C _ Group Management Report The following table presents the sensitivities of our Solvency II Quantifiable risks and opportunities by capitalization ratio under certain standard financial market scenarios. 1 risk category Allianz Group: Solvency II regulatory capitalization ratio sensitivities This Risk and Opportunity Report outlines the Group’s risk figures, % reflecting its risk profile based on pre-diversified risk figures and Group As of 31 December 2021 2020 diversification effects. Base capitalization ratio 209 207 At the Allianz Group, we measure and steer risk based on an Interest rates up by 0.5 %1 213 214 approved internal model which quantifies the potential adverse Interest rates down by 0.5 %1 204 198 developments of Own Funds. The results provide an overview of how Equity prices up by 30 % 222 222 our risk profile is distributed over different risk categories, and Equity prices down by 30 % 194 193 determine the regulatory capital requirements in accordance with Combined scenario: Solvency II. Equity prices down by 30 % Interest rate down by 0.5 %1 With the exception of the Asset Management business segment, Credit spreads up by 0.5 % 171 161 all business segments are exposed to the full range of risk categories. 1_Non-parallel interest rate shifts due to extrapolation of the yield curve beyond the last liquid point in line with As mentioned earlier, the Asset Management business segment is Solvency II rules. predominantly exposed to operational risks. In addition, there is some exposure to market risks and to a lesser extent to credit risks. The risk capital for the Asset Management business segment is allocated to The presented sensitivity analyses are based on defined variations of sectoral requirement. specific parameters and describe the resulting development of our The pre-diversified risk figures reflect the diversification effect Solvency II capitalization under such idealized scenarios (e.g., within each modeled risk category (i.e., market, credit, underwriting, decrease in interest rates by 50 basis points). The observed business, and operational risk), but do not include the diversification developments will, however, typically materialize in a more complex effects across risk categories. Group diversified risk figures also capture way (e.g., interest rates are typically not decreasing in a parallel shift the diversification effect across all risk categories. manner along the term structure). Therefore, sensitivities are to be interpreted in a way such that they provide valuable information on areas to which our capitalization is particularly sensitive together with an indication of the estimated magnitude. The actual observed developments in the capitalization can, however, be more or less pronounced depending on the specific realized circumstances. Our comprehensive stress testing framework is regularly analyzed in order to identify potential enhancements to support the explanatory power of stress tests conducted in light of our risk profile. The Allianz Group is a financial conglomerate within the scope of the Financial Conglomerate Directive (FCD). The FCD does not impose a materially different capital requirement on Allianz Group compared to Solvency II. 1_This section contains specific risk disclosures as required by IFRS 4 and IFRS 7 relating to the Notes to the Consolidated Financial Statements. Annual Report 2021 − Allianz Group 111