Pozavarovalnica Sava d d : Solvency and Financial Condition Report of the Sava Insurance Group for 2022

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SOLVENCY AND FINANCIAL CONDITION REPORT of the Sava Insurance Group and Sava Re d.d. for

2022

  SOLVENCY AND FINANCIAL CONDITION REPORT FOR 2022

Management board of Sava Re d.d.

Ljubljana, May 2023

Peter Skvarča

Marko Jazbec

David Benedek

Polona Pirš Zupančič

Member of the Management Board

Chairman of the Management Board

Member of the Management Board

Member of the Management Board

SOLVENCY AND FINANCIAL CONDITION REPORT FOR 2022

Contents

SUMMARY	4	C. GROUP RISK PROFILE	51	E. CAPITAL MANAGEMENT	109
			C.1	Underwriting risk	55	E.1	Own funds	111
A. BUSINESS AND PERFORMANCE	12	C.2	Market risk	67	E.2	Solvency capital requirement and minimum capital
A.1	Business	13	C.3	Credit risk	74		requirement	115
A.2	Underwriting performance	19	C.4	Liquidity risk	76	E.3	Use of the duration-based equity risk sub-module
A.3	Investment performance	24	C.5	Operational risk	78		in the calculation of the solvency capital requirement	119
A.4	Performance of other activities	27	C.6	Other material risks	80	E.4	Difference between the Standard Formula and any
A.5	Any other information	28	C.7	Any other information	84		internal model used	119
						E.5	Non-compliance with the minimum capital
B. SYSTEM OF GOVERNANCE	29	D. VALUATION FOR SOLVENCY PURPOSES	85		requirement and non-compliance with the solvency
B.1	General information on the system of governance	30	D.1	Assets	91		capital requirement	119
B.2	Fit and proper requirements	37	D.2	Technical provisions	96	E.6	Any other information	119
B.3	Risk management system, including the own risk		D.3	Other liabilities	107
	and solvency assessment	39	D.4 Alternative methods for valuation	108	APPENDIX A
B.4	Internal control system	45	D.5	Any other information	108	Glossary of selected terms and calculation methods	120
B.5	Internal audit function	46
B.6	Actuarial function	48				APPENDIX B
B.7	Outsourcing	49				Quantitative reporting templates	123
B.8	Any other information	50

  SOLVENCY AND FINANCIAL CONDITION REPORT FOR 2022

Summary

SOLVENCY AND FINANCIAL CONDITION REPORT FOR 2022

General information

Profile of the Sava Insurance Group

The figures in the tables of this report are stated in thousands of euros. The report has been reviewed and approved by the parent company's management and supervisory boards. The Group's solvency and financial condition report has been reviewed by the audit firm Deloitte Revizija d.o.o., which has issued an independent auditor's assurance report.

The Sava Insurance Group is one of the largest insurance groups in southeastern Europe. As at 31 De- cember 2022, the insurance part of the Group was composed of one reinsurer and eight insurers based in Slovenia and in the countries of the Adriatic region. In

in two life insurance companies in 2008. In 2015 and 2018, the Group entered the Slovenian and Mace- donian pension markets, and in 2018 it entered the Slovenian assistance services market. In 2019, Sava Re acquired an 85% stake in Sava Infond, an invest-

Introduction

The year 2022 was marked by a tense geopolitical situ- ation. In February 2022, Russia launched a war of aggression against Ukraine, which continued throughout the year. The Sava Insurance Group, specifically Sava Re, had written reinsurance contracts with Russian and Ukrainian partners, the annual premium volume of which was negligible. All contracts contain a sanctions clause, which, in the event of sanctions imposed by the European Union and the United Nations, limits the parent company's obligations under any contract that violates the applicable sanctions. In addition, the reinsurance contracts written exclude coverage related to war. The Group's credit and currency exposure to Rus- sia, Ukraine and Belarus arising from financial investments was negligible as at 31 December 2022.

The war impacted capital markets and caused energy prices and inflation to rise. Higher risk-free interest rates, wider credit spreads and falling equity markets

have led to a significant decline in the value of the Group's investment portfolio. In 2022, the risk of a decline in the profitability of the (re)insurance business also increased significantly due to claims inflation. As a result, technical provisions were strengthened, and insurance underwriting focused on appropriate pricing.

The Covid-19 situation gradually eased in 2022. In the first half of 2022, the measures taken to contain the Covid-19 pandemic had some impact on the Group's operations, but the situation largely returned to normal in the second half of the year. Covid-19 did not have a material adverse impact on the 2022 business results.

Despite the challenging environment, the Sava Insurance Group ended the year in a strong financial and solvency position. The Group will continue to closely monitor risks, especially those related to the macroeconomic and geopolitical situation.

addition to the (re)insurance companies, the Group consists of eight non-insurance companies.

The Group employs approximately 2,700 people (cal- culated based on a full-time equivalent basis). We provide insurance and reinsurance coverage for all lines of business, offering:

• a respectful, honest and sincere partnership,
• professionalism,
• integrity and transparency,
• accessibility and responsiveness, and
• accountability.

Sava Re has been operating in international reinsurance markets for over 40 years and in the Slovenian primary insurance market since 1998 through its former subsidiary Zavarovalnica Tilia. The Group expanded to some other markets of the former Yugoslavia through the acquisition of six insurance companies between 2006 and 2009 and through greenfield investments

ment fund management company. In 2020, the Group entered the Slovenian private healthcare market by acquiring the Bled Diagnostic Centre through its associate ZTSR. The acquisition of Vita in 2020 strengthened the Group's market position in Slovenia, and the Group now ranks second in terms of insurance market share. These acquisitions represent increased scale and more opportunities for synergy.

The Sava Insurance Group's core strengths are regional knowledge, reliability, responsiveness, flexibility and financial strength. We exceed customer expectations by striving for continuous improvement, by building relationships in a responsible, frank and respectful manner, and by playing an active role in our environment.

Our guiding principle is to build long-term relationships with our customers and partners that enable us to achieve our common goals through all economic cycles.

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