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Allianz Annual Report 2012

Annual Report 2012    Allianz Group The overview below presents the ratings for the Group, ­assigned to ­Allianz SE by major rating agencies. Ratings of ­Allianz SE C 084 Ratings1 Standard  & Poor’s Moody’s A.M. Best Insurer financial strength rating AA Negative outlook (outlook changed 27 January 2012) Aa3 Negative outlook (outlook changed 16 February 2012) A+ (affirmed 6 June 2012) Counterparty credit rating AA Negative outlook (outlook changed 27 January 2012) Not rated aa – (affirmed 6 June 2012) Senior unsecured debt rating AA Negative outlook (outlook changed 27 January 2012) Aa3 negative outlook (outlook changed 16 February 2012) aa– (affirmed 6 June 2012) Subordinated debt rating A+/A 2 Negative outlook (outlook changed 27 January 2012) A2/A3 2 negative outlook (outlook changed 16 February 2012) a+ 2 (affirmed 6 June 2012) Commercial paper (short- term) rating A–1+ (affirmed 26 Sept. 2011) Prime –1 (affirmed 22 Dec. 2011) Not rated 1 Includes ratings for securities issued by ­Allianz Finance II B.V. and ­Allianz Finance Corporation. 2 Final ratings vary on the basis of the terms. Internal capital adequacy The ­Allianz Group’s available capital is based on sharehold­ ers’ equity adjusted to reflect the full economic capital base available to absorb unexpected economic losses.1 For ex­ ample,hybridcapitalandthepresentvalueoffutureprofits of in-force business in the Life/Health segment are added to shareholders’ equity, whereas goodwill and other intan­ gible assets are subtracted and the reserves of Property- Casualty business are discounted to obtain the economic capital base. We updated our internal risk capital model in 2012 and present in the following sections all 2011 internal risk capital resultsbasedontheupdatedmodel.Moredetailsregarding these updates and their impact on available and internal risk capital are provided in the section Model updates in 2012. Our objective is to maintain available capital at the Group level that is significantly above the minimum indicated 1 Available capital is calculated under consideration of liquidity premium and yield curve ex- tension as described in Yield curve and liquidity premium assumptions on page 189. requirements. These minimum requirements are deter­ mined by our internal risk capital model according to a 99.5 % confidence level over a holding period of one year – the anticipated parameterization of Solvency II. To allow for a consistent measurement and steering of risks, we bench­ mark our operating entities to similar internal capital re­ quirements. Available capital and internal risk capital C 085 € bn 50 40 30 20 10 12/31/20111 12/31/2012 191 % 199 % 44.3 23.2 49.3 24.8 +8%-points Capital ratio    Available capital    Internal risk capital  1 Recalculated based on model updated in 2012. For further information, please refer to Model updates in 2012 from page 193 onwards. Overall, our internal model solvency ratio rose from 191 % to 199 %. This was due to two factors: First, a strong increase in available capital – which was mainly driven by a growth in operating profit and tighter credit spreads. Second, par­ tially offsetting the increase in available capital, internal risk capital grew mostly driven by the continuing decline in interest rates and higher fixed income exposures due to tightening credit spreads predominantly impacting market risk. This Risk Report provides both pre-diversified and Group- diversified internal risk capital results. Pre-diversified in­ ternal risk capital reflects the diversification effect within each risk category (i.e. market, credit, underwriting, busi­ ness and operational risk) but does not include the diversifi­ cation effect across categories. Group-diversified internal risk capital captures the total diversification effect across all risk categories and regions. Pre-diversified internal risk capital is used to measure concentration risks. C Group Management Report Risk Report and Financial Control 184 Risk Report 214 Controls and Procedures 187