New regulatory framework

What about Private Equity?

Magny Øvrebø, CIO Nordea Liv5th. of September 2012

• Nordea Liv

• Solvency II

• Impact on asset allocation

Nordea Bank & Nordea Life & Pension

• Nordea Liv

• Solvency II

• Impact on asset allocation

Solvency II

Common regulatory framework for European insurers

Implementation by 1st of January 2014 or 2015

Goal :

– Ensure sufficient financial resources to meet liabilities

– Capture different risk types

– Ensure sufficient risk focus and control

What’s happening:

– Both asset and liabilities are marked to market.

– Increased focus on risk and control

– Adverse shock test

The required solvency capital will increase.What to do?

Inject more capital

Reduce exposure in guaranteed insurance products

Reduce risk on the asset side

6

• Nordea Liv

• Solvency II

• Impact on asset allocation

Solvency II - Bonds & Real Estate

Bonds & money market:

Rating and duration set the shock levels

Real Estate:

Base shock 25%

Solvency II – Quoted equity and Private equity

Quoted equity: Base shock 39%

Private Equity: Base shock 49%

For both Quoted equity and Private Equity there is a symmetric adjustment of +/- 10 percentage points.

Asset Allocation Nordea Life & Pension Nordic

Allocation Private Equity

Thank you!