SOLVENCY AND FINANCIAL CONDITION REPORT 2020 OF VIENNA INSURANCE GROUP AG WIENER VERSICHERUNG GRUPPE (VIG HOLDING - SOLO COMPANY) Contents SUMMARY ..................................................................................................................................................................................... 3 DECLARATION BY THE MANAGING BOARD .................................................................................................................................. 6 A BUSINESS AND PERFORMANCE ........................................................................................................................................... 7 A.1 BUSINESS ......................................................................................................................................................................... 8 A.2 UNDERWRITING PERFORMANCE ............................................................................................................................................ 12 A.3 INVESTMENT PERFORMANCE ................................................................................................................................................ 13 A.4 PERFORMANCE OF OTHER ACTIVITIES ..................................................................................................................................... 14 A.5 ANY OTHER INFORMATION ................................................................................................................................................... 14 B SYSTEM OF GOVERNANCE .................................................................................................................................................. 15 B.1 GENERAL INFORMATION ON THE SYSTEM OF GOVERNANCE .......................................................................................................... 16 B.2 FIT AND PROPER REQUIREMENTS .......................................................................................................................................... 32 B.3 RISK MANAGEMENT SYSTEM INCLUDING THE OWN RISK AND SOLVENCY ASSESSMENT ........................................................................ 33 B.4 INTERNAL CONTROL SYSTEM ................................................................................................................................................ 41 B.5 INTERNAL AUDIT FUNCTION .................................................................................................................................................. 43 B.6 ACTUARIAL FUNCTION ........................................................................................................................................................ 44 B.7 OUTSOURCING ................................................................................................................................................................. 45 B.8 ANY OTHER INFORMATION ................................................................................................................................................... 45 C RISK PROFILE ..................................................................................................................................................................... 46 C.1 UNDERWRITING RISK .......................................................................................................................................................... 48 C.2 MARKET RISK .................................................................................................................................................................. 52 C.3 CREDIT RISK .................................................................................................................................................................... 54 C.4 LIQUIDITY RISK ................................................................................................................................................................. 55 C.5 OPERATIONAL RISK ............................................................................................................................................................ 56 C.6 OTHER MATERIAL RISKS ..................................................................................................................................................... 58 C.7 ANY OTHER INFORMATION ................................................................................................................................................... 60 D VALUATION FOR SOLVENCY PURPOSES ............................................................................................................................. 61 D.1 ASSETS .......................................................................................................................................................................... 61 D.2 TECHNICAL PROVISIONS ...................................................................................................................................................... 64 D.3 OTHER LIABILITIES............................................................................................................................................................. 67 D.4 ALTERNATIVE METHODS FOR VALUATION ................................................................................................................................. 69 D.5 ANY OTHER INFORMATION ................................................................................................................................................... 69 E CAPITAL MANAGEMENT ..................................................................................................................................................... 70 E.1 OWN FUNDS .................................................................................................................................................................... 70 E.2 SOLVENCY CAPITAL REQUIREMENT AND MINIMUM CAPITAL REQUIREMENT ....................................................................................... 76 E.3 USE OF THE DURATION-BASED EQUITY RISK SUB-MODULE IN THE CALCULATION OF THE SOLVENCY CAPITAL REQUIREMENT .......................... 77 E.4 DIFFERENCES BETWEEN THE STANDARD FORMULA AND ANY INTERNAL MODEL USED ......................................................................... 78 E.5 NON-COMPLIANCE WITH THE MINIMUM CAPITAL REQUIREMENT AND NON-COMPLIANCE WITH THE SOLVENCY CAPITAL REQUIREMENT ............. 79 E.6 ANY OTHER INFORMATION ................................................................................................................................................... 80 NOTICE ........................................................................................................................................................................................ 81 ANNEX ......................................................................................................................................................................................... 82 VIENNA INSURANCE GROUP AG Wiener Versicherung Gruppe – Solvency and Financial Condition Report 2020 (solo company) 2 SUMMARY This solvency and financial condition report (SFCR) has been prepared based on the EU Directive 2009/138/EC and Delegated Regulation (EU) 2015/35. The structure of the report follows these statutory and regulatory requirements and deals with the financial year 2020. All monetary amounts in the report are presented in thousands of euro (TEUR/EUR '000) in accordance with the Implementing Regulation 2015/2452. Calculations, however, are done using exact amounts, including digits not shown, which may lead to rounding differences. VIENNA INSURANCE GROUP AG Wiener Versicherung Gruppe (VIG Holding) is together with its individual companies the leading insurance group in Austria and the CEE region. This SFCR reports on the solvency and financial condition of VIG Holding as a solo company in accordance with the legal requirements. The regulatory solvency and financial situation report for VIG Insurance Group is also available on the VIG Holding website (www.vig.com). Wiener Städtische Wechselseitiger Versicherungsverein – Vermögensverwaltung – Vienna Insurance Group (WSTW) is the main shareholder of Vienna Insurance Group AG Wiener Versicherung Gruppe with a share of 70%. WSTW was excluded from the group supervision following a decision of the Austrian Financial Market Authority (FMA) as the responsible authority so that the group supervision arises on the level of VIG Holding. The structure of this report follows the requirements laid down in Delegated Acts on Solvency II (EU) 2015/35 and is divided into Chapters A to E with the prescribed subchapters. Chapter A presents the business activities and performance of VIG Holding. VIG Holding’s main activity is managing its insurance companies. VIG Holding also operates as an insurer and reinsurer, dealing with the international corporate and large customer business and mainly acting as an international reinsurance company for its subsidiaries. In 2020, VIG Holding’s activities as an insurer and reinsurer generated a premium volume after reinsurance of TEUR 1,073,201 (2019: TEUR 1,042,813). The underwriting result in accordance with UGB/VAG was TEUR 25,054 (2019: TEUR 34,031). VIG Holding’s combined ratio net of reinsurance was 98.5% in 2020 (2019: 98.8%). One of the most significant developments during the financial year was the signing of a purchase agreement with the Dutch company Aegon on