Shareholder Value Reporting in Europe – Solvency II Based Metrics

Leading up to and since the implementation of Solvency II, there has been a decline in the number of European companies that publicly disclose an embedded value with the focus shifting towards metrics relating to Solvency II. This publication provides a summary of the Solvency II-based metrics that a sample of 20 companies in Europe are disclosing as at year-end 2019 and the associated explanatory information. Building on previous Milliman publications, alternative Solvency II-based value metrics, such as Solvency II Adjusted Own Funds and Solvency II Appraisal Value, are also considered. Approximate values of these metrics are determined using publicly available information for the sample of companies and compared to the relevant market capitalisation to test their potential usefulness. Finally, the appropriateness of the use of Solvency II Own Funds as a benchmark for the prices agreed in recent transactions is examined.