Atradius Crédito y Caución, S.A,de Seguros y Reaseguros
Special review report
Solvency and financial condition report
31 December 2023

This version of our special review report is a free translation of the original, which was
prepared in Spanish. All possible care has been taken to ensure that the translation is an
accurate representation of the original. However, in all matters of interpretation of
information, views or opinions, the original language version of our report takes precedence
over this translation.

Special independent review report
To the directors of Atradius Crédito y Caución, S.A. de Seguros y Reaseguros:
Purpose and scope of our work
We have carried out a review, scoped to obtain reasonable assurance, of the "Valuation for solvency
purposes" and "Capital management" sections of the attached Report on the financial and solvency
condition of Atradius Crédito y Caución, S.A. de Seguros y Reaseguros at 31 December 2023,
prepared in accordance with Law 20/2015, of 14 July 2015, on the regulation, supervision andsolvency of insurance and reinsurance companies, its implementing regulations and directly applicable
European Union legislation, in order to provide complete and reliable information in all material
respects, in accordance with the Solvency II regulatory framework.
Our work does not constitute an audit and is not subject to prevailing auditing legislation in Spain. We
do not therefore express an audit opinion in the terms envisaged in said legislation.
Responsibility of the directors of Atradius Crédito y Caución, S.A. de Seguros y Reaseguros:
The directors of Atradius Crédito y Caución, S.A. de Seguros y Reaseguros are responsible for the
preparation, presentation and content of the solvency and financial condition report, in accordancewith Law 20/2015, of 14 July, on the regulation, supervision and solvency of insurance andreinsurance companies, and its implementing regulations and directly applicable European Union
legislation.
The directors are also responsible for defining, implementing, adapting and maintaining themanagement and internal control systems from which the necessary information to prepare this reportis obtained. These responsibilities include establishing the controls which they deem necessary topermit the preparation of the "Valuation for Solvency Purposes" and "Capital Management" sections of
the solvency and financial condition report, which are the subject of this review report, free frommaterial misstatement due to non-compliance or error.
Our independence and quality control
We have performed our work in accordance with the standards of independence and quality control
required by Circular 1/2017, of 22 February, of the Directorate General for Insurance and Pension
Funds, which establishes the content of the special review report on the individual and group financial
and solvency condition, and the persons responsible for its preparation, and by Circular 1/2018, of 17
April 2018, of the Directorate General for Insurance and Pension Funds, which develops the reportmodels, the action guidelines and the periodicity and scope of the special review report on theindividual and group financial and solvency condition, and the persons responsible for its preparation.

PricewaterhouseCoopers Auditores, S.L., Torre PwC, Pº de la Castellana 259 B, 28046 Madrid, España
Tel.: +34 915 684 400 / +34 902 021 111, Fax: +34 915 685 400, www.pwc.es
R. M. Madrid, hoja 87.250-1, folio 75, tomo 9.267, libro 8.054, sección 3ª.
Inscrita en el R.O.A.C. con el número S0242 - CIF: B-79 031290

1

Our responsibility
Our responsibility is to perform a review designed to provide reasonable assurance regarding thesections "Valuation for solvency purposes" and "Capital management" included in the accompanying
report on the financial and solvency condition of Atradius Crédito y Caución, S.A. de Seguros y
Reaseguros, S.A. de Seguros y Reaseguros, at 31 December 2023, and to express a conclusion
based on the work performed and the evidence gathered.
Our review work depends on our professional judgment and includes the assessment of risks ofmaterial misstatement.
Our review work was based on the application of procedures designed to obtain evidence as
described in Circular 1/2017, of 22 February, of the Directorate General for Insurance and Pension
Funds, which establishes the content of the special review report on the individual and group financial
and solvency condition, and the persons responsible for its preparation, and in Circular 1/2018, of 17
April 2018, of the Directorate General for Insurance and Pension Funds, which develops the reportmodels, the action guidelines and the periodicity and scope of the special review report on theindividual and group financial and solvency condition, and the persons responsible for its preparation.
The persons responsible for reviewing the report on the financial and solvency condition were as
follows:Lead reviewer: Francisco Cuesta Aguilar, who reviewed actuarial matters, and is responsible forthe coordination work required by the aforementioned circulars.



Professional reviewer: Enrique Anaya Rico, who reviewed all financial and accounting matters.

The reviewers assume full responsibility for the conclusions expressed by them in the special review
report.
We consider that the evidence obtained provides a sufficient and appropriate basis for our conclusion.
Conclusion
In our opinion, the "Valuation for solvency purposes" and "Capital management" sections of theattached report on the financial and solvency condition of Atradius Crédito y Caución, S.A. de Seguros
y Reaseguros at 31 December 2023, have been prepared in all material respects in accordance withLaw 20/2015 of July 14, as well as its implementing regulations and directly applicable European
Union legislation, the information being complete and reliable.
PricewaterhouseCoopers Auditores, S.L. (S0242)

Original in Spanish signed by

Original in Spanish signed by

Francisco Cuesta Aguilar(TIN 30543955R)

Enrique Anaya Rico
( ROAC 23060, TIN 28948054R)

3 April 2024

2

Solvency and Financial Condition Report2023
Atradius Crédito y Caución S.A. de Seguros y
Reaseguros

1

Atradius Crédito y Caución S.A. de Seguros y Reaseguros
Atradius Crédito y Caución S.A. de Seguros y Reaseguros (referred to as ‘ACyC’ or the ‘Company’), with its office at
Paseo de la Castellana 4, 28046 Madrid, Spain, is a global credit and surety (re-) insurer and aims to support its
customers’ growth by strengthening their credit and cash management through a wide range of products, which
include credit insurance, surety bonds & guarantees, instalment credit protection, as well as reinsurance there
off, and services as commercial information, debt collections and credit management solutions.
The main shareholder of ACyC is Atradius Insurance Holding N.V., a company incorporated and domiciled in Amsterdam, the Netherlands. The parent company of Atradius Insurance Holding N.V. is Atradius N.V. (together with
its subsidiaries referred to as ‘ANV’ or ‘Atradius’), incorporated and domiciled in Amsterdam, the Netherlands.
The ultimate parent and controlling party of Atradius is Grupo Catalana Occidente, S.A. (hereafter referred to as“GCO” or “Grupo Catalana Occidente”), a company incorporated and domiciled in Madrid, Spain.
As per 31 October 2023, ACyC implemented the merger by absorption of Atradius Reinsurance DAC (hereafterreferred to as “the merger”). Figures prior to the date of the merger remain without any change. This means thatin this report, all comparative figures corresponding to financial year 2022 correspond exclusively to ACyC without Atradius Reinsurance DAC, while the financial statements of 2023 include ACyC and Atradius Reinsurance
DAC merged. Atradius Re line of business is maintained for commercial and branding purposes.
For the preparation of the Solvency II reporting as at 31 December 2023, the Company has applied the following
rules:•
Solvency II laws and regulations (Directive 2009/138/EC, Delegated Acts (EU) 2015/35)•
Implementing Technical Standards and EIOPA Guidelines•
Guidelines on reporting and public disclosure EIOPA – BoS-15/109•
Delegated Acts (EU) 2019/981•
Delegated Acts (EU) 2023/984.
Solvency II requires that own funds are classified into three tiers, based on whether they are basic or ancillary
own fund items and to the extent to which they possess the following characteristics:a) loss-absorbing capacityb) subordinationc)sufficient durationd) freedom from requirements and incentives to redeeme)freedom from mandatory costsf)absence of encumbrances.
ACyC basic own funds have a Tier 1 classification and ACyC does not have ancillary own funds.
ACyC applies a Partial Internal Model with an internal model for non-life underwriting risk. By applying the tailored internal model, the risk profile is adequately quantified in particular through using risk parameters such asprobability of default (PD) and loss-given-default (LGD) along with exposure amounts. Atradius has been using
the internal model, formerly called the ECAP model, since 2004. Atradius adapted the previously existing ECAP
model and made the model Solvency II-compliant, in line with the regulation in force.
ACyC has a strong solvency ratio.
Due to rounding of numbers presented throughout this document, they may not exactly add up to the totals provided.

SFCR ACyC 2023 | 2

Executive summary

Key financial figures 2023
Eur Million (except %)Total insurance revenues

2,289

Net combined ratio

77%

Result after tax

325

Eligible Own funds

2,554

Cover Ratio

218%

Eur Million

31.12.2023

31.12.2022

2,577

1,768

Excess of assets over liabilities
Foreseeable Dividends

(24)

0

Eligible Own Funds Solvency II

2,554

1,768

Solvency Capital Requirement

1,172

910

Minimum Capital Requirement

318

228

Surplus at 31 December before
foreseeable dividends

1,405

858

Surplus at 31 December

1,381

858

576,8 foreseeable
Cover Ratio before
Dividends
Cover Ratio Eligible Own Funds

220%
2.312,1

194%

218%

194%

5.580,45.004,07.103,2

4.791,1

SFCR ACyC 2023 | 3

Table of contents
A

Business and performance .............................. 5E

A.1. Business ................................................................................... 6

E-0. Introduction ........................................................................ 50

A.2. Underwriting performance ............................................ 12E-1. Own funds ............................................................................. 51

A.3. Investment performance ................................................. 14

E-2. Solvency capital requirement and minimum capitalrequirement ....................................................................... 51

A.4. Performance of other activities..................................... 14
A.5. Any other information...................................................... 14
B

Capital management ....................................... 49

E-3. Use of the duration-based equity risk sub-module inthe calculation of the solvency capital requirement................................................................................................53

System of governance .....................................16

E-4. Differences between the standard formula and thepartial internal model used ..........................................53

B-1. General information on the system of governance . 17
B-2. Fit and proper requirements ......................................... 19

E-5.

B-3. Risk management system including the own risk
and solvency assessment .............................................22
B-4. Internal control system ...................................................24

Non-compliance with the minimum capitalrequirement and non-compliance with thesolvency capital requirement..................................... 54

E-6. Any other information .................................................... 54

B-5. Internal Audit function ....................................................26
B-6. Actuarial function ..............................................................26
B-7. Outsourcing ..........................................................................26
B-8. Any other information .....................................................28
C

F

Annexes ............................................................. 55
F-1. Details of the governance and process for the
execution of the ORSA................................................... 56
F-2. All relevant QRTs (all amount in EUR thousand) .. 58

Risk profile ....................................................... 29

F-3.

C.0. Contribution of the risk types to the Solvency Capital
Requirement .................................................................... 30

F-4. Solvency II valuation principles .................................. 69

Overview of subsidiaries and minority
shareholdings................................................................... 68

C-1. Underwriting risk .............................................................. 30
C-2. Market risk ...........................................................................34
C-3. Credit risk ............................................................................. 35
C-4. Liquidity risk .......................................................................36
C-5. Operational risk ..................................................................36
C-6. Other material risks .......................................................... 37
C-7. Any other information......................................................39
D

Valuation for solvency purposes....................41
D-0. Introduction ........................................................................42
D-1. Asset valuation ....................................................................44
D-2. Technical provisions ........................................................44
D-3. Other liabilities valuation ............................................... 47
D-4. Alternative methods for valuation ..............................48
D-5. Valuation techniques used on the basis of model
approach .............................................................................48

SFCR ACyC 2023 | 4

ABusiness and performance

A

Business and performance

A-1

Business

A-1 a) Name and legal form of the undertaking
A-1 b) Supervisory authority & group supervisor
A-1 c) External auditor
A-1 d) Holders of qualifying holdings in the undertaking
A-1 e) Details of the undertaking's position within thelegal structure of the group
A-1 f) Material product lines and material geographical areas of business
A-1 g) Any significant business or other events thathave occurred over the reporting period that have
had a material impact on the undertaking
A-2

Underwriting performance

A-3

Investment performance

A-4

Performance of other activities

A-5

Any other information

SFCR ACyC 2023 | 5

A.1. Business

indirectly through the holding company Grupo Compañía Española de Crédito y Caución, S.L).

A-1 a) Name and legal form of the undertaking
Atradius Crédito y Caución S.A. de Seguros y Reaseguros(ACyC)
Paseo de la Castellana 4

Grupo Catalana Occidente, S.A.
Grupo Companía Española de Crédito y Caución,
Grupo Catalana Occidente, S.A.

28046 MadridSpain

A-1 b) Supervisory authority & group supervisor
Dirección General de Seguros y Fondos de Pensiones(DGSFP)
Paseo de la Castellana 4428046 Madrid
Spain

The Company is authorised by the DGSFP to carry out
the business of credit and surety (re)insurance. The
DGSFP also acts as the group supervisor of the ultimate
parent of ACyC, Grupo Catalana Occidente.

A-1 c) External auditor
External auditing services are performed by:

Percentage ofShares
35.77%
64.23%

Shareholder structure of Atradius N.V.

Consorcio de Compensación de Seguros
Nacional de Reaseguros, S.A.
España, S.A. Compañía Nacional de Seguros
Ges Seguros y Reaseguros, S.A.
Total

73.84%
9.88%
7.78%
5.00%
3.50%
100.00%The shares of Grupo Catalana Occidente are listed on theContinuous Market of the Barcelona and Madrid Stock
Exchanges. As of 31 December 2023, the main shareholder is INOC, S.A., controlling approximately 62.03% of
the capital of Grupo Catalana Occidente, 33.53% of thecapital is floating, 1.65% of its shares are treasury stock,and 2.79% of its shares are owned by the members of theboard of directors, and related parties, of Grupo Catalana
Occidente (not considered floating).

Grupo Catalana Occidente
Grupo Catalana Occidente is one of the leaders in the
Spanish insurance sector and in global credit insurance.
Founded more than 150 years ago, it has experienced
constant growth, thanks to its capacity to adapt tochange and remain loyal to its principles, which are truly
insurance oriented.

PRICEWATERHOUSECOOPERS AUDITORES, S.L
Paseo de la Castellana 259B
Torre PWC
28020 Madrid

Grupo Catalana Occidente is committed to the professional development of its employees and insurance
agents, its personalised customer service and the trust
its shareholders have in the Organisation.

Spain
Strategic goal
A-1 d) Holders of qualifying holdings in the undertaking
The main shareholder of ACyC is Atradius Insurance
Holding N.V. which is a company incorporated and domiciled in Amsterdam, the Netherlands. The parent company of Atradius Insurance Holding N.V. is Atradius N.V.,
which is a company incorporated and domiciled in Amsterdam, the Netherlands. The ultimate parent and theultimate controlling party of Atradius is Grupo Catalana
Occidente, S.A.

Grupo Catalana Occidente’s strategic goal is to be leadersin the field of risk protection and long-term savings offamilies and SMEs, and to be international leader in commercial risk coverage.
Thanks to the stability of the results and the prudent investment policy, GCO has a solid solvency position.

A-1 e) Details of the undertaking's position within the legal structure of the group
ACyC is an indirect subsidiary of Grupo Catalana Occidente. GCO is the main shareholder of Atradius, holding
an economic stake of 83.2% (35.77% directly and 47.43%

SFCR ACyC 2023 | 6

Key financial figures 2023
Turnoverand distributionof the business

Combined
ratio

Consolidated
result615.5 M €5,792.6 M € +9.7%

52.9%
43.2%
3.9%

Traditional business
Credit insurance business
Funeral business

92.6%
74.1%

+ 1.8 p.p. Traditional business+ 1.8 p.p. Credit insurance business

Shareholder
remuneration
134.1 M €Permanent resources atmarket value
5,738.8 M €

2023

2022

5,738.8
5,170.4
156.2
12.1%
15,364.7
5,565.6
615.5

4,916.3
4,374.0
191.3
12.9%
14,854.7
5,245.6
542.5(EUR million)
Long-term capital market value
EquitySubordinated debt
Return on long-term capitalFunds under management
Total revenue
Consolidated result

SFCR ACyC 2023 | 7

Corporative structure

Grupo Catalana Occidente, S.A.
Spain
Grupo Compañía Española de Crédito y
Caución, S.L.
Atradius N.V.
The Netherlands
Atradius Insurance Holding N.V.
The Netherlands

Branches:
AustraliaJapan

Atradius Crédito y Caución S.A.

Austria

Luxembourgde Seguros y Reaseguros

Belgium

Netherlands

Spain

Bulgaria

New Zealand

Atradius Crédito y Caución Seguradora
S.A.

CanadaNorwayBrazilDenmark

Portugal

FinlandRomania

Iberinmobiliaria S.A.

FranceSingaporeSpain

Germany

Slovakia

GreeceSlovenia

Crédito y Caución do Brasil Gestao deHong Kong

Swedenriscos de Crédito e Servicios LTDA

Hungary

Switzerland

BrazilIrelandTurkeyItaly

United Kingdom

Branch:Portugal

Czech Republic Poland

Iberinform Internacional S.A.U.
Spain
B2B Safe S.A.
Spain

SFCR ACyC 2023 | 8

The brands of the Group in the traditional business are:Fundación Jesús Serra
Fundación Jesús Serra (the ‘Foundation’) was established in 2006 with thegoal of channeling philanthropic action
and promoting the human and professional values that characterized thefounder of Grupo Catalana Occidente, Jesús Serra Santamans, from whom it receives its name. It is currently
involved in projects in the fields of research, business,
education, social action, sport, and promotion of the arts.
In this way, we aim to contribute to the construction of afairer, more united, and developed society in which values such as initiative, effort, and continuous improvement prevail.

The Foundation acts as a link between the different companies that make up the GCO Group. For this reason, oneof its goals is to support the development of a common
culture, by facilitating gatherings for the employees,
agents and brokers of the group.

The brands of the Group in Credit insurance are:

SFCR ACyC 2023 | 9

Atradius N.V.
Atradius is a world-leading provider of trade credit insurance, surety and debt collection services with a presence in every continent. Atradius operates through over
160 offices in more than 50 countries around the world,with a commitment to simplifying and improving its
customers’ credit management.

The main figures of Atradius N.V. for 2023 and 2022 are:Atradius N.V.
(EUR million)

2023

2022

vs 2022

Gross Insurance revenue

2,422

2,366

2%

Gross insurance claims and loss adjustment expenses*

(953)

(915)

(4%)

Gross insurance operating expenses
Result Before Reinsurance
Reinsurance result
Result after reinsurance

(869)

(801)

600
(213)
387

650
(245)
405

(8%)
(8%)
13%
(4%)

* Overview includes inter-segment revenue and (claims) expenses

A-1 f) Material product lines and material geographicalareas of business
Product lines
Credit insurance (83% of total gross revenue). ACyC’s
core product - credit insurance - provides cover against
financial losses arising from non-payment for goods andservices sold on credit (whether this results from insolvency, default, or political risks). We focus on a range ofbusiness segments: offering variations of credit insurance targeted at small and medium sized enterprises(SMEs) and large local companies and multinational corporations.
For multinationals, we offer a sophisticated and tailormade credit management solution in the form of our
Global policy. As a market leader and pioneer with over
25 years of experience in this segment, Atradius Global
has developed an excellent understanding of the needs,
structure, and geographies of multinationals. The structure of our modular cover and service footprint is
uniquely designed to mirror the requirements of ourcustomers, whether they have centralised or local credit
management.

The Special Products unit offers solutions for customers
outside the framework of the Company’s whole turnoverpolicies, to cover trade but also to support trade financing.

position when dealing with their business partners.
ACyC offers two main groups of bonds: contract surety
bonds (bid, performance, advance payment, maintenance) and commercial bonds (tax, excise, custom andauthorization bonds) in traditional sectors like construction, engineering and travel. Our support towards ourcustomers goes beyond the mere risks coverage and protection against worst-case scenarios. We provide tailormade products and solutions that fit their needs andstrategies. ACyC holds a leading position in the French,
Italian, Nordic (Denmark, Finland, Norway and Sweden)
and Spanish surety markets.
The Surety unit also operates in Germany, Belgium, theNetherlands, Luxembourg and Portugal.

Instalment Credit Protection (1% of total gross revenue).
Instalment Credit Protection (ICP) products cover shortand medium-term risks involved in instalment-based
credit agreements with private individuals and businesses. Consumer credit, leasing and renting have always been part of our product offering. In addition, we
added residential real estate insurance products for coownerships and for rental guarantee. Instalment Credit
Protection products are offered to financial and corporate policyholders in Belgium and Luxembourg.

Reinsurance (9% of total gross revenue). As a result of themerger with Atradius Reinsurance DAC in 2023, ACyC
also now offers reinsurance solutions to credit insurance
and surety primary insurers around the globe under the
product line Atradius Re. Through this product line,
ACyC operates as a reinsurer providing capacity to primary insurance companies in credit insurance andsurety. The reinsurance business supports businessfrom 123 clients in over 55 countries. The underlying
business consists of 56% credit insurance and 44%
surety, based on premium volume.
The business is underwritten by a multilingual, highly
trained and experienced, international team of underwriters at the Atradius’ offices in Dublin, Ireland.
Atradius Re has a long-standing relationships with theirclients, 241 live contractual agreements and lead 35% of
their treaties. In addition, close contacts with specialist
brokers are maintained. The quality of these client
relationships is underscored by the unique offering:combining the Atradius group’s skills in the primary
underwriting of credit insurance and surety risks with
its own distinctive approach and expertise in structuring
reinsurance solutions.

Surety products (7% of total gross revenue). A surety
bond protects a beneficiary if the supplier - our customer- fails to meet its contractual obligations. Our range ofsurety products puts customers in a stronger financial

SFCR ACyC 2023 | 10

Geographical areas of business
ACyC is incorporated in Spain and has branches in 21
countries in the European Economic Area (‘EEA’). It also
conducts its insurance business in all the other EEA
countries, making use of the so called ‘European Single
Passport’ as well as in Monaco and San Marino. ACyC
also acts in Andorra with special authorization as a
Spanish insurance company.

In the EEA ACyC has branches in: Austria, Belgium, Bulgaria, Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Ireland, Italy, Luxembourg, theNetherlands, Norway, Poland, Portugal, Romania, Slovakia, Slovenia, Spain (registered office), and Sweden.
Outside the EEA, ACyC has branches in Australia, Canada, Hong Kong, Japan, New Zealand, Singapore, Switzerland, Turkey and The United Kingdom (‘UK’).
ACyC also conducts business through co-operationagreements with local partners in other regions such as
China, Dubai and India.

A-1 g) Any significant business or other events that haveoccurred over the reporting period that have had a material impact on the undertaking.
Reference is made to section A-2, Underwriting Performance, specific sections for change in reinsurance andchanges in income statement.

SFCR ACyC 2023 | 11

A.2. Underwriting performance
Stable result and profitable growth.
Eur Million

Credit insurance
2023
2022

Bonding
2023
2022

Inward Re
2023
2022

Total
2023

2022

Premiums earned (direct and assumed)
Premiums earned net of Return Prem. Paid+/- Change in provision of unearned premiums

1,806
1,836
(28)

1,689
1,757
(63)

142
191
(49)

129
129
1

186
208
(21)

2,135
2,235
(98)

1,818
1,885
(63)

+/- Change in provision of premiums outstanding recovery
Premiums earned ceded and retroceded
Premiums earned ceded and retroceded net of Return
Prov.
+/- Change in provision of unearned premiums
Net premiums earned
Claims (direct and assumed)
Insurance claims and loss adjustment expenses+/- Change claims and recoveries provision direct

(2)
(718)

(5)
(729)

(0)
(54)

(0)
(66)

(8)

(2)
(780)

(5)
(795)

(721)
3
1,087
(791)
(675)
(116)

(714)
(14)
960
(685)
(408)
(278)

(73)
19
88
(18)
(11)
(7)

(53)
(13)
63
(39)
(41)
2

(3)
(5)
178
(83)
(48)
(34)

(796)
16
1,354
(892)
(734)
(158)

(767)
(28)
1,023
(724)
(448)
(276)

Claims (Ceded and Retroceded)
Claims payments+/- Change claims and recoveries provision ceded
Net Insurance Claims+/- Change in other technical provisions net of reinsurance
Acquisition Cost (Direct and Assumed)
Administrative expenses (Direct and Assumed)
Broker and reinsurance commissions
Other technical income

250
241
9
(541)
11
(286)
(400)
333
52

183
199
(16)
(502)
(28)
(215)
(338)
293
53

5
3
2
(13)
(0)
(47)
(46)
58
5

19
23
(4)
(20)
(0)
(10)
(39)
30
5

6
6
(0)
(77)
(10)
(63)
(0)

260
249
11
(632)
11
(333)
(456)
328
57

202
222
(20)
(522)
(28)
(225)
(377)
323
58

Total operating expenses and other net technical expenses

(289)

(235)

(30)

(14)

(73)

(393)

(250)

Credit Insurance & Instalment Credit Protection
8%
7%

Credit Insurance

1%

Instalment Credit
Protection
SuretyInward Re
84%

20%

15%

Spain

EEA Countries
NON-EEA Countries65%

In 2023 premium earned by ACyC increased by 17% following 2022, as the combined result of organic businessdevelopment and the merger of Atradius Reinsurance
DAC with ACyC. Despite the less than favourable economic outlook observed during 2023 and its implications for global trade, ranging from high food and energy
prices, elevated interest rates to geopolitical volatility insome markets, our Credit Insurance business showedstable and consistent growth trends in most regions
across the group.

In 2023 underlying performance was favourable andportfolios continued to develop well, however the impact
of increasing inflation and commodity prices did notprovide additional contributions to revenue growth as it
did in 2022. Nonetheless almost every one of our local
credit insurance units proved resilient and grew versus
the previous year. Asia also maintained a moderate
growth in 2023, as our growth ambition in this region
remains unabated. While our markets in North America
showed marginal growth during the year, France andNetherlands showed strong and stable growth (10.1% and7.3%, respectively), along with the UK and Ireland (7.2%).
The rest of European markets showed positive development except for our local markets in Italy and the Nordic

SFCR ACyC 2023 | 12

regions which, while maintaining dedication to best inclass service, were unable to grow during the year under
the strain of a challenging competitive environment.
Spain, our largest market, grew moderately during theyear, despite subdued development of insured turnover.
Our Global unit showed moderate performance andgrowth during the year, while maintaining excellent
customer base retention thanks to Global’s first class service.
Insolvencies continued to progressively increase during2023. This was an anticipated normalisation following
the conclusion of different government support
measures implemented during the pandemic, along withthe overall tightening leading of lending conditions.
Some markets insolvencies appeared above pre-pandemic levels, while others are still in the process of adjustment.
Gross claims ended at EUR 791 million and a gross claims
ratio of 42.6%, resulting from increases in overall claims
inflow. The foreseen development of insolvencies following the phasing out of fiscal support measures, andtemporary changes to insolvency legislation that were
implemented as economic support mechanisms during
the Covid pandemic have contributed to this increase, asa progressive return of claims entry to pre-pandemic
levels.
Total operating expenses (and other net technical expenses) increased in 2023, with brokerage fees increases driven by the overall growth in insured business. Operating expenses also increased following thecontinued insurance portfolio growth during the year,
along with increased investment in the digital transformation programmes for the Credit Insurance.

SuretyACyC Surety works with different industries and maintains relationships with a large range of companies.
Building a strong portfolio and maintaining good customer relationships are key priorities for ACyC Surety.
After expanding in different countries during recent
years, Surety is consolidating its strong presence within
12 markets (Belgium, Denmark, Finland, France, Germany, Italy, Luxembourg, The Netherlands, Norway,
Portugal, Spain and Sweden), offering tailor made products and solutions to our customers.

Combined with deep knowledge of the surety market aswell as a constant and dynamic analysis of the economic
trends, ACyC Surety saw favourable business development and consistent growth in all 12 markets during2023. The result was a total of EUR 142 million in Earned
Premium, growing 10% coming from 2022.
Despite the weaker economic outlook, geopolitical conflicts and spikes in energy prices and inflation, claims remained moderately impacted and well below previous
year. With close support and monitoring activities wewere able to help customers manage challenges broughton by the economic challenges. As a result, claims ratio
has significantly decreased from 29.1% in 2022 to 12.4%
in 2023, partially thanks to the favourable developments in claims activity from prior underwriting periods.
While structural expenses continued to remain stable
during 2023, total operating expenses grew as the surety
business increased investment in digital transformation
programmes (the Surety Business Transformation programme) which aim to provide a modern state of the art
user journey and experience for both customers andpartners.
This common platform will help us sustain and improve
our market position through the use of new technologies. It will support our ambition to enable geographicalexpansion to countries where Atradius has a footprint,
support the further expansion of our surety service portfolio and strengthen our value proposition in the Surety
business.
ACyC Surety maintains its strong financial position,solid growth, and risk profile which we aim to pursue
also in the years to come.

Reinsurance
Total reinsurance revenue in 2023 was EUR 186.3
million. The claims ratio was 44.5% in 2023.
The profitability during financial year 2023 was due to a
combination of a significant increase in revenue andpositive development of claims in respect of priorunderwriting years.

The expertise and the flexibility provided to our customers, has allowed to gain trust of major corporates andprovide opportunities for underwriting business. ACyC
Surety is active in various sectors, primarily construction, logistics, capital goods manufacturing, import andexport, and food and beverage.
In 2023 ACyC Surety increased thanks to new opportunities in sectors different than the traditional construction industry (e.g. renewable energy) and new business.

SFCR ACyC 2023 | 13

A.3. Investment performance

A.4. Performance of other activities

The net investment result amounted to EUR 83 million.
The table shows the breakdown into the main components.

Other income and expenses correspond to services supplied and received by ACyC to/from other units within
Atradius.

P&L

Services

Eur Million
Interest income from Bonds
Dividend income Shares
Dividends of associated companies
Other Incomes
Financial & Properties Investments Incomes

2023
24
14
2
33
73

7
9
8
24

Eur Million
Asset Management Expenses
Impairments
Other Interest expenses
Financial Investment Expenses

2023

2022

(4)
(11)
(15)

(3)
0
(2)
(6)

Eur Million
Realised Gains & Losses from Bonds

2023

2022

(10)

(15)

Realised Gains & Losses from Shares

36

28

Realised Losses real estate investment
Other Realised Gains and Losses
Total Realized Gains and losses

(2)
25

4
(1)
15

2023

2022

(58)
78

(89)
39

20

(50)

2022

Revaluation Reserve
Eur Million
Bonds available for sale
Shares available for sale
Revaluation reserve gross of tax(EUR Million)

2023

2022

vs 2022

Services Income and Expenses

9

8

13%

Service result *

9

8

13%

* Overview includes inter-segment revenue and claims expenses

A.5.Any other information
Atradius rated Entities
In 2023, A.M. Best confirmed the rating of the Atradius
rated entities: Financial Strength Rating of A (Excellent)and Long-Term Issuer Credit Rating of ‘a+’, both with astable outlook. According to A.M. Best the rating reflects
Atradius’ balance sheet strength, strong operating performance, favourable business profile and appropriate
enterprise risk management.
Moody's upgraded the Insurance Financial Strength Rating of Atradius to ‘A1’ from 'A2' and changed the outlook
from ‘positive’ to ‘stable’. According to Moody’s this reflects the successful efforts in maintaining a conservative balance sheet over the past five years evidenced by
the strong capitalisation, prudent reserving levels andconservative asset allocation, as well as the focus on underwriting discipline.

Changes in the structure
Gains and losses recognised in revaluation reserve
The revaluation reserve on financial investments increased to EUR 20 million per the end of 2023 from EUR(50) in 2022. This increase of the revaluation reserve
was mainly driven by the positive performance of theequity markets during 2023 in combination with thehigher valuation of bonds due to slightly lower yields
and was also positively impacted by the merger with Atradius Re. The lower bond yields and positive equity performance were mostly driven by the decreasing trend in
inflation.
Information about any investments in securitization
The undertaking has neither direct nor indirect exposure to securitized investments.

With effect as of 31 October 2023, Atradius Reinsurance
DAC (hereinafter ARE) was merged into ACyC through across-border merger. ARE’s assets and liabilities, including all of its reinsurance obligations, were transferred to
ACyC, through its Irish branch, which conducts ARE’s reinsurance business as its legal successor, with ARE being
dissolved without going into liquidation.

Russia-Ukraine and Israel-Hamas conflicts
During 2023 we have seen the direct and indirect impacts of Russia's invasion of Ukraine in early 2022 persist (including the effects of government-imposed sanctions) and most recently the new conflict between Israeland Hamas. These and other lesser reported conflicts
have resulted in among others, interest rate hikes, inflation, and increasing energy costs, affecting global tradeas well as national economies in differing magnitudes
due to the unpredictable end evolving direction of theconflict.

SFCR ACyC 2023 | 14

The large number of sanctions restrictions relating to
Russia and Belarus imposed by authorities in the EU, theUK and the US, among others, have been closely reviewed by the organization to analyse their impact on
the business. In line with its sanction’s compliance programme, Atradius reviews the potential exposure ofbusiness counterparties and other entities to sanctionsin close coordination between the Group Legal & Compliance, Risk Services and Commercial teams, based bothon its regular screening tools as well as on ad hoc review
initiatives. In the context of this situation, the organization has relied on a number of measures to closely monitor the impact of the updated sanctions regimes, including the daily screening of its main databases against certain tools coordinated by a central compliance team; theestablishment of a task force with representatives fromvarious departments to align the strategy and measures
adopted; and the introduction of certain additional
checks to enhance the monitoring capabilities.

SFCR ACyC 2023 | 15

B

B

System of governance

B-1
ance

General information on the system of govern-

B-1.1

Corporate governance framework

B-1.2 Key functions
B-1.3 Remuneration
B-2

System of governanceFit and proper requirements

B-2.1 Fitness requirements
B-2.2 Proper requirements
B-2.3 Evaluation of what constitutes fit and proper
B-2.4 Strategic personnel
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

SFCR ACyC 2023 | 16

B-1. General information on the system ofgovernance

Executive Committee

B-1.1 Corporate governance framework

The Executive Committee has been established by the BoD
and assists the General Manager in performing the day-today management of the Company.

ACyC Board of Directors (Consejo de Administración)

The Executive Committee consists of:

ACyC is a public limited company organised under the lawsof Spain with a one tier Board of Directors (Consejo de Administración, hereinafter referred to as ‘BoD’), that currently consists of 8 members (9 members until 31 December 2023).

•

The General Manager, David Capdevila•

Andreas Tesch•

Christian van Lint•

Claus Gramlich-Eicher•

Marc Henstridge

The BoD supervises the general affairs of the Company,
taking into account the interests of the Company and its
stakeholders. The primary responsibility for corporate governance within the Company rests with the BoD. The BoD
ensures the proper organisation of the Company, the implementation of the internal control system and the definition
and formalisation of suitable internal policies and procedures. The BoD provides direction concerning the runningof the business in line with the Company strategy.

Audit Committee
The BoD has established an Audit Committee. This committee consists of three members and convenes at least threetimes in any calendar year.

Composition Audit Committee
The Audit Committee currently consists of:

The BoD of ACyC currently consists of 8 members:•

Juan Ignacio Guerrero, Chair•

Xavier Freixes, Chair•

Xavier Freixes•

Désirée van Gorp•

Carlos Halpern•

Joaquín Guallar•

Juan Ignacio Guerrero•

Carlos Halpern•

John Hourican•

Bernd Hinrich Meyer (until 31 December 2023)•

Hugo Serra•

José María Sunyer

The BoD meets at least four times in any calendar year.

The BoD is, amongst others, supported in its role by:•

The General Manager (Director General), David
Capdevila•

The Executive Committee•

The Audit Committee•

The key functions of the Company and the GCO/Atradius and ACyC group functions, which report directly
into the BoD and/or the Executive Committee, as necessary.

The Audit Committee has an advisory role, and supervises
auditing practices and the relationship with the external
and internal auditors. In addition, it monitors the effectiveness of the risk management systems and reviews the financial information that the Company has to make public.

Internal Audit function
Internal audit fulfils an important role in assessing andtesting the internal risk management and control system.
The Director of Atradius Group Internal Audit reports to the
Chair of the Audit Committee and, with respect to day-today activities, to the General Manager.

Corporate governance framework Atradius (ANV)
Atradius endorses the importance of sound corporate governance. Key elements of independence, accountability
and transparency create a relationship of trust between Atradius and all of its stakeholders.

ANV is a limited liability company, organized under thelaws of the Netherlands, with a two tier board: a Management Board and a Supervisory Board.
SFCR ACyC 2023 | 17

Management Board
The Management Board is responsible for achieving ANV’s
objectives, strategy, policy and results and is guided by theinterests of ANV and the business connected with it. The
Management Board as a whole is responsible for the management and the general affairs of Atradius and is supervised by the Supervisory Board. The Management Board
determines Atradius operational and financial objectives,
and the strategy designed to achieve these objectives, andensures that Atradius has in place an effective risk management system, internal control system and internal audit
function. The Management Board rules describe the (allocation of) duties and the decision making process of theManagement Board•

José María Sunyer

B-1.2 Key functions
Four key functions support the ACyC BoD in discharging its
obligations. These key functions are Compliance, Risk Management, Actuarial and Internal Audit. All these functions
are described below.

Compliance function
The ACyC Compliance function supports the Company inmeeting its objective of complying with all applicable laws
and regulations and draws support from the Group Compliance function as necessary.

The Management Board consists of:•David Capdevila – Chair and Chief Executive Officer

Risk Management function•

Andreas Tesch - Chief Market Officer•

Christian van Lint - Chief Risk Officer•

Claus Gramlich-Eicher – Chief Financial Officer•

Marc Henstridge - Chief Insurance Operations Officer

The ACyC Risk Management function supports the Company in meeting its objective of effectively managing its
risk profile relative to its risk appetite and draws support
from the Atradius Group Risk Management department as
necessary.

CVs of each of the Management Board members, showing
their roles, background and experience are available on the
Atradius website.

Supervisory Board
The Supervisory Board supervises ANV’s general affairs
and the policy pursued by the Management Board. The responsibilities of the Supervisory Board include, among others, supervising, monitoring and advising the Management
Board on the company’s strategy, performance and risks
inherent to its business activities, the design and effectiveness of the internal risk management and control systems
and the financial reporting process. The Supervisory Board
rules describe the decision-making process and the composition and committees of the Supervisory Board.

Actuarial function
The ACyC Actuarial function supports the Company in ensuring the appropriateness of methodologies, underlying
models and assumptions used in calculation of technicalprovisions, assesses the quality of data used in the calculation of technical provisions and capital requirements related to risk and regulations and ensures the adequacy ofreinsurance arrangements.

Internal Audit function
The ACyC Internal Audit function, which is an independentfunction, evaluates, amongst other things, the adequacyand effectiveness of the internal control system and otherelements of the system of governance.

B-1.3 Remuneration policy
The Supervisory Board consists of:•

Xavier Freixes, Chair•

Désirée van Gorp•

Joaquín Guallar•

Juan Ignacio Guerrero•

Carlos Halpern•

John Hourican•

Bernd Hinrich Meyer (until 31 December 2023)•

Hugo Serra

The Atradius remuneration policy, which is applicable to
ACyC, lays down the principles and key elements of soundand controlled remuneration of Atradius employees. The
Atradius remuneration policy supports Atradius’ businessstrategy, objectives, values and long-term interest and isaligned with the size, organisational set-up, nature andcomplexity of the business activities of Atradius. The remuneration policy is designed to improve the performanceand the value of Atradius, to motivate, retain and attract
qualified employees and to contribute to sound and efficient risk management within Atradius and not to encourage the taking of more risk than is acceptable to Atradius.
SFCR ACyC 2023 | 18

•Fixed and variable remuneration shall be used to alignindividual performance with both short and long-term
corporate strategy and objectives

Atradius shall only award a severance payment if it isrelated to performance realised over the course of timeand is shaped such that failure is not rewarded.

•

Remuneration shall reward according to performanceat group and individual level as appropriate. Individual objectives shall include a combination of financial
and non- financial targets as appropriate to the role,
taking into account ethical behaviour and corporate
responsibility

Remuneration plans will include adjustments andclaw-back provisions in line with any prevailing legislation.

Non-financial criteria

The principles underlying the Atradius remuneration policy consist of, amongst other things:•••

Performance criteria for employees will be objective,
measurable and linked to individual, department andgroup performance as appropriate.

Typical elements of total compensation for employees areannual base salary, annual variable remuneration andother benefits. Stock options or share purchasing programs
are not applicable in Atradius. Supplementary pension
schemes do exist in the form of a Defined Benefit scheme
or a Defined Contribution scheme.

The variable remuneration components are further basedon the following principles:
•

•

•

•

Performance targets are split between individual targets, unit targets and group targets for each employee.
Individual targets are set on individual level agreed
between manager and employee. Unit targets are set
on a business unit level, group targets are set at grouplevel and apply to all employees.
Atradius ensures that the total variable remuneration
does not limit its ability to strengthen the regulatory
capital, solvency margin or equity capital of the entities that are considered to be financial institutions.
An employee may not make use of personal hedging or
any insurance linked to remuneration and liability inorder to undermine the risk control effects that havebeen embedded in his or her variable remuneration
plan.
Atradius does not award guaranteed variable remuneration other than upon the entry into employment of
new employees for at most the first year. When granting such guaranteed variable remuneration this is inline with the long-term objectives of Atradius. The variable remuneration, including the conditionallyawarded part, is paid or acquired only when this is consistent with the financial condition of the AtradiusGroup as a whole and is justified by the performance of
the Atradius Group, the individual Atradius company,
the business unit and the relevant employee.

For staff of Atradius, variable remuneration is at least for
50% based on non-financial criteria. The non-financial criteria are well established in the Atradius competency
framework and are based on technical expertise, client/business orientation, creating and delivering solutions
and working relationships.

Strategic staff
Certain senior management roles in Atradius and ACyC areclassified as strategic staff. Strategic staff are entitled tovariable remuneration components as a percentage of their
fixed salary. In line with the applicable legislation, the relationship between fixed and variable remuneration has
been carefully considered, with a sufficiently high fixedcomponent to allow for the non-payment of the variable
component if performance criteria are not met. Furthermore, part of the pay out of variable remuneration for strategic staff is deferred in time.

There have been no material transactions with shareholders, nor with persons who exercise a significant influenceon the undertaking.

B-2. Fit and proper requirements
B-2.1 Fitness requirements
The Company ensures that all strategic personnel (as defined in the ACyC Fit and Proper Policy) are ‘competent’and, taking into account the obligations which are assigned
to each particular individual, that they possess the propermix of qualifications, skills and experience, to ensure that
the Company is managed and supervised in a professionalmanner.

‘Qualifications’ are official certificates, diplomas or degrees
issued by the competent authorities formally recognising
the successful completion of a course of study by a person(knowledge, expertise or competency), after the corresponding evaluation. Such acknowledgment shows a certain level of education and in some cases may signal thatthe relevant individual possesses the skills required topractice a certain profession. More specifically, and depending on the function to be performed, the skills that

SFCR ACyC 2023 | 19

must be proven are in the fields of insurance, finance, accounting, actuarial science and management.

•‘Knowledge’ is the result of assimilating the informationacquired through learning, while competency and expertise enable the individual to apply the acquired knowledge
in the task has been assigned. ‘Professional experience’ isthe practical knowledge that is relevant to the performanceof one’s current responsibilities.

Thereafter, a full or confirmatory evaluation of fitness andpropriety will also be conducted:

With regard to the members of the BoD of ACyC, it must be
ensured that the BoD as a whole and the members individually are suitable for such position. This means that they,
as individual substantially, and if applicable, as a collective
body jointly possess the necessary qualifications, experience and skills in the following areas:•

insurance and financial markets•

business model and company strategy•

governance system•financial and actuarial analysis•

Regulatory framework and requirements.

People are newly appointed in a position that qualifies
them as Strategic Personnel.

•

On a periodic basis at least once every three years.

•

If there are significant changes in responsibility (promotions, internal reorganisations, etc.)•

If there may be a conflict of interest. The following situations constitute a conflict of interest:
Transactions with the Company.
Using the Company’s name or one’s position
to have an undue influence on private transactions.
Using the Company’s assets, including confidential information, for private purposes.
Taking advantage of the Company’s business
opportunities.
Obtaining benefits or compensation fromthird parties.
Taking part in activities that compete or could
compete with the Company.

B-2.2 Proper requirements
According to the ‘proper’ requirement, an individual who
performs a key function must be a person of integrity witha good reputation. An assessment whether such person is‘proper’ includes an evaluation of his or her financial
soundness and honesty based on the evidence of his or her
reputation, personal and professional conduct, including
any criminal, financial or supervisory aspect that is germane to the evaluation.
Being proper professionally means that the person has
throughout his or her life upheld the law and adhered togood commercial and financial practices.

The Fit and Proper Policy provides for further guidance todetermine whether a person is considered proper.

A more elaborate description of situations that may be a
conflict of interest is included in the ACyC Fit and Proper
Policy.

The foregoing provisions also apply in those cases where
the beneficiary of the prohibited conduct or activity is a related party of the Strategic Personnel member.
In such cases, the Strategic Personnel member must notify
the Director General (General Manager) and the Group Human Resources Director of the direct or indirect conflict between the Company’s interest and those of the strategic
personnel member or the persons related to him or her.

B-2.4 Strategic personnel
B-2.3 Evaluation of what constitutes fit and proper
In the process of evaluating the ‘fit and proper’ characteristics of strategic personnel, the requirements included in the
Fit and Proper Policy will be reviewed individually for eachmember and for the BoD as a whole to ensure that theproper mix of qualifications, knowledge and experiences
exist.
Situations that trigger a fit and proper evaluation
An evaluation of the fitness and properness of strategic personnel is conducted when:

The ACyC Fit & Proper Policy applies to the persons appointed in the following positions in the Company:•

members of the BoD•

members of the Executive Committee•

persons responsible for key functions for the daily
management of the Company’s business. This relates
to those who:are employed by the Company, andare in a senior management position, and

SFCR ACyC 2023 | 20

report directly to a member of the Executive
Committee, andare responsible for individuals whose tasks /activities may have a material influence on
the risk profile of the Company.

Currently staff that falls within this definition hold the following key functions:•

Director of Group Finance (also assuming the responsibility for overseeing the actuarial function)•

Director of Group Risk Management•

Director of Internal Audit•

Director of Group Legal and Compliance.

These persons are referred to jointly as ‘Strategic Personnel’.

Procedure for evaluating the fitness of strategic personnel
Strategic personnel are understood to be suitable, i.e. possessing adequate knowledge and professional experience
for the performance of their functions, when they have theright education level and professional profile to performthe assigned functions as well as practical experience
gained from previously occupied positions in other companies or entities in similar functions. The experience criterion will be determined based on the nature, scale and complexity of the activities and the specific functions and responsibilities of the position (to be) occupied.

Furthermore, the members of the BoD considered as awhole, must have enough professional experience to ensure their ability to make decisions independently and autonomously on the Company’s behalf.

In this way, since the Company defines a standard profileof the qualifications, knowledge and experience required
for each position, the Group Human Resources Department
is able to evaluate the fitness of each strategic personnel
member by means of the supporting documentation (copies of diplomas, checking of professional background, curriculum vitae, etc.) that should be commensurate with the
responsibilities assumed.

Procedure for evaluating whether strategic personnel isproper
The evaluation whether strategic personnel is proper includes an assessment of their financial solvency and honesty based on reliable information about their reputationand their personal and professional conduct, including any

criminal, financial or supervisory aspect that is relevant to
the evaluation.

In the first place, with regard to proper requirements, it isimportant to emphasize that the Company is part of Atradius, and Atradius has a Code of Conduct that stipulates thegeneral guidelines that govern the conduct of Atradius, its
directors, employees, agents and associates, in the performance of their functions and in their commercial and professional relationships, acting in accordance with the law
and respecting ethical principles.

Likewise, it is required that such individual declares inwriting that he or she does not have a criminal record andmust consent to the Company doing a criminal backgroundcheck to verify such fact. The purpose of this analysis is toestablish whether the proposed candidate for a position
meets the necessary requirements.

Once the information referred to in the paragraphs above
has been collected, along with any other information required on a case-by-case basis, it is analysed to determine
whether or not the individual proposed for the position
meets the necessary requirements. While the initial evaluation will be conducted by Group Human Resources, the ultimate consideration and, if appropriate, approval of:•

Candidates for the position of member of the BoD will
be provided by the Company’s shareholders.

•

Candidates for the post of member of the Executive
Committee ("Comité de Dirección") shall be provided
by the BoD.

•

Other Strategic Personnel shall be approved by the Executive Committee ("Comité de Dirección").

Procedure for evaluating the fit and proper of strategic personnel who have already undergone the evaluation process in another entity of GCO
In those cases where certain members of strategic personnel have been evaluated for professional fit and proper purposes by another group company of GCO Group, a new evaluation will not be required if the position to be held by strategic personnel member is analogous to the one for which
he/she was previously evaluated, notwithstanding the fact
that: Group Human Resources must obtain any informationthat is deemed necessary from the group company that
conducted the evaluation and a statement from the strategic personnel member in question that his or her circumstances have not changed; and the notification obligations
towards the Supervisory Authorities as included in the Fit& Proper Policy still apply to the extent relevant.

SFCR ACyC 2023 | 21

•Country Committee monitors the prevailing level ofcountry risk in a particular market and evaluates theimpact of country events to set the underwriting strategy for each market•

Quantitative Model Committee approves quantitativemodels used within the Company. This includes bothinternally developed and purchased models•

Group Investment Committee decides on the tacticalallocation of assets within the investment portfolio•

Reinsurance Outward Committee recommends appropriate reinsurance arrangements•

The risk strategy is the Company’s risk appetite framework. It is aligned with the risk strategy of the ultimate parent, GCO, and consists of the following main components:

Reinsurance Inward Committee oversees the thirdparty reinsurance business underwritten by Atradius
Re. This committee approves the Atradius Re Underwriting Guidelines and Authority Matrix, in line with
the RSMB approved Risk Boundaries. This committee
also provides approvals as necessary in accordancewith the Underwriting Authority Matrix.

•

Risk appetite is the aggregate level of risk that ACyC is willing to assume and manage within a determined period oftime.

Group Product Committee approves proposals for new
insurance products, related service offerings, and material modifications to existing products•

Transaction Review Committee accepts business
transactions that comprise the issuing of individual insurance policies, surety bonds or re-insurance contracts.

•

Sanctions Risk Committee acts as forum for communication, evaluation and oversight of sanctions compliance risk.

B-3. Risk management system including
the own risk and solvency assessment
The main components of the risk management system are:•risk strategy•

risk governance•risk management policies and guidelines•

risk boundaries•

measurement / monitoring / reporting;•risk management function•

Own Risk and Solvency Assessment.

Risk strategy

Risk tolerance is the maximum level of risk that ACyC is
willing to assume in relation to a specific risk.
Risk limits are operational limits established to facilitatecontrol of risk-taking.

Next to capital-related risk appetite, tolerances and limits,
the Company (in alignment with other companies of Atradius) has also established various operational tolerancesand limits for different types of risk, which are used in the
day-to-day operations and embedded in the Company
through its risk governance structure (see below). These
tolerances include, among others:•

strategic asset allocation for investment assets•

limitations on exposure or cover terms for countries
and industry sectors•

group and individual buyer exposure limits•

credit risk limits (e.g. for reinsurance, deposits)•

policy and risk underwriting authority levels.

Risk governanceAtradius has established several risk governance committees to make decisions involving material risks, including
the following:•Group Credit Committee and five Local Credit Committees underwrite the most material credit limits

These committees are overseen by the Risk Strategy Management Board (‘RSMB’). The RSMB members consist of theManagement Board of ANV, the Director of Group Finance,
the Director of Strategy and Corporate Development andthe Director of Group Risk Management.

In addition to the committees that report to the RSMB, theProvisioning Committee assesses and decides on the appropriate amount of claims provisions on both a Solvency
II and financial statements.

As well as the committee structure, the Company uses aframework of individual authorities to facilitate approvalof less material risk exposures. In each product line, staff
members are assigned well-defined underwriting authorities specifying the levels of risk they can take within theframework of the Company’s risk governance. The authority matrices specify 2-eyes, 4-eyes and 6-eyes requirements based on the levels of risk involved and individual
authorities are assigned based on the level of expertise of
the underwriter.

SFCR ACyC 2023 | 22

Risk management policies and guidelines
A framework of risk management policies and guidelines
ensure alignment with the Company’s objectives and (risk)
strategy. Policies and guidelines cover areas such as risk
and policy underwriting, reinsurance, FX, investments, operational risk, business continuity, information security,
compliance, etc.

The risk management policies of the Company are alignedwith the policies of GCO. As the ultimate parent, GCO hasestablished a common framework of policies for all companies within the GCO Group.

Management department (GRM), supported by designatedrisk functions within various parts of the Company.

The Risk Management function identifies, measures, monitors, reports and takes an aggregated view of risks for the
purpose of:•monitoring and reporting the risk profile relative tothe risk strategies in place•monitoring and reporting risk profiles for different
risk types and their contributions to the overall risk
profile•analysing the performance with regard to the risk
strategies in place.

Risk boundaries
Risk boundaries give a clear and company-wide aligned
understanding of what business the Company wants to underwrite and the lines that it does not want to cross. Riskboundaries are used to govern the business and to enablecommunication with stakeholders.

Measurement / monitoring / reporting
To support the operation of the governance structure, theCompany applies a system of measurement and monitoring of risks as well as reporting which enables the communication of relevant information to the appropriate decision-makers. Examples of the focus areas in this systemare:•buyer and limit underwriting performance reporting:provisions, underwriting targets, notifications of nonpayment, claims paid and received, recovery successrate, premium earned, acceptance rates, market developments•

exposure distribution information: distributions ofbuyer rating, concentrations in industry sectors, buyer
countries, and buyer groups•

economic capital consumption.

For measurement of economic capital-related aspects ofunderwriting risk, the Company employs a proprietary internal model. For measurement of economic capital-related
aspects of other risk types, the Company uses the Standard
Formula under Solvency II. This “Partial Internal Model”
was assessed and approved for use by the College of Supervisors. The Company regularly liaises with the Supervisor(DGSFP) to ensure ongoing acceptance of the model.
Risk Management function
The Risk Management function assists senior managementof the Company with the effective operation of the Risk
Management System, including the use of the (partial) internal model. This function is fulfilled by the Group Risk

The Risk Management function cooperates closely withcentral functions such as Group Buyer Underwriting, Corporate Finance, Group Finance, Strategy & Corporate Development, Group Legal and Compliance, Internal Audit,
and with other organizational units within the Company.

One of the tasks of the Risk Management function is to obtain an independent validation of the Company’s (partial)
internal model. The independent validation is outsourced
to the independent validation team within the Actuarial
Function & Internal Model Department of Grupo Catalana
Occidente. This department provides a comprehensive andindependent technical opinion regarding the development
and operation of the model and the appropriateness of its
results, considering the different uses in the managementof the Company and the quantification of the solvency capital requirement under Solvency II. The independent validation team operates according to an approved Validation
Policy, which describes the methodology and criteria applied. The validation team shares its findings with the
Quantitative Model Committee. The Quantitative Model
Committee ensures that model owners take appropriate actions to remediate any finding. This ensures the ongoing
quality and appropriateness of the internal model.

Own Risk and Solvency Assessment (ORSA)The Company has been producing a supervisory ORSA Report since 2013. It has an established policy, governance,
methodology and team of resources dedicated to the execution of its ORSA process.
The Company executes a full ORSA process on an annual
basis, but also runs all or part of the process in the event ofa significant change in risk profile, Business Plan, internal
model parameters or if required by management.

The ORSA is an integral part of the business, risk management and decision-making processes within the Company.
SFCR ACyC 2023 | 23

The execution of the ORSA is linked to the preparation of
the Company’s Long-Term Plan and includes evaluation ofrisk and solvency positions, assuming both normal and adverse market conditions. [See Section C-7.1b for additional
information on the use of scenario analyses within the
ORSA process.]

The ORSA includes analyses and reports of the main risks
to which the Company is exposed, their resulting capital requirements, and an evaluation of the feasibility of the business plan over the normal planning horizon (5 years).

function is discussed in B-5, the Compliance function is described below.
Control environment
The control environment is based upon organizational values and standards of conduct. To facilitate adherence tostandards, senior management has established structures,standard practices, and policies.
The professional competencies and practices are outlinedin the Atradius’ policies regarding conduct, recruitment, remuneration, appraisal, and development of employees. The
most important practices are outlined in specific policies,
such as:•Code of Conduct•

Speak up procedure – Policy on Whistle blowing•

Policy on Fraud Risk Management•

Policy on Customer Due Diligence

For additional details on the ORSA governance and process,see Annex F-1.

•

Policy on Trading in Securities•

Policy on Employee Background Screening

Additional information per risk category•

Policy on Fit and Proper

In sections C0 to C7 (Risk Profile) we provide more information on how risks are identified, measured, monitored,
managed and reported for each risk category.

•

Policy on Complaint Management•

Policy on Auditor Independence•

Policy on Anti-Trust and Fair Competition•

Policy on Business in Accordance with Licences•

Policy on External Authorisation•

Policy on Insurance Distribution•

Policy on Outsourcing•

Policy on Anti-Bribery and Corruption, Gifts and Hospitality•

Policy on Sanctions•

Policy on Personal Data Retention•

Policy on Information Security•

Policy on End User Information Security•

Policy on Anti-Money Laundering and Counter Terrorism Financing

To determine and assess solvency positions, the various
risks to which the Company is exposed are quantified andaggregated using the Partial Internal Model. The results aretaken into consideration for capital management decisions.

B-4. Internal control system
The Company has established a framework of internal controls to assist in following the Company’s strategy andachieving its objectives. The framework consists of numerous components that together comprise:••Control environment - the foundation for the internal
control system comprises the employees and the environment in which they operate. Aspects to consider include organisational values and the standards, processes and structures that provide the basis for internal control.
Risk assessment – as part of the internal control system, risks must be identified, assessed, and responded
to.

•Control activities – specific tasks that must be executedon an on-going basis to ensure that risks are managed.

•

Information and communication systems - to enable
the Company to capture and disseminate the information necessary to conduct, monitor and control thebusiness.

•

Monitoring – the entire internal control framework ismonitored to ensure that it is operating as intended
and reflects the current objectives and environment.

The Company has established various control mechanisms
which are implemented through policies and procedures.
Organisational structures define roles, responsibilities, authorities and reporting lines. Within the Company, twomain organisational structures exist: the managerial structure and the risk governance structure. Both structures outline the levels of authority delegated to the Company’s employees when underwriting or transacting. The authority
depends on an employee’s function and competency.

The Internal Audit and Compliance functions are importantparts of the internal control system. The Internal Audit

SFCR ACyC 2023 | 24

Risk assessment•

Key mechanisms to ensure that the Company identifies,
understands, and responds to the risks it faces include (butare not limited to):Monthly management reports, detailing the financial
performance of the Company, its divisions, and its
functions.

•

Risk Services performance overviews, detailing thecredit limits underwritten, notifications of non-payment received, claims ratios, acceptance rates, etc.

•

strategy setting and long-term business planning•

periodic business review meetings between the Management Board and business units••

Risk Management System (see Section B-3 for further
detail). This includes items such as the ORSA process,risk strategy setting and review, risk governance, andthe risk management function.

Competitor analyses, detailing and comparing the financial performance between the Company and its
main competitors.

•

Economic Cycle Management report, detailing the premium rates, cancellation rates, etc.

•

Investment Reports, detailing the investment performance and investment position in terms of returns andallocation, credit ratings of debt instruments, splits per
currency, etc.

•

Risk reports, management information giving an overview of the Company’s risk profile for different risk
categories.

Control activities
The Company has implemented various control mechanisms. These mechanisms are established through policies
and procedures embedding segregation of duties, approvals, verifications, management reviews, and reconciliations.

Information and Communication Systems
Segregation of duties is embedded in the Company’s underwriting process and in its financial transactions. The underwriting process is segregated by splitting the underwriting function into a policy underwriting function and arisk underwriting function (Note: the exact terminology
used may vary among product lines, but the concept is thesame). This segregation prevents commercial interests influencing the amount of credit limits to be underwritten.

A financial transaction is commonly segregated by splitting
the roles into an initiator, an approver, a verifier, a recorder, and a reconciler. Each role is in principle held by adifferent employee. This reduces the risk of erroneous orinappropriate payments.

Approvals are embedded in the Company’s underwriting
and financial transactions processes. For example, a risk
underwriter requires the approval of another more senior
underwriter to underwrite a credit limit above his/her authority level. Larger amounts require the approval of more
underwriters, and the largest limits require Local or Group
Credit Committee approval. The same principle applies in
the policy underwriting and financial transactions processes.
Management regularly receives reports (financial andother key performance and risk indicators) to monitor performance versus budgeted, forecasted, prior period, etc. toassess the extent to which the Company’s objectives are being achieved, and to gain insight into risk profile developments. Examples are:Information and communication systems enable the Company to capture and disseminate the information required
to conduct, manage, and control the business.

Internally, the Company communicates through formal
channels such as policies and procedures, but also throughless formal communication channels such as intranet, emails, and newsletters.

In certain circumstances, formal organizational structures
may hinder communication of negative information upward through the managerial or risk governance structure.
To ensure that negative information can also be communicated upward, the Company has established a Speak upprocedure – Policy on Whistleblowing. This policy establishes an alternative communication channel to the director of Internal Audit which employees can use to communicate negative information.

Monitoring
The entire internal control framework is monitored to ensure that it is operating as intended and reflects the current
objectives and environment. The Company has implemented various mechanisms, such as control self-assessments, incident reporting and internal audit exercises.

Control-self assessments are performed to monitor the effectiveness and efficiency of both key financial reporting
controls and key non-financial controls.

SFCR ACyC 2023 | 25

Financial reporting control self-assessments are performed on a quarterly basis to ensure that the Company’s
financial statements do not contain material errors by preventing errors occurring or detecting errors that have occurred.

Control overviews are stored in an online system that details:•

what controls are in place•

why the control is performed•

which functions and employees perform the control•

when and what frequency•

who is responsible for the control?

In addition, evidence of performance of controls is stored
for review if necessary.

Compliance function
The Compliance function consists of the Atradius groupcompliance function and the local compliance functions.
The local compliance function reports to the Country Manager with functional reporting to the Atradius group compliance function. The Atradius group compliance function
reports to the BoD of the Company.

B-6. Actuarial function
The ACyC Actuarial Function, which is an independentfunction, supports the BoD and the ACyC organization inensuring the appropriateness of methodologies, underlying models and assumptions used in calculation of technical provisions, assesses the quality of data used in the calculation of technical provisions and capital requirements
related to risk and regulations and the adequacy of reinsurance arrangements and underwriting policy. It also contributes to the effective implementation of the risk management system by ensuring the continuous compliance oftechnical provisions within the ORSA process.

Within ACyC the Director of Group Finance is appointed as
key function, assuming the responsibility for overseeing
the Actuarial Function, which is outsourced to GCO via an
intra-group outsourcing agreement. The ACyC Actuarial
function is, amongst others, supported by a team of technical experts (actuaries/statisticians).

Coordinate Technical provisioncalculations

Report to the management or
supervisory board on thereliability and adequacy of thecalculation of technicalprovisions

Actuarial function

The Compliance function is responsible for managing relations with regulators, maintaining compliance policies, educating employees regarding compliance and drafting reports detailing relevant areas within the Company, and its
branches, that are susceptible to compliance risk.

Give opinion about the general
underwriting policy

Give opinion about reinsurance
agreements

B-5. Internal Audit function
The Internal Audit ("IA") function has been established at
ACyC level. The IA function is an independent function andall audit work undertaken is carried out freely, objectively,
and independently of the activity being audited/reviewed.
The IA function has developed an Internal Audit Charter,
approved by the Audit Committee ('AC'), which outlines theauthority, responsibility, and governance of Atradius’ Internal Audit function. The IA function advises the Board of
Directors on the company’s system of internal control andreports regularly to the Board of Directors through the AC.
The AC assists the BoD in fulfilling its oversight and monitoring responsibilities with respect to the integrity of thecompany’s financial statements, the quality of the company’s risk management and controls, governance andcompliance processes, the external auditor’s qualifications,and the performance of the internal and external auditors.
The IA function has independent access to the Chair of theAC, reports to the BoD of the ACyC and reports functionallyto the Director of GCO Corporate Internal Audit.

B-7. Outsourcing
Introduction
The Company has a process in place that must be followed
when considering outsourcing of critical or material functions. The detailed description is laid down in the ACyC Policy on Outsourcing. This policy applies only in case of (possible) outsourcing of critical or material functions/activities to a provider. It describes the approach and process foroutsourcing from the start to the end of the contract.

SFCR ACyC 2023 | 26

Preparation and (risk) assessment(s)For any new outsourcing contract, or for the renewal of an
existing outsourcing contract, the preparation, relevant assessments, due diligence, and selection is performed by therelevant business area/unit.

outsourced key function for the Company. This requires the provider to check the fitness and proprietyof all those working on the key function•

The preparation starts with an assessment of whether theoutsourced function/activity is considered critical or material for the Company.

Ensuring that those within the Company designatedwith overall responsibility for overseeing the outsourced key function possess sufficient knowledge
and experience of the outsourced key function to beable to challenge the performance and results of theprovider. The responsible person must be notified to
the regulator.

The preparation must include:

Critical or material functions and activities•

According to the Policy on Outsourcing critical or material
functions and activities relate to the core business of ACyC
that would otherwise be performed by ACyC itself and areessential to the operation of ACyC as it would be unable todeliver its services to policyholders without the function or
activity.

An assessment (in relation to the Company) on possible:a) material impairment of the governance systemb) increase in operational riskc) impairment of the regulator’s ability to monitor complianced) undermining of the continuous and satisfactory service
to policyholders.
•Business contingency planning (including exit strategies for outsourced activities).

The following can be considered critical or important functions/activities:a) Key functions, which are the risk management, compliance, internal audit, and the actuarial function within
ACyC.
b) The design and pricing of (re)insurance products.

Approvals
Outsourcing requires prior approval by the Executive Committee. Overall responsibility for the outsourced activity/function remains with ACyC itself.

Due diligence and selection process, tender process
A tender process applies for any material outsourcing contract. Several service providers are approached to tender
for the contract. The tender document clearly describes theservices and performance standards required, amongst
other things to ensure that a provider of suitable quality is
selected.
The due diligence and selection of (applicant) provider(s)enables ACyC to understand the main risks that may arise
from the outsourcing, to identify the most suitable strategies for the mitigation or management of these risks and toensure that the provider has the ability, capacity and authorisation required by law (if applicable) to perform theoutsourcing reliably and professionally.

Outsourcing key functionsc) The investment of assets and portfolio management.
d) Claims handling.
e) Providing regular, or constant, compliance, internal audit, accounting, risk management or actuarial support.
f) Providing data storage in relation to the core activities
of ACyC.
g) Providing ongoing, day-to-day systems maintenance or
support in relation to the core activities of ACyC.
h) The ORSA process.
i) Underwriting activities.

The outsourcing contract
The Policy on Outsourcing describes several subjects (notlimitative) that are to be addressed in an outsourcing contract.
The relevant Atradius Country Manager, or unit Director,
who outsources will ensure that effective oversight of theprovider can be performed by the Company by maintaining
relevant competence and ability within ACyC.

If the Company intends to outsource a key function, it must
address the following issues:

For each proposed or existing outsourcing contract, thebusiness continuity plans for Atradius offices/units impacted by non-performance of the provider must consider:••

Applying fit and proper procedures in assessing those
employed by the service provider that will perform an

Remedial action and processes to be invoked in theevent of business disruption.
SFCR ACyC 2023 | 27

•Clear allocation of responsibility and accountability
within Atradius to oversee and manage the period of
disruption. If a major business disruption occurs at any
time as a result of the failure of a provider to perform
under an outsourcing contract, the Atradius business
continuity plan will be invoked by the Company.

Internal (intragroup) outsourcing
When outsourcing by the Company is to a provider within
the GCO Group, the following applies:•

in relation to outsourcing of a key function, the GCOGroup entity that performs the outsourcing (a) documents which function/activity relates to which legal
entity in the GCO Group and (b) ensures that the performance of the function/activity at the level of theCompany is not impaired•

the Company makes an assessment as to whether andto what extent it should rely on outsourcing provided
by a provider in the GCO Group•the due diligence and selection process of the provider
may be less detailed if the ACyC BoD/ Executive Committee has greater familiarity with the provider, theCompany has sufficient control over, or can influence
the actions of, the provider•

a written agreement must exist, stipulating the roles
and responsibilities of both parties. This agreement
may be in the form of a less detailed service levelagreement.

Currently, the actuarial function is outsourced to a provider
at Group level (GCO). The Director of Group Finance is responsible for overseeing the outcome of that outsourced
function.

B-8. Any other information
Not applicable.

SFCR ACyC 2023 | 28

C
Risk profile

C Risk profile
C-0
Contribution of the risk types to the solvency
capital requirement
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-6.1

Concentration Risk

C-6.2 Strategic risk
C-6.3 Cyber risk
C-6.4 Emerging risk
C-7

Any other information

C-7.1

Stress testing and sensitivity analysis

C-7.2 Environmental, Social, and Governance Risk
(ESG)

SFCR ACyC 2023 | 29

C.0. Contribution of the risk types to theSolvency Capital Requirement

C-1. Underwriting risk

In 2017 ACyC’s ultimate parent, GCO, was granted regulatory approval to use a Partial Internal Model to calculate
regulatory capital requirements. ACyC uses the internallydeveloped economic capital model for most of the non-life
underwriting risk module and the Standard Formula forthe market, counterparty and operational risk modules –hence the “Partial” Internal Model.

The table illustrates the contribution of the risk types described in this section to the Basic Solvency Capital Requirement (BSCR), calculated using the Partial Internal
Model.

in EUR million

Q4 2023

Q4 2022

Internal Model

988

766

Premium and Reserve risk

49

44

Catastrophe Risk

32

32

Lapse Risk

4

4

1,072

846

Non-Life UW Risk

Total undiversified
Diversification

(20)

(20)

Total diversified

1,052

826

Risk identification / managementin EUR million

Q4 2023

Q4 2022

Basic Solvency Capital Requirement
Market Risk

345

243

Non-Life UW Risk

1,052

826

Counterparty Risk

128

105

0

0

Total undiversified

1,525

1,174

Diversification

(268)

(198)

Total diversified

1,257

976

66

56

Total before tax adjustment

1,323

1,032

Tax adjustment

(151)

(122)

Solvency Capital Requirement

1,172

910

Minimum Capital Requirement

318

228

Intangible Asset Risk

Operational Risk

Underwriting risk is the largest contributor to the Solvency
Capital Requirement. It represents 69% of the Company’s
Basic Solvency Capital Requirement before diversification,with a charge of EUR 1052 million. The largest contribution
to this risk category comes from the Internal Model, which
increased 29% mainly in line with exposure growth anddue to the merger.

The Company incurs underwriting risk by issuing insurance contracts and subsequently approving credit limits
and surety bonds under those contracts.

Solvency Capital Requirement

The Company operates two main direct insurance productlines: credit insurance and surety, as well as reinsurer ofcredit insurance and surety business. Credit insurance isdivided into three sub-categories: traditional credit insurance, special products and instalment credit protection.
Each of these sub-categories has particular risk characteristics. This section describes the different risk characteristics as well as some of the methods used to manage theserisks.
The starting point for the management of underwriting riskis:•all staff have well-defined authorities specifying thelevel of risk they can accept•

all risk acceptance must take place within the framework of the risk governance structure.
SFCR ACyC 2023 | 30

Furthermore, the Company’s reinsurance structure imposes checks on the largest exposures. Exposures beyond acertain threshold are subject to special acceptance by ourleading reinsurers.

to specific conditions. The Company can also set conditions
for cover on a country or withdraw cover on a country altogether. These are important conditions and parameters for
managing the Company’s risk exposure.

Traditional credit insurance and special products

Staff in Commercial units have well-defined authorities
specifying what terms and conditions may be included in apolicy. Authorities typically require the approval of two
pairs of eyes and conditions become stricter as policy
amounts increase. The pricing of credit insurance policies
is also subject to governance within Commercial units. In
addition, the methodologies applied to establish a benchmark price require the approval of the Quantitative Model
Committee.

In traditional credit insurance, the Company insures its
customers against the risk of non-payment of trade receivables. The causes of loss covered differ by policy and usually include all forms of legal insolvency and protracted default. Policies can also cover so-called ‘political’ causes ofloss which include, but are not limited to, the risk of nonpayment due to payment transfer problems, cancellation ofexport/import licenses and contract frustration. Each policy stipulates a maximum credit period that the policyholder can offer to their buyers without prior approval
from the Company. ‘Buyers’ are the customers of the Company’s insured customers, i.e., the parties on which theCompany covers the credit risk. To mitigate the risk of adverse selection, the traditional credit insurance products of
the Company usually cover the entire portfolio of buyers ofa policyholder.

For traditional credit insurance, there are two underwriting processes: policy underwriting and risk (or buyer) underwriting. Policy underwriting is the process by which theCompany decides which customers to accept as policyholders and the terms and conditions of cover that are offered.
Buyer underwriting is the process by which the Company
sets risk limits for each buyer and issues credit limits, thus
managing risk on existing policies. Both processes are subject to Atradius´ Governance as referred in Section B andbelow.

In general, a policy is issued for a year. Customers must retain some of the risk for their own account to protect theCompany from the risk of moral hazard. That self-retention
can take the form of an uninsured percentage, a deductibleon each claim, an aggregate first loss amount or a combination of these. Almost all policies stipulate the Company’s
maximum liability.

A customer is only covered for the credit risk on a buyer
when a credit limit on the buyer has been established. Most
policies allow customers to establish credit limits themselves for smaller amounts, under strict conditions specified in the policy. Larger credit limits must be decided bydedicated risk underwriting functions and issued by theCompany. Credit limits are an important risk management
instrument for the Company as they cap the amount that
ACyC would have to pay out to a customer in the event of aclaim. Moreover, the Company has, in principle, the right toimmediately withdraw the credit limit of a buyer at any
time if circumstances demand. Credit limits may be subject

Staff in Risk Services have well-defined authorities for setting capacity on buyers and for approving credit limits.

The Company’s Special Products business offers a range of
bespoke policies to insure against various credit and political risks. This product line includes policies that cover single transactions, single trade relationships and asset confiscation. Unlike traditional credit insurance, credit limits
in Special Products polices usually cannot be immediately
withdrawn. However, the conditions of Special Products
policies tend to place a greater onus of risk monitoring anddiligence on the insured.

All policies are bound within clearly defined authorities issued to the policy underwriters. All buyer risk is signed off
by dedicated Risk Services teams.

Instalment Credit Protection (ICP)
Policies are generally issued for a fixed period with automatic renewal. The indemnification rate can rise to 100%and recoveries are for the benefit of the Company. Recovery rates are significantly higher for ICP than for credit insurance and surety.

Risk underwriting is performed by the risk underwriting
teams. Authorities are granted to underwriters according totheir experience and expertise. Larger exposures are decided upon by appropriate committees according to pre-determined thresholds.

SuretySurety bonds insure beneficiaries against the risk of ourcustomer not meeting contractual, legal, or tax obligations.
Beneficiaries include national, regional and local governments and tax authorities as well as companies.
SFCR ACyC 2023 | 31

While a customer may fail to meet its obligations, either because it is unable to perform to the agreed or required levelor because it is insolvent, there is also the risk that the customer may intentionally fail to meet its obligations. Therefore, assessment of both the customer’s financial strengthand its ability to perform plays an important part in the underwriting process. Unlike traditional credit insurance, exposure related to issued surety bonds cannot be unilaterally cancelled by the Company.

When a surety bond is called by the beneficiary, ACyC
might mediate to resolve conflicts by working with both thecustomer and the beneficiary. If a payment is made by
ACyC to the beneficiary, recovery action is taken against
the customer who remains ultimately liable. If ACyC incurs
an irrecoverable loss, it is always due to the customer’s financial distress.

A sizeable portion of the surety portfolio relates to the construction sector, while different legal and market environments in the various countries also translates into surety
customers active in other sectors. In addition, the types ofsurety bonds issued range from bid bonds, performancebonds, maintenance surety bonds and advance payment
surety bonds to various types of administrative bonds.
These are issued with tenors ranging from a few weeks toyears.

Given the two dimensions of surety risk – the technical risk
and the financial risk – two separately organized underwriting streams exist. When establishing or renewing asurety facility and/or issuing an individual surety bond theTechnical Underwriting is performed by members of theCommercial units. They assess the risk of non-performanceas well as surety bond wordings and other aspects. Financial Underwriting is performed separately from the Commercial staff, and focusses on the creditworthiness of thecustomer. Financial Underwriting staff set the limits within
which the surety facilities and individual surety bonds canbe provided to the customer. There is an authority structurein which decisions are escalated depending on the amountinvolved. The last two steps in this authority structure are
the Local Credit Committee and the Group Credit Committee.

of the business. The Company incurs underwriting risk
through its reinsurance contracts, whereby it assumes therisk of loss from organisations that are directly subject tounderlying loss. It takes account of uncertainty in the results of these organisations related to existing insurance
and reinsurance obligations, and to new business to be
written over the following 12 months. The Company is exposed to the uncertainty surrounding the timing, frequency
and severity of claims under these contracts, in addition to
unexpected premium developments.
Through credit reinsurance, the Company reinsures customers against the risk of non-payment of trade receivables. Through surety reinsurance, the Company guarantees a beneficiary that our customers will meet contractual,legal or tax obligations.

Measurement / monitoring
The Company monitors exposure by counterparty, sector
and country across all direct product lines. It holds recordsof all policies, credit limits and buyers in various connected
systems. These systems enable the Company to set system
specific limits by buyer or buyer group (including surety
customers) and to monitor aggregate exposure along various dimensions.

All significant exposures are reviewed at least annually.
The Company receives continuous information on buyers
through online connections with business information providers and from customers reporting negative payment experiences. Buyers are reviewed whenever pertinent new
information is received. The Company assigns an internalrating to buyers and the review process takes into accountall sources of exposure on a buyer, including exposure forSpecial Products and Surety.

For ICP, consumer credit risk underwriting utilizes databases maintained by national authorities as well as its own
internal consumer credit database.
For Inward Re, the underwriting risk is measured both onindividual treaties and exposures and on the aggregatedrisk portfolio using several risk metrics and tools, such as:•internally developed economic capital model•

total potential exposure (TPE: sum of registered credit
limits)•a list of insurance buyers over certain limits in accordance with reinsurance agreement conditions•

application of underwriters estimates of premium income, ultimate loss ratios and ultimate commissions ratios to an actuarial risk earnings model to evaluate theappropriate earned income, reserves setting and costs
basis for each reinsurance contract

Reinsurance / Inward reinsurance
Inward Reinsurance is the reinsurance business that covers the risks of other Credit Insurance companies including Surety business.

Non-life underwriting risk of Inward Re is defined as therisk arising from non-life insurance obligations in relation
to the liability covered and the process used in the conduct

SFCR ACyC 2023 | 32

•measurement of reinsurance contract performanceagainst control limits set by the underwriting guidelines.

Partial Internal model
The relationship between risk and capital is fundamental;
risk-taking requires (regulatory) capital to be held. For
many years, the Company has been using an internally developed economic capital model as a best practice measureof underwriting risk exposure. In 2017, ACyC obtained regulatory approval to use this model for calculation of regulatory capital requirements. ACyC combines this internal
model with Standard Formula components and thus uses a“Partial Internal Model” as a measure of risk, which allows
calculation of overall regulatory (but also economic) capitalrequirements.

treaty, which is in place covering the majority of the Company’s business, has changed: own retention under thistreaty is now 65% (63% in 2023).

There is also an excess of loss program on a perbuyer/buyer group basis, covering the Company’s retention under all these quota share treaties. This excess of loss
treaty also provides protection for all the insurance entities
within Atradius. The top of the excess of loss layers is chosen so that, in the judgement of management, there remains only a very remote possibility that failure of any single buyer group would exceed the excess of loss coveragepurchased. The attachment point of the excess of loss treaties has been set such that the net retention for businessceded under the quota share treaties and excess of loss
structure for any buyer group does not exceed EUR 35 million (increase from EUR 26 million in 2023) at the level ofAtradius.

The Company takes the results of the Partial Internal Model
into consideration for risk and capital management andstrategic decisions. In addition to overall risk profile quantification, the model contributes to a multitude of risk assessment activities and helps management to better monitor and manage risk levels within the organization throughthe allocation of risk-based capital.

For more information on the economic capital model,
please see section E-4.

Risk mitigation
The Company transfers a significant portion of its underwriting risk to reinsurers, through a number of reinsurance
arrangements that include quota share and excess of loss
treaties covering either the entire portfolio of the Company
or specific risks.

The reinsurance treaties are renewed annually. However inorder to ensure stability of capacity and pricing, the Company renews its reinsurance a year in advance.

At the time of renewal, the Company assesses the optimal
structure of the treaties for the forthcoming period. A number of items are taken into consideration during this review, including the cost of the synthetic capital that reinsurance provides as measured by the internal economic
capital model.

For the underwriting year 2024, there are changes in themain reinsurance: cession of a quota share reinsurance

SFCR ACyC 2023 | 33

Measurement

C-2. Market risk

Market risk is measured by using several risk metrics, including:in EUR million

Q4 2023

Q4 2022

Interest rate risk

39

58

Equity risk

200

92

Property Risk

36

37

Spread Risk

66

63

Concentration Risk

13

9

Market Risk

Currency Risk

130

110

Total undiversified

483

368

Diversification

(138)

(126)

Total diversified

345

243

Identification
The Company exposes itself to market risk by obtaining assets and incurring liabilities whose value is sensitive to
movements in market prices. This risk represents 23% of
the Company’s undiversified BSCR, before diversificationand tax adjustments. With a charge of EUR 345 million, significantly higher compared with previous year (EUR 243m)
due to merger. This risk is incurred by:•investing in debt instruments•

investing in equity instruments•

investing in real estate•

underwriting insurance contracts generating provisions for future claims payments•

holding assets and incurring liabilities denominatedin foreign currencies.

The total increase of the market risk is mainly driven by themerger, as a consequence of equities from ARE .

•value-at-risk•

capital models of external credit assessment institutions•

interest rate duration.

Value-at-risk and capital models from external credit assessment institutions are both used to determine potential
maximum loss for a given confidence level on the Company’s financial instruments due to adverse movements inmarket prices or counterparties’ creditworthiness. Interest
rate duration assists in determining sensitivity of debt instruments and claims provisions to movements in interest
rates.

Management/prudent person principle
Market risk is managed in several ways, such as:•

restriction on investment types, e.g. widely tradedcapital market instruments vs. derivatives•

diversification of the investment portfolio•

restrictions on the interest rate duration of the debt
instruments portfolio•

implementation of a strategic asset allocation.

The Company uses an asset liability management (ALM)
approach to analyse the impact of market risk on its assets
and liabilities. Additionally, through the use of Solvency IIconstrains the Company aims to define the strategic asset
allocation (SAA), so that the commitments resulting fromthe exposure to purchased assets and Company’s insurance
liabilities can be met while maximizing the expected investment return within given risk and capital constrains.

The policy of the Company is to invest only in investment
grade, liquid investments taking into account the short interest rate duration of the claims provisions. Furthermore,
the policy regarding financial instruments is to invest only
in capital market instruments and refrain from investingin derivative instruments.

The investment process complies with the ‘prudent person’
principles:•

all assets covering technical provisions are invested
in a manner appropriate to the nature and duration of
the Company’s liabilities

SFCR ACyC 2023 | 34•investments are only made in assets which risks canbe properly identified, measured, monitored, managed and controlled and reported•

all assets are invested in such a manner as to ensure
the security, quality, liquidity and profitability of theportfolio as a whole•

underwriting insurance contracts which generate premium receivables from insurance contract-holders,and insurance intermediaries such as brokers andagents•entering into reinsurance contracts generating reinsurance recoverables and receivables from reinsurers.

•

non-traded investments are kept to prudent levels•

exposure to speculative grade assets is prudent

Measurement / assessment•

derivatives can be used only to reduce risks or facilitate efficient portfolio management

Counterparty default risk is measured using several risk
metrics, such as:•

assets are properly diversified (asset type, issuer,group, region) to avoid excessive accumulation of riskin the portfolio as a whole.

•

capital models developed by external credit assessment institutions•

credit ratings issued by external credit assessment institutions

Market risk is monitored by and reported to the Group Investment Committee and the RSMB. The Group Investment
Committee meets on a monthly basis and reviews metrics
such as value-at- risk, interest rate duration, and degree ofdiversification/concentration of the investment portfolio
while the RSMB also reviews similar management information on a quarterly basis.

•

payment history of insurance contract-holders•

delinquency reports (credit control reports).

Under the umbrella of market risk, the largest type of risk
exposure is equity risk, contributing EUR 200 million of
the EUR 483 million total undiversified market risk.

Counterparty default risk is monitored and reported to therelevant risk committees: Group Investment Committee inthe case of investment assets or deposits; Outward Reinsurance Committee in the case of risk on reinsurers; the RSMB
as the committee with the most holistic view of risk exposure.

Risk mitigation
Market risk is mitigated on several layers in the Company.
Firstly, constraints are set in the Group Investment Policy.
This policy sets parameters within which investment risk
can be taken. Investment decision making and monitoringof compliance is undertaken by the Group Investment
Committee. In addition, governance bodies such as the FX
Committee, Group Investment Committee and RSMB regularly review investment decisions and portfolio developments.

Developments in these main risk metrics (as well as otherinformation) are monitored and assessed to ensure that the
exposure to credit risk is maintained within acceptableboundaries.

The Group Investment Committee meets monthly and reviews the distribution of credit ratings within the investment portfolio while the RSMB performs the same reviewof the investment portfolio on a quarterly basis. The Reinsurance Committee meets quarterly and, among others, reviews the quality of the reinsurance panel.

Management / mitigation

C-3. Credit risk
Identification
The Company exposes itself to credit risk (also referred toas counterparty default risk) by obtaining assets whose
value depends on counterparties’ ability to repay their obligations when due. This risk represents 8% of the Company’s undiversified BSCR, before diversification and tax
adjustments with a charge of EUR 128 million (2022: EUR
105 million). This risk is incurred by:•investing in debt instruments•

depositing cash at credit institutions

Counterparty default risk is managed and mitigated in several ways, such as:•

deployment of credit ratings issued by external credit
assessment institutions•

setting risk exposure limits•

inclusion of contingent collateral clauses in reinsurance contracts•

withholding premiums due to reinsurers to offset occurred claims.

SFCR ACyC 2023 | 35

Credit ratings issued by external credit assessment institutions are used to ensure that the Company invests only indebt instruments or enters into reinsurance contracts withan acceptable likelihood of being settled. Currently, the policy is to invest in debt instruments with a credit rating of‘BBB-‘ or higher and to enter into reinsurance contracts
with reinsurers with a credit rating of ‘A-‘ or higher.
If the credit rating of a debt instrument falls below the minimum rating mentioned above, the Group Investment Committee discusses whether the Company should keep the investment in portfolio or to divest the instrument. If thecredit rating of a reinsurer falls below the minimum, thereinsurance contract allows the Company to terminate thereinsurer’s subscription to the reinsurance treaty. In thisway, a decision to avoid the increased risk may be taken.
The inclusion of a contingent collateral clause in a reinsurance contract requires a reinsurer that is downgraded below ‘A-‘ to provide collateral by pledging assets with, orproviding an irrevocable letter of credit from a credit institution. As a result the increased risk is mitigated.

The inclusion of offset clauses in a reinsurance contract ensures that the Company can offset the receivables from andpayables towards a reinsurer if any reinsurer defaults on
its payables. This reduces the size of the risk exposure.

C-4. Liquidity risk

period (the Company’s investment policy limits investments in financial instruments to those that can besold in less than three business days)•

uncommitted lines of credit to cover infrequent peaks
in short-term liquidity requirements while also permitting the Company to reduce its cash balances and tobenefit from a more substantial and stable investment
portfolio.

Expected Profit in Future Premium
Expected profit in future premium is calculated as per Article 260(2), Article 260(3) and Article 260(4) of the Delegated Regulation.

Methods used for the calculation of technical provisions remain the same in accordance with Article 77 of the Directive and is specified in detail within section D.2 of thisdocument. Assumptions used within the EPIFP calculations are consistent with ones used to calculate the best estimate. The calculation to estimate expected profit in futurepremium is performed at the level of homogeneous risk
group.

The expected profit included in future premiums calculated
in accordance with Article 260 (2) of the Delegated Regulation, before tax and before reinsurance for Q4 2023 is EUR
159 million (2022: 137 million).

Identification
Liquidity risk may arise due to insufficient funds being
available to meet cash flow requirements (funding liquidity risk), but also due to illiquidity of the assets held to meetthe cash flow requirements (asset liquidity risk).

Risk mitigating measures
Liquidity risk is managed centrally, in close coordination
with local business units. The primary risk mitigating practice is the monitoring of ongoing cash flow patterns combined with the maintenance of levels of cash and highlymarketable securities that reflect expected cash needs.

C-5. Operational risk
Operational risk is the “risk of loss arising from inadequate
or failed internal processes, or from people and systems, orfrom external events”. The Solvency II Directive also statesthat operational risk “shall include legal risks, and exclude
risks arising from strategic decisions, as well as reputation
risks.”

Using the Standard Formula for calculation, operationalrisk represents 6% of the Company’s SCR, with a charge of
EUR 66 million (2022: EUR 56 million).

The Company employs several supplementary measures:•

cash-pooling (enabling the Company to instantly
transfer cash between branches participating in the
cash-pool)•inclusion of a simultaneous settlement clause in reinsurance contracts•

daily pricing of financial instruments with the ability
to liquidate those instruments in a reasonable time -The Company uses a framework for identifying, assessing,
responding to and monitoring operational risk, which isbased in part on the Committee of Sponsoring Organizations’ Enterprise Risk Management (COSO ERM) Integrated
Framework. The framework ensures that operational risks
are considered in all parts of the Company and that objectives are more likely to be met with fewer surprises along
the way.

SFCR ACyC 2023 | 36

To provide oversight and assurance in an auditable and efficient manner, the Company employs a dedicated governance, risk and compliance software platform (the ’GRC Portal‘) that integrates existing risk management activities
across the business.

Risk and Assurance activities and developments are reported upon and discussed quarterly by the Operational
Risk Committee. The Operational Risk Committee comprises senior management representatives from a crosssection of departments.

Identification

Management / mitigation

Operational risk is inherent in all the Company’s key activities. The Company has developed a number of methods
and tools to support identification, assessment and management of operational risk, such as:Once identified and assessed, risks may be accepted or mitigating actions may be taken to bring them to an acceptabletarget level.

•risk registers•

risk and control self-assessments•

business impact analyses•

holistic risk taxonomy•

training (such as fraud awareness training to assist in
the identification of fraudulent customers or buyers)•monitoring of indicators of risk in the various sub-categories of operational risk.

Risks, the related controls, and risk mitigating actions are
discussed at all levels, locations and units across the Company.

Operational risk is managed and mitigated through aframework of internal controls that address the different
areas where such risk is present. This internal control system includes:•

structures and committees•

codes, policies, charters, standards, procedures andguidelines•

plans and frameworks•

manual and automated operational controls such as
the segregation of duties, the application of signing authorities and role-based system privileges•

ongoing education.

Measurement
Atradius Leadership Team members, assisted by designated ‘risk champions’ across the Company, maintain local
risk registers that are updated on a quarterly basis. The risk
registers contain topics that management identify as significant risks to the achievement of their objectives. Risks
are quantified based on assessments of potential impact
and the likelihood of a risk materialising.
The local risk registers are consolidated into a group levelview of risk and a risk heatmap. The highest priority risks(according to impact and likelihood) are reviewed against arisk tolerance, while mitigating actions are evaluated.

C-6. Other material risksC-6.1 Concentration risk
Identification

Monitoring and reporting
The performance of internal controls is monitored in a
number of ways including:•risk and control self-assessments•

quarterly review and sign-off of financial reporting
controls•

business continuity tests•

incident reporting (High-level information on crystalized risks has been captured for several years. Due totheir unique characteristics, information technology
risk events are recorded separately)•risk indicators aligned to Atradius Risk categories.

The Company exposes itself to concentration risk primarily
by accumulating assets with a debtor (both for credit andsurety) and by underwriting credit limits on a buyer, on agroup of buyers under common control, in a country or in a
trade sector. If Atradius has underwritten surety bonds fora buyer, this contributes to the concentration.

Management / Mitigation
Concentration risk is managed using various methods:•

concentration is a driver in the Company’s economic
capital model, therefore capital decisions take concentration risk into account•concentration risk on underwriting exposures is typically analysed with respect to individual buyer, customer, trade/industry sector, country and/or product

SFCR ACyC 2023 | 37

•credit concentration limits are assigned on an aggregated level (e.g. name / group, country) in order tomanage exposure concentration on portfolio level•for concentration on the largest individual buyer exposures, special excess-of-loss reinsurance treaties are
established to mitigate liability in case of large claims•

for concentration in assets, the Company limits investments with one counterparty to less than 5% of the investment portfolio (this applies to non-government
counterparties only). Similarly, the policy is to maintain no more than 5% of reinsurance contracts with one
reinsurer, unless the reinsurer is considered a lead ora strategic reinsurer.

Monitoring and reporting
Concentration risk is, depending on the type, monitored
and reported to the Group Investment Committee, Outward
Reinsurance Committee and the RSMB. The Group Investment Committee meets monthly and reviews adherence tothe policy on concentration limits for the investment portfolio while the RSMB performs a similar review of the investment portfolio on a quarterly basis. Furthermore, the
RSMB reviews the concentration of credit limits underwritten per country and trade sector and for the top 50 buyers.
As part of the process of renewal of the Company’s reinsurance treaty, the Outward Reinsurance Committee reviews
the adherence to the concentration limits for reinsurance
treaties.

The Total Potential Exposure (TPE) details show TPE grossof reinsurance; due to the non-linear nature of the excess
of loss cover in ACyC’s reinsurance program, which has afinite number of reinstatements for each layer, there is nonatural way to show TPE net of reinsurance. In the following table, the TPE has been aggregated and shows the exposure for ACyC credit insurance (including special products), non-consolidated.
Buyer country (Eur Billion)

TPE 2023%

TPE 2022%

Germany

129

16%

124

16%

Spain, Portugal

101

13%

97

13%

Central and Eastern Europe

94

12%

87

11%

Italy

61

8%

61

8%

France

59

8%

58

8%

United Kingdom

62

8%

58

8%

USA, Canada, Mexico

56

7%

56

7%

The Netherlands

41

5%

39

5%

Nordic

38

5%

37

5%

Other

152

19%

146

19%

Total

793

100%

762

100%

Exposures for Surety, ICP and Reinsurance (Inward Re) are
not included in the table. The Surety exposure in 2023 is30.2 billion (2022: 27.6 billion). Exposure for ICP amounts
to EUR 4.0 billion (2022: 3.4 billion). Reinsurance (InwardRe) exposure is 25.3 billion (of which 16.5 billion Named
exposure).

C-6.2. Strategic risk
Strategic risk is the risk arising from changes in the business environment and from adverse business decisions,improper implementation of decisions or lack of responsiveness to changes in the business environment. It is therisk related to strategic planning, market developments
and reputation.
Strategic risk categories are used to structure the process ofidentifying and assessing strategic risks. The main categories used within the Company are:•allocation of resources: risks linked to an inadequate
strategic planning and budgeting process•

market developments: risks linked to market developments, economic environment, clients, competition•

reputation: risks linked to an adverse change in the
reputation or image of Atradius.

Strategic risks are identified, assessed and reported uponquarterly at board level. The Company identifies and analyses strategic risks through various internal channels suchas: the Strategy Forum (an internal discussion of strategic
initiatives), the Strategic Risk Platform (comprised of senior management from various parts of the business to evaluate identified risks), Economic Research Department’s
overview of long-term macro-economic risks, megatrends
analyses, Risk Registers of individual business units, andquantifications of required and available capital in theLong Term Planning and ORSA processes.

C-6.3 Cyber risk
Risk of financial loss, disruption, or damage to reputation
due to failure of IT systems or loss of data. This would typically materialise due to attacks over networks and could result in theft and misuse of information, service outages,changes in operating systems, among events.

Cyber risk is an area in which increased focus is warranted.
The Atradius Information Security team monitors and addresses threats and coordinates the management of cyberrisk across the Company. The growing threat landscape as
malware (viruses) together with the development of artificial intelligence (AI), highlights the importance of education for end users on topics such as, phishing, maintaining
software and the dangers of unsupported or non-authorised software. To minimise this risk cyber risk awarenessis included in staff training. Further mitigation of this risk
includes protections for critical ACyC applications andMulti-Factor Authentication for all remote access. A medium-term Cyber Security Strategy is in place to enhance
the Company’s governance, protection, resilience and vigilance.

SFCR ACyC 2023 | 38

C-6.4 Emerging risks
Emerging risks are newly developing or changing risks,
which may arise due to increased exposure or sensitivity to
unknown factors or to an already known, but not fully understood, threat.

Emerging risks are identified through the surveillance andassessment of the external (regulatory, geopolitical, technological changes, market developments, etc.) and internal(development of new products, entering in new markets,etc.) environment.

Among the risks defined in ACyC’s risk map, the following
emerging risks are identified as principal emerging risks,
as these could have a major impact on the strategy of ACyC:•

Financial volatility•

Inflation•

Extended economic recession•

Regulatory developments•

Cyber risks.

C-7. Any other information
C-7.1 Scenario and sensitivity analyses
Sensitivities of the risk profile are regularly explored bysensitivity tests as well as stress tests/scenario analyses. In
the former, individual risk parameters and/or volume
measures are being shocked while in the latter the combined effect of several adverse developments is considered.
Scenario analysis and stress testing activities are executed
firm-wide, embedded into the Company’s risk management process and serve the purpose of examining the business’ resilience.

C-7.1.b Scenario Analyses

C-7.1.b Scenario analyses
The interplay and simultaneous occurrence of adverse developments are considered as part of the annual Own Risk
and Solvency Assessment (ORSA) process. These analyses
take a holistic approach and consider the impact of scenarios on the balance sheet, profit and loss statements, and ultimately on the solvency needs. Various scenarios are investigated to study the Solvency Ratio development over a
multi-year time horizon – including expected (base case)and adverse developments.

The most recent ORSA has considered among others a prolonged global recession scenario with simultaneous adverse developments on revenues, claims, and the value ofthe investment portfolio. The scenario assumes that insurance exposures are reduced in year t and in year t+1 andthen progressively increase thereafter. Here, “year t” refers
to the first full year after the scenario materializes.

The following table summarizes the scenario assumptions:This section exemplifies sensitivity tests for different risk
categories and overall scenario analyses and quantifies theimpact on the Solvency Ratio. The Solvency Ratio is the key
metric for ACyC to measure its ability to meet its obligations.

C-7.1.a Sensitivity analyses
As of 31 December 2023, the impact of external factors related to various risk types on ACyC has been assessed. For
several sensitivity tests the impact on Solvency Ratio (aspercentage point change) is shown in the following table:
The scenario and its assumptions are based on 2023 information, so that year t represents a hypothetical year 2024

SFCR ACyC 2023 | 39

under the assumptions above. The following table summarizes the year t impact of the scenario on the Solvency Ratio.

C-7.2 Environmental, Social, and Governance risk (ESG)
In recent years, Atradius has made significant strides in developing Environmental, Social, and Governance (ESG) initiatives. These initiatives reflect the company’s commitment to sustainability.

In 2022, we created a dedicated ESG Committee chaired by
our CFO Claus Gramlich-Eicher. The Committee is composed of members of our leadership team from various
business areas and group functions, and has been set up to
structure our various ESG initiatives.

The outcome was integrated into a new Sustainability Master Plan 2024-2026 which is structured into 10 strategiclines related to 4 pillars: Environmental Responsibility, Social Commitment, Good Governance and Sustainable Business.

As the management of Environmental, Social, and Governance risk is performed comprehensively at Group level, further information is available in the Sustainability Report,
GCO (Grupo Catalana Occidente) non-financial information
statement, audited and published on the website
www.gco.com(www.gco.com/eng/non-financial-information/reports).
The report identifies the main Environmental, Social, andGovernance risk map to which the Group and its individual
entities would be exposed, as well as the impact that climate change risks could have on their activities according
to the adverse scenarios analysed within the framework of
the Own Risk and Solvency assessment (ORSA) of GCO.

In 2023, we also recruited a Head of ESG, who is responsible for promoting, driving, and coordinating the ESG initiatives globally as well as for overseeing the operational
management of sustainability across our different international businesses.
Additionally, this year Atradius approved its sustainability
policy in line with GCO’s public policy which defines the Atradius’ approach towards sustainability.
In addition, Atradius has a Human Rights statement withthe aim of adapting it to the provisions of the United Nations’ Universal Declaration of Human Rights and in accordance with the principles and values of the Group’s Codeof Conduct.

Sustainability Master Plan 2024-2026
In 2022, we formalised our sustainability ambitions basedon three pillars - People, Planet and Prosperity, which haveguided our actions in the current year.
In 2023, together with GCO, we carried out a materiality assessment following the new European Corporate Sustainability Reporting Directive (CSRD) approach. The CSRD implies the incorporation of the double materiality approach,which identifies and prioritises the sustainability aspects
based on, (1) the impact that Atradius’ activities have on theenvironment and its stakeholders (impact materiality), and(2) the impact that the environment and its stakeholders
have on Atradius´ activities from a risk and opportunity
perspective (financial materiality).
The process included interviews with relevant functions ofAtradius as well as internal and external surveys, complemented by global peer, trend, and regulatory analyses.

SFCR ACyC 2023 | 40

D

D Valuation for solvency purposes
D-0

Introduction

D-1

Assets valuation

D-2

Technical provisions

D-3

Other liabilities valuation

D-4

Alternative methods for valuation

D-5
Valuation techniques used on the basis ofmodel approach

Valuation for solvency purposes

SFCR ACyC 2023 | 41

D-0. Introduction
The economic assets of ACyC under Solvency II at the end of 2023 amount to EUR 5,473 million, EUR 346 million lower than Statutory
Financial Statements, performed according to Spanish Local accounting standards (hereinafter 'PCEA') and EUR 1,286 million higher
than 2022.
The tables below show the total difference in valuation per category. PCEA figures are already reclassified under the equivalent SII
items.
The following table shows balance sheet items under SII and Statutory Accounts:
ACyC
Eur million

31.12.2023

31.12.2023

AssetsSolvency II(Statutory Acc)

Difference

Goodwill

0

9

(9)

Intangible assets
Deferred acquisition costs
Deferred income tax assets
Pension Benefit Surplus

0

71

(71)

Property, plant and equipment for own use
Property (other than own use)
Participations
Other Financial investments
Deposits other than cash equivalents
Reins. Recoverables
Deposit to Cedant
Reinsurance Receivables
Receivables (Insurance, intermediaries and trade)Cash and cash equivalents
Any other assets, not elsewhere shown
Total

0

147

(147)

528

214

314

102

102

(0)

198

67

131

22

7

15

32

17

15

2,596

2,596

0

164

164

0

474

915

(441)

24

24

0

226

98

129

394

393

1

628

628

0

85

367

(283)

5,473

5,819

(346)

Investments: represent 51% of the total assets, of which the investment in Debt securities is the main item.
In addition, when analysing valuation differences, it is necessary to consider reclassifications, according to the asset QRT (CIC CODE
classifications). Such reclassifications have no economic impact.
The following graph shows the assets bridge between statutory accounts and SII.

SFCR ACyC 2023 | 42

Solvency II Total liabilities balances EUR 2,896 million, EUR 816 million lower than PCEA and EUR 478 million higher than 2022.
Being technical provision and deferred tax liabilities the more significant items as shown in the following table.
ACyC
Eur million
31.12.2023
Solvency II

31.12.2023(Statutory Acc)

Difference

1,483

2,848

(1,364)1

10Pension benefit obligations

52

52

0

Deposits from reinsurers

9

9

0

Deferred tax liabilities

713

269

444

Insurance & intermediaries payables

56

55

1

(Re)insurance accounts payable

119

98

22

Payables (trade, not insurance)

307

232

75

Amounts owed to credit institutions

0.0

0

0

Any other liabilities, not elsewhere shown

155

148

7

2,896

3,712

(816)

Liabilities
Technical Provisions
Provisions other than technical provisions

Total

Liabilities Bridge between PCEA and Solvency II is as follows:

Annex F 3 details the valuation differences between PCEA and Solvency II.

SFCR ACyC 2023 | 43

D-1. Asset valuation
At the end of 2023, ACyC has assets with a total value of
EUR 5,473 million under Solvency II (EUR 5,819 million under PCEA).

Other differences are reclassification between assets and liabilities.

Comparison with the previous year
The movement in this item is mainly driven by the merger.

The main differences are as follows:

D-2. Technical provisions•

goodwill: in the economic balance this is valued at zero
(EUR 9 million PCEA)•

intangibles: in the economic balance sheet these assets
are valued at zero (EUR 71 million under PCEA)•

recoverables from reinsurance: in the economic balance sheet these are valued in accordance with the valuation criteria of the technical solvency provisions (seesection D.2) and considering the probability of default
by the reinsurers•

Provisions for claims outstanding (PCO): The PCO isthe best estimate of cash flows relating to claim events
that have already occurred, regardless of whether theclaims arising from those events have been reported ornot•deferred acquisition costs: the economic value of deferred acquisition costs is nil. (EUR 147 million under
PCEA)

•

•

property, plant & equipment for own use: in the economic balance sheet are valued at their market value,
determined by approved independent real state valuator registered in the relevant countries.

Premium provisions (PP): The PP is the best estimate
relating to future claim events covered by insurance
and reinsurance obligations falling within the contract
boundary. Cash flow projections for the calculation of
the PP include claims, expenses and premiums•

Risk Margin (RM): The Risk Margin is intended to be
the amount of capital that another (re)insurer taking
on the liabilities at the valuation date would require
over and above the best estimate. It is calculated usinga cost-of-capital approach as prescribed within the Solvency II Directive.

In 2019 IFRS 16 was adopted and applied for Solvency II, in
consideration of art. 75 of the Directive, with an impact bothin assets and liabilities. Therefore, difference in this item,with PCEA is:•+ EUR 60 million due to market value•+ EUR 71 million corresponding to IFRS 16 Right of use
assets. See further details in Chapter F-4, Solvency II
Valuation principles•

property (other than for own use): in the economic balance sheet are valued at their market value, determined by approved appraisal companies. (+ EUR 15
million)•participation under PCEA are valued at cost value
while under Solvency II are valued according to theireconomic value which for ACyC is participated own
funds valued applying SII rules (+ EUR 15 million)•

Reinsurance receivables: mainly reinsurance commissions (EUR + 129 million)•

Any other assets, not elsewhere shown: mainly insurance accruals eliminations and reclassification ofother technical items considered customer deposit
given the contracts boundaries.

•

deferred tax assets: + EUR 314 million, records the tax
effect of the valuation differences between PCEA and
Solvency II.

Valuation principles
As prescribed by the Solvency II Directive (DIR), the technical provisions are made up of three components:

For the purposes of this report, the best estimate, unlessotherwise specified is gross, without deduction of theamounts recoverable from reinsurance contracts and special purpose vehicles.

The calculation of the technical provisions includes cash
flows associated with existing contracts, for obligations up
to the contract boundary.

For all products the best estimate is determined by relevant
actuarial and statistical methods in combination with realistic assumptions.

The methods used and the choice of loss occurrence definition determines the split between PCO and PP. This methodology is specific to the different products within the ACyC
Credit & Suretyship (C&S) business.

Choice of contract boundary
The Company has chosen the following contract boundaries. The choices are specified by product: Credit Insurance
SFCR ACyC 2023 | 44

(CI), Special Products (SP), Surety (BO), Instalment Credit
Protection (ICP) and Inward RE (IR).

Product
Credit Insurance
Special Products

AcronymCI
SP

SuretyBO

Instalment Credit
Protection

ICP

Inward Reinsurance /Inward RE

IR

Contract Boundary
Risk insured before balance sheet date.
All policies issued before balance sheet
date that have not expired
Surety Bond issued before balance sheet
date including extensions.
End of the underlying credit obligation
for all policies issued before balance
sheet date.
All treaties considered bound before
balance sheet date.

The Company has a unilateral right to terminate future
cover (shipments) to be brought under the credit insurance
policies because the Company can amend i.e. vary, review
or withdraw credit limit decisions under the policy. Without a credit limit decision on a buyer, no new business will
be insured on that buyer.

For credit insurance, the contract boundary is chosen suchthat all contractual obligations for insured risks (shipments) at reporting date are provisioned for within Solvency II technical provisions.

The choice of contract boundary hence reflects the credit
insurance business’ ability to continually re-underwrite
risks as it may at any time reduce or withdraw credit limit
decisions.

based on an expected premium times expected loss ratio approach•

ICP: Claims reserves for reported but not settled claims
are determined on a case-by-case basis. Salvage andsubrogation dominate the ICP provisions due to the nature of the product: Claims paid are in the order of threetimes premium. Claims paid are typically recovered infull over a period of over ten years. Provisions for salvage and subrogation for ICP are estimated using a
chain ladder method.

•

Inward Reinsurance: provisions are calculated basedon statistical methods projecting estimated loss ratios
and premium estimates.

Future premiums are estimated based on methods that project premiums to be received in the future at a policy level.

For all products the best estimate is determined by relevant
actuarial methods in combination with realistic assumptions.

There are no future management actions assumed in thecalculation of the Company’s gross of reinsurance best estimate liabilities.

Reinsurance recoverables

Valuation methodologies

The ACyC C&S business’ reinsurance protection derives
from its reinsurance program. The main program consistsof a Quota share (QS) treaty, and an Excess of Loss (XoL)
program.

The Solvency II best estimate is valued using methodologies consistent with principles and bases used for financial
reporting.

The C&S business main proportional reinsurance covers
37% for UWY 2023 (37% UWY 2022) of all technicalamounts: premiums and claims.

A short description of the methodologies used to determine
provisions by product is provided below:

•

•

•

Traditional Credit Insurance: Provisions are calculated
based on statistical methods. These are used to project
claim counts for each month of risk taken on and an average claim severity to estimate ultimate claim cost. For
large cases, case-by-case assessments of provisions are
made. In addition, reserves are carried for future large
losses and losses resulting from reporting on specific
eventsSpecial Products: Provisions for reported claims are calculated on a case-by-case basis. Provisions for future
claims are based on an expected premium times expected loss ratio approach
Surety: Provisions for reported claims are calculated ona case-by-case basis. Provisions for future claims are

The amounts recoverable from reinsurance contracts are
estimated consistently with the boundaries of the underlying contracts to which they relate. The reinsurance recoverables are calculated directly, treaty by treaty in essence
without approximation.

An adjustment for expected losses due to counterparty default is included in the estimate of reinsurance recoverables. The reinsurance panel predominantly has a Standard
and Poor’s rating of A- or better.

Risk margin
The risk margin is defined as the cost needed to cover all
future capital requirements until the final settlement of existing business.
SFCR ACyC 2023 | 45

The solvency capital requirement (SCR) is the risk capitalrequired for one year only. Hence the SCR for individual
points of time in the future needs to be estimated.

Comparison with financial statements

The Company follows the general guidance given under
Method 1 within the EIOPA Solvency II Guideline 62 (EIOPA-BoS-14/166 EN). This assumes that the risk margin isbased on a cost of capital approach for business that is considered ‘existing’. For the cost-of-capital, a rate of 6% is usedaccording to the Delegated Regulation (Article 39).

SII calculation are based on IFRS figures. The most material
differences between the SII and PCEA valuations of TP are:

The following table shows a Technical Provision comparison between PCEA, IFRS and SII. IFRS 4 is considered as
the basis for the comparison of the SII and PCEA.

PCEA (*)

IFRS (**)

SII (***)

Gross Technical provisions

2,848

2,736

1,483

Ceded Technical provisions

915

895

474

Eur Million(*) Includes UPR and Return Premium accrual(**) Includes UPR(***) Includes Risk Margin

The overall approach used to calculate the risk margin is toperform a full calculation of the SCR at each future point intime using the Standard Formula with certain simplifications. The simplifications are used for the counterparty default and operational risk modules.

PCEA to IFRS•

Spain and Portugal estimated claims recoveries areshown under PCEA in the assets split in reinsurance
recoverables and Receivables (trade, not insurance).
This reclassification amounts to EUR 78 million;•

Under PCEA, Return Premium accrual (gross andceded) are shown as part of technical provisions grosswhen under IFRS are shown in “any other liabilities orother asset not elsewhere shown” (gross and ceded respectively). Net reclassification for this concept is EUR
57 million (EUR 93 million gross and EUR 36 million
ceded).

The method used to calculate the risk margin is based on
the formula below which is prescribed in DR: Article 37(1),where the cost–of-capital (CoC) rate used is 6% as is prescribed in DR: Article 39 and SCR(t) denotes the Solvency
Capital Requirement referred to in DR: Article 38(2) at year(t). It is a formula similar to that which is used to calculate
the Actual SF SCR as outlined in DIR: Article 103.

IFRS to SII•

Change in bases of moving from IFRS to SII, as profit isrecognised on IFRS UPR•

Change in assumptions for the traditional credit insurance product that determines the Solvency II best estimate. In principle, underlying methodologies to arrive
at a best estimate do not differ from current financial
statements but calibrated parameters and assumptions reflect a probability weighted average. Overall
impact (Net of Reinsurance including Risk margin) of
these changes is favorable by EUR 524 million.

Overview of technical provisions
The table below shows the Solvency II gross best estimate,risk margin and the share of reinsurance recoverables as of
31 December 2023 for the Credit & Suretyship business:

SII B/S Component/BE Split

Direct, Accepted
PCO

Total

PP

Gross BE Split by Product
CI
SP

401
6

767
24

1,168
30

BO
ICP

105
(170)

(81)
9

24
(161)

Comparison with the previous year

Inward Re
Gross BE Split by Product

336
678

(46)
673

290
1,352

CI
SP

153
1

259
10

412
11

The Solvency II Best Estimate (gross of reinsurance) increased by EUR 354 million mainly due to the merger. Solvency II reinsurance recoverable decreased EUR 3 million;
both movements bred to an increase in Solvency II Best estimate net of reinsurance of EUR 350 million.

BO
ICP
Inward Re

54
(2)
37

(33)
2
(8)

21
(0)
30

Reins Recov. Split by Product

243

231

474

Implied Net Best Estimate
Risk Margin

436

442

878
131

Reinsurance Recoverable

The Risk Margin has increased by EUR 53 million mostly as
a consequence of the increase in the future SCRs mainly
driven by the merger.

No other material assumption changes were made compared to the previous reporting period.
SFCR ACyC 2023 | 46

Level of uncertainty
The status of the economy is a major driver of the frequency and severity of claims for the credit and suretyshipline of business. All forms of credit insurance and surety
bear the risk that changes in legislation, in particular of insolvency law, may affect the amount and timing of claims
payments or recoveries.

In the case of traditional credit insurance, the main sourcesof uncertainty for estimates of future claim payments include:•

the amounts that will be paid out as a percentage of theclaim amount•the speed with which customers submit claims, asmeasured from the moment that the insured shipment
took place, the expected average claims payment andthe expected percentage of cases that do not lead to apayment•

the expected number of claims for risks taken on during the most recent months since very few claims will
have been reported for the most recent five to sevenmonths (depending on the country of the customer)•

the inflow by number and size of large case•the estimation of the expected recovery percentages.

that of traditional credit insurance. For example, mostcredit insurance covers credit periods up to 180 days, whilearound half the surety bonds written have tenors of over
two years. After receipt of a surety bond call, it will takelonger to settle the claim and litigation is not uncommon,
either following the surety bond call or when trying to realise recoveries. Especially in Italy, litigation tends to be alengthy process. Outcomes of litigation cannot be predictedwith certainty.

For the Instalment Credit Protection (ICP) business, legislative changes in Belgium may bring significant uncertainty
to the estimates of salvage and subrogation held as best estimate. The ICP business unit is not aware of any changes
in legislation that would materially affect the Best Estimate
on this product.

ACyC does not apply:•

Matching adjustment referred to in Article 77b of Directive 2009/138/EC•

Volatility adjustment referred to in Article 77d of Directive 2009/138/EC•

Transitional risk-free interest rate-term structure referred to Article 308c of Directive 2009/138/EC•

Transitional deduction referred to in Article 308d of
Directive 2009/138/EC

During 2023, slowing economic growth and the normalisation of insolvency rates to pre-COVID levels affected thefrequency and severity of claims.
The war in Ukraine continues to impact the global economy, especially energy prices. Most trade sectors, are dependent on energy and have continued to see higher prices
for longer during 2023. Therefore, world-trade is being affected by such inflation and stress. This in turn impacts uncertainty related to the frequency and severity of claims.

In response, most central banks continued to raise the interest rates until pausing in 2023 Q3. Banks and other suppliers of credit have tightened their lending conditions.
Further adding to the uncertainty in frequency and severity, also affecting recoveries.

All the factors above, lead to an increased potential for adverse development on the technical provisions in the coming months because of increase in frequency, severity andinsolvency rates.
Estimates for future claims payments for surety have agreater uncertainty than estimates for future claims payments for credit insurance. Surety is a ‘longer tail’ business:i.e., the time between issuance of the surety bond and receipt of the surety bond call tends to be much longer thanD-3. Other liabilities valuation
Economic liabilities excluding technical provisions,amount to EUR 1,413 million (EUR 864 million under
PCEA).

As shown in D-0, the main differences between Solvency II
and PCEA are:•deferred tax liability: + EUR 444 million, records thetax effect of the valuation differences between PCEA
and Solvency II•

payables (trade, not insurance): In 2019 IFRS 16 has
been adopted, thus in this item is included the lease +EUR 75 million. See further details in F-4, Solvency II
Valuation principles.

Comparison with the previous year
The movement in this item is mainly driven by PCEA Balance Sheet movements across periods and the merger.

SFCR ACyC 2023 | 47

Subordinated liabilities as part of the eligible own funds
ACyC does not have any subordinated loans.

D-4. Alternative methods for valuation
Not applicable.

D-5. Valuation techniques used on the basis of model approach
Not applicable.

SFCR ACyC 2023 | 48

E

E Capital management

Capital management

E-4
Differences between the standard formulaand any internal model used

E-0
Introduction: principles, processes, reinsurance program, capital fungibility and transferability
E-1

Own funds

E-2
Solvency capital requirement and minimum
capital requirement
E-3
Use of the duration-based equity risk submodule in the calculation of the solvency capital requirement

E-5
Non-compliance with the minimum capitalrequirement and non-compliance with the solvency
capital requirement
E-6

Any other information

SFCR ACyC 2023 | 49

E-0. Introduction
Atradius, including ACyC, manages its capital with the goalof maximising shareholders value in the long run, while
maintaining the necessary financial strength at entity andGroup level to develop the business strategy. The capital ismanaged taking into account internally developed risk appetite framework as well as the solvency requirements of
the relevant regulatory authorities and credit rating agencies.

No material changes have been introduced throughout
2023 in the policies and processes regarding capital management.

Principles•

regular assessment of solvency needs, taking into account the business strategy, actual and desired risk
profile and applied risk appetite levels•

incorporating a view on expected future investments
in new businesses, revenues, claims, reinsurance expectations and dividends as these impact both available and required capital•monitoring duration of assets; and taking into consideration capital market expectations such as expected
returns, volatilities and correlations as these may impact earnings and the shareholder equity reserves.

To ensure capital adequacy, a capital buffer above the regulatory solvency capital required is maintained, such thatlarge loss events would not impair the ability of ACyC tocarry on its normal course of business.

Capital management is guided by the following principles:•to ensure that ACyC is sufficiently capitalised to havethe ability to survive by maintaining sufficient available capital after meeting its financial obligations•

to meet the local regulatory capital requirements of all
ACyC branches and subsidiaries worldwide•

to manage the capital adequacy of ACyC and its entities, taking into account the economic and accounting
views along with the external rating agencies and regulatory capital requirements•

to optimise capital structure by allocating funds across
ACyC’s entities•

to minimise the overall cost of funding while preserving financial flexibility.

In addition to the internally developed economic capitalmodel, ACyC considers the solvency calculation models of
the relevant regulatory authorities and credit rating agencies in its processes of managing capital to ensure capital
adequacy.

Reinsurance program
ACyC transfers a significant portion of its underwriting risk
to a very strong panel of reinsurers, through a number ofreinsurance arrangements.

Capital fungibility and transferability
In managing its capital ACyC takes into account the risk
limits defined in the internally developed risk appetite
framework as well as the solvency thresholds set by the relevant regulatory authorities and credit rating agencies.
In certain countries in which ACyC has insurance operations, the local insurance regulators may specify the minimum amount and type of capital that must be held locally.
In such cases, the minimum required capital is to be maintained at all times throughout the year and, in addition, thelocal insurance Regulators may have the discretionary
right to impose additional capital requirements in excess of
the required minimum.

Processes
ACyC has embedded processes and procedures for:•capital planning•

capital monitoring•

capital management.

Those processes and procedures aim to ensure compliancewith compulsory regulations and internally self-imposed
requirements for capital adequacy.
Such compliance is ensured by:

SFCR ACyC 2023 | 50

E-1. Own funds

E-2. Solvency capital requirement andminimum capital requirement

The structure of available capital follows the regulatory requirements for quality of capital (tiering) and coverage limits. Under Solvency II the own funds are classified into
three categories ranked Tier I, II and III, with Tier I being
the highest quality.

In 2023, SCR has increased by EUR 262 million (29%) in linewith business and market developments and the merger:

The following table shows the Own funds for ACyC as at 31
December 2023:
31.12.2023
Tier 1

31.12.2022
Tier 1

Ordinary Share Capital

33

25

Share Premium

478

1

Members contributions

60

60

Reconciliation Reserve

1,982

1,682

Eur Million

Reserve and Retained earnings fromfinancial Statements
Adjustment to assets

1,536

1,381

(346)

(167)

Adjustment to Technical Prov

1,364

928

Adjustments to other liabilities

(548)

(459)

Foreseeable Dividends

(24)

0

2,554

1,768

Total Basic Own funds

Tier I represents the share capital, share premium andother reserves based on the accounting balance sheet plus
the reconciliation reserve. The reconciliation reserve comprises, among others the differences between accounting
valuation and Solvency II valuation, and includes adjustments/deductions for items such as foreseeable dividends.

•

market risk increase by EUR 102m (42%) is largely due
to the increase of equity•

non-life UW risk increase of EUR 226m (27%) is explained by the inclusion of reinsurance (Inward Re
business)•counterparty default risk increased EUR 22m (21%)
mainly due to increase of cash•

tax adjustment increase of EUR 28m (23%)

The following table shows the solvency capital requirement, calculated under the approved partial internal
model, and the various risk components. ACyC makes useof simplifications described in Articles 107 and 111 of theDelegated Regulation (EU) 2015/35 for the calculation of
the counterparty default risk. The calculation uses no undertaking-specific parameter or the duration-based equity
risk sub-module.

The Company has no Tier 2 and Tier 3 basic own funds nor
any ancillary own funds.

Material differences between equity as shown in the ACyC's
financial statements and the excess of assets over liabilities
as calculated for solvency purposes have been explained in
Section D.

Eligible own funds increased mainly due to the good performance of the result in 2023, as explained in section A-1
and A-2, an increase of the investment result and revaluation reserve described in A-3, and also because of the merger. These movements led to the following main variationsin the balance sheet items:•

Increase financial investments (excluding cash andcash equivalents) by EUR 893 million.

•

Increase in net technical provisions EUR 403 million.

•

Increase in Cash and cash equivalents EUR 228 million.

SFCR ACyC 2023 | 51

Eur Million

Market Risk
Interest rate risk
Equity risk
Property Risk
Spread Risk
Concentration Risk
Currency Risk
Total undiversified
Diversification
Total diversified

Eur Million

39
200
36
66
13
130
483
(138)
345

58
92
37
63
9
110
368
(126)
243

Non-Life UW Risk
Internal Model

988

766

Premium and Reserve risk

49

44

Catastrophe Risk
CAT recession scenario
CAT default scenario
CAT other scenario
Total undiversified
Diversification
Total diversified

32
0
0
32
0
32

32
0
0
32
0
32

Lapse Risk

4

4

1,072
(20)
1,052

846
(19)
826

128

105

Total undiversified
Diversification
Total diversified

1,525
(268)
1,257

1,174
(198)
976

Operational Risk

66

56

Total undiversified
Diversification
Total diversified

Counterparty Risk

Q4 2023 Q4 2022

Q4 2023 Q4 2022

Solvency Capital Requirement
Total before tax adjustment
Tax adjustment
Solvency Capital Requirement
Eligible own funds
SCR Cover Ratio

1,323
(151)
1,172
2,554
218%

1,032
(122)
910
1,768
194%

Minimum Capital Requirement
TPnl , 9878

528

Premium 9

1,424

1,115

MCRlinear

318

219

MCRcombined
AMCR
Minimum Capital Requirement

318
4
318

228
4
228

Basic Solvency Capital Requirement

SFCR ACyC 2023 | 52

E-3. Use of the duration-based equity risk
sub-module in the calculation of the solvency capital requirement
Not applicable.

E-4. Differences between the standard formula and the partial internal model used
In order to align regulatory capital requirements with economic capital and with the risk profile of each insurance
undertaking, the Solvency II regulation allows (re)insurers
to calculate solvency capital requirements with internal
models. This provides the opportunity to model an undertaking’s specific risks more accurately than using theStandard Formula.

GCO uses an internal model to calculate the solvency capitalrequirement for the entities within its Credit and Surety(C&S) line of business, which includes ACyC. In 2017, GCO
was granted regulatory approval to use its internal model
to calculate regulatory capital requirements; however, GCO
has been using an internal model, formerly called the ECAP
model, since 2004. GCO did not create an internal model tocalculate the solvency capital requirement of ACyC as a result of the onset of Solvency II, but adapted its former ECAP
model by making it Solvency II compliant with the aim ofaligning capital management, risk management and overall solvency needs with the strategy of the business.

The Standard Formula, as defined in the Solvency II regulation, is a one-size-fits-all methodology, which is appliedin the same way to all lines of business of the non-life segment, by means of the following risk sub-models:•premium and reserve risk•

lapse risk•

catastrophe risk

The solvency capital requirement (SCR) is derived from thecapital charges linked to each of the three modules above.
This is done by aggregating these charges using a correlation matrix stipulated in the regulation, in a similar way for
all companies and lines of business in non- life insurance.

The specific features of the C&S line of business prevents itfrom being able to be managed or measured by the Standard Formula. Risk within C&S is adequately quantified using drivers such as probability of default (PD) and loss
given default (LGD) from counterparties along with exposure amounts.

The internal model is a sophisticated mathematical and statistical model used to derive a loss distribution that fits therisk profile of the Company. Following Solvency II regulation, the internal model is used to derive the 99.5 percentileof the losses stemming from ACyC’s risk exposures on a
one-year time horizon.

The main inputs of the internal model are the total potential
exposure (TPE), the probabilities of default (PD), default
correlations, and the losses given default (LGD).

To obtain the aforementioned distribution of losses, the internal model makes use of a Monte Carlo simulation. Up to
one million scenarios are simulated in order to reach a result based on the respective convergence criterion.

The internal model is applied to all product segments
within ACyC except for Instalment Credit Protection, which
represents less than 1% of the business in terms of TPE.

The internal model is not used exclusively for SCR calculation purposes. It is widely used within the Company for decision-making and risk management, including:•underwriting strategy - use of the model output incombination with other risk evaluation measures togenerate buyer underwriting strategies•

pricing - including an internal model-based calculation of capital costs in the pricing model•business planning - this use of the model includes theannual long-term planning and budgeting processes•

reinsurance analysis - the model output is used in theevaluation process of different reinsurance program
scenarios for capital management purposes and for deriving an appropriate risk mitigation strategy•

product development - use of the model for calculationand evaluation of the impact of a new product on SCR.

In the context of the risk management function, the internal model is used in the ORSA process, the ongoing assessment or redevelopment of the risk strategy and risk appetite framework, and in risk reporting.

In 2023, the Company continued its efforts on further elaborating its risk appetite and risk tolerance levels.

The Company operates with a system of governance specific to the internal model to ensure appropriate control
over, among other things, statistical quality, data quality,
validation and the calculation processes themselves.
SFCR ACyC 2023 | 53

E-5. Non-compliance with the minimum
capital requirement and non-compliancewith the solvency capital requirement

ences is identified considering the different tax- authorities’ legislation and limitations. See more details in F-4, Solvency II Valuation principles.

There is no foreseeable risk of non-compliance with ACyC’s
Minimum Capital Requirement or Solvency Capital Requirement. The risk profile and solvency positions aremonitored continuously and in case of an increase of therisk of a capital shortfall, management will take appropriate action.

The LACDT calculation is carried out at branch level, taking
into account the approved five years business plan as thebasis for the probable (stressed) future taxable profit forecast for each of the branches. Loss carry forward and carryback rules are applied in accordance with the respective tax
jurisdictions. Existing net DTAs and net DTLs in the SII balance sheet are limiting and (potentially) extending the support of the Tax Adjustment for LACDT respectively.

E-6. Any other information
Loss-absorbing Capacity (LACDT)
Deferred tax assets: are the amounts of income taxes recoverable in future periods in respect of income tax settlements, and may be either:•deductible temporary differences: which are temporary differences that will result in taxable amounts indetermining taxable profit (tax loss) of future periods
when the carrying amount of the asset or liability is recovered or settled•

the carry forward of unused tax credits: amount of thedecrease in profit tax to be paid in the future derived
from existing deductions or rebates pending of application•

the carry forward of unused tax losses: amount of thedecrease in profit tax to be paid in the future derived
from prior financial years existing losses carry forward pending of application.

In general, for all differences between the tax valuation
method under PCEA and the Solvency II valuation requirement are subject to be tax effected, except for those considered as permanent differences.

Net DTAs that have been recognised in the SII balance sheet
are deducted from the forecasted probable (stressed) futuretaxable profit amounts (times tax rate) that are available tosupport the Tax Adjustment for LACDT purposes, i.e. theDTA corresponding with the loss caused by the SCR shock.
Net DTLs that have been recognised in the SII balance sheet
are taken into account to support the Tax Adjustment for
LACDT purposes, to the extent that these relate to the same
nature and to the same taxation authority and taxable entity as the assets that are impacted by the SCR shock.

The following table shows the amount with which the Solvency Capital Requirement has been adjusted for the lossabsorbing capacity of deferred taxes and it how it is justified.
Eur Million
Amount/estimate of the overall loss-absorbing
capacity of deferred taxes
Amount/estimate of LAC DT justified by reversion ofdeferred tax liabilities
Amount/estimate of LAC DT justified by reference toprobable future taxable economic profit
Amount/estimate of LAC DT justified by carry back,current year

LAC DT
(151)
93
57
1

Deferred income tax assets are recognised to the extent
that it is probable that future taxable profit will be available
against which the temporary differences can be utilised. If
the deferred income tax arises from initial recognition ofan asset or liability in a transaction other than a businesscombination that at the time of the transaction affects neither the accounting nor the taxable profit or loss, it is considered nil.

The tax base of an asset is the amount that will be deductible for tax purposes against any taxable economic benefits
that will flow to an entity when it recovers the carrying
amount of the asset. If those economic benefits will not betaxable, the tax base of the asset is equal to its carrying
amount. Time horizons for reversal of temporary differ-

SFCR ACyC 2023 | 54

F

F Annexes
F-1
Details of the governance and process for the
execution of the ORSA
F-2

All relevant QRTs in EUR thousand

F-3
Overview of subsidiaries and minority shareholdings
F-4

Solvency II Valuation principles

Annexes

SFCR ACyC 2023 | 55

F-1. Details of the governance and process for the execution of the ORSA

Responsibility

Activity
Review and Approval of

Board of Directors of ACyC

ORSA Policy
Approval of Scenarios
Design and implementation
ORSA Process

Board of Directors of ACyC
of

Board of Directors of ACyC

Main Activity
Participants
Risk Strategy Management
ORSA ACyC ORSA Policy review and approval.
(RSMB),
Board
Platform
Base case, scenarios and sensitivity analyses preparations and approval.
RSMB, ORSA Platform,
Ensure that the ORSA Process is designed in accordance with the ORSA Policy.
Platform, Ensure that the ORSA Process addresses all material risks of ACyC.
ORSA
RSMB,
ORSA Technical Group
Ensure that sufficient resources are allocated to the ORSA Process.
Ensure the planning and coordination of participating areas.
Implement the ORSA Process in compliance with the ORSA Policy.
Ensure that a relationship with other management processes is established and that all participating areas are coordinated.

Process Execution and Results

ORSA Platform

ORSA Technical Group

Review of results

RSMB

Platform,
ORSA
Technical Group

Review compliance of Technical
Actuarial Function
Provisions
Board of Directors of ACyC
ORSA Approval
Review of Risk Strategy
Board of Directors of ACyC

Ensure that the various contributions are consolidated into a single ORSA Report and verify their overall cohesion.
Run analysis, projections, sensitivities, stress tests, etc.
Ensure the compliance with the requirements for the calculation of the technical provisions.
Coordinate the process and results with areas involved.
Drafting ORSA Report
Verify that the process complies with ORSA Policy and has been duly executed.
ORSA Analyse ORSA results, methods and assumptions before submission to the Board of Directors of ACyC.
Examine results provided by the participating departments.

Actuarial Function

Review the methodologies and assumptions underlying the Technical Provisions estimates for ORSA purposes.

RSMB, ORSA Platform

Approve ORSA results based on proposal of the ORSA Platform and ensure that they reflect the risk profile of ACyC.
Review and advise on setting the maximum level of risk which ACyC is willing to accept in order to achieve the objectives set
in the Strategic Plan.

RSMB, ORSA Platform

SFCR ACyC 2023 | 56

In 2023, the ORSA Platform consisted of the following permanent members:• Director of Group Risk Management (Chair)• Director of Group Finance• Director of Corporate Finance• Director of Group Control• Director of Strategy and Commercial Development• Representative of Atradius Reinsurance• Representative of GCO (with standing invitation).

The ORSA Technical Group is composed of dedicated resources assigned by the ORSA Platform members. The ORSA Technical Group is authorized to execute operational ORSA activities and deliver ORSA report elements. The ORSA Technical Group reports to the ORSA Platform and is coordinated by Group Risk Management.

The Dirección de Control de Riesgos of GCO (responsible for execution of the Group's ORSA) may intervene in meetings held in order to ensure alignment with GCO’s
Group-level ORSA.

The ORSA process is outlined as follows:
1. Define base case/adverse scenarios and sensitivity analyses;
2. Project business drivers;
3. Determine P&L’s, capital requirements, own funds;
4. Assess and determine management actions;
5. Review methodologies and assumptions underlying technical provisions;
6. Report ORSA results.

SFCR ACyC 2023 | 57

F-2. All relevant QRTs (all amount in EUR thousand)Sol vency II va l ue
C0010

S.02.01.02 Balance sheet
Goodwi l l

R0010

Deferred a cqui s i ti on cos ts

R0020

Inta ngi bl e a s s ets

R0030

Deferred ta x a s s ets

R0040

Pens i on benefi t s urpl us

R0050

Property, pl a nt & equi pment hel d for own us e

R0060
R0070

Property (other tha n for own us e)
Hol di ngs i n rel a ted underta ki ngs ,i ncl udi ng pa rti ci pa ti ons

R0080
R0090
R0100

Equi ti es
Inves tments(other tha n a s s ets
hel d for i ndexl i nked a nd uni tl i nked contra cts ) Bonds

Equi ti es - l i s ted
Equi ti es unl i s ted

R0110
R0120
R0130

Government
Bonds

R0140

Corpora te Bonds

R0150

Structured notes

R0160

Col l a tera l i s ed
s ecuri ti es
Col l ecti ve Inves tments Underta ki ngs
Deri va ti ves

R0170
R0180
R0190

Depos i ts other tha n ca s h equi va l ents

R0200

Other i nves tments

R0210

As s ets hel d for i ndex-l i nked a nd uni t-l i nked contra cts
As s ets

R0220
R0230

Loa ns a ndmortga ges

Loa ns on pol i ci es

R0240

Loa ns a nd mortga ges to i ndi vi dua l s

R0250

Other l oa ns a nd mortga ges

R0260
R0270
R0280

Non-l i fe a nd
hea l th s i mi l a r to
non-l i fe
Rei ns ura nce
recovera bl es
from:Non-l i fe excl udi ng
hea l thHea l th s i mi l a r to
non-l i fe

Hea l th s i mi l a r tol i feLi fe excl udi ng
hea l th a nd i ndexl i nked a nd uni tl i nked
Li fe i ndex-l i nked a nd uni t-l i nked

R0520

0
528,391
101,761
198,234
2,812,044
22,422

163,795
0
0
2,000
0
0
2,000
473,856
473,856

0

R0330

R0350

Ins ura nce a nd i ntermedi a ri es recei va bl es

R0360

Rei ns ura nce recei va bl es

R0370

Recei va bl es (tra de, not i ns ura nce)

R0380

Own s ha res (hel d di rectl y)

R0390

Amounts due i n res pect of own fund i tems or i ni ti a l fundca l l ed up but not yet pa i d i n

R0400

Ca s h a nd ca s h equi va l ents

R0410

Any other a s s ets , not el s ewhere s hown

R0420

Tota l a s s ets

R0500

0
0
23,899137,182
226,488
256,56400627,949
84,914
5,473,280

R0540
R0550

R0580
R0590
R0610

Techni ca lprovi s i ons - l i fe
(excl udi ng i ndexl i nked a nd uni tl i nked)

Li a bi l i ti es

Ri s k ma rgi n

R0630
R0640

Techni ca lprovi s i ons
ca l cul a ted a s awhol eR0660

Bes t Es ti ma te

R0670

Ri s k ma rgi n

R0680

Techni ca lprovi s i ons - i ndex- Techni ca l provi s i ons ca l cul a ted a s a whol el i nked a nd uni t- Bes t Es ti ma tel i nked
Ri s k ma rgi n

R0690

Other techni ca l provi s i ons

R0730

Conti ngent l i a bi l i ti es

R0740

Provi s i ons other tha n techni ca l provi s i ons

R0750

Pens i on benefi t obl i ga ti ons

R0760

Depos i ts from rei ns urers

R0770

Deferred ta x l i a bi l i ti es

R0780

Deri va ti ves

R0790

Debts owed to credi t i ns ti tuti ons

R0800

Fi na nci a l l i a bi l i ti es other tha n debts owed to credi t
i ns ti tuti ons

R0810

Ins ura nce & i ntermedi a ri es pa ya bl es

R0820

Rei ns ura nce pa ya bl es

R0830

Pa ya bl es (tra de, not i ns ura nce)

R0840

R0700
R0710
R0720

R0850
Subordi na ted
l i a bi l i ti es

Subordi na ted l i a bi l i ti es not i n Ba s i c
Own Funds

R0860

Subordi na ted l i a bi l i ti es i n Ba s i c Own
Funds

R0870

Any other l i a bi l i ti es , not el s ewhere s hown

R0880

Tota l l i a bi l i ti es

R0900

Exces s of a s s ets over l i a bi l i ti es

0
0
0
0
0

R0620

R0650
Techni ca lprovi s i ons - l i fe
(excl udi ng hea l th
a nd i ndex-l i nked
a nd uni t-l i nked)

01,352,030
131,361
0

R0570

R0600
Techni ca lTechni ca lprovi s i ons
provi s i ons ca l cul a ted a s a
hea l th (s i mi l a r towhol el i fe)Bes t Es ti ma te

1,483,391
1,483,391

R0530

R0560

Ri s k ma rgi n

046,181000

Depos i ts to ceda nts

Ri s k ma rgi nTechni ca lTechni ca lprovi s i ons
provi s i ons ca l cul a ted a s a
hea l th (s i mi l a r towhol enon-l i fe)
Bes t Es ti ma te

528,139
1,619,176
0

R0300

R0340

Techni ca lprovi s i ons - nonl i fe

02,147,314

473,856

R0320

Techni ca lprovi s i ons - nonl i fe (excl udi ng
hea l th)

31,733
400,598
400,598

R0290

R0310
Li fe a nd hea l ths i mi l a r to l i fe,
excl udi ng hea l th
a nd i ndex-l i nked
a nd uni t-l i nked

R0510
Techni ca lprovi s i ons
ca l cul a ted a s awhol eBes t Es ti ma te

R1000

0
0
0
0

0
0
0
0
0
0
0
0
1,347
51,676
9,256
713,39500055,562
119,460
306,955000154,9112,895,954
2,577,326

SFCR ACyC 2023 | 58

S.04.05.21 - Activity by country - location of risk

Top 5 countries (by amount of gross premiums written): Non-life insurance and reinsurance
obligations

HOME COUNTRY
Line of business
Z0010

C0010

Premiums written (gross)Premiums earned (gross)

R0020
R0030

Credit and suretyship insurance [direct business]
Credit and suretyship insurance [direct business]

354,520
356,001

Claims incurred (gross)

R0040

Credit and suretyship insurance [direct business]

Expenses incurred (gross)

R0050

Credit and suretyship insurance [direct business]

Premiums written (gross)Premiums earned (gross)

R0020
R0030

Claims incurred (gross)Expenses incurred (gross)

GERMANY

UNITED KINGDOMITALYFRANCENETHERLANDS

C0020

C0020

C0020

C0020

C0020

Total Top 5 and homecountryC0020

252,413238,434

155,749
159,752

154,026
142,271

136,886

61,65370,642

36,20531,39973,910410,695

141,664

95,72554,632

61,496

68,546

66,823

488,886

Credit and suretyship insurance [accepted proportional reinsurance]
Credit and suretyship insurance [accepted proportional reinsurance]

323
323

597
597

510
515

24,03524,034

193
193

242
242

25,901
25,905

R0040

Credit and suretyship insurance [accepted proportional reinsurance]

488

224

592

9,115

189

(291)

10,318R0050

Credit and suretyship insurance [accepted proportional reinsurance]

196

108

744

10,03946

200

11,333

Premiums written (gross)Premiums earned (gross)

R0020
R0030

Property [accepted non-proportional reinsurance]
Property [accepted non-proportional reinsurance]

0
17

231
231

0
0

1,415
1,166

29
29

(14)
(14)

1,661
1,429

Claims incurred (gross)

R0040

Property [accepted non-proportional reinsurance]

27

10

0

327

(3)

(1)

360

Expenses incurred (gross)

R0050

Property [accepted non-proportional reinsurance]

3

42

0

178

4

2

229

140,329
138,576

131,299
127,955

1,188,336
1,162,990

SFCR ACyC 2023 | 59

S.05.01.02.01 Non-Life (direct business/accepted proportional reinsurance and accepted non-proportional reinsurance)Line of Businessfor: non-life
insurance andLine of Businessreinsurance
for: accepted nonobligations (direct
proportional
business andreinsurance
accepted
proportional
reinsurance)
Credit andProperty
C0090
C0160

C0200

Gross - Direct Business

R0110

1,814,369

1,814,369

Gross - Proportional reinsurance accepted

R0120

405,986

405,986

Premiums written Gross - Non-proportional reinsurance accepted

R0130

11,928

11,928

Reinsurers' share

R0140

796,075

149

796,224

Net

R0200

1,424,280

11,7791,436,059

Gross - Direct Business

R0210

1,749,315

1,749,315

Gross - Proportional reinsurance accepted

R0220

374,557

374,557

Premiums earned Gross - Non-proportional reinsurance accepted

Claims incurred

Total

R0230

10,678

10,678

Reinsurers' share

R0240

780,174149

780,324

Net

R0300

1,343,698

10,5291,354,227

Gross - Direct Business

R0310

641,374

641,374

Gross - Proportional reinsurance accepted

R0320

168,285

168,285

Gross - Non-proportional reinsurance accepted

R0330

Reinsurers' share

R0340

Net

4,230

4,230

260,34742

260,389
553,501

R0400

549,312

4,188

Expenses incurred

R0550

540,703

1,287

Balance - other technical expenses/income

R1210(56,758)

Total technical expenses

R1300

485,232

541,990

SFCR ACyC 2023 | 60

S.17.01.02.01 Non-Life Technical Provisions

Techni ca l provi s i ons ca l cul a ted a s a whol eGros sCredi t a nds uretys hi p
i ns ura nce

Non-proportiona lproperty
rei ns ura nce

C0100

C0170

Total Non-Li fe
obl i ga tion

C0180

R0050
R0060

679,695(5,959)673,736

Total recovera bl e from rei ns ura nce/SPV a nd Fi ni te Re a fter the a djus tment for expected l os s es due to counterpa rty defa ulR0140
t

231,2474

231,251

Net Bes t Es tima te of Premi um Provi s i ons

448,448(5,963)

442,485

671,924

6,370

678,294

241,975

630

242,605

429,949

5,740

435,689

1,351,619

411

1,352,030
878,174

R0150

Bes t es tima te
Techni ca l
Gros sR0160
provi s i ons
Cl a i ms provi s i ons Total recovera bl e from rei ns ura nce/SPV a nd Fi ni te Re a fter the a djus tment for expected l os s es due to counterpa rty defa ulR0240t
ca l cul a ted a s a
Net
Bes
t
Es
tima
te
of
Cl
a
i
ms
Provi
s
i
ons
R0250
s um of BE a nd RM
Total Bes t es tima te - gros s
R0260

Techni ca lprovi s i ons - total

Accepted nonproportiona lrei ns ura nce

R0010

Total Recovera bl es from rei ns ura nce/SPV a nd Fi ni te Re a fter the a djus tment for expected l os s es due to counterpa rty defa ul t a s s oci a ted to TP ca l cul a ted a s a whol e
Premi um
provi s i ons

Di rect bus i nes s
a nd a ccepted
proportiona lrei ns ura nce

Total Bes t es tima te - net

R0270

878,397(223)

Ri s k ma rgi n

R0280

130,559802

131,361

Techni ca l provi s i ons - total

R0320

1,482,178

1,213

1,483,391

Recovera bl e from rei ns ura nce contra ct/SPV a nd Fi ni te Re a fter the a djus tment for expected l os s es due to counterpa rty defa ul t - total

R0330

473,222634

473,856

Techni ca l provi s i ons mi nus recovera bl es from rei ns ura nce/SPV a nd Fi ni te Re - total

R0340

1,008,956

579

1,009,535

SFCR ACyC 2023 | 61

S.19.01.21.01 Gross Claims Paid (non-cumulative) - Development year (absolute amount). Total Non-Life Business
0
C0010

1
C0020

2
C0030

3
C0040

4
C0050

5
C0060

6
C0070

7
C0080

8
C0090

9
C0100

Prior

R0100

N-9

R0160

0

357,31291,917

15,296

5,900(3,641)

733

1,229

3,601

N-8

R0170

130,165436,663

93,010(11,233)(4,103)

7,933(5,756)(5,716)(6,001)

N-7

R0180

179,495

350,555

85,523

9,316

3,202

(874)

(6,810)(6,689)

N-6

R0190

186,104

399,155

69,242

2,996

2,513

(6,871)(7,086)

N-5

R0200

163,130

535,052

70,460

6,544

3,677

(3,878)

N-4

R0210

183,455

469,887

82,64824,937(6,923)

N-3

R0220

165,093

180,641

47,065

26,155N-2

R0230

72,738

225,773

65,106N-1

R0240

156,620

406,900

N

R0250

206,687

10 & +
C0110(18,743)(1,278)S.19.01.21.02 Gross Claims Paid (non-cumulative) - Current year, sum of years (cumulative). Total Non-Life Business

In Current yea r
C0170
Pri or
N-9
N-8
N-7
N-6
N-5
N-4
N-3
N-2
N-1
N
Tota l

R0100
R0160
R0170
R0180
R0190
R0200
R0210
R0220
R0230
R0240
R0250
R0260

Sum of yea rs
C0180(18,743)(1,278)(6,001)(6,689)(7,086)(3,878)(6,923)
26,155
65,106
406,900
206,687(18,743)
471,070
634,962
613,719
646,053774,985754,004
418,954363,617563,520
206,687

654,250

5,428,827

SFCR ACyC 2023 | 62

S.19.01.21.03 Gross undiscounted Best Estimate Claims Provisions - Development year (absolute amount). Total Non-Life Business
0
C0200

1
C0210

Prior

R0100

N-9

R0160

N-8

R0170

0

N-7

R0180

81,911

2
C0220

3
C0230

4
C0240

5
C0250

6
C0260

7
C0270

8
C0280

9
C0290

10 & +
C0300
115,439

0

0

3,806

(3,280)(8,195)29,367(38,637)(26,037)(5,679)(57,705)(57,955)(5,825)(1,621)(22,163)(17,528)(51,105)(32,537)

15,341

N-6

R0190

108,686

10,763(45,477)(26,499)(20,442)(16,169)

N-5

R0200

140,068(8,281)(28,152)(24,050)(16,025)2,277(2,895)

N-4

R0210

149,308

62,651(1,111)(16,403)

N-3

R0220

203,328

60,357(1,341)

36,552N-2

R0230

187,106

90,68560,007N-1

R0240

180,812

141,882

N

R0250

257,143(449)(1,715)(10,806)(2,799)12,716(25,832)(4,420)14,046

S.19.01.21.04 Gross discounted Best Estimate Claims Provisions - Current year, sum of years (cumulative). Total Non-Life BusinessYea r end
C0360
Pri or
N-9
N-8
N-7
N-6
N-5
N-4
N-3
N-2
N-1
N
Tota l

R0100
R0160
R0170
R0180
R0190
R0200
R0210
R0220
R0230
R0240
R0250
R0260

104,420
12,113
10,440(6,055)
12,202549(4,859)33,76955,547
136,800
249,273604,201

SFCR ACyC 2023 | 63

S.23.01.01.01 Own Funds
Total
C0010
Ordinary share capital (gross of own shares)
Share premium account related to ordinary share capital
Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type
Basic own funds before
deduction for participations Subordinated mutual member accounts
in other financial sector as Surplus funds
Preference shares
foreseen in article 68 of
Share premium account related to preference shares
Delegated Regulation
Reconciliation reserve2015/35
Subordinated liabilities
An amount equal to the value of net deferred tax assets
Other own fund items approved by the supervisory authority as basic own funds not specified above
Own funds from thefinancial statements thatshould not be represented
Own funds from the financial statements that should not be represented by the reconciliation reserve andby the reconciliation
do not meet the criteria to be classified as Solvency II own funds
reserve and do not meet thecriteria to be classified as
Solvency II own funds

R0010
R0030
R0040
R0050
R0070
R0090
R0110
R0130
R0140
R0160
R0180

Deductions
Deductions for participations in financial and credit institutions
Total basic own funds after deductions
Unpaid and uncalled ordinary share capital callable on demand
Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual
and mutual - type undertakings, callable on demand
Unpaid and uncalled preference shares callable on demand
A legally binding commitment to subscribe and pay for subordinated liabilities on demandAncillary own funds
Letters of credit and guarantees under Article 96(2) of the Directive 2009/138/EC
Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC
Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/EC
Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive
Other ancillary own funds
Total ancillary own funds
Total available own funds to meet the SCR
Available and eligible own Total available own funds to meet the MCR
funds
Total eligible own funds to meet the SCR
Total eligible own funds to meet the MCR
SCR
MCR
Ratio of Eligible own funds to SCR
Ratio of Eligible own funds to MCR

R0230
R0290
R0300

Tier 1 C0020

32,813
538,495

32,813
538,495

1,982,323

1,982,323

2,553,631

2,553,631

2,553,631
2,553,631
2,553,631
2,553,631
1,172,202
318,293218%
802%

2,553,631
2,553,631
2,553,631
2,553,631

Tier 1 - restricted
C0030

Tier 2
C0040

R0220

R0310
R0320
R0330
R0340
R0350
R0360
R0370
R0390
R0400
R0500
R0510
R0540
R0550
R0580
R0600
R0620
R0640

SFCR ACyC 2023 | 64

Tier 3C0050

S.23.01.01.02 Reconciliation reserve
Va l ue
C0060
Exces s of a s s ets over l i a bi l i ti es
Own s ha res (hel d di rectl y a nd i ndi rectl y)
Reconci l i a ti on
Fores eea bl e di vi dends , di s tri buti ons a nd cha rges
Other ba s i c own fund i tems
res erve
Adjus tment for res tri cted own fund i tems i n res pect of ma tchi ng
a djus tment portfol i os a nd ri ng fenced funds
Reconci l i a ti on res erve
Expected profi ts i ncl uded i n future premi ums (EPIFP) - Li fe
Expected profi ts
Expected profi ts i ncl uded i n future premi ums (EPIFP) - Non-l i fe
Tota l Expected profi ts i ncl uded i n future premi ums (EPIFP)

2,577,326

R0700
R0710
R0720
R0730

23,696571,308

R0740
1,982,323

R0760
R0770
R0780
R0790

159,012
159,012

S.25.05.21.01 Solvency Capital Requirement information
Sol vency Ca pi tal
C0010
Total
di vers i fi ca tion
Total ma rket &credi t ri s k

Total di vers i fi ed ri s k before tax
Total di vers i fi ed ri s k a fter tax

R0020
R0030
R0040
R0070

Ma rket & Credi t ri s k - di vers i fi ed

R0080

Amount model l ed
C0070

USP
C0090

Si mpl i fi ca tions
C0120(267,729)
1,322,814
1,172,202

R0190
Credi t event ri s k
not covered i n
ma rket & credi t
ri s kRi s k type

Total Bus i nes s
ri s kCredi t event ri s k not covered i n ma rket & credi t ri s k di vers i fi ed

R0270
Total Bus i nes s ri s k - di vers i fi ed

Total Net Non-l i feunderwri ting ri s k Total Net Non-l i fe underwri ting ri s k - di vers i fi ed
Total Li fe &Hea l thunderwri ting ri s k

R0280
R0310

1,052,245

987,593

R0320
R0400

Total Li fe & Hea l th underwri ting ri s k - di vers i fi ed

Total Opera tiona lri s kTotal Opera tiona l ri s k - di vers i fi ed
Other ri s k

R0200

R0410
R0480

65,722

R0490
R0500

SFCR ACyC 2023 | 65

S.25.05.21.02 Calculation of Solvency Capital Requirement

Total undiversified components
Diversification
Adjustment due to RFF/MAP nSCR aggregation
Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC
Solvency capital requirement, excluding capital add-ons

R0110
R0060
R0120
R0160
R0200
R0210
R0211
R0212
R0213
R0214
R0220
R0300
R0310
R0400
R0410
R0420
R0430
R0440
R0450
R0460

of which, Capital add-ons already set - Article 37 (1) Type aof which, Capital add-ons already set - Article 37 (1) Type bof which, Capital add-ons already set - Article 37 (1) Type cof which, Capital add-ons already set - Article 37 (1) Type dSolvency capital requirement
Amount/estimate of the overall loss-absorbing capacity of technical provisions
Amount/estimate of the loss absorbing capacity for deferred taxes
Capital requirement for duration-based equity risk sub-module
Other information Total amount of Notional Solvency Capital Requirements for remaining part
Total amount of Notional Solvency Capital Requirements for ring-fenced funds
on SCR
Total amount of Notional Solvency Capital Requirements for matching adjustment
Diversification effects due to RFF nSCR aggregation for article 304
Method used to calculate the adjustment due to RFF nSCR aggregation
Net future discretionary benefits

Capital add-ons
already set

Value
C0100
1,439,931(267,729)

1,172,202

1,172,202(150,612)

S.25.05.21.03 Approach to tax rate
Yes/NoC0109
Approach based on average tax

R0590

Approach not based on average tax rate

S.25.05.21.04 Calculation of loss absorbing capacity of deferred taxes

Amount/es Amount/estimate of LAC DT justified by reversion of deferred tax
Amount/estimate of LAC DT justified by reference to probable future
timate ofAmount/estimate of LAC DT justified by carry back, current year
LAC DT
Amount/estimate of LAC DT justified by carry back, future years
Amount/estimate of Maximum LAC DT

R0640
R0650
R0660
R0670
R0680
R0690

LAC DT
C0130(150,612)(92,546)(56,807)(1,259)(304,116)
SFCR ACyC 2023 | 66

S.28.01.01.01 Linear formula component for non-life insurance and reinsurance obligations

MCR components
C0010
MCRNL Res ult

318,293

R0010

S.28.01.01.02 Background information
Background information
Net (of
Net (ofreinsurance/SPV)
reinsurance)
best estimate and written premiums
TP calculated as ain the last 12
wholemonths
C0020
C0030
Medical expense insurance andIncome protection insurance andWorkers' compensation insurance andMotor vehicle liability insurance andOther motor insurance and proportional
Marine, aviation and transport insurance
Fire and other damage to property
General liability insurance andCredit and suretyship insurance andLegal expenses insurance andAssistance and proportional reinsurance
Miscellaneous financial loss insurance
Non-proportional health reinsurance
Non-proportional casualty reinsurance
Non-proportional marine, aviation and
Non-proportional property reinsurance

R0020
R0030
R0040
R0050
R0060
R0070
R0080
R0090
R0100
R0110
R0120
R0130
R0140
R0150
R0160
R0170

878,397

1,424,280

0

11,779S.28.01.01.05 Overall MCR calculation
Va l ue
C0070
Li nea r MCR
SCR
MCR ca p
MCR fl oor
Combi ned MCR
Abs ol ute fl oor of the MCR
Mi ni mum Ca pi ta l Requi rement

R0300
R0310
R0320
R0330
R0340
R0350
R0400

318,293
1,172,202
527,491
293,050
318,2934,000
318,293

SFCR ACyC 2023 | 67

F-3. Overview of subsidiaries and minority shareholdings
The following table sets forth, as at 31 December 2023, the name and jurisdiction of establishment of the subsidiaries, branches, associated companies and minority shareholdingsof Atradius Crédito y Caución S.A. de Seguros y Reaseguros. All companies are, directly or
indirectly, wholly owned unless otherwise indicated.

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F-4. Solvency II valuation principles
Valuation for solvency Purposes
The Solvency II valuation principles are in accordance with articles 75-86 of the Solvency II
Directive, articles 7-16 of the Delegated Acts and the secondary Solvency II laws and regulations.
Functional and presentation currencies
Items included in the financial statements of each of the Company’s branches are measured
using the currency of the primary economic environment in which the branch operates (the‘functional currency’). The Solvency II balance sheet is presented in Euro (EUR).
Transactions and balances
Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses,that result from the settlement of foreign transactions and from the translation at year-end
exchange rates of monetary assets and liabilities denominated in foreign currencies, arerecognised in the income statement under Spanish Local accounting standards (hereinafter'PCEA') and is part of the eligible capital in the Solvency II balance sheet.
Non-monetary assets and liabilities whose valuation criterion is their fair value and are denominated in a foreign currency are converted in accordance with the exchange rates inforce on the date when their fair value was established. Any profit or losses found are allocated to equity or to the income statement under PCEA following the same criteria as for therecording of variations in the fair value, being part of the eligible capital in the Solvency IIbalance sheet.
Goodwill
Goodwill under PCEA represents the excess, on the acquisition date, of the cost of the business combination over the fair value of the identifiable net assets identified in the transaction. Consequently, the goodwill is only stated when it was acquired on an onerous basis
and corresponds to the future financial profits from assets that could not be individually
identified and separately stated.
The goodwill is allocated to each of the cash generating units on which the profits from thesynergies of the business combination are expected to fall. After the initial recognition, thegoodwill is valuated at its acquisition price minus the accumulated depreciation, and, if applicable, the accumulated amount of the impairment valuation adjustments recognised. Under the applicable regulations, the useful life of the goodwill has been established at 10
years, and its depreciation is linear.
Moreover, at least on a yearly basis, it is examined whether there are signs of impairment
in the value of the cash generating units, and should there be any, they are subject to an“impairment test”. Impairment valuation adjustments recognised in the goodwill cannot bereversed in later financial years.
The base valuation principle for Solvency II purposes is that the economic value / fair valueof goodwill is nil.
Goodwill is not an identifiable and separable asset, as a result, it does not represent an 'economic value' under Solvency II that can be separately sold or transferred if necessary to athird party.
Insurance Portfolios
Represents the difference between the fair value of the contractual insurance rights acquired and insurance obligations assumed and the liability measured in accordance with
the insurer’s accounting policies for insurance contracts that it issues. For Solvency II purposes ACyC applies the definition as defined for PCEA purposes.
For Solvency II purposes insurance portfolios are part of the best estimate calculation of thetechnical provisions. Insurance portfolios as a separate (intangible) asset must be valued tonil.
Software
Computer software acquired is treated as an intangible asset.
For ACyC annual reporting initially acquired computer software licenses are capitalised on
the basis of costs incurred to acquire and to bring to use the specific software. These costs
are amortised on the basis of the expected useful life between three and five years. Article
75 of the Solvency II Directive sets out the valuation of assets for Solvency II purposes: ‘assets shall be valued at the amount for which they could exchange between knowledgeable
willing parties in an arm’s length transaction’.
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Pre-designed purchased software applications (i.e. ‘off the shelf’ software licenses) cannot
be sold to another user. Therefore the fair value for Solvency II purposes must be stated atnil.
Computer software self-developed is treated as an intangible asset. It is tailored speciallyfor ACyC’s needs and cannot be resold to another entity. Therefore the fair value for Solvency II purposes must be stated at nil.

Property, Plant & General Equipment
The Property Plant and Equipment (PP&E) asset group consists of Land and buildings, Fixtures and fittings, IT hardware and ‘Other fixed assets’.
Land and buildings
Under PCEA, real estate investments are defined as investments on lands or buildings thatare owned to obtain rents, capital gains or both. Any other land or buildings owned for theprovision of services or for administrative purposes are registered as tangible fixed assets.
For ACYC annual reporting purposes land is stated at cost of acquisition (no depreciation isallowed). In the same annual report buildings are stated at cost of acquisition or construction, less any subsequent accumulated depreciation and subsequent accumulated impairment losses.

particular and for properties located in Spain, the appraisal value needs to be establishedby companies authorized to value assets in the mortgage market, pursuant to the provisionin order ECO2011/2007 of October 4. Revaluations shall be made with sufficient regularity
to ensure that the carrying amount does not differ materially from that which would bedetermined using fair value at the end of the reporting period. External valuations on property must take place when significant changes occur in the real estate market or assumptions change on which previous valuations were based.
In ACyC’s opinion, the Solvency II fair value needs to be assessed reflecting market conditions at the reporting date. A ‘mark to market1’ (re)valuation approach is applied by the useof external valuations. Frequency of external valuation of the fair value should fit for probable volatilities of land and buildings. ACyC assesses a 2 year valuation cycle appropriate
for his land and buildings and applies accordingly.
The fair value valuation of Land and buildings is subject to the approval of the Investments
Committee.
Attention must be given to the valuation of properties concerning the valuation approach
used by the external valuator. The valuation of buildings is performed excluding fixturesand fittings. The fair value of fixtures and fittings is an additional value to be accounted forto the fair value of Land and buildings.
1 Mark to market approach: the valuation of the asset as if it was traded on an open active
market.
Fixtures and fittings, IT hardware and other fixed assets

The Solvency II directive 2009/138/EC, article 75, and the EIOPA ‘Guidelines on recognitionand valuation of assets and liabilities other than technical provisions’ state that under Solvency II property assets must be valued at the most representative estimate of the amountfor which the assets could be exchanged between knowledgeable willing parties in an arm´slength transaction. The economic valuation is based on market conditions at the reportingdate.
In articles 9 and 10 of the Delegated Regulation (EU) 2015/35, EIOPA sets out a valuation
methodology and fair value hierarchy. The main principle is to apply a valuation methodfor Land and buildings that is consistent with the valuation approach set out in Article 75 ofDirective 2009/138/EC (fair value) as well as the fair value requirements of international
accounting standards.
The fair value of land and buildings is usually determined from market based evidence byappraisal that is normally undertaken by professionally qualified persons / companies. In

Fixtures and fittings are part of the Property, plant and equipment (PP&E) asset group andas such the same definition applies as mentioned previously.
ACyC uses the following definition for assets that are classified under ‘Fixtures and fittings’:
Items that form part of the building and would not be removed (if ACyC left) are coded tothis category.
Article 75 of the Solvency II directive 2009/138/EC states that assets shall be valued at theamount for which they could be exchanged between knowledgeable willing parties in anarm’s length transaction. ACyC applies the cost model for Fixtures and fittings.
In terms of Solvency II, the fair value of Fixtures and fittings is prudently approximated byits book value. For this opinion ACyC has also considered the marginal materiality of fixtures and fittings for each of the regulated entities.
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ACyC will measure fixtures and fittings for Solvency II purposes as it does for PCEA. The
cost model applied for Fixtures and fittings as per the ACyC PCEA, except for the applicationof IFRS16 (as explained below), deems to reflect the fair value of Fixtures and fittings.
Specific attention should be in place to prevent double counting within the valuation of fixtures and fittings and land and buildings.

accounting standards.
In ACyC’s opinion the Solvency II fair value needs to be assessed reflecting market conditions at the reporting date. A ‘mark to market’ (re)valuation approach is applied by the useof external valuations.

IFRS 16

Frequency of external valuation of the fair value should fit for probable volatilities. ACyC
assesses a 2 year valuation cycle appropriate and applies accordingly.

IFRS 16 sets out the principles for the recognition, measurement, presentation and disclosure of leases. At the commencement date of a lease, a lessee will recognise a liability tomake lease payments and an asset representing the right of use (“ROU”) of the underlying
asset during the lease term.

Attention must be given on the valuation of investment properties concerning the valuation
approach used by the external valuator. If in the valuation of investment properties the valuation of fixtures and fitting is included this should be taken into account in calculating theSolvency II adjustments.

Investment property

Financial investments

In accordance with PCEA, an Investment property is a property held to earn rentals, or forcapital appreciation, or both.

Under PCEA, ACyC’s financial investments are classified as:•
Available-for-Sale instruments•
Loans and receivables•
Investment in subsidiaries, associated, and multi-group companies under PCEAThis principle is considered to be in line with EIOPA’s Solvency II Directive 2009/138/EC of
25 November 2009.
For Solvency II purposes, ACyC applies fair value definition (described for Land and Building, described in the Property, Plant & Equipment item).

For the purposes of Solvency II, EIOPA CIC CODEs are used to classify these assets in the SII
balance sheet.
Available-for-sale instruments.

For ACyC annual reporting purposes investment property is stated at cost of acquisition orconstruction, less any subsequent accumulated depreciation and subsequent accumulated
impairment losses.
The Solvency II directive 2009/138/EC, article 75, and the EIOPA ‘Guidelines on recognitionand valuation of assets and liabilities other than technical provisions’ state that ‘under Solvency II property assets must be valued at the most representative estimate of the amountfor which the assets could be exchanged between knowledgeable willing parties in an arm´slength transaction. The economic valuation is based on market conditions at the reporting
date’.
In articles 9 and 10 of the Delegated Regulation (EU) 2015/35, EIOPA sets out a valuation
methodology and fair value hierarchy. The main principle is to apply a valuation method
for Investment Property that is consistent with the valuation approach set out in Article 75
of Directive 2009/138/EC (fair value) as well as the fair value requirements of international

For the annual report purposes ACyC uses IAS 39.9 as the basis for the definition of available-for-sale financial instruments.
IAS 39.9 defines fair value as “the amount for which an asset could be exchanged, or a liability settled between knowledgeable, willing parties in an arm’s length transaction”. Thisdefinition corresponds to Article 75 of the Solvency II Directive for the valuation of assets
and liabilities. All financial assets shall be measured at fair value.
The fair values of financial instruments traded in active markets are based on quoted market prices at the end of the reporting period. The quoted market price used for financial
investments held by the Group is the current bid price. Transaction costs on initial recognition of financial investments are expensed as incurred.
The fair values correspond with the price that would be received to sell an asset or paid to
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transfer a liability in an orderly transaction between market participants at the measurement date. Whenever possible, the fair values are based on quoted market prices. If noquoted market price is available, we use valuation techniques which are based on market
prices of comparable instruments or parameters from comparable active markets (market
observable data).

Accounts receivable on (re)insurance businessAs per IAS 32 Accounts receivables (on (re)insurance business) is a financial asset definedas: it represents the contractual right to obtain cash from another party. In each case one
party’s contractual right to receive cash is matched by the other party’s corresponding obligation to pay.

Loans and receivables
The Company states the financial assets in its balance sheet when it is a mandatory part ofthe contract or legal business under its provisions.
Recoveries of claims are only stated when their performance is sufficiently guaranteed on
the date when the annual statements are prepared, and thus financial profits are expected
to be obtained from them. In the case of the Spain and Portugal business, for specific recoveries in the credit insurance, by virtue of the provisions in article 43 of the Regulations for
the Regulation and Supervision of Private Insurance and in Order EHA/339/2007 of February 16, implementing certain specific aspects of private insurance, the Company activates
recoveries, using statistical methods, executing certain requirements and periodically subjecting the calculations made to the valuation of independent experts. In this case, the Company calculates the estimated recoveries by means of a statistical method developed for thispurpose, which examines the historical evolution of the settlements for all the claims declared, including settled and ended claims under a recovery perspective, and makes it possible to establish future behavior trends, in order to apply them in a real way, estimating
the recoveries in a reasonable way to be received by means of the relevant projections. For
the other entities, the estimated recovery is implicit in the calculation of the technical provisions.
The amount of the estimated recoveries for the Spain and Portugal business, net of the reinsurance share, is stated in the "Loans and receivables - Other Receivables – other receivables" section in the balance sheet.
For Solvency II purposes, the estimated recoveries are included in the BEL calculations.
Financial all other assets classified under the "Loans and receivables category" are valuatedat their depreciated cost.
Investment in subsidiaries, associated, and multi-group companies.

For Solvency II valuation purposes the IAS 32 definition is assumed to be a good proxy for‘the amount for which an asset could be exchanged […] between knowledgeable, willing
parties in an arm’s length transaction’ (article 75 of the Solvency II Directive).
ACyC recognises its Accounts receivables on (re)insurance business when due. These include amounts due to and from agents, brokers and (re)insurance contract holders. The carrying amount as per ACyC periodic financial statements reflects the fair value for Solvency
II basis.
The outstanding receivables on (re)insurance business are substantially all current andconsequently their fair values do not materially differ from the book value. Therefore, thebalances do not need to be adjusted for Solvency II purposes.
Miscellaneous assets and accruals
Based on the annual report of ACyC several different assets are included in ‘miscellaneous
assets and accruals’. Therefore, no specific definition is available. The asset items included
in miscellaneous assets and accruals are:

•
•
•
•
•

pre-payments
accrued income investments
accrued interest
staff loans
other

The items included in miscellaneous assets and accruals are substantially all current andconsequently the fair values of these assets do not materially differ from the book value.
For the purposes of Solvency II, accrued investment interests are reclassified to the corresponding item of the list of assets in accordance with their CIC codes.

They are valued at their cost, minus, if applicable, the accumulated amount of the valuation
adjustments from deterioration. Under Solvency II they are registered at economic value.
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Cash and cash equivalents•

For Cash and cash equivalents the definitions are used as per the IAS 7 definitions:•
Cash
Cash comprises cash at hand (including borrowings) and deposits on demand (an accountfrom which deposited funds can be withdrawn at any time without any notice to the depository institution).

taxable temporary differences, which are temporary differences that will result intaxable amounts in determining taxable profit (tax loss) of future periods when the
carrying amount of the asset or liability is recovered or settled; or
deductible temporary differences, which are temporary differences that will result inamounts that are deductible in determining taxable profit (tax loss) of future periods
when the carrying amount of the asset or liability is recovered or settled.

The valuation principles for current income tax receivable and payable are identical to thevaluation principles as for other receivables (not reinsurance receivables) and other trade
payables (not reinsurance payables). These valuation principles remain under Solvency II.

Cash equivalents
Cash equivalents correspond to short-term, highly liquid investments that are readily convertible to known amounts of cash and which are subject to an insignificant risk in changeof value.
For Solvency II purposes cash and cash equivalent (including borrowings) should be valued
at an amount not less than the amount payable on demand. The cash and cash equivalentbalances on the PCEA based annual report of ACyC are all current and short term.
The cash and cash equivalent (including borrowings) balances on the balance sheet are all
current and short term (less than three months) based. Therefore the PCEA based carrying
amount reflects the fair value and no additional adjustments are needed.

In general, for all differences between the tax valuation method and the Solvency II valuation requirement the impact on deferred tax should be taken into account and accountedfor. In practice, this means that since the deferred tax between tax accounts and PCEA are
already processed, any difference between Solvency II and PCEA a deferred tax has to be
calculated.
For Solvency II purposes the recognition and measurement of deferred tax assets and liabilities follows the same principles as stated in IAS 12. For items that are not allowed to berecognised and measured as per Solvency II but are recognised for tax purposes a deferred
tax must be calculated.
While measuring deferred tax assets the time horizon of profit and losses must be taken
into account for the reversal period.

Current and deferred income tax
Non-underwriting provisions
For Solvency II purposes IAS 12 is used as basis for the definition of deferred tax assets andliabilities:

The Company, when preparing the annual statements, differentiate between:

Deferred tax liabilities: amounts of income taxes payable in future periods in respect of taxable temporary differences.

•

Deferred tax assets: amounts of income taxes recoverable in future periods in respect of:

•

•
•
•

deductible temporary differences
the carry forward of unused tax losses
the carry forward of unused tax credits.

Temporary differences are differences between the carrying amount of an asset or liability
in the statement of financial position and its tax base. Temporary differences may be either:

provisions: creditor balances covering current obligations derived from past events,
the cancellation of which is likely to generate an outflow of resources, but the amountand/or time of cancellation of which are not fixed
contingent liabilities: potential obligations generated as a result of past events, whose
future materialization is conditional upon the occurrence or non-occurrence of one
or more future events independent from the Company's will.

The annual statements include all the provisions with a higher likelihood of having to fulfil
the obligation than the opposite.

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Provisions are stated at the current value of the best estimate possible of the amount required to cancel or transfer the obligation, taking into account the information available on
the event and its consequences at year's end, recording the adjustments made for the updating of those provisions as a financial expense as they are accrued.
Provisions for restructuring, onerous contracts, and lawsuits are recognized when ACyC
has a legal or implicit obligation, as a result of past events, and there is a high likelihood ofan unfruitful result entailing a loss for the Company derived from its settlement, and thatloss is reasonably quantifiable.
For Solvency II valuation and classification purposes the PCEA definitions for the items included in the balance of non-underwriting provisions are assumed to be a good proxy.
Employee benefits assets/liabilities
Post-employment benefit plans are determined by periodic actuarial calculations and are
generally funded through payments to state plans, insurance companies or trustee- administered funds.
For Solvency II purposes the valuation of employee benefits (assets – including reimbursement rights and liabilities) is based on IAS 19. For ACyC annual report / financial statement
purposes the valuation of employee benefits (assets – including reimbursement rights- andliabilities) are also based on IAS 19 with actuarial gain and losses directly recognised in OCI.
Therefore no Solvency II related adjustments are required.
Defined benefit plans
A defined benefit plan is a pension plan that defines an amount of pension benefit that an
employee will receive on retirement, dependent on one or more factors such as age, yearsof service and compensation. In a defined benefit plan the Company may pay contributions
into a separate entity or fund. The Company, and in some cases the employees who are participating, fund a defined benefit plan and the Company has a legal or constructive obligation to pay further contributions if the fund does not hold sufficient assets to pay all employees the benefits relating to employee service in the current and prior periods.
The amount recognised as a defined benefit liability is the net total of the present value ofthe defined benefit obligation at the end of the reporting period minus the fair value at theend of the reporting period of plan assets (if any) out of which the obligations are to be settled directly. The recognition of assets that arise by over-funding of the defined benefit plan
is limited to cover future deficits.

The defined benefit obligation is calculated annually by independent actuaries using the
projected unit credit method.
The present value of the defined benefit obligation is determined by discounting the estimated future cash outflows using the interest rates of high-quality corporate bonds that are
denominated in the currency in which the benefits will be paid and that have terms to maturity approximating the terms of the related pension obligation.
Other long-term employee benefits
The main plans are lump sum payment plans and pre-pension plans. A lump sum payment
plan is a plan where the employees are entitled to a lump sum payment at the date theiremployment is terminated. A pre-pension plan is a plan where the employees are entitled
to receive payments if they stop working before their actual retirement date.
The net obligation in respect of long-term service benefits, other than pension plans, is theamount of future benefit that employees have earned in return for their service in the current and prior periods. The net obligation is calculated annually by independent actuaries
using actuarial techniques.
Termination benefits
Termination benefits are payable when employment is terminated before the normal retirement date, or whenever an employee accepts voluntary redundancy in exchange forthese benefits. Termination benefits are recognised when the Company is demonstrablycommitted to either terminating the employment of current employees according to a detailed formal plan without possibility of withdrawal or providing termination benefits as aresult of an offer made to encourage voluntary redundancy. When termination benefits are
related to an overall restructuring plan, the liability is included as part of the provisions.
Profit sharing and bonus plans
A liability for bonuses and profit sharing is recognised based on a formula that takes into
consideration, amongst other things, individual targets and the profit attributable to theCompany´s shareholders. A liability is recognised where contractually obliged or where
there is a past practice that has created a constructive obligation.

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Accounts payable on (re)insurance business
For ACyC annual report purposes other liabilities are defined as: a liability is a present obligation of the entity arising from past events, the settlement of which is expected to resultin an outflow from the entity of resources embodying economic benefits.

The Secretary non-Director of the Board of Directors of Atradius Crédito y Caución S.A. de
Seguros y Reaseguros, Mr. David Casanueva certifies that the members of the Board of Directors have formulated the Solvency and Financial Condition Report (SFCR) corresponding
to the fiscal year ended 31 December 2023, consisting of 75 pages numbered from 1 to 75.
Madrid, 3rd of April, 2024

For Solvency II purposes the definitions used in the annual report is assumed to be a goodproxy.
Trade and other payables
For Solvency II valuation and classification purposes PCEA is used as basis for the definition of trade and other payables: trade payables are liabilities to pay for goods or services
that have been received or supplied and have been invoiced or formally agreed with the
supplier.

THE SECRETARY OF THE BOARD OF DIRECTORS__________________
Mr. David Casanueva

Other liabilities
For Solvency II purposes the measurement of other liabilities follows the PCEA approach.
Since the balances as per PCEA are substantially all current the balances reflect the fairvalue as for Solvency II purposes and no additional adjustments are needed.
Contingent liabilities
Contingent liabilities are not stated in the financial statements under PCEA. For Solvency II
purposes, the IFRS (IAS 37) definition of a contingent liability is used:‘A possible obligation that arises from past events and whose existence will be confirmed
only by the occurrence or non-occurrence of one or more uncertain future events not wholly
within the control of the undertaking; or a present obligation that arise from past events but
is not recognised because: it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or the amount of the obligation cannot be measured with sufficient reliability.’
For Solvency II purposes the contingent liabilities have to be valued based on: the probability of the occurrence of future cash outflow, and the expected present value of possible future cash outflows.
Only if the possible obligation is material it has to be included in the Solvency II balance
sheet, in all other cases the obligation is to be included in a separate Solvency II disclosure.
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