Validación de la cuarta escala: Control y promoción de las habilidades

Rating agencies apply their own models to evaluate the relationship between the required risk capital of a company and its available capital resources. An assessment of capital adequacy is usually an integral part of the rating process. In November 2014, Moody’s affirmed the Allianz Group’s “Aa3” rating and revised the outlook from “negative” to “stable”, recognizing our capital strength and diverse

business profile. Standard & Poor’s reconfirmed the "AA" rating. Allianz Group has one of the highest ratings amongst its peers. The following table provides the ratings of Allianz Group and Allianz SE awarded by major rating agencies.

1 For further details on changes in eligible capital and solvency requirement, please refer to the Allianz Group’s Annual Report 2014.

2 The amount of the eligible capital and the solvency ratio base on the total amount of Allianz shares. Taking into consideration the dividend amount attributable to treasury shares, as of 31 December 2014 the solvency ratio amounted to 3,970 % (2013: 8,585 %).

RatinGS of allianz GRoup and allianz SE

Ratings1 Insurer financial strength rating Counterparty credit rating (short-term) ratingCommercial paper

2014 2013 2014 2013 2014 2013

Standard

& Poor’s Stable AA outlook (affirmed December 2014) AA Stable outlook AA Stable outlook (affirmed December 2014) AA Stable outlook A–1+ (affirmed December 2014) A–1+ Moody’s Aa3 Stable outlook (affirmed November 2014) Aa3 Negative outlook Aa3 Stable outlook (outlook changed March 2014)2 Aa3 Negative outlook2 Prime –1 (affirmed November 2014) Prime –1 A.M. Best A+ Stable outlook (affirmed August 2014) A+ aa– Stable outlook3 (affirmed August 2014)

aa– Not rated Not rated

1 Includes ratings for securities issued by Allianz Finance II b.V. and Allianz Finance Corporation. 2 Rating reflects Senior unsecured debt.

3 Issuer Credit rating.

As part of the long-term financial strength rating, Standard & Poor’s has a rating for “Enterprise Risk Management” (ERM). Since 2013 Stan- dard & Poor’s has assigned Allianz its highest possible rating – “very strong” – for the ERM capabilities of our insurance operations. This indicates that Standard & Poor’s regards it as “unlikely that Allianz Group will experience major losses outside its risk tolerance”. Stan- dard & Poor’s stated that the assessment is based on Allianz’s strong risk management culture, strong controls for the majority of key risks and strong strategic risk management. In addition, Standard & Poor’s reviewed our internal capital model initially in 2012 and since then on an annual basis. Based on this review Standard & Poor’s has given further credit to the capital position of the Allianz Group since the fourth quarter of 2012 by taking our internal model results into account when determining the capital requirements in order to meet specific rating classes.

SolvEncy ii REGulatoRy capitalization

The Allianz Group’s and Allianz SE’S own funds as well as the capital requirements are based on the market value balance sheet approach as the major economic principle of Solvency II rules3. Our objective is to maintain available capital at the Group and Allianz SE levels that is significantly above the minimum indicated requirements. The Allianz Group Solvency ratio based on these requirements is shown in the following table. Note, for 2014 our U.S. based life business, 3 Own funds and capital requirement are calculated under consideration of volatility adjustment and yield

Allianz Life of North America (AZ Life) is included on the basis of third country equivalence treatment1.

allianz GRoup: SolvEncy ii REGulatoRy capitalization

€ Bn

as of 31 December 2014 2013

Own funds 66.0 52.4

Capital requirement 34.6 23.6

Capitalization ratio 191 % 222 %

The Solvency II capitalization of Allianz Group decreased by 31 per- centage points to 191 %, which was driven by an increase in risk capital partly compensated by an increase in own funds. This change was driven by two effects, model changes to reflect our current under- standing of the forthcoming Solvency II rules and financial market movements. Impacts of model changes on our internal risk profile are presented in the section “Internal model updates in 2014”. Model changes also had a positive impact on own funds which were mainly driven by changes in transferability restrictions, the treatment of sur- plus funds in Germany, the third country equivalence treatment of AZ Life as well as actuarial model changes including the adoption of the volatility adjustment in the Solvency II valuation yield curve.

With regards to financial markets driven movements, in particu- lar the decrease in interest rates affected the value and sensitivities of options and guarantees in our traditional life business. In addition decreasing spreads increased our exposure to credit and credit spread sensitive investments and rising equity markets outside the Eurozone, as well as a weakened Euro, lead to higher exposures to equity risk, which also contributed to higher capital requirements.

The following table summarizes the disclosed Solvency II regula- tory capitalization ratios of Allianz Group over the course of the year 2014.

allianz GRoup: SolvEncy ii REGulatoRy capitalization RatioS

% 31 De- cember 2014 30 Sep- tember 2014 30 June 2014 31 March 2014 model update 1 January 2014 31 De- cember 2013 Capitalization ratios 191 202 205 203 194 222

1 Third country equivalence treatment for AZ Life means that the entity is included at Group level with 100 % of its local statutory capital requirement and the local statutory available funds, overall benefiting the Solvency II ratio by +15 percentage points.

The model update as per the 1 January 2014 reflected our best esti- mate of forthcoming Solvency II rules and related model changes at the beginning of 2014. All subsequent quarterly disclosures were based on these model assumptions. Additional model changes implemented for the year-end 2014 reflect our current best estimate and understanding of the forthcoming Solvency II rules.

The following table presents the sensitivity of the predicted Sol- vency II capitalization ratio of Allianz Group under certain standard financial scenarios. These are defined by reasonably possible indi- vidual movements in key market parameters while keeping all other parameters constant with the effects impacting both the available capital and internal risk capital.

allianz GRoup: SolvEncy ii REGulatoRy capitalization RatioS1

%

as of 31 December 2014 2013

Base capitalization ratio 191 222 Interest rate up by 0.5 %2 205 228 Interest rate down by 0.5 %2 170 202 Equity prices up by 30 % 199 232 Equity prices down by 30 % 179 210 Combined scenario:

Interest rate down by 0.5 %2

Equity prices down by 30 % 158 191

1 AZ Life is included in 2014 on the basis of third country equivalence with 100 % of its local statutory capital requirement and the local statutory available funds taken into account at Group level.

2 Non-parallel interest rate shifts due to extrapolation of the yield curve beyond the last liquid point in line with forthcoming Solvency II rules.

As of 31 December 2014, the Solvency II capitalization of the legal entity Allianz SE was at 370 %.

allianz SE: SolvEncy ii REGulatoRy capitalization

€ Bn

as of 31 December 2014 20131

Own funds 69.9 71.9

Capital requirement 18.9 20.1

Capitalization ratio 370 % 358 %

1 No year-end 2013 internal risk capital figures are available for Allianz SE. Therefore, 2013 figures recalcu- lated based on model changes in 2014 are used, together with restated own funds figures reflecting model changes in 2014. Due to ongoing regulatory developments and supervisory feedback throughout 2014 we implemented model changes at different points in time, i.e. at the beginning of the year and at year end. For the sake of clarity, however, all model changes are presented jointly within this section.

The model used at the year-end 2014, will also be the basis for our internal model application under Solvency II. Nevertheless, any fur- ther regulatory guidance may still impact our future internal model results. In addition, the internal model still needs to be approved by regulatory authorities.

This Risk and Opportunity Report outlines the Group’s and Allianz SE’S risk figures reflecting their internal risk profile based on pre-diversified risk figures and Group- and Allianz SE-diversification effects. Pre-diversified risk figures reflect the diversification effect within each modeled risk category (i.e. market, credit, underwriting, business and operational risk) but does not comprise the diversifica- tion effects across risk categories. Group-diversified and Allianz SE- diversified risk figures also capture the diversification effect across all risk categories.

As of 31 December 2014, the Group-diversified risk reflecting our internal risk profile before non-controlling interests of € 38.4 bn (2013: € 29.6 bn1) represented a diversification benefit2 of approximately 30 % (2013: 30 %1) across risk categories and business segments. The Group-diversified risk is broken down as follows:

1 2013 risk profile figures recalculated based on model changes in 2014. 2 Diversification before tax.

IntErnal rISk profIlE

The internal risk profile of Allianz Group through the eyes of manage- ment includes AZ Life in the internal model calculation instead of applying third country equivalence. This is the only difference between the Solvency II figures for Allianz Group and the internal risk profile reported here. By that we allow for a consistent risk steering across all major entities within Allianz Group based on the same model as applied at Group level supplemented by economic business scenarios and sensitivities.

allIanz Group: allocatEd rISk accordInG to IntErnal rISk profIlE (total portfolIo BEforE non-controllInG IntErEStS)1

€ mn

Market risk Credit risk Underwriting risk Business risk Operational risk Diversification Total as of 31 December 2014 20132 2014 20132 2014 20132 2014 20132 2014 20132 2014 20132 2014 20132 Property-Casualty 6,120 5,388 2,374 2,067 9,619 8,811 917 909 1,797 1,833 (7,246) (6,729) 13,582 12,278 Life/Health 18,569 14,098 7,817 5,589 1,626 1,063 4,404 3,630 2,035 1,975 (10,161) (7,651) 24,291 18,703 Asset Management 521 621 128 152 – – – – 668 586 – – 1,317 1,359 Corporate and Other 2,891 2,591 699 555 65 94 – – 645 679 (883) (829) 3,417 3,090

Total Group 28,102 22,698 11,018 8,363 11,311 9,967 5,321 4,538 5,146 5,073 (18,291) (15,209) 42,607 35,430

Tax (4,180) (5,820)

Total Group 38,427 29,610 1 Due to rounding, numbers presented may not precisely reflect the absolute figures.

2 2013 risk profile figures recalculated based on model changes in 2014 as described in Internal model updates in the Annual Report 2014 of Allianz Group.

As of 31 December 2014, the Allianz SE-diversified risk of € 18.9 bn (2013: € 20.1 bn) represented a diversification benefit of approximately 15 % (2013: 12 %) across risk categories.

allIanz SE: allocatEd rISk accordInG to IntErnal rISk profIlE

€ mn as of 31 December 2014 20131 Market risk 18,102 19,582 Credit risk 671 502 Underwriting risk 2,595 1,727 Business risk 33 24 Operational risk 684 684 Diversification (3,381) (2,638) Capital add-on 187 202 Total Allianz Se 18,891 20,083

1 2013 figures recalculated based on model changes in 2014.

Detailed discussions of movements in respective risks for Allianz Group and Allianz SE are provided in the sections that follow.

Internal risk capital framework

We define internal risk capital as the capital required to protect us against unexpected, extreme economic losses, which forms the basis for determining our Solvency II regulatory capitalization and our internal risk profile. On a quarterly basis, we calculate and aggregate internal risk capital across all business segments based on a com- mon standard for measuring and comparing risks across the wide range of different activities that we undertake as an integrated finan- cial services provider.