C _ Group Management Report As of 31 December 2021, the rating distribution of our fixed- income portfolio based on issue (instrument) ratings was as follows: Rating distribution of Allianz Group’s fixed-income portfolio1 – fair value € bn Type of issuer Government / Covered bond Corporate Banks ABS / MBS Short-term loan Other Total agency As of 31 December 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 2021 2020 AAA 45.5 49.5 42.6 47.7 3.3 3.2 2.7 3.0 17.5 19.1 0.1 0.0 - - 111.7 122.5 AA 99.8 111.5 12.4 18.2 27.6 24.3 3.5 4.3 6.7 6.2 0.6 0.6 0.1 0.1 150.8 165.3 A 40.2 43.4 0.3 0.4 73.5 71.1 19.4 19.0 2.3 0.9 0.5 0.5 0.9 0.0 137.1 135.3 BBB 41.6 41.9 0.3 0.4 126.7 124.8 9.5 8.2 1.6 1.2 0.4 0.4 0.9 1.7 181.1 178.7 BB 7.5 6.7 - - 13.1 10.5 0.5 1.0 0.1 0.1 0.0 0.0 0.0 0.0 21.2 18.4 B 4.3 3.6 - - 6.0 4.0 0.2 0.2 0.2 0.1 0.1 0.0 0.2 0.0 11.0 8.0 CCC 0.4 0.3 - - 0.1 0.2 0.0 0.0 0.1 0.1 - 0.0 - - 0.6 0.6 CC 0.0 0.0 - - - 0.0 0.0 0.0 0.1 0.1 - - - - 0.1 0.1 C 0.0 0.0 - - 0.1 - - - 0.0 0.0 - - - - 0.1 0.0 D 0.0 0.0 - - 0.0 0.1 - - 0.0 0.0 - - - - 0.1 0.1 Not rated 1.3 1.5 0.1 0.1 9.2 11.2 0.1 0.2 0.1 0.1 0.3 0.2 10.4 7.2 21.5 20.4 Total 240.5 258.5 55.6 66.7 259.6 249.5 36.0 35.9 28.8 28.1 2.2 1.8 12.5 9.1 635.2 649.5 1_In accordance with practice adhered to in our Group Management Report, figures stated include investments of Banking and Asset Management. Table excludes private loans. Stated market values include investments not in scope of the Solvency II framework. Credit risk – credit insurance Talcott Resolution Life Insurance Company, a U.S. life insurer with a As of 31 December 2021, 10.5 % (2020: 8.6 %) of our total Group pre- “BBB” S&P rating. The economic reinsurance exposure to General diversified internal credit risk was allocated to Euler Hermes credit Electric was further reduced in 2021 by increasing the amount of trust insurance exposures. assets and obtaining credit protection. Credit risk – reinsurance 1 Reinsurance recoverables by rating class As of 31 December 2021, 1.9 % (2020: 1.2 %) of our total Group pre- € bn diversified internal credit risk was allocated to reinsurance exposures. As of 31 December 2021 2020 Of the Allianz Group’s reinsurance recoverables, 90.2 % (2020: AAA 0.06 0.02 75.5 %) were distributed among reinsurers that had been assigned an AA+ to AA- 6.11 5.67 investment-grade rating; 9.5 A+ to A- 30.99 3.24 % (2020: 24.4 %) were non-rated reinsurance recoverables, the remaining 0.3 % (2020: 0.1 %) were BBB+ to BBB- 15.07 8.03 towards non-investment grade reinsurers. The movements in the Non-investment grade 0.16 0.01 reinsurance exposure are mainly due to an expanded reinsurance Not assigned 5.51 5.49 Total 57.90 22.46 program. For substantial single-name reinsurance exposures or exposures to non-rated captives, risk-mitigating techniques such as 1_Represents gross exposure for external reinsurance, broken down by rating classes. collateral agreements or funds-withheld concepts are in place. In particular, in 2021, Allianz Life of North America and Allianz Suisse Lebensversicherungs-Aktiengesellschaft executed life back book transactions and entered reinsurance relationships ceding a total of The following table presents the pre-diversified risk calculated for € 35.1. bn of gross life and annuity reserves. The business partners underwriting risks associated with our insurance business. include Resolution Re Ltd, a Bermuda-based reinsurance company with an “A3” Moody’s rating (equivalent to an “A-“ S&P rating), and 114 Annual Report 2021 − Allianz Group