Solvency and Financial Condition Report 2019 Achmea 2019 Solvency and Financial Condition Report Achmea Solvency and Financial Condition Report 2019 2 | TABLE OF CONTENTS 1. Summary .................................................................................................................................................. 7 1.1. Introduction ........................................................................................................................................................................ 7 1.2. Business and performance .............................................................................................................................................. 7 1.3. System of Governance ..................................................................................................................................................... 8 1.4. Risk Profile .......................................................................................................................................................................... 8 1.5. Valuation for Solvency purposes .................................................................................................................................... 9 1.6. Capital Management .......................................................................................................................................................... 9 1.6.1. Eligible Own Funds .................................................................................................................................................... 9 1.6.2. Solvency Capital Requirement .............................................................................................................................. 10 1.6.3. Minimum Capital Requirement .............................................................................................................................. 12 1.6.4. Solvency positions supervised legal entities..................................................................................................... 12 1.7. Materiality and subsequent events .............................................................................................................................. 13 A. Business and performance ...................................................................................................................... 14 A.1. Business ............................................................................................................................................................................ 14 A.2. Underwriting performance ............................................................................................................................................ 20 A.3. Investment performance................................................................................................................................................ 30 A.4. Performance of other activities ................................................................................................................................... 32 B. System of Governance ............................................................................................................................ 34 B.1. General information on the system of Governance .................................................................................................. 34 B.2. Fit and proper requirements ......................................................................................................................................... 35 B.3. Risk management system including the own risk and solvency assesment ......................................................... 35 B.4. Internal control system .................................................................................................................................................. 41 B.5. Internal Audit function .................................................................................................................................................... 42 B.6. Actuarial function ............................................................................................................................................................ 43 B.7. Outsourcing ...................................................................................................................................................................... 43 B.8. Any other information ..................................................................................................................................................... 44 C. Risk profile ............................................................................................................................................. 45 C.1. Underwriting Risk ............................................................................................................................................................ 45 C.1.1. Life Underwriting Risk ........................................................................................................................................... 45 Achmea Solvency and Financial Condition Report 2019| 3 C.1.2. Non-Life Underwriting Risk .................................................................................................................................. 46 C.1.3. Health Underwriting Risk ...................................................................................................................................... 47 C.2. Market Risk ....................................................................................................................................................................... 48 C.2.1. Prudent person principle ...................................................................................................................................... 49 C.2.2. Interest Rate Risk ................................................................................................................................................... 49 C.2.3. Equity Risk................................................................................................................................................................ 50 C.2.4. Property Risk .......................................................................................................................................................... 50 C.2.5. Spread Risk.............................................................................................................................................................. 50 C.2.6. Market Concentration Risk ................................................................................................................................... 51 C.2.7. Currency Risk .......................................................................................................................................................... 51 C.2.8. Loan portfolio .......................................................................................................................................................... 51 C.2.9. Collateral arrangement ......................................................................................................................................... 51 C.2.10. Securities lending ................................................................................................................................................... 52 C.2.11. Borrowing transactions ........................................................................................................................................ 52 C.2.12. Other Market Risks ................................................................................................................................................ 52 C.3. Credit Risk ......................................................................................................................................................................... 52 C.4. Liquidity Risk ..................................................................................................................................................................... 53 C.5. Operational Risk ............................................................................................................................................................... 54 C.6. Other Material Risks ....................................................................................................................................................... 55 C.6.1. Use of derivatives ................................................................................................................................................... 56 C.6.2. Use of reinsurance and financial mitigation techniques ................................................................................. 56 C.6.3. Use of future actions ............................................................................................................................................. 57 C.6.4. Significant Risk Concentrations within the group ............................................................................................ 58 C.7. Any other information ..................................................................................................................................................... 58 D. Valuation for solvency purposes .............................................................................................................. 59 D.1. Assets ...............................................................................................................................................................................