はじめに： MCEVとUS GAAP間の株主報告基準の移行
エンベディッド・バリュー（EV）は、長年にわたり、アジアの生命保険会社において株主価値を測定し、開示情報の中核的指標として用いられてきました。近年、韓国、香港、シンガポール、マレーシアといった域内の大規模市場で、主要株主報告指標をEVから国際財務報告基準第17号（IFRS 17）へと移行させており、その他のアジア市場でもそれぞれの段階で同様の移行を進めています。IFRS 17が広く採用されている一方で、一般開示、社内報告、経営管理目的にEVを算出し続けている企業もアジアには数多く存在します。
米国で上場している企業と資本関係を有する生命保険会社は、米国で一般に公正妥当と認められた会計原則（United States Generally Accepted Accounting Principles、US GAAP）に基づいて株主価値を報告することが求められます。そのため、米国上場の利害関係者や親会社を持つアジアの保険会社は、US GAAPに加え、IFRS 17またはEVのいずれかに基づく株主報告も作成しなければならず、対応上の課題が発生します。資本関係が一層複雑になる中で、経営陣は新たな報告フレームワークを採用する必要に迫られることが多く、この移行は困難であり、多くの労力や費用を要するものとなりがちです。もっとも、これらの報告基準の間には多くの共通点があり、それらを活用することで、新たな報告基準導入に伴う多大な負担を軽減することも可能です。
こうした複雑さを踏まえ、また、この種の変更対応について数理部門を幅広く支援してきた経験をもとに、ミリマンでは短い記事の連載を開始します。その目的は、主要関係者に対し、ある株主報告基準から別の基準へと移行する際に必要となる技術的なステップを概括的にお伝えすることです。
まずは市場整合的エンベディッド・バリュー（Market Consistent Embedded Value、MCEV）からUS GAAP、具体的には財務会計基準審議会（Financial Accounting Standards Board、FASB）の会計基準コード化（Accounting Standards Codification、ASC）944および820に基づく報告への移行に着目します。MCEVを取り上げるのは、これがEVの中で最も新しい形態であり、世界の主要市場で広く利用され、理解されているためです。ただし、ここで取り上げる基本原則は、すべてのEV基準に当てはまります。
本シリーズでは、両基準を概括的に比較し、MCEVからUS GAAPへの効率的移行アプローチを提案するとともに、円滑かつ効率的移行を実現するための実証済みの戦略をお伝えします。本稿では、MCEVとUS GAAPの概括的比較を行います。
Introduction: Transitioning between MCEV and US GAAP shareholder reporting standards
Embedded value (EV) has long served as the cornerstone for measuring shareholder value and guiding public disclosures among life insurance companies across Asia. In recent years, larger markets in the region, such as South Korea, Hong Kong, Singapore, and Malaysia, have transitioned from EV to International Financial Reporting Standards 17 (IFRS 17) as their primary shareholder reporting metric, and other Asian markets are at various stages of this transition. Despite the broad adoption of IFRS 17, there are a number of companies in Asia that continue to calculate EV for public disclosures, internal reporting, and management purposes.
Life insurance companies with ownership ties to publicly traded entities in the United States are required to report shareholder value under United States Generally Accepted Accounting Principles (US GAAP). This creates challenges for Asian insurers with stakeholders or parent companies listed in the United States, as they must prepare shareholder reports under both US GAAP and either IFRS 17 or EV. As ownership structures become increasingly complex, management teams often need to adopt new reporting frameworks, a transition that can be challenging, resource-intensive, and expensive. Fortunately, there are many similarities among these reporting standards that can be leveraged to reduce the significant burden of implementing a new reporting standard.
Recognizing these complexities and drawing on our extensive experience supporting actuarial departments through such changes, we are launching a series of short articles. Our goal is to guide key stakeholders through the high-level technical steps involved in transitioning from one shareholder reporting standard to another.
We will first focus on moving from Market Consistent Embedded Value (MCEV) to US GAAP, specifically under the Financial Accounting Standards Board's (FASB) Accounting Standards Codification (ASC) 944 and 820. We have selected MCEV as it is the most recent iteration of EV and is commonly used and understood in major markets around the world. However, the basic principles that we will discuss apply to all EV standards.
We will provide a high-level comparison of the two standards, suggest an efficient approach to moving from MCEV to US GAAP, and share proven strategies to ensure a smooth and efficient transition. In this article, we provide a high-level comparison of MCEV and US GAAP.
A high-level comparison of the requirements of MCEV and US GAAP
| Area of comparison | MCEV | US GAAP (ASC 944, ASC 820) |
|---|---|---|
| Overall | ||
| Geographical relevance | Primarily used in Europe and Asia, becoming less relevant with a shift to IFRS 17 | Predominantly used in the United States; also applicable to global subsidiaries of companies listed in the US |
| Scope of application | Specifically designed for life insurance companies | US GAAP is applicable to all industries, with specific standards that apply to insurance companies |
| Use case | Shareholder reporting, provides an economic valuation of shareholder’s interest in a life insurer; can be used to report EV earnings over reporting periods | Financial reporting, provides general purpose financial statements that measure performance over reporting periods |
| Contract grouping | Typically calculated at a seriatim level, with aggregation based on the company’s reporting preferences | Grouping should be consistent with the company’s manner of acquiring, servicing, and measuring the profitability of its insurance contracts and required to be grouped by issue year (annually or quarterly). Further grouping may be required based on the type of product (traditional/universal life/investment), premium term (regular or limited pay) and other characteristics, depending on the measurement criteria for each product type. |
| Asset valuation | Market value | Held-to-maturity assets are measured at amortized cost, while available-for-sale and trading assets are measured at fair value |
| Actuarial components of value | ||
| Adjusted net worth (ANW) | Value of assets less liabilities, with specific adjustments | Not explicitly calculated under ASC 944, ASC 820 |
| Present value of future profits (PVFP) | Present value of the projected net profits, allowing for all relevant P&L items (i.e., claims, expenses, commissions, reserves, reinsurance, and taxes). | PVFP is not recognized as a distinct item; instead, projected future cashflows are reflected within various insurance contract liabilities, such as:
|
| Financial options and guarantees | Time value of options and guarantees (TVFOG): stochastic calculations | Value of embedded derivatives (VED) and/or market risk benefits (MRB): stochastic calculations |
| Other components |
|
|
| Assumptions and cashflows | ||
| Operating assumptions (mortality, persistency, expenses, etc.) | Best estimate assumptions—no provision for adverse deviations (PADs) | Best estimate assumptions (no PADs); for sales inducement liability (sales inducement liability (SIL)), persistency is set at 100%, and no partial withdrawals are allowed |
| Economic assumptions | Reference rates, i.e., risk-free rates appropriate to the currency, term and liquidity of the liability cash flows | Traditional products: locked-in rates (no prescribed method), upper-medium grade (low-credit-risk) fixed-income instrument yield; Universal life: best estimate unit fund growth rate |
| Historical cashflows | Not required | Require actual historical deferred acquisition costs, deferred acquisition charges, benefit payments, claims expenses, reinsurance recovered, premiums ceded |
| Future cashflows required | All products claims, expenses, commissions, change in reserves, tax, and frictional costs of capital | Require projections of claims, claims related expenses, reinsurance recoveries and premiums, sales inducements; undeferred expenses and commissions may be required for loss recognition testing for single premium contracts |
| Bonus rates (participating products) | Includes both declared and future projected bonuses | Generally, participating products sold outside the USA are modelled without future bonuses, only declared bonuses to date are included. For US-style participating products, a policyholder dividend liability is held |
| Analysis of movement ("AoM") | Generally, covers all assumption and modelling changes, new business, experience changes, closing, and unexplained differences. | Generally, lower details required, but the same steps can be covered |
| Sensitivity analysis | Prescribed scenarios | No such requirements, but some companies opt to calculate sensitivities |
| Other key differences | ||
| Disclosure requirements | Principles-based, less prescriptive; focuses on shareholder value and sensitivities | Prescriptive, detailed quantitative and qualitative disclosures |
| Treatment of tax | PVFP calculated on an after-tax basis | Actuarial balances are calculated gross of taxes; tax effects are shown via deferred tax assets/liabilities |
| Transition methodology | Not prescribed; depends on internal policy or regulatory guidance | Prescribed (retrospective, modified retrospective, or prospective) with specific transition disclosures required |
| Treatment of reinsurance | Calculations are typically performed net of reinsurance, i.e., allowing for reinsurance cash flows, impacting PVFP and ANW | Liability calculations are performed gross of reinsurance and reinsurance recoverable is calculated separately based on specific guidance |
As shown above, although MCEV and US GAAP have certain differences, they also share significant similarities. These common elements allow insurers using MCEV to transition to US GAAP reporting more efficiently by leveraging common models and methodologies. This approach streamlines adaptation to new requirements, making the process practical and cost-effective.
Looking forward: How insurers can leverage the differences between MCEV and US GAAP
In our next article, we will demonstrate how insurers can leverage the similarities between MCEV and US GAAP to use their existing MCEV models to calculate US GAAP balances and roll-forwards.
Please contact Shamit Gupta or Shirley Song for more information.