AXA · Certain statements contained herein are forward-looking statements including, but not...

December 3, 2015

AXA INVESTOR DAY

Presentation

Certain statements contained herein are forward-looking statements including, but not limited to, statements that are predictions of or indicate future events, trends, plans or objectives. Undue reliance should not be placed on such statements because, by their nature, they are subject to known and unknown risks and uncertainties. Please refer to the section “Cautionary statements” in page 2 of AXA’s Document de Référence for the year ended December 31, 2014, for a description of certain important factors, risks and uncertainties that may affect AXA’s business. AXA undertakes no obligation to publicly update or revise any of these forward-looking statements, whether to reflect new information, future events or circumstances or otherwise.

3 | AXA Investor Day | December 3, 2015

TABLE OF CONTENTS

INTRODUCTION PAGE 4

Denis Duverne, AXA Group Deputy CEO

SOLVENCY II CAPITAL POSITION AND INTERNAL MODEL PAGE 8

Alban de Mailly Nesle, AXA Group CRO

CAPITAL MANAGEMENT FRAMEWORK PAGE 22

Gérald Harlin, AXA Group CFO

CONCLUSION PAGE 30

Denis Duverne, AXA Group Deputy CEO

INTRODUCTION

Denis Duverne, Group Deputy CEO


STRONG SOLVENCY II RATIO REFLECTS AXA’S DISCIPLINED STRATEGY

Internal model approved by

ACPR1

AXA pioneer in developing an internal model

Early 2000s 2008 - 2011

Managed through financial and sovereign

crises

2011 Launch of Ambition AXA

with key strategic initiatives driven by our Solvency II

internal model

• Strengthening of Balance Sheet

• Internal model refinement and approval process

3Q15

2011 - 2015

November 2015

212%

Approved Solvency II ratio

All notes are on Page 33 of this document


OUR MODEL IS AT THE HEART OF OUR DECISION MAKING PROCESS

Business Mix Transformation

Asset Liability Management

Capital Allocation

FY14

80bps

FY13

80bps

FY12

78bps

FY11

73bps

FY10

76bps

Unit-Linked, Mutual funds

& Other

G/A Protection & Health

G/A1 Savings

FY14

6.5

48%

37%

15%

FY10

5.8

44%

31%

25%

+12pts

FY14

34%

FY10

22%

NBV margin

Resilient L&S investment margin2

• Tight duration gap

• Lower crediting rates

• Disciplined asset mix

In Euro billion

APE by product

Euro 9 billion cash generated from disposals

Euro 5 billion cash spent on strategic acquisitions

favoring P&C and HGM

M&A operations since 2010

Euro 19 billion 2011 – 2014 adjusted earnings

Euro 8 billion

Sustained dividend paying capacity

2011 – 2014 dividends paid



OUR CAPITAL MANAGEMENT IS ANCHORED IN SOLVENCY II

Risk appetite Solvency II ratio at 212% (3Q15)

Asset portfolio

New

bus

ines

s mix

Prod

uct s

truct

ure

Product pricing

Capital structure

M&A

stra

tegy

Local capital management

Target ratio

Geographical mix

Abi

lity

to su

stai

n sh

ocks

Capital quality

Attractive dividend C

ash

upst

ream

SOLVENCY II CAPITAL POSITION AND INTERNAL MODEL

Alban de Mailly Nesle, Group CRO


SOLVENCY II CAPITAL POSITION AND INTERNAL MODEL

Our internal model has been approved and our ratio is resilient

Agenda

Risk management in action

Resilience to financial and non-financial shocks

Building blocks of our Solvency II ratio


1Q15 FY14 1H15

201% 191% 212% 217%

3Q15

201% 190% 215% 212% From Economic Solvency Ratio…

… to approved Solvency II ratio

• 1Q15 Solvency ratio temporarily impacted by the spike in implied interest rates volatility (~10 points)

• Solvency II ratio adjusted for subsequent year dividend payment at Full Year only

STRONG SOLVENCY UNDER OUR APPROVED INTERNAL MODEL


Liabilities

Equity

Assets

Market value of liabilities

Available Financial

Resources (AFR)

Market value of assets

IFRS Balance Sheet

Solvency II Balance Sheet Solvency II Balance Sheet under 1 in 200 years shock

Solvency II ratio

1 in 200 years shock

Solvency Capital Requirement is

the 1-year value at risk of AFR at a confidence level of 99.5%

SOLVENCY II IS A MARKET CONSISTENT FRAMEWORK

212% AFR

SCR

3Q15

Moving to economic

balance sheet

SCR

Liabilities after

shock

AFR after shock

Assets after

shock

61

29

in Euro billion


5

12

7

71

-1 Scope & others

Subordinated debt

Available Financial Resources

(AFR) 61

Best Estimate Liabilities

Intangible assets -33

Full market value of assets

IFRS Shareholders’ Equity1

Move to full market value of assets • Real estate (Euro +4.1bn) • Loans (Euro +0.4bn)

Remove intangible assets

• Goodwill (Euro -16bn) • DAC (Euro -13bn) • VBI and other intangibles (Euro -4bn)

Move to Best Estimate Liabilities

• Difference between IFRS reserves and Best Estimate Liabilities (Euro +24bn)

• Market Value Margin (Euro -12bn)

AFR IS THE ECONOMIC VALUE OF AVAILABLE CAPITAL

AFR Euro 61 billion 3Q15

3Q15 figures under approved internal model, in Euro billion



SCR IS THE CAPITAL NEEDED TO SUSTAIN A 1 IN 200 YEARS SHOCK

• Equity risk • Spread risk (corporate &

sovereign) • Interest rate risk • …

• L&S lapse risk • P&C reserve risk • Longevity risk • …

• Fixed Income default risk • Reinsurance default risk • Mortgage default risk • …

• Client, product and business practices

• External Fraud • Employment practices

and workplace safety • …

Underwriting risk Market risk Credit risk Operational

risk

Euro 15bn Euro 15bn Euro 4bn Euro 2bn

Euro 11 billion Diversification benefits across risks -

SCR Euro 29 billion 3Q15

Post-tax SCR excluding the US

Euro 4 billion

Euro 25 billion

Asset Management, Banking & others Euro +2.5 billion Tax adjustments Euro -2.5 billion

US equivalence required capital +

=

3Q15 figures under approved internal model, in Euro billion


• UFR used due to lack of observable market data for long term interest rates

• Set at 4.2%2 at year 60, extrapolated from year 20 (last liquid point)

A decrease of 100bps in UFR would reduce our Solvency II ratio by 19pts

• Internal model covers 97% of insurance

business1 excluding the US

• US in equivalence

• Asset Management and Banking included under their own regulatory frameworks

• Pension funds risk included

Ultimate-Forward Rate (UFR)

AXA SOLVENCY II TECHNICAL SPECIFICATIONS (1/2)

Scope of Solvency II ratio

• Spread and default risk considered for all government bonds (domestic and non-domestic holdings)

Sovereign risk

• No use of transitional rules for technical provisions

discount rates

• No use of transitional rules on equities risk weighting

Transitional rules

• Minority interests in excess of their coverage of

local SCR considered unavailable for Group AFR

Fungibility



• The Volatility Adjuster has been applied according to EIOPA rules

• The market value of assets in the AFR reduces when spreads widen.

• The Volatility Adjuster applies a corresponding adjustment to the liabilities

• This reflects our ability to bear illiquidity risk on assets backing long term liabilities

-13pts impact on our Solvency II ratio in case of +75bps widening corporate spreads and stable VA

• The VA is calculated using the weighting of

corporate and sovereign bonds in a reference portfolio of the assets of European insurers

• EIOPA VA = 65% [ wgov * Sgov + wcorp * Scorp] with wgov = 38.7% and wcorp = 48.2%

A reduction by 5% in the weighting of corporate bonds in the reference portfolio would reduce our Solvency II ratio by 5pts

Volatility Adjuster (VA)

AXA SOLVENCY II TECHNICAL SPECIFICATIONS (2/2)

• Risk buffer added on top of Best Estimate Liabilities (Euro 12 billion at 3Q15)

• Reflects cost of non-hedgeable risks

• Computed using 6% cost of capital in line with EIOPA guidance

Market Value Margin

• The tax adjustment on SCR is limited to the existing

net deferred tax liabilities already recognized in the Solvency II balance sheet

• Use of the tax group mechanism (ability to compensate losses between entities in the same tax group) when allowed by the regulator

Loss-absorbency capacity of deferred taxes


Ratio as at September 30, 2015 212%

Equity markets -25%

204%

Equity markets +25%

211% Corporate spreads +75bps

214%

Interest rate1 -50bps

206%

Interest rate1 +50bps 212%

OUR SOLVENCY II RATIO IS RESILIENT TO FINANCIAL MARKET SHOCKS

61

29

3Q15

212%

Available capital Required capital

0pt

-8pts

-1pt

+2pts

-6pts

in Euro billion



LIMITED AND ASYMETRIC SENSITIVITY TO INTEREST RATES

212%

Interest rates

-50bps

212% Interest rates

+50bps

204%

Ratio as at September 30, 2015

+0.4 +0.9

-0.1

-2.5

• AFR increases roughly at twice the rate of SCR maintaining a stable ratio > 200%

SCR AFR

0pt

-8pts • Interest rates sensitivity highly

convex at current low rates

in Euro billion


LIMITED SENSITIVITY TO CORPORATE SPREADS

• Relatively low share of corporate bonds in AXA’s General Account asset mix: 35%

• Low corporate bonds asset duration: 4 to 5 years

Corporate spreads sensitivity linked to our asset portfolio

characteristics1

Corporate spreads +75bps 211%


-0.2 -0.7

SCR AFR

-1pt

in Euro billion

• The impact of corporate spreads

widening is limited by Volatility Adjuster

Widening of sovereign spreads2 by +50bps would reduce the Solvency II ratio by 9 points



209%

1999 Lothar & Martin storm

190% 2011 financial crisis

210%

1Q15 IR volatility spike 204%

2008/2009 financial crisis 164%

1/20 year shock 180%


1918 Spanish flu

OUR SOLVENCY II RATIO IS RESILIENT TO A WIDE RANGE OF SHOCKS

-32pts

-48pts

-22pts

-8pts

-2pts

-3pts

Definition of shocks on Page 33 of this document


STRONG CAPITAL GENERATION ACTS AS A BUFFER

Illustrative net capital generation per year…

Net operational capital

generation

FY14 dividend

Operational capital

generation ~20 points

~11 points

-9 points

… is enough to sustain individual shocks on

Interest rates -60bps

Interest rates -30bps & Equity markets -20%

Equity markets -45%


STRONG AND RESILIENT RATIO DRIVEN BY OUR STRATEGY

Risk mitigation

• Reinsurance

• Securitization

• Hedging

Asset Liability

management

• Duration gap management

• Cash flow matching

Investments

• Driven by liability profile

• Balance expected return, capital consumption and liquidity

Products

• Product development

• Product pricing

Internal model

in action

CAPITAL MANAGEMENT FRAMEWORK

Gérald Harlin, Group CFO


CAPITAL MANAGEMENT FRAMEWORK

Our Solvency II ratio is strong and resilient and the framework is now stable

Agenda

Capital structure

Capital management strategy

Dividend policy

Cash flow and remittance ratio


40% 40%

49%

40% 40%

+17% +13% +4% 0% +25% 0.95 0.81 0.72 0.69 0.69 0.55

FY09

Dividend per share

Payout ratio

DIVIDEND POLICY: PAYOUT RANGE SET AT A HIGHER LEVEL

Payout ratio of 45% - 55% of Adjusted Earnings1

New payout range

Previous payout range 45%

in Euro

FY10 FY11 FY12 FY13 FY14 FY15E …

55%

45%



• Return excess capital to shareholders • Increase appetite for investment risk • Additional room to invest in business growth • Additional flexibility on the payout ratio

• Selective de-risking of investments • Increased selectivity in growth initiatives • Allow for dilution of employee shares and stock-options offering • Additional flexibility on the payout ratio

Target Capital Range

CAPITAL MANAGEMENT STRATEGY

140% • Restrict growth initiatives • Further de-risking of investments • Reduce dividend payout ratio below the range

• Dividend policy based on 45% - 55% payout ratio

• Neutralize dilution of employee shares and stock-options offering

• Invest in business growth

• Maintain current investment risk appetite

170%

230%


Other2

o/w Tier I debt 16%

3Q15

16%

INCREASING THE RESILIENCE OF OUR CAPITAL STRUCTURE

Tier I represents 84% of AFR

The strong organic solvency generation of

allows us flexibility not to renew part of our Tier 1

debt maturing over the next years

This would reduce the share of debt in our Tier I

capital thereby further increasing our resilience to

extreme scenarios

~11 points per year post dividend

AFR structure1

Tier I 84%



ECONOMIC

quantification of

local capital needs

Maintain LIMITED

volatility buffer

above 100% locally

Local EXCESS capital (France L&S, Germany P&C, US…)

+ =

Maximize upstream to the Group subject to

Local statutory and regulatory constraints

MAXIMIZE CASH UPSTREAM TO THE GROUP

Group Holding

Local Entities

Reduce local excess capital

Maximize ordinary dividends

Simplify legal structures

Risk pooling


LOWER CASH CONSUMPTION FROM L&S NEW BUSINESS

L&S New business strain 1.2

Total L&S investment in new business

New business required capital

1.9

0.7

FY14, In Euro billion

Solvency I framework

Solvency II framework

annual uplift in Free Cash Flow writing profitable new business under Solvency II ~Euro 0.5 billion

1.4

0.2

1.2

• New business future profits from favorable business mix

more than sufficient to cover new business required

capital for EEA entities

• No change in new business strain

EEA

• New business internal rate of return

increases from 14% to 17%

• P&C and L&S in-force free cash flows remain broadly stable when moving from Solvency I to Solvency II

EEA1 non-EEA non-EEA



in Euro billion

STRONG REMITTANCE AND DIVIDEND COVERAGE

Increased cash upstream

Dividend comfortably covered by cash upstream – ~1.5x dividend coverage ratio2

*assuming the mid-point of the 75-85% remittance ratio range and a Euro 0.5 billion uplift in Operating Free Cash Flow writing profitable new business under Solvency II

remittance ratio target confirmed with annual new business cash uplift

75-85% remittance ratio on average over 2011-2014 78%

FY14

4.7

5.5

FY14 proforma with additional

upstream*

+0.5

+0.4 5.1

86%

6.0

Remittance target confirmed


Operating Free Cash Flow Cash remitted from entities1

CONCLUSION

Denis Duverne, Group Deputy CEO


KEY TAKEAWAYS FROM THE DAY

Solvency II ratio resilient to a wide range of both financial and non-financial related shocks

Strong Solvency II ratio at 212% (3Q15) under our approved internal model

Clearly defined capital management framework with 170-230% as central target Solvency II range

Key strategic and operational choices driven by our internal model Product mix, Investment mix, Risk mitigation, Portfolio diversification

Remittance ratio target confirmed at 75-85% leading to strong dividend coverage ratio

Dividend payout ratio range increased to 45-55%

Higher free cash flow under Solvency II resulting from lower new business capital consumption Euro 0.5 billion (annually)

Q&A

Investor Day


NOTES Page 5 1. ACPR (Autorité de Contrôle Prudentiel et de Résolution) is AXA’s lead supervisor Page 6 1. General Account 2. General Account only Page 12 1. IFRS Shareholders’ Equity is gross of minority interests and includes Euro 9.4bn of undated subordinated debt (TSS/TSDI)

Page 14 1. Based on invested assets 2. For Euro, US & Hong Kong dollar and British pound Page 16 1. Interest rates sensitivity based on swap rates Page 18 1. All asset portfolio characteristics as at June 30, 2015 2. Sensitivity to a widening in Euro sovereign spreads vs. the Euro swap curve Page 19

1/20 shock: 95% quantile on Market and Credit risk 2008/2009 financial crisis: impact of the evolution of markets between March 2008 and March 2009 combined with credit losses observed during this period 2011 financial crisis: impact of the evolution of markets between January 2011 and January 2012 1Q15 IR volatility spike: average increase of 46% of implied interest rate volatility modelled with Euro 10x10 interest rate swaptions 1999 Lothar & Martin storm: Sensitivity relates to the severity impact of the storm assuming same reinsurance coverage as at September 30, 2015

Page 24 1. Net of undated debt interest charges (Euro 307 million in FY14) Page 26 1. AFR tiering includes US equivalence and excludes Asset Management and Banking operations 2. Tier II and Tier III Page 28 1. EEA for AXA’s Solvency II internal model includes Belgium, France, Germany, Italy and the UK. Page 29 1. Includes cash dividends from the operating entities, cash proceeds from the US loan repayment to the Group and cash held at regional holding level to finance acquisition

(Colpatria) 2. Defined as cash upstreamed from local entities net of holding costs divided by dividends paid to the shareholders


DEFINITIONS

Adjusted earnings, APE, NBV and Group operating Free Cash Flows are non-GAAP measures and as such are not audited, may not be comparable to similarly titled measures reported by other companies and should be read together with our GAAP measures. Management uses these non-GAAP measures as key indicators of performance in assessing AXA’s various businesses and believes that the presentation of these measures provides useful and important information to shareholders and investors as measures of AXA’s financial performance. Life & Savings New Business Value (NBV) is the value of the new business sold during the reporting period. The new business value includes both the initial cost (or strain) to sell new business and the future earnings and return of capital to the shareholder.

APPENDICES


EVOLUTION OF SOLVENCY II RATIO

201% 217% 212% 191% Solvency II ratio

FY14 1Q15 1H15 3Q15

Required Capital Available Capital 27

54 61

29 29

55

28

61


SCR REFLECTS OUR UNIQUE DIVERSIFIED PROFILE 3Q15 figures under approved internal model

Property & Casualty

24%

Life & Savings 53%

Asset Management

& Banking 5%

Holdings & Other

19%

Counterparty

12% Operational

P&C 20%

Life

22%

Market

41%

5%

Asset management & Banking

4% Holdings & Other 22%

UK 5%

Asia-Pacific 11%

MedLA

9% France

15%

US 8%

NORCEE 26%

Diversified risk profile*

Diversified geographic

footprint

Diversified business exposure

*Insurance only, excluding US operations

5%


RBC framework US

2X

CAL ACL TAC US Equivalence

Required Capital

US Equivalence

Available Capital

Solvency II US equivalence

53

25

8

4

Solvency II SCR

29

61

Solvency II AFR

Solvency II Group

OUR SOLVENCY II RATIO IS COMPUTED WITH US EQUIVALENCE

* for AXA Equitable Life and Savings Insurance Company (AXA’s main Life carrier in the US).

212%

3Q15

Available Capital

Required Capital

300%* of CAL

In Euro billion

US equivalence AFR US equivalence SCR

AXA excl. US SCR AXA excl. US AFR TAC - Total Adjusted Capital ACL - Authorized Control Level CAL - Company Action Level

CAL RBC ratio

=

TAC

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