Solvency II Disclosure 2016 - Vienna Insurance Group

2

Solvency II ratio at level of stock-listed

VIG at 195%

Repurchase of subordinated bonds

already considered in own funds

Calculation based on Partial Internal

Model (PIM) which improves Solvency II

ratio by 41pp

PIM reduces SCR by EUR 920mn

Results include volatility adjustment

Stable Solvency II ratio 2016

6,636

3,411

0

1000

2000

3000

4000

5000

6000

7000

Solvency II Own Funds SCR

in EUR mn

195%

Solvency II Capital Requirement (SCR) OverviewStandard Formula and Partial Internal Model

3

Partial Internal Model of VIG approved by the Financial Market Authority (FMA) as of January 1, 2016

SCR

SCR adjustments Basis SCRSCR operational

risk

SCR market SCR life SCR non-life SCR counterparty SCR health

lapse mortality

property mortality premium &

reserve

health

similar to life catastrophe

foreign currency catastrophe expense

spread lapse catastrophe longevity

SCR intangible

assets

health

non-similar to life

premium &

reserve

lapse

concentration revision revision

disability disability

interest rate expenses lapse

equity longevity

VIG internes Modell Immobilien VIG internes Modell Schaden/UnfallVIG Internal model for property VIG Internal model for P&C business

Positive impact of PIM on SCRComparison of Standard Formula and Partial Internal Model

4

1,691

387

709586

154234

0

200

400

600

800

1000

1200

1400

1600

1800

Non-life underwriting risk NSLT health underwriting risk Property risk

Standard Formula Partial Internal Model

in EUR mn

Reduction

by 60%

Reduction

by 67%

Reduction

by 65%

NSLT: non similar life technique

Solvency II Capital Requirement (I)SCR as of 31 Dec 2016 and PIM effects

5

3,458

280

1,635

325

586

0

4,555

301

58

3,411

810

72

44623

207

1,105

972

23923

1,729

1,040

463

0

1000

2000

3000

4000

5000

6000

7000

8000

SCR PIM gross PIM effect

in EUR mn

Solvency II Capital Requirement (II)Risk mitigating effects

6

2,350

122

698

116

228

0

3,515

30158

3,411

241148

522 191

358

866

9

416

18

446

23

207

1,105

72

463

0

500

1000

1500

2000

2500

3000

3500

4000

4500

5000

Market risk Counterpartydefault risk

Lifeunderwriting

risk

Healthunderwriting

risk

Non-lifeunderwriting

risk

Intangible assetrisk

Basic SCR Operational risk Loss-absorbingcapacity of

deferred taxes

Capitalrequirement forother financial

sectors

Solvencycapital

requirement

Net SCR after diversification Diversification effects Loss-absorbing capacity of technical provisions PIM effects

in EUR mn

Solvency II Capital Requirement (III)Allocation of risks

7

Note: Risk allocation calculated with Euler method based on PIM risks net after diversification

Market risk accounts for more than 60% of total Solvency II capital requirement

58% of total market risk consists of spread risk and equity risk

Interest rate risk and currency risk make up one third of total market risk

Life underwriting risk contributes 18%

62% of life underwriting risk derives from lapse risk

Second biggest driver is life expense risk with 20% of total life underwriting risk

Operational risk ranks third with ~8%

Non-life underwriting risk and health underwriting risk together correspond to 9% of total Solvency II capital requirement

61%

18%

8%

6%

3.2%3.0%

2%

2016

Other capital requirements

Health underwriting risk

Counterparty default risk

Non-life underwriting risk

Operational risk

Life underwriting risk

Market risk

Loss-absorbing capacity of deferredtaxes

EUR 3,411mn

Solvency II Capital Requirement (IV)SCR 2016 compared to SCR 2015

8

VIG AG 31.12.2016 31.12.2015

in EUR mn

Solvency capital requirement 3,411.09 3,242.24

Market risk 3,457.66 3,311.36

Counterparty default risk 279.55 255.11

Life underwriting risk 1,635.36 1,810.64

Health underwriting risk 325.49 331.40

Non-life underwriting risk 585.60 552.26

Intangible asset risk 0.00 0.00

Diversification -1,728.84 -1,752.91

Basic solvency capital requirement 4,554.83 4,507.86

Operational risk 300.52 275.53

Loss-absorbing capacity of technical provisions -1,039.92 -1,074.19

Loss-absorbing capacity of deferred taxes -462.79 -482.60

Capital requirement for other financial sectors 58.45 15.64

Eligible own funds 6,635.55 6,346.21

Solvency ratio 195% 196%

Own Funds (I)Capital structure as of 31 Dec. 2016

9

Grandfathered

Tier 1 restricted capital includes all issued bonds without maturity eligible under Solvency II until 2026

Consists of subordinated debt and hybrid bonds and makes up 5% of Own Funds (EUR 333mn)

Tier 1 – unrestricted (>50% of SCR)

EUR 5,390mn (81% of Own Funds)

Tier 1 – restricted (<20% of total Tier 1)

EUR 333mn (5% of Own Funds)

Capacity for additional restricted Tier 1 capital of roughly

EUR 1,015mn as of year end 2016

Tier 2 (<50% of SCR)

EUR 913mn (14% of Own Funds)

Capacity for additional Tier 2 capital of roughly EUR 792mn

as of year end 2016

81%

5%

14%

VIG capital structure

Tier 2

Tier 1 - restricted

Tier 1 - unrestricted

EUR 6,636mn

Own Funds (II)

10

Evolution of Own Funds, 2015 - 2016

6,346

288

63

316

20

6,636

252

114

31

6000

6100

6200

6300

6400

6500

6600

6700

6800

6900

Solvency II OwnFunds 2015

IFRS surplus IFRS effects fromreserves

Repurchase ofhybrid capital

Differences invaluation

Deferred taxes Planned dividends Other Solvency II OwnFunds 2016

in EUR mn

Repurchase of

subordinated

bonds

Capital generation in 2016

11

6,346

289

252114

3,411

-

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

Solvency II Own Funds SCR

Solvency II Own Funds 2015 Increace of Solvency II Own Funds 2016

Repurchase of Hybrid Capital Dividends

SCR

in EUR mn

Repurchase of Subordinated Bonds

VIG generated EUR 655mn of new capital

Capital generation at 19% of SCR

Sensitivity Analysis

12

Change in market parameters

Credit Spreads +100bps -19%

Equity -20%

-7%

-3%

Property -10%

Interest Rate +100bps

UFR to 4.05% -2%

w/o Volatility Adjustment

UFR to 3.65%

-9%

-11%

Interest Rate -100bps -16%

21%

Absolute change in

Solvency II Ratio (pps)

216%

188%

175%

192%

185%

192%

184%

178%

Impact of absolute

change on Solvency II RatioRounding differences

Disclaimer

IMPORTANT NOTICE

These materials do not constitute or form part, or all, of any offer or invitation to sell or issue, or any

solicitation of any offer to purchase or subscribe for, any securities in any jurisdiction in which such

solicitation, offer or sale would be unlawful, nor shall part, or all, of these materials form the basis

of, or be relied on in connection with, any contract or investment decision in relation to any

securities.

These materials contain forward-looking statements based on the currently held beliefs and

assumptions of the management of VIENNA INSURANCE GROUP AG Wiener Versicherung

Gruppe (“VIG”), which are expressed in good faith and, in their opinion, reasonable. These

statements may be identified by words such as “expectation” or “target” and similar expressions, or

by their context. Forward-looking statements involve known and unknown risks, uncertainties and

other factors, which may cause the actual results, financial condition, performance, or

achievements of VIG, or results of the insurance industry generally, to differ materially from the

results, financial condition, performance or achievements express or implied by such forward-

looking statements. Given these risks, uncertainties and other factors, recipients of this document

are cautioned not to place undue reliance on these forward-looking statements. VIG disclaims any

obligation to update these forward-looking statements to reflect future events or developments.