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SOLVENCY II
DISCLOSURE 2017Vienna Insurance Group
VIG VIENNA INSURANCE GROUP
SOLVENCY RATIO OF 220% AS OF 31 DEC. 2017Calculation based on Partial Internal Model (PIM)
2 SOLVENCY II
7,764
3,525
SCRSolvency II
Own funds
220%
Solvency ratio of 220% calculated at the level of the listed Group
Application of Partial Internal Model improves solvency ratio by 46pp
PIM reduces SCR by EUR 927mn
Results include volatility adjustment
in €mn
VIG VIENNA INSURANCE GROUP
SOLVENCY CAPITAL REQUIREMENT (SCR) OVERVIEWStandard Formula and Partial Internal Model
3
SCR
SCR adjustments Basis SCRSCR operational
risk
SCR market SCR life SCR non-life SCR counterparty SCR health
lapse mortality
property mortality premium &
reserve
health
similar to life catastrophe
foreign currency catastrophe expense
spread lapse catastrophe longevity
SCR intangible
assets
health
non-similar to life
premium &
reserve
lapse
concentration revision revision
disability disability
interest rate expenses lapse
equity longevity
VIG internes Modell Immobilien VIG internes Modell Schaden/UnfallVIG Internal model for property VIG Internal model for P&C business
Partial Internal Model of VIG
approved by the Financial
Market Authority (FMA)
as of January 1, 2016
SOLVENCY II
VIG VIENNA INSURANCE GROUP
POSITIVE IMPACT OF PIM ON SCRComparison of Standard Formula and Partial Internal Model
4
666
1,716
Reduction
by 61%
in €mn
167
378
227
754
Reduction
by 56%
Reduction
by 70%
Non-life underwriting risk NSLT health underwriting risk Property risk
Standard Formula Partial Internal Model
SOLVENCY II
VIG VIENNA INSURANCE GROUP
SOLVENCY CAPITAL REQUIREMENT (I)SCR as of 31 Dec 2017 and PIM effects
5
3,377
314
1,874
364
666
0
4,682
296
5790
3,525
768
81442
20
184
1,050
929
43 36927
1,912
1,094
462
Market risk Counterpartydefault risk
Lifeunderwriting
risk
Healthunderwriting
risk
Non-lifeunderwriting
risk
Intangibleasset risk
Diversification Basic solvencycapital
requirement
Operationalrisk
Loss-absorbingcapacity oftechnicalprovisions
Loss-absorbingcapacity of
deferred taxes
Capitalrequirement forother financial
sectors
Capitalrequirement for
residualundertakings
Solvencycapital
requirement
SCR PIM gross PIM effect
in €mn
2,000
4,000
6,000
8,000
10,000
SOLVENCY II
VIG VIENNA INSURANCE GROUP
SOLVENCY CAPITAL REQUIREMENT (II)Risk mitigating effects
6
2,069
144
932
134
265
0
3,545
29657
90
3,525
313 159
546 209
400
995
11
396
21442
20
184
1,050
929
36
927
81
462
Market risk Counterpartydefault risk
Life underwritingrisk
Healthunderwriting risk
Non-lifeunderwriting risk
Intangible assetrisk
Basic SCR Operational risk Loss-absorbingcapacity of
deferred taxes
Capitalrequirement forother financial
sectors
Capitalrequirement for
residualundertakings
Solvency capitalrequirement
Net SCR after diversification Diversification effects Loss-absorbing capacity of technical provisions PIM effects
1,000
2,000
3,000
4,000
5,000
in €mn
SOLVENCY II
VIG VIENNA INSURANCE GROUP
SOLVENCY CAPITAL REQUIREMENT (III)Allocation of risks
7
1%
7% 2%4%7% 3%52% 23%
Note: Risk allocation calculated with Euler method based on PIM risks net after diversification
Non-life underwriting riskLife underwriting risk Capital requirement for other financial sectors
Capital requirement for residual undertakingsOperational risk Counterparty default risk
Health underwriting risk
Market Risk
Market risk accounts for more than 50%
of total solvency capital requirement
64% of total market risk consists of
spread risk and equity risk
Interest rate risk and currency risk make
up almost one third of total market risk
Life underwriting risk contributes to the
total solvency capital requirement with 23%
69% of life underwriting risk derives from
lapse risk
Second biggest driver is life expense risk
with 17% of total life underwriting risk
Operational risk ranks third with 7% of
total solvency capital requirement
Non-life underwriting risk and health
underwriting risk together correspond
to 10% of total solvency capital
requirement
SCR of €3,525mn – Risk allocation
SOLVENCY II
VIG VIENNA INSURANCE GROUP
SOLVENCY CAPITAL REQUIREMENT (IV)SCR 2017 compared to SCR 2016
8
Solvency II
Own funds
SCR
3,411
6,636
195%YE 2016
220%YE 2017
in €mn
Solvency II
Own funds
SCR
3,525
7,764
VIG AG in €mn 31.12.2017 31.12.2016
Solvency capital requirement 3,525 3,411
Market risk 3,377 3,458
Counterparty default risk 314 280
Life underwriting risk 1,874 1,635
Health underwriting risk 364 325
Non-life underwriting risk 666 586
Intangible asset risk 0 0
Diversification -1,912 -1,729
Basic solvency capital requirement 4,682 4,555
Operational risk 296 301
Loss-absorbing capacity of technical provisions -1,138 -1,040
Loss-absorbing capacity of deferred taxes -462 -463
Capital requirement for other financial sectors 57 58
Capital requirement for residual undertakings 90 0
Eligible own funds 7,764 6,636
Solvency ratio 220% 195%
SOLVENCY II
VIG VIENNA INSURANCE GROUP
OWN FUNDS (I)Capital structure as of 31 Dec. 2017
9
VIG capital
structure
77%
4%
0.5%
19%
Tier 1 - unrestricted
Tier 1 - restricted
Tier 3
Tier 2
Tier 1 – unrestricted (>50% of SCR)
EUR 5,955mn (77% of Own Funds)
Tier 1 – restricted (<20% of total Tier 1)
EUR 326mn (4% of Own Funds)
Capacity for additional restricted Tier 1 capital of roughly
EUR 1,163mn as of year-end 2017
Tier 2 (<50% of SCR)
EUR 1,448mn (19% of Own Funds)
Capacity for additional Tier 2 capital of roughly
EUR 314mn as of year-end 2017
Tier 3 (<50% of SCR)
EUR 35mn (0.5% of Own Funds)
Capacity for additional Tier 3 capital of roughly
EUR 279mn as of year-end 2017
EUR 7,764mn
SOLVENCY II
VIG VIENNA INSURANCE GROUP
OWN FUNDS (II)Own Funds 2016 compared to Own Funds 2017
10
373
475
504
Differences
in valuation
Deferred taxes
110
Solvency II Own
Funds 2017
7,764
Planned
dividends
and interest
on hybrids
12765
OtherIFRS effects
from reserves
IFRS surplus
6,636
79
Solvency II Own
Funds 2016
Subordinated
bonds
SOLVENCY II
VIG VIENNA INSURANCE GROUP
SENSITIVITY ANALYSISMarket Sensitivities
11
Equity -20pps -5%
-30%
Property -10pps
-8%
Spread +100bps
Interest rate curve -100bps
Interest rate curve +100bps
-31%
-11%
-8%
12%
Rating downshift -1 notch
Ultimate Forward Rate (UFR) -50bps
Absolute change in
Solvency II Ratio (pps)
212%
209%
215%
212%
189%
232%
190%
Impact of absolute
change on Solvency II Ratio
SOLVENCY II
DISCLAIMERIMPORTANT NOTICE
These materials do not constitute or form part, or all, of any offer or invitation to sell or issue, or any solicitation of any offer to purchase or
subscribe for, any securities in any jurisdiction in which such solicitation, offer or sale would be unlawful, nor shall part, or all, of these materials
form the basis of, or be relied on in connection with, any contract or investment decision in relation to any securities.
These materials contain forward-looking statements based on the currently held beliefs and assumptions of the management of VIENNA
INSURANCE GROUP AG Wiener Versicherung Gruppe (“VIG”), which are expressed in good faith and, in their opinion, reasonable. These
statements may be identified by words such as “expectation” or “target” and similar expressions, or by their context. Forward-looking
statements involve known and unknown risks, uncertainties and other factors, which may cause the actual results, financial condition,
performance, or achievements of VIG, or results of the insurance industry generally, to differ materially from the results, financial condition,
performance or achievements express or implied by such forward-looking statements. Given these risks, uncertainties and other factors,
recipients of this document are cautioned not to place undue reliance on these forward-looking statements. VIG disclaims any obligation to
update these forward-looking statements to reflect future events or developments.