swiss Life Group annual report 2012
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4 Facts & Figures The Swiss Life
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6 Shareholder’s Letter Dear Share
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8 Summary of Group results Summary
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Amounts in CHF million 2012 2011 +/
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12 Segment Reporting Segment Report
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14 Segment Reporting New products l
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16 Segment Reporting insurance Fran
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18 Segment Reporting insurance Germ
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24 Segment Reporting AWD The AWD Gr
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28 Corporate Governance Talanx AG,
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30 Corporate Governance decreased t
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32 Corporate Governance The accepta
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34 Corporate Governance FRANK SCHNE
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36 Corporate Governance HENRY PETER
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42 Corporate Governance Management
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44 Corporate Governance MEMBERS OF
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46 Corporate Governance Other appoi
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52 Corporate Governance COMPENSATIO
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54 Corporate Governance In the same
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56 Corporate Governance The number
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58 Corporate Governance HIGHEST TOT
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60 Corporate Governance Shareholder
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62 Corporate Governance SUPERVISORY
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64 Risk Management Risk Management
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66 Market Consistent Embedded Value
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In CHF million 2012 2011 70 Market
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104 Consolidated Financial Statemen
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In CHF million Notes 2012 2011 106
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In CHF million Notes 31.12.2012 31.
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226 Swiss Life Holding Financial St
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In CHF million 2012 2011 228 Swiss
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As % of total share capital 31.12.2
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In CHF million 2012 2011 232 Swiss
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250 Share Performance and Historica
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252 Contacts and Publishing Details
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130 286 The future starts here. Swi
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Annual Report 2012 - Swiss Life

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