INDEX SUMMARY A. BUSINESS AND PERFORMANCE A.1 BUSINESS A.2 UNDERWRITING PERFORMANCE A.3 INVESTMENT PERFORMANCE A.4 PERFORMANCE OF OTHER ACTIVITIES A.5 ANY OTHER INFORMATION B. SYSTEM OF GOVERNANCE B.1 GENERAL INFORMATION ON THE SYSTEM OF GOVERNANCE B.2 FIT AND PROPER REQUIREMENTS B.3 RISK MANAGEMENT SYSTEM INCLUDING THE OWN RISK AND SOLVENCY ASSESSMENT B.4 INTERNAL CONTROL SYSTEM B.5 INTERNAL AUDIT FUNCTION B.6 ACTUARIAL FUNCTION B.7 OUTSOURCING B.8 ANY OTHER INFORMATION C. RISK PROFILE C.1 UNDERWRITING RISK C.2 MARKET RISK C.3 CREDIT RISK C.4 LIQUIDITY RISK C.5 OPERATIONAL RISK C.6 OTHER MATERIAL RISKS C.7 ANY OTHER INFORMATION D. VALUATION FOR SOLVENCY PURPOSES D.1 ASSETS D.2 TECHNICAL PROVISIONS D.3 OTHER LIABILITIES D.4 ALTERNATIVE METHODS FOR VALUATION E. CAPITAL MANAGEMENT E.1 OWN FUNDS E.2 SOLVENCY CAPITAL REQUIREMENTS AND MINIMUM CAPITAL REQUIREMENT E.3 USE OF THE DURATIONBASED EQUITY RISK SUBMODULE IN THE CALCULATION OF THE SOLVENCY CAPITAL REQUIREMENT E.4 DIFFERENCES BETWEEN THE STANDARD FORMULA AND ANY INTERNAL MODEL USED E.5 NONCOMPLIANCE WITH THE MINIMUM CAPITAL REQUIREMENT AND NONCOMPLIANCE WITH THE SOLVENCY CAPITAL REQUIREMENT F. ANNEXES QRT PUBLIC Telefónica Insurance. 2017 Solvency Financial Condition Report 1
SUMMARY Telefónica Insurance. 2017 Solvency Financial Condition Report 2
A. BUSINESS AND PERFORMANCE A.1 BUSINESS Telefónica Insurance. 2017 Solvency Financial Condition Report 3
A.2 UNDERWRITING PERFORMANCE Telefónica Insurance. 2017 Solvency Financial Condition Report 4
>1.000.000 >8.000 >450.000 >400.000 Telefónica Insurance. 2017 Solvency Financial Condition Report 5
6.988 462.929 106.913 157.147.045 157.723.875 6.988 1.306.494 108.064 165.984.274 167.405.820 99.118 1.560.383 62.327 79.499.103 81.220.931 40.249 151.398 11.008 70.103.531 70.306.186 (939.899) (630.374) 10.511.823 (8.941.550) A.3 INVESTMENT PERFORMANCE Telefónica Insurance. 2017 Solvency Financial Condition Report 6
2017 2016 Investment income Income from other investments 1.566.466 2.483.556 Value readjustments on investments 49.236 189.376 Gain on the realisation of investments 441.188 321.211 2.056.890 2.994.143 Investment charges Investment managing charges, including interest (1.441.078) (2.720.627) Value adjustments on Investments (117.783) (49.236) Losses on the realisation of investments (2.603) (441.495) (1.819.137) (3.211.358) Telefónica Insurance. 2017 Solvency Financial Condition Report 7
A.4 PERFORMANCE OF OTHER ACTIVITIES A.5 ANY OTHER INFORMATION Telefónica Insurance. 2017 Solvency Financial Condition Report 8
B. SYSTEM OF GOVERNANCE B.1 GENERAL INFORMATION ON THE SYSTEM OF GOVERNANCE Telefónica Insurance. 2017 Solvency Financial Condition Report 9
Telefónica Insurance. 2017 Solvency Financial Condition Report 10
Telefónica Insurance. 2017 Solvency Financial Condition Report 11
Telefónica Insurance. 2017 Solvency Financial Condition Report 12
B.2 FIT AND PROPER REQUIREMENTS Telefónica Insurance. 2017 Solvency Financial Condition Report 13
B.3 RISK MANAGEMENT SYSTEM INCLUDING THE OWN RISK AND SOLVENCY ASSESSMENT Telefónica Insurance. 2017 Solvency Financial Condition Report 14
B.4 INTERNAL CONTROL SYSTEM Telefónica Insurance. 2017 Solvency Financial Condition Report 15
B.5 INTERNAL AUDIT FUNCTION Telefónica Insurance. 2017 Solvency Financial Condition Report 16
Telefónica Insurance. 2017 Solvency Financial Condition Report 17
B.6 ACTUARIAL FUNCTION Telefónica Insurance. 2017 Solvency Financial Condition Report 18
B.7 OUTSOURCING Telefónica Insurance. 2017 Solvency Financial Condition Report 19
o o Telefónica Insurance. 2017 Solvency Financial Condition Report 20
B.8 ANY OTHER INFORMATION Telefónica Insurance. 2017 Solvency Financial Condition Report 21
C. RISK PROFILE C.1 UNDERWRITING RISK Telefónica Insurance. 2017 Solvency Financial Condition Report 22
C.2 MARKET RISK. Telefónica Insurance. 2017 Solvency Financial Condition Report 23
Telefónica Insurance. 2017 Solvency Financial Condition Report 24
C.3 CREDIT RISK Telefónica Insurance. 2017 Solvency Financial Condition Report 25
Corporate Issuers: 5% per issuer. Financial Issuers: 10% per issuer. Sovereign Issuers: 15% per issuer. AAA issuers without limit. Group companies without limit. C.4 LIQUIDITY RISK Telefónica Insurance. 2017 Solvency Financial Condition Report 26
C.5 OPERATIONAL RISK Telefónica Insurance. 2017 Solvency Financial Condition Report 27
C.6 OTHER MATERIAL RISKS C.7 ANY OTHER INFORMATION Telefónica Insurance. 2017 Solvency Financial Condition Report 28
D. VALUATION FOR SOLVENCY PURPOSES 1. Assets Telefónica Insurance. 2017 Solvency Financial Condition Report 29
Debtors arising out of direct insurance operations: Debtors arising out of reinsurance operations: Other debtors: Cash at bank: Tangible assets and stocks: Intangible assets: Telefónica Insurance. 2017 Solvency Financial Condition Report 30
Deferred tax asset: 2. Technical provisions Gross Best estimate of claim provisions: claim provisions Motor vehicle liability insurance 229,881.70 Fire and other damage to property insurance 1,147,590.20 General liability insurance 1,777,386.89 Miscellaneous financial loss 20,760,569.13 Telefónica Insurance. 2017 Solvency Financial Condition Report 31
N+1 N+2 N+3 Motor vehicle liability insurance 50% 30% 20% Fire and other damage to property insurance 50% 30% 20% General liability insurance 50% 30% 20% Miscellaneous financial loss 50% 30% 20% Gross Best estimate of premium provisions: Loss ratio Motor vehicle liability insurance 104% Fire and other damage to property insurance 72% General liability insurance 72% Miscellaneous financial loss 49% Risk margin: In summary: Risk margin: EUR 2,192,339. Telefónica Insurance. 2017 Solvency Financial Condition Report 32
Best estimate of the part of reinsurers in the premium provisions Unearned premiums Motor vehicle liability insurance 24,765.64 Miscellaneous financial loss 12,888,974.85 Loss ratio Motor vehicle liability insurance 104% Miscellaneous financial loss 49% Best estimate of the part of reinsurers in the claims provisions claim provisions Motor vehicle liability insurance 0.00 Fire and other damage to property insurance 1,090,211.25 General liability insurance 1,688,516.95 Miscellaneous financial loss 20,535,909.38 Telefónica Insurance. 2017 Solvency Financial Condition Report 33
Loss ratio Motor vehicle liability insurance 104% Fire and other damage to property insurance 72% General liability insurance 72% Miscellaneous financial loss 49% Adjustments Motor vehicle liability insurance 0.00 Fire and other damage to property insurance 327.51 General liability insurance 507.45 Miscellaneous financial loss 8,646.18 In summary: 3. Other liabilities Telefónica Insurance. 2017 Solvency Financial Condition Report 34
Other provisions for taxation: Other statutory and regulatory provisions: Creditors arising out of insurance operations: Creditors arising out of reinsurance operations: Other creditors: 4. Alternative valuation methods 5. Other information Telefónica Insurance. 2017 Solvency Financial Condition Report 35
E. CAPITAL MANAGEMENT E. 1. Own funds E. 2. SCR/MCR Telefónica Insurance. 2017 Solvency Financial Condition Report 36
Net written premiums in the last 12 months Net Best Estimate of technical provisions Motor vehicle liability insurance 10,403.65 230,550.16 Fire and other damage to property insurance 5,345.63 57,785.01 General liability insurance 2,088.18 89,534.62 Miscellaneous financial loss 72,597,984.27 233,959.21 E. 3. DurationBased Equity risk submodule E. 4. Difference between the standard formula and the intern model used E. 5. Noncompliance regarding the MCR and noncompliance regarding the SCR E. 6. Any other information Telefónica Insurance. 2017 Solvency Financial Condition Report 37
F. ANNEXES QRT PUBLIC
S.02.01.02 Balance sheet S.02.01.02.01 Balance sheet Solvency II value C0010 Assets Goodwill R0010 Deferred acquisition costs R0020 Intangible assets R0030 Deferred tax assets R0040 Pension benefit surplus R0050 Property, plant & equipment held for own use R0060 29.627,00 Investments (other than assets held for indexlinked and unitlinked contracts) R0070 13.179.723,25 Property (other than for own use) R0080 Holdings in related undertakings, including participations R0090 Equities R0100 Equities listed R0110 Equities unlisted R0120 Bonds R0130 585.255,00 Government Bonds R0140 Corporate Bonds R0150 585.255,00 Structured notes R0160 Collateralised securities R0170 Collective Investments Undertakings R0180 12.575.407,25 Derivatives R0190 Deposits other than cash equivalents R0200 Other investments R0210 19.061,00 Assets held for indexlinked and unitlinked contracts R0220 Loans and mortgages R0230 Loans on policies R0240 Loans and mortgages to individuals R0250 Other loans and mortgages R0260 Reinsurance recoverables from: R0270 32.996.402,54 Nonlife and health similar to nonlife R0280 32.996.402,54 Nonlife excluding health R0290 32.996.402,54 Health similar to nonlife R0300 Life and health similar to life, excluding health and indexlinked and unitlinked R0310 Health similar to life R0320 Life excluding health and indexlinked and unitlinked R0330 Life indexlinked and unitlinked R0340 Deposits to cedants R0350 22.000,00 Insurance and intermediaries receivables R0360 26.774.954,00 Reinsurance receivables R0370 82.806,00 Receivables (trade, not insurance) R0380 597.303,00 Own shares (held directly) R0390 Amounts due in respect of own fund items or initial fund called up but not yet paid in R0400 Cash and cash equivalents R0410 47.191.879,00 Any other assets, not elsewhere shown R0420 300.069,23 Total assets R0500 121.174.764,03 Telefónica Insurance. 2017 Solvency Financial Condition Report 1
Liabilities Technical provisions nonlife R0510 38.623.165,12 Technical provisions nonlife (excluding health) R0520 38.623.165,12 Technical provisions calculated as a whole R0530 Best Estimate R0540 36.430.826,39 Risk margin R0550 2.192.338,73 Technical provisions health (similar to nonlife) R0560 Technical provisions calculated as a whole R0570 Best Estimate R0580 Risk margin R0590 Technical provisions life (excluding indexlinked and unitlinked) R0600 Technical provisions health (similar to life) R0610 Technical provisions calculated as a whole R0620 Best Estimate R0630 Risk margin R0640 Technical provisions life (excluding health and indexlinked and unitlinked) R0650 Technical provisions calculated as a whole R0660 Best Estimate R0670 Risk margin R0680 Technical provisions indexlinked and unitlinked R0690 Technical provisions calculated as a whole R0700 Best Estimate R0710 Risk margin R0720 Other technical provisions R0730 Contingent liabilities R0740 Provisions other than technical provisions R0750 206.944,00 Pension benefit obligations R0760 Deposits from reinsurers R0770 Deferred tax liabilities R0780 1.129.425,55 Derivatives R0790 Debts owed to credit institutions R0800 Financial liabilities other than debts owed to credit institutions R0810 5.692.161,00 Insurance & intermediaries payables R0820 9.106.436,00 Reinsurance payables R0830 16.339.668,00 Payables (trade, not insurance) R0840 Subordinated liabilities R0850 Subordinated liabilities not in Basic Own Funds R0860 Subordinated liabilities in Basic Own Funds R0870 Any other liabilities, not elsewhere shown R0880 Total liabilities R0900 71.097.799,68 Excess of assets over liabilities R1000 50.076.964,35 Telefónica Insurance. 2017 Solvency Financial Condition Report 2
S.05.01.02 Premiums, claims and expenses by line of business S.05.01.02.01 Z Axis: VG/Statutory accounts DI/Year to Date NonLife (direct business/accepted proportional reinsurance and accepted nonproportional reinsurance) Medical expense insurance Income protection insurance Line of Business for: nonlife insurance and reinsurance obligations (direct business and accepted proportional reinsurance) Fire and other Motor vehicle Marine, aviation Credit and Other motor damage to General liability liability and transport suretyship insurance property insurance insurance insurance insurance insurance Workers' compensation insurance C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0120 C0130 C0140 C0150 C0160 C0200 Premiums written Gross Direct Business R0110 10403,65 106912,56 2088,18 157608646,1 157723874,1 Gross Proportional reinsurance R0120 accepted 0 0 0 0 0 Gross Nonproportional reinsurance R0130 accepted Reinsurers' share R0140 0 101566,932 0 85010661,8 85.112.228,73 Net R0200 10403,65 5345,628 2088,18 72597984,27 72.611.645,36 Premiums earned Gross Direct Business R0210 10403,69177 119890,1086 2088,18 167277614,4 167.405.819,99 Gross Proportional reinsurance R0220 accepted 0 0 0 0 Gross Nonproportional reinsurance accepted R0230 R0240 Reinsurers' share 0 114486,9047 0 91629713,98 91.744.200,88 Net R0300 10403,69177 5403,203929 2088,18 75647900,4 75.661.619,11 Claims incurred Gross Direct R0310 Business 109996,54 41872,37 223769,04 80531307,36 80.906.945,31 Gross Proportional R0320 reinsurance accepted 0 0 0 0 Gross Nonproportional R0330 reinsurance accepted R0340 Reinsurers' share 0 39778,7515 212580,588 43364115,83 43.616.475,17 Net R0400 109996,54 2093,6185 11188,452 37167191,53 37.290.470,14 Changes in other technical provisions Gross Direct R0410 Business 151444,9 607461,2 1213136,76 19743440,05 17.771.397,19 Gross Proportional R0420 reinsurance accepted 0 0 0 0 Gross Nonproportional R0430 reinsurance accepted R0440 Reinsurers' share 0 577088,14 1152479,922 20307695,68 18.578.127,61 Net R0500 151444,9 30373,06 60656,838 564255,625 806.730,42 R0550 Expenses incurred 59745,59 4941,903705 250 30601931,53 30.656.485,22 Other expenses R1200 Total expenses R1300 30.656.485,22 Legal expenses insurance Assistance Miscellaneous financial loss Line of Business for: accepted nonproportional reinsurance Health Casualty Marine, aviation, transport Property Total
S.05.02.01 Premiums, claims and expenses by country S.05.02.01.01 S.05.02.01.02 S.05.02.01.03 Z Axis: Z Axis: Z Axis: VG/Statutory accounts VG/Statutory accounts VG/Statutory accounts DI/Year to Date DI/Year to Date DI/Year to Date X Axis: LG/All members Country R0010 Home Country nonlife obligations Top 5 countries (by amount of gross premiums written) nonlife obligations Total Top 5 and home country nonlife obligati Home country Country (by amount of gross premiums written) nonlife obligations Total Top 5 and home country C0080 C0090 C0140 Premiums written Gross Direct Business R0110 157723874,1 157723874,1 Gross Proportional reinsurance accepted R0120 0 0 Gross Nonproportional reinsurance R0130 0 0 Reinsurers' share R0140 85112228,73 85112228,73 Net R0200 72611645,36 72611645,36 Premiums earned Gross Direct Business R0210 167405820 167405820 Gross Proportional reinsurance accepted R0220 0 0 accepted R0230 0 0 Reinsurers' share R0240 91744200,88 91744200,88 Net R0300 75661619,11 75661619,11 Claims incurred Gross Direct Business R0310 80906945,31 80906945,31 Gross Proportional reinsurance accepted R0320 0 0 Gross Nonproportional reinsurance R0330 0 0 Reinsurers' share R0340 43616475,17 43616475,17 Net R0400 37290470,14 37290470,14 Changes in other technical provisions Gross Direct Business R0410 17771397,19 17771397,19 Gross Proportional Nonproportional reinsurance reinsurance accepted R0420 0 0 accepted R0430 0 0 Reinsurers' share R0440 18578127,61 18578127,61 Net R0500 806730,423 806730,423 Expenses incurred R0550 30656485,22 0 30656485,22 Other expenses R1200 0 Total expenses R1300 30656485,22 Telefónica Insurance. 2017 Solvency Financial Condition Report 1
S.17.01.02 NonLife Technical Provisions S.17.01.02.01 NonLife Technical Provisions Direct business and accepted proportional reinsurance Medical expense insurance Income protection insurance Workers' compensation insurance Motor vehicle liability insurance Other motor insurance Marine, aviation and transport insurance Fire and other damage to property insurance General liability insurance Credit and suretyship insurance Legal expenses insurance Assistance Miscellaneous financial loss C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0120 C0130 Technical provisions calculated as a whole R0010 0 0 0 0 Total Recoverables from reinsurance/spv and Finite R0050 0 0 0 0 Technical provisions calculated as a sum of BE and RM Best estimate Premium provisions Gross R0060 578833,1714 19343,37701 0 11851469,43 Total recoverable from reinsurance/spv and Fini R0140 0 17683,47649 0 9609367,647 Net Best Estimate of Premium Provisions R0150 578833,1714 1659,900519 0 2242101,784 Claims provisions Gross R0160 230550,1611 1149161,143 1780531,397 20820937,71 Total recoverable from reinsurance/spv and Fini R0240 0 1091376,136 1690996,78 20586978,51 Net Best Estimate of Claims Provisions R0250 230550,1611 57785,0072 89534,6177 233959,2082 Total Best estimate gross R0260 809383,3325 1168504,52 1780531,397 32672407,14 Total Best estimate net R0270 809383,3325 59444,90772 89534,6177 2476060,992 Risk margin R0280 826119,8008 207058,3617 320825,2824 838335,2826 Amount of the transitional on Technical Provisions Technical Provisions calculated as a whole R0290 0 0 0 0 Best estimate R0300 0 0 0 0 Risk margin R0310 0 0 0 0 Technical provisions total Technical provisions total R0320 1635503,133 1375562,881 2101356,68 33510742,43 Recoverable from reinsurance contract/spv and Fin R0330 0 1109059,612 1690996,78 30196346,15 Technical provisions minus recoverables from reins R0340 1635503,133 266503,2694 410359,9001 3314396,275 Telefónica Insurance. 2017 Solvency Financial Condition Report 2
Nonproportional health reinsurance Accepted nonproportional reinsurance Nonproportional casualty reinsurance Nonproportional marine, aviation and transport reinsurance Nonproportional property reinsurance Total NonLife obligation C0140 C0150 C0160 C0170 C0180 Technical provisions calculated as a whole R0010 0 Total Recoverables from reinsurance/spv and Finite R0050 0 Technical provisions calculated as a sum of BE and RM Best estimate Premium provisions Gross R0060 12.449.645,98 Total recoverable from reinsurance/spv and Fini R0140 9.627.051,12 Net Best Estimate of Premium Provisions R0150 2.822.594,86 Claims provisions Gross R0160 23.981.180,41 Total recoverable from reinsurance/spv and Fini R0240 23.369.351,42 Net Best Estimate of Claims Provisions R0250 611.828,99 Total Best estimate gross R0260 36.430.826,39 Total Best estimate net R0270 3.434.423,85 Risk margin R0280 2.192.338,73 Amount of the transitional on Technical Provisions Technical Provisions calculated as a whole R0290 Best estimate R0300 Risk margin R0310 Technical provisions total Technical provisions total R0320 38.623.165,12 Recoverable from reinsurance contract/spv and Fin R0330 32.996.402,54 Technical provisions minus recoverables from reins R0340 5.626.762,58 Telefónica Insurance. 2017 Solvency Financial Condition Report 3
S.19.01.21 Nonlife insurance claims S.19.01.21.01 Z Axis: TA/Noncumulative VG/Solvency II Metric: Monetary BC/Claims paid BL/Nonlife and Health nonslt Accident year / AX/All memberunderwriting year Z0020 Accident year [AY] Gross Claims Paid (noncumulative) Development year (absolute amount). Total NonLife Business 0 1 2 3 4 5 6 7 8 9 10 & + C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 Prior R0100 4537822 N9 R0160 196085,19 173702,425 83105,52 46266,49 35927,22 0 0 0 0 0 N8 R0170 1274026,87 961967,49 159762,15 185739,56 6684,02 233725,58 86959,74 7664 0 N7 R0180 3324482,43 2543437,91 3651005,22 6519,93 56829,92 12372,38 0 350130,35 N6 R0190 27.351.138,45 7.524.624,75 4.460.786,94 1.314.508,32 263501,27 172757 8324,67 N5 R0200 47.468.977,08 222.376,66 2.688.729,37 79.192,24 105056 0 N4 R0210 50.319,08 342.602,15 14.608,59 20225,96 N3 R0220 1.948.606,53 2.791.458,62 810.333,27 9.123,32 N2 R0230 779.839,75 N1 R0240 371.972,82 N R0250 129.956,81 Telefónica Insurance. 2017 Solvency Financial Condition Report 4
S.19.01.21.02 Z Axis: VG/Solvency II Metric: Monetary BC/Claims paid BL/Nonlife and Health nonslt Accident year / AX/All me Underwriting year Z0020 Accident year [AY] S.19.01.21.03 Z Axis: VG/Solvency II Metric: Monetary DD/Undiscounted BC/Liability LB/Claim provisions [other than local GAAP specific] BL/Nonlife and Health nonslt AX/All Accident year / members Underwriting year Z0020 Accident year [AY] Gross Claims Paid (noncumulative) Current year, sum of years (cumulative). Total NonLife Business Gross undiscounted Best Estimate Claims Provisions Development year (absolute amount). Total NonLife Business In Current year Sum of years (cumulative) 0 1 2 3 4 5 6 7 8 9 10 & + C0170 C0180 C0200 C0210 C0220 C0230 C0240 C0250 C0260 C0270 C0280 C0290 C0300 Prior R0100 4.681.209,67 Prior R0100 123642,9 N9 R0160 0 2160567,555 N9 R0160 0 0 0 0 0 0 0 0 59354,39 0 N8 R0170 0 5413234,33 N8 R0170 0 0 0 0 0 0 0 255706,7252 162463,2 N7 R0180 350130,35 36554756,78 N7 R0180 0 0 0 0 0 0 1159180,733 16000 N6 R0190 8324,67 55987434,5 N6 R0190 0 0 0 0 0 506547,0134 407426,09 N5 R0200 4.866.799,90 N5 R0200 0 0 0 0 312909,3812 180231,13 N4 R0210 20.225,96 365.675,42 N4 R0210 156.175,56 N3 R0220 9.123,32 5.551.789,00 N3 R0220 1.058.880,55 1.460.319,76 N2 R0230 779.839,75 N2 R0230 776.932,00 698.428,33 N1 R0240 371.972,82 N1 R0240 336.991,55 N R0250 129.956,81 129.956,81 N R0250 20.990.450,83 Telefónica Insurance. 2017 Solvency Financial Condition Report 5
S.19.01.21.04 Z Axis: VG/Solvency II Metric: Monetary DD/Discounted BC/Liability LB/Claim provisions [other than local GAAP specific] BL/Nonlife and Health nonslt AX/All Accident year / members Underwriting year Z0020 Accident year [AY] Gross discounted Best Estimate Claims Provisions Current year, sum of years (cumulative). Total NonLife Business Year end (discounted data) C0360 Prior R0100 108,7348098 N9 R0160 0 N8 R0170 162754,8324 N7 R0180 16019,60048 N6 R0190 408143,6717 N5 R0200 180051,9975 N4 R0210 N3 R0220 1.462.931,82 N2 R0230 699.681,88 N1 R0240 N R0250 21.051.487,87 Total R0260 23.981.180,41 Telefónica Insurance. 2017 Solvency Financial Condition Report 6
S.23.01.01 Own funds S.23.01.01.01 Z Axis: VG/Solvency II Own funds Total Tier 1 Tier 1 unrestricted restricte Tier 2 Tier 3 C0010 C0020 C0030 C0040 C0050 Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35 Ordinary share capital (gross of own shares) R0010 23.250.000,00 23.250.000,00 Share premium account related to ordinary share capital R0030 12.525.000,00 12.525.000,00 Initial funds, members' contributions or the equivalent basic own fund item for mutual and mutualtype undertakings R0040 Subordinated mutual member accounts R0050 Surplus funds R0070 Preference shares R0090 Share premium account related to preference shares R0110 Reconciliation reserve R0130 14.301.964,35 14.301.964,35 Subordinated liabilities R0140 An amount equal to the value of net deferred tax assets R0160 Other own fund items approved by the supervisory authority as basic own funds not specified above R0180 Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the R0220 criteria to be classified as Solvency II own funds Deductions Deductions for participations in financial and credit institutions R0230 Total basic own funds after deductions R0290 50.076.964,35 50.076.964,35 Telefónica Insurance. 2017 Solvency Financial Condition Report 7
Total Tier 1 unrestricted Ancillary own funds Unpaid and uncalled ordinary share capital callable on demand R0300 Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual type R0310 undertakings, callable on demand Unpaid and uncalled preference shares callable on demand R0320 A legally binding commitment to subscribe and pay for subordinated liabilities on demand R0330 Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC R0340 Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC R0350 Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC R0360 Supplementary members calls other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC R0370 Other ancillary own funds R0390 Total ancillary own funds R0400 Available and eligible own funds Total available own funds to meet the SCR R0500 50.076.964,35 50.076.964,35 Total available own funds to meet the MCR R0510 50.076.964,35 50.076.964,35 Total eligible own funds to meet the SCR R0540 50.076.964,35 50.076.964,35 Total eligible own funds to meet the MCR R0550 50.076.964,35 50.076.964,35 SCR R0580 34.742.431,59 MCR R0600 9.402.487,76 Ratio of Eligible own funds to SCR R0620 1,44 Ratio of Eligible own funds to MCR R0640 5,33 Tier 1 restricte Tier 2 Tier 3 Telefónica Insurance. 2017 Solvency Financial Condition Report 8
S.23.01.01.02 Z Axis: VG/Solvency II Reconciliation reserve C0060 Reconciliation reserve Excess of assets over liabilities R0700 50.076.964,35 Own shares (held directly and indirectly) R0710 Foreseeable dividends, distributions and charges R0720 Other basic own fund items R0730 35.775.000,00 Adjustment for restricted own fund items in respect of matching a R0740 Reconciliation reserve R0760 14.301.964,35 Expected profits Expected profits included in future premiums (EPIFP) Life busine R0770 Expected profits included in future premiums (EPIFP) Nonlife bu R0780 Total Expected profits included in future premiums (EPIFP) R0790 Telefónica Insurance. 2017 Solvency Financial Condition Report 9
S.25.01.21 Solvency Capital Requirement for undertakings on Standard Formula S.25.01.21.01 Basic Solvency Capital Requirement Gross solvency capital requirement C0110 Market risk R0010 4.297.601,94 Counterparty default risk R0020 6.167.291,87 Life underwriting risk R0030 Health underwriting risk R0040 Nonlife underwriting risk R0050 25.829.202,68 Diversification R0060 5.444.413,95 Intangible asset risk R0070 Basic Solvency Capital Requiremen R0100 30.849.682,54 Simplific ations C0120 Telefónica Insurance. 2017 Solvency Financial Condition Report 10
S.25.01.21.02 Calculation of Solvency Capital Requirement Value C0100 Operational risk R0130 5.022.174,60 Lossabsorbing capacity of technical provisions R0140 Lossabsorbing capacity of deferred taxes R0150 1.129.425,55 Capital requirement for business o R0160 Solvency Capital Requirement 34.742.431,59 excluding capital addon R0200 Capital addon already set R0210 Solvency capital requirement R0220 34.742.431,59 Other information on SCR Capital requirement for duration R0400 Total amount of Notional Solven R0410 Total amount of Notional Solven R0420 Total amount of Notional Solven R0430 Diversification effects due to RFF nscr aggregation for article 304 R0440 Telefónica Insurance. 2017 Solvency Financial Condition Report 11
S.28.01.01 Minimum Capital Requirement Only life or only nonlife insurance or reinsurance activity S.28.01.01.01 Linear formula component for nonlife insurance and reinsurance obligations MCR components C0010 MCR NL Result R0010 9.402.487,76 S.28.01.01.02 Z Axis: VG/Solvency II Background information Background information Net (of reinsurance/spv) best estimate and TP calculated as a C0020 Net (of reinsurance) written premiums in the last 12 months C0030 Medical expense insurance and proportional reinsurance R0020 Income protection insurance and proportional reinsurance R0030 Workers' compensation insurance and proportional reinsurance R0040 Motor vehicle liability insurance and proportional reinsurance R0050 809.383,33 10.403,65 Other motor insurance and proportional reinsurance R0060 Marine, aviation and transport insurance and proportional reinsurance R0070 Fire and other damage to property insurance and proportional reinsurance R0080 59.444,91 5.345,63 General liability insurance and proportional reinsurance R0090 89.534,62 2.088,18 Credit and suretyship insurance and proportional reinsurance R0100 Legal expenses insurance and proportional reinsurance R0110 Assistance and proportional reinsurance R0120 Miscellaneous financial loss insurance and proportional reinsurance R0130 2.476.060,99 72.597.984,27 Nonproportional health reinsurance R0140 Nonproportional casualty reinsurance R0150 Nonproportional marine, aviation and transport reinsurance R0160 Nonproportional property reinsurance R0170 Telefónica Insurance. 2017 Solvency Financial Condition Report 12
S.28.01.01.05 Z Axis: VG/Solvency II Overall MCR calculation C0070 Linear MCR R0300 9.402.487,76 SCR R0310 34.742.431,59 MCR cap R0320 15.634.094,21 MCR floor R0330 8.685.607,90 Combined MCR R0340 9.402.487,76 Absolute floor of the MCR R0350 3.700.000,00 Minimum Capital Requirement R0400 9.402.487,76 Telefónica Insurance. 2017 Solvency Financial Condition Report 13