D _ Consolidated Financial Statements The RSUs are subject to a contractual vesting period of four years The fair value of the index-linked RSUs is calculated as the present and the payout per RSU is fixed on the last day of the contractual value of the expected future payout, taking into account the link vesting period, which ends on the tenth trading day following the between share price performance and relative performance compared annual financial media conference in the year the respective AEI plan to the index as well as the relevant caps and thresholds as defined in expires. the payout formula. The expected future payout is determined on the In addition, upon the death of a plan participant, a change of basis of observable market data as of the valuation date and market control or notice for operational reasons, the RSUs vest immediately standard simulation techniques. and are exercised by the company. The following table shows the assumptions used in calculating the The RSUs are virtual stocks without dividend payments and with fair value of the index-linked RSUs at grant date: a capped payout. The fair value is calculated by subtracting the net present value of expected future dividend payments until maturity as Assumptions of LTI plans well as the fair value of the cap from the prevailing share price as of Year of issue1 2 the valuation date. The cap is valued as a European short call option, 2022 2021 2020 using prevailing market data as of the valuation date. Share price € 224.16 203.13 202.46 The following table shows the assumptions used in calculating the Average dividend yield of Allianz SE share % 5.1 5.1 5.2 fair value of the RSUs at grant date: Average interest rate % (0.3) (0.5) (0.6) Expected volatility of the Assumptions of AEI plans Allianz SE share price % 20.3 20.9 19.2 Expected volatility of the index % 17.0 17.9 15.8 Year of issue1 2 Expected correlation of the 2022 2021 2020 Share price € 224.16 203.13 202.46 Allianz SE share price and index % 92.8 94.0 90.1 Average dividend yield of 1_The LTI RSUs are granted as part of the remuneration of the respective prior year. Allianz SE share % 5.1 5.1 5.2 2_The assumptions for RSU grants delivered in March 2022 are based on best estimate. Average interest rate % (0.3) (0.5) (0.6) Expected volatility of the Allianz SE share price % 20.3 20.9 19.2 The index-linked RSUs are accounted for as cash-settled plans 1_The AEI RSUs are granted as part of the remuneration of the respective prior year. because the Allianz Group settles in cash. Therefore, the Allianz Group 2_The assumptions for RSU grants delivered in March 2022 are based on best estimate. accrues the fair value of the RSUs as compensation expenses over the IFRS vesting period. During the year ended 31 December 2021, the Allianz Group recognized compensation expenses related to the LTI The RSUs are accounted for as cash-settled plans because the plans of € 11 mn (2020: € 16 mn). Allianz Group intends to settle in cash. Therefore, the Allianz Group As of 31 December 2021, the Allianz Group recorded provisions of accrues the fair value of the RSUs as compensation expenses over the € 22 mn (2020: € 19 mn) for these index-linked RSUs in other liabilities. IFRS vesting period. During the year ended 31 December 2021, the Allianz Group recognized compensation expenses related to the AEI plans of € 132 mn (2020: € 98 mn). In 2008, AllianzGI L.P. launched a management share-based payment As of 31 December 2021, the Allianz Group recorded provisions of incentive plan for certain senior-level executives and affiliates of € 338 mn (2020: € 346 mn) for these RSUs in other liabilities. PIMCO LLC. Participants in the plan are granted options to acquire an own class of equity instruments (M-units), which vest in one-third increments on approximately the third, fourth, and fifth anniversary of Under the LTI plan, awards are granted in the form of index-linked the option grant date. Upon vesting, options will automatically be restricted stock units (RSUs) which are part of the remuneration policy1 exercised in a cashless transaction, provided they are in the money. for the members of the Allianz SE’s Board of Management. Participants may elect to defer the receipt of M-units through the M- RSUs granted to the members of the Board of Management unit Deferral Plan until termination of their service at the latest. With obligate Allianz SE to pay per RSU a cash amount equal to the ten-day the M-unit Plan, participants can directly participate in PIMCO’s average Xetra closing price of the Allianz SE share on the last day of the performance. Class M-units are non-voting common equity with contractual vesting period, multiplied by a performance factor which limited information rights. They bear quarterly distributions equal to a reflects the total performance of the Allianz stock relative to the total pro-rata share of PIMCO’s net distributable income. Deferred M-units performance of the STOXX Europe 600 Insurance Index during the four- have a right to receive a quarterly cash compensation equal to and in year contractual vesting period. lieu of quarterly dividend payments. The contractual vesting period ends on the tenth trading day A maximum of 250,000 M-units are authorized for issuance under following the annual financial media conference in the year the the M-unit Plan. respective RSU award expires. The payout per RSU is subject to a 200 According to an amendment of the PIMCO LLC Class M-unit Plan, % share price cap relative to the share price at the grant date and a 200 no new M-unit options will be issued after 14 March 2020. Already % cap applied to the performance factor. In addition, there is a cap issued and outstanding M-unit options remain valid and continue as is. applicable to the total compensation including the LTI payout and The fair value of the underlying M-unit options was measured various other compensation components. using the Black-Scholes option pricing model. Volatility was derived in 1_For detailed information regarding the LTI plans and the remuneration policy for the members of the Allianz SE’s Board of Management, please see the Remuneration Report. 180 Annual Report 2021 − Allianz Group