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Allianz Annual Report 2012

Annual Report 2012    Allianz Group In the following table, we present our Group-wide internal risk capital related to market risks: Allocated internal market risk capital by business segment and source of risk (total portfolio before tax and non-controlling interests)1 C 091 € mn Interest rate Credit spread Equity Real estate Currency  Total as of 31 December 2012 2011 2012 2011 2012 2011 2012 2011 2012 2011 2012 2011 Pre-diversified Property-Casualty 402 424 1,309 859 768 1,399 880 789 574 729 3,933 4,200 Life/Health 5,227 4,516 2,795 1,433 3,570 3,198 765 658 1,047 960 13,404 10,765 Asset Management  16 16 – – 66 67 5 5 472 474 559 562 Corporate and Other  216 233 259 247 607 914 197 120 240 50 1,519 1,564 Total Group 5,861 5,189 4,363 2,539 5,011 5,578 1,847 1,572 2,333 2,213 19,415 17,091 Share of total Group- internal risk capital in % 43.1 40.9 Group-diversified Property-Casualty 321 351 940 687 561 1,027 681 640 220 315 2,723 3,020 Life/Health 4,485 3,902 2,542 1,340 2,983 2,677 728 609 765 712 11,503 9,240 Asset Management  16 16 – – 66 67 5 5 472 474 559 562 Corporate and Other 205 224 263 248 537 775 190 113 184 37 1,379 1,397 Total Group 5,027 4,493 3,745 2,275 4,147 4,546 1,604 1,367 1,641 1,538 16,164 14,219 1 2011 figures recalculated based on model updates in 2012. Total Group-diversified internal market risk capital in- creased mostly due to the impact of changed market condi- tions in the Life/Health segment. The rise was driven by a higher sensitivity of options and guarantees due to the con- tinuing decline in the interest rate environment affecting most of the market risk types. In addition, higher fixed in- comeexposurescausedbytightenedspreadsledtoaneven more pronounced increase in credit spread risk. The following chart presents the sensitivity of the internal solvency ratio under certain standard financial scenarios, which are defined by reasonably possible individual move- ments in key market parameters while keeping all other parameters constant with the effects impacting both the available capital and internal risk capital. Impact of standard financial scenarios on internal capital ratios (total portfolio before non-controlling interests and after tax and Group diversification)1 C 092 % 0 100 200 191 Interest rates down by 1% Interest rates up by 1% Equity markets up by 30% Equity markets down by 30% Interest rates down by 1% Equity markets down by 30% Internal capital ratio 199 217 220 162 177 203 210 177 188 147 165   12/31/2012    12/31/2011 1 2011 figures recalculated based on model updates in 2012. C Group Management Report Risk Report and Financial Control 184 Risk Report 214 Controls and Procedures 197

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