Pozavarovalnica Sava d d : Solvency and financial condition report of Sava Re d.d. for 2022

SFCR Sava Re d.d.

2022

SFCR Sava Re d.d.

2022

CONTENTS

Summary

7

A.

Business and performance

12

Business

12

Reinsurance underwriting performance

18

Investment performance

21

Performance of other activities

25

Any other information

26

B.

System of governance

27

General information on the system of governance

27

B.1.1

Governing bodies

27

B.1.2

Risk management

32

B.1.3

Key functions of the risk management system

32

B.1.4

Committees of the governance system

34

B.1.5

Information about the remuneration policy

36

B.1.6

Material related-party transactions

38

Fit and proper requirements

39

B.2.1

General

39

B.2.2

Fitness requirements for relevant personnel

39

B.2.3

Suitability requirements for relevant personnel

41

B.2.4

Assessment procedure

41

Risk management system including the own risk and solvency assessment

42

B.3.1

Risk management organisation

42

B.3.2

Components of the risk management system

43

Internal control system

49

B.4.1

Internal control system

49

B.4.2

Compliance function

49

Internal audit function

51

Actuarial function

53

Outsourcing

54

Any other information

55

C.

Risk profile

56

Underwriting risk

59

C.1.1

Risk exposure

60

C.1.2

Risk measurement

62

C.1.3

Risk concentration

63

C.1.4

Risk management

64

Market risk

68

C.2.1

Risk exposure

68

C.2.2

Risk measurement

69

C.2.3

Risk concentration

72

C.2.4

Risk management

72

Credit risk

76

C.3.1

Risk exposure

76

C.3.2

Risk measurement

76

C.3.3

Risk management

78

Liquidity risk

79

C.4.1

Risk exposure

79

C.4.2

Risk measurement

79

C.4.3

Risk concentration

79

C.4.4

Risk management

79

3

SFCR Sava Re d.d.

2022

Operational risk

81

C.5.1

Risk exposure

81

C.5.2

Risk measurement

81

C.5.3

Risk concentration

82

C.5.4

Risk management

82

Other material risks

83

C.6.1

Risk exposure

83

C.6.2

Risk measurement

84

C.6.3

Risk concentration

84

C.6.4

Risk management

84

C.6.5

Emerging risks

85

C.6.6

Sustainability risk and climate change risk

85

Any other information

88

D. Valuation for solvency purposes

89

Assets

92

D.1.1

Deferred acquisition costs

92

D.1.2

Intangible assets

92

D.1.3

Deferred tax assets and liabilities

92

D.1.4

Property, plant and equipment held for own use

93

D.1.5

Investments

93

D.1.6

Loans and mortgages

95

D.1.7

Reinsurers' share of technical provisions

95

D.1.8

Deposits to cedants

96

D.1.9

Insurance and intermediaries receivables

96

D.1.10

Reinsurance and co-insurance receivables

96

D.1.11

Other receivables

96

D.1.12

Own shares

96

D.1.13

Cash and cash equivalents

97

D.1.14

Any other assets, not elsewhere shown

97

Technical provisions

98

D.2.1

Values of SII technical provisions

99

D.2.2

Description of the level of uncertainty associated with the value of SII technical

provisions

101

Other liabilities

103

D.3.1

Provisions other than technical provisions

103

D.3.2

Insurance and intermediaries payables

103

D.3.3

Reinsurance and co-insurance payables

103

D.3.4

Other payables

103

D.3.5

Subordinated liabilities

103

D.3.6

Other financial liabilities other than debts owed to credit institutions

104

D.3.7

Any other liabilities, not elsewhere shown

104

Alternative methods for valuation

105

Any other information

106

E. Capital management

107

Own funds

108

Solvency capital requirement and minimum capital requirement

112

E.2.1

Solvency capital requirement (SCR)

112

E.2.2

Minimum capital requirement

113

Use of the duration-based equity risk sub-module in the calculation of the solvency capital

requirement

116

Difference between the Standard Formula and any internal model used

117

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SFCR Sava Re d.d.

2022

Non-compliance with the minimum capital requirement and non-compliance with the

solvency capital requirement

118

Any other information

119

Appendix - Glossary of selected terms

120

Quantitative Reporting Templates

123

S.02.01.02 Balance sheet

123

S.05.01.02 Premiums, claims and expenses by line of business

125

S.05.02.01 Premiums, claims and expenses by country

128

S.12.01.02 Life and Health SLT Technical Provisions

129

S.17.01.02 Non-life Technical Provisions

131

S.19.01.21 Non-life Insurance Claims Information

134

S.23.01.01 Own funds

136

S.25.01.21 Solvency Capital Requirement - for undertakings on Standard Formula

138

S.28.01.01 Minimum Capital Requirement - Only life or only non-life insurance or reinsurance

activity

140