Uniqa Insurance : Capital Report 2020

UNIQA Insurance Group AG

Solvency Capital and Embedded Value 2020

8 April 2021

Kurt Svoboda, CFRO

Higher Free Surplus Generation mainly due to acquired ex- AXA business

Downward pressure on MCEV and NBV from a decline in interest rates in 2020 and COVID-19environment

Significant impacts on MCEV and NBV values as a result of adding ex-AXAentities

▪ Inclusion of the ex-AXAentities leads to the following uplifts as at 2020 Q4: MCEV +862m, NBV +46m

Solvency Capital		Embedded Value
Solvency	Unrestricted	Life, Health &
Pension Fund
Capital Ratio1	Tier 1 Capital
MCEV2
170%	74%
-5.3%
Impact ex-AXA	Standard &	Free Surplus
Generation3
on Solvency
Poor's rating	EUR
Capital Ratio
A-
-26%	126m
		▪

• Decrease of capital position driven by ex-AXA acquisition and interest rate environment in 2020
• Solvency position stays in internal ambition zone of

	minimum 170%	▪
▪	Quality of capital in own funds remains strong	▪

1. Audit on Solvency & Financial Condition Report (SFCR) ongoing
2. As % of adjusted opening Life, Health & Pension Fund MCEV. The purchased ex-AXA entities are included in the adjusted opening MCEV
3. Annualized ex-AXA contribution for 2020

EXECUTIVE SUMMARY

New Business

Value

EUR

111m

New Business

Margin

3.6%

2

CONTENT

1. Group Solvency Capital

▪

▪

▪

Risk Strategy Results

Sensitivities and other analysis

1. Market Consistent Embedded Value

▪

▪

Results

Sensitivities and other analysis

1. Appendix

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▪

▪

▪

SCR Methodology

MCEV Methodology

Assumptions

Glossary & Disclaimer

3

Key Elements of our Risk Strategy

• Ambition is to have SCR Ratio above 170%
• We focus on underwriting risks and take market/credit risks only to the extent necessary
• Target market risk share of total SCR is below 65%
• The target rating for UNIQA Group is category "A" by Standard & Poor's

I. GROUP CAPITAL REQUIREMENT

Risk Strategy

Ambition

170%

Action

Take measures to reduce risk

135%

Recovery

Immediately increase solvency

100%	Regulatory plan

4

SII capital position1

EUR mn

221%170%

4.8654.471

2.2032.628

2019	2020
Own Funds	Capital Requirement

By Risk Module

Health underwriting

Non-Life underwriting		4%
16%
Life underwriting
18%	57%
	5%

Counterparty default	Market

I. GROUP CAPITAL REQUIREMENT

SII capital ratio

By Segment		By Region2
Non-Life	Life			SEM EEM
CEE
		3%
		9%
31%	WEM		2%
		5%
	45%
24%					81%
Health SLT								AT

SCR ratio development	250%	248%
			221%
	194%	202%	196%
155%	153%		170%
			without ex-AXA

Features of UNIQA's capital position

• Including risk charge on sovereign bonds
• Including dynamic volatility adjustment
• Including downside-shocks on negative interest rates
• No use of transitionals
• No use of matching adjustment

2013 2014 2015 2016 2017 2018 2019 2020

5

1 Audit on Solvency & Financial Condition Report (SFCR) ongoing

2 Region WEM includes internal risk transfer to UNIQA Re and business in Liechtenstein