C _ Group Management Report Interest rate risk Credit risk – investments As of 31 December 2021, our interest-rate-sensitive investments As of 31 December 2021, the credit risk arising from our investment excluding unit-linked business – amounting to a market value of portfolio accounted for 79.1 % (2020: 81.5 %) of our total Group pre- € 451.2 bn (2020: € 486.5 bn)1 – would have gained € 54.2 bn (2020: diversified internal credit risk5. € 58.6 bn) or lost € 46.1 bn (2020: € 49.8 bn)2 in value in the event of Credit risk in the Life/Health business segment is primarily driven interest rates shifting by -100 and + by long-term assets covering long-term liabilities. Typical investments 100 basis points, respectively. However, these impacts would have been partially offset by are government bonds, senior corporate bonds, covered bonds, self- policyholder participation. In addition, the Solvency II Own Funds originated mortgages and loans, and a modest amount of derivatives. effect is much more limited due to our active duration management, In the Property-Casualty business segment, fixed-income securities limiting the duration mismatch of the Group to 0.2 years, representing tend to be short- to mid-term, due to the nature of the business, which Solvency II liabilities of shorter duration than assets. explains the lower credit risk in this segment. The counterparty credit risk arising from derivatives is low, since Equity risk derivatives usage is governed by the group-wide internal guideline for As of 31 December 2021, our investments excluding unit-linked collateralization of derivatives, which stipulates master netting and business that are sensitive to changing equity markets – amounting to collateral agreements with each counterparty and requires high- a market value of € 89.2 bn3 (2020: € 66.6 bn) – would have lost quality and liquid collateral. In addition, Allianz closely monitors € 23.1 bn4 (2020: € 17.9 bn) in value assuming equity markets had counterparties’ credit ratings and exposure movements. declined by 30 %. However, this impact would have been partially offset by policyholder participation. Real estate risk As of 31 December 2021, about 5.6 % (2020: 5.4 %) of the total pre- diversified risk was related to real estate exposures. The following table presents our group-wide risk figures for credit risks by business segment. Allianz Group: Risk profile – allocated credit risk by business segment (total portfolio before tax and non-controlling interests) pre-diversified As of 31 December 1 2021 2020 Property-Casualty € mn 2,388 2,334 Life/Health € mn 2,727 3,234 Corporate and Other € mn 477 527 Total Group € mn 5,592 6,095 Share of total Group pre-diversified risk % 9.6 10.4 1_2020 risk profile figures adjusted based on the 2021 model changes impact. Throughout 2021, there were no material events with regard to credit migration risk and default risk. The overall credit risk for the Allianz Group decreased by € 0.5 bn to € 5.6 bn (2020: € 6.1 bn). This was mainly driven by the higher interest rate environment compared to the previous year, which generally decreased credit risk exposures, thereby reducing credit risk. This also contributed to an increase in the loss-absorbing capacity of technical provisions in the traditional life business, which also decreased the credit risk after considering policyholder participation. 1_The stated market value includes all assets whose market value is sensitive to interest rate movements 5_Additionally, 8.5 % (2020: 8.7 %) of our total Group pre-diversified internal credit risk is allocated to (excluding unit-linked business) reflecting the Solvency II framework, and therefore is not based on receivables, potential future exposure for derivatives and reinsurance, and other off-balance sheet classifications given by accounting principles. exposures. 2_The effects do not consider policyholder participation. 3_The stated market value includes all assets whose market value is sensitive to equity movements (excluding unit-linked business) reflecting the Solvency II framework, and therefore is not based on classifications given by accounting principles. 4_The effect does not consider policyholder participation. Annual Report 2021 − Allianz Group 113