Unipol Gruppo S p A : 2020 Solvency and Financial Condition Report

2020

Solvency and Financial Condition Report

Bilancio Consolidato Integrato

Graphic design by

Mercurio GP S.r.l.

Unipol Group

Solvency and Financial Condition Report 2020

Translation from the Italian original solely for the convenience of international reader

CONTENTS

			C.6 Other material risks	95
Introduction	5		C.7 Any other information	96
Definitions and glossary	7		C.7.1 Sensitivity analysis	96
Summary	9
			D Valuation for solvency purposes	99
			D.1 Assets	105
A Business and Performance	19
	D.1.1 Valuation criteria	105
A.1 Business	20		D.1.2 Quantitative information on asset valuation	109
A.2 Underwriting performance	37		D.2 Technical provisions	112
A.3 Investment performance	44		D.2.1 Valuation criteria	112
A.4 Performance of other activities	47		D.2.2 Quantitative information on the valuation of the technical
A.5 Any other information	48		provisions	117

B System of governance

B.1 General information on the system of of governance B.1.1 Tasks and responsibilities of Board of Directors B.1.2 Transactions with related parties

B.1.3 Tasks and responsibilities of Key Functions

B.1.4 Remuneration policies

B.2 Fit and proper requirements

B.3 Risk management system, including the own risk and solvency assessment

B.3.1 Risk management system

B.3.2 Own risk and solvency assessment (ORSA)

B.3.3 Internal model governance

B.3.4 Procedures that ensure consistency within the Group of the internal control and risk management systems and reporting

B.4 Internal control system

B.5 Audit

B.6 Actuarial function

B.7 Outsourcing

B.8 Any other information

D.2.3 Information on the effects of the application of volatility
adjustment	120

51	D.3 Other liabilities	121
52	D.3.1 Valuation criteria	121
52	D.3.2 Quantitative information on the valuation	of other
61	liabilities	121
62	D.4 Alternative methods for valuation	122
63	D.5 Any other information	122
64
66	E Capital management	125
66	E.1 Own funds	126
67	E.1.1 Introduction	126
69	E.1.2 Capital management policy	127
	E.1.3 Information on available and eligible own funds	128
	E.2 Solvency Capital Requirement and Minimum	Capital
70	Requirement	135
71	E.3 Use of the duration-based equity risk sub-module in the
73	calculation of the Solvency Capital Requirement	136
75	E.4 Differences between the standard formula and any internal
model used	136
75	E.5 Non-compliance with the Minimum Capital Requirement and
80	non-compliance with the Solvency Capital Requirement	139
	E.6 Any other information	139

C Risk profile	83
C.1 Underwriting risk	84	QRT models	141
C.2 Market risk	88
C.3 Credit risk	91
Independent Auditors' Report	161
C.4 Liquidity risk	93
C.5 Operational Risk	93