Insurance aggregate data quarterly report

Source Data

All data in this publication is sourced from the Solvency II Quantitative Reporting Templates (QRTs) of all UK-authorised solo insurance firms and third-country branches which fall under the directive. These firms, currently numbering around 325, account for in excess of 99% of the UK insurance market. Data is aggregated across all insurers as per the chart calculations outlined below.

Firm Categorisation

Insurers have been categorised into either life or non-life cohorts calculated using the absolute values of technical provisions on template S.02, i.e. if the absolute value of non-life technical provisions is greater than the absolute value of life technical provisions, the firm is classified as non-life, and vice versa for life technical provisions. If there is no technical provision data for a firm, the cohort is classified based on the reported type of undertaking in template S.01.02.

Reporting Exemptions Methodology

Many small firms, whose aggregated data currently accounts for less than 10% of the total, are given a waiver from reporting much of the quarterly data. To account for this, data from the last available reporting period is carried forward into the waiver reporting periods so that the temporal trends are consistent. For example, a firm with reported data in Q2 and a waiver in Q3 would have the Q2 data carried forward into Q3. Data is carried forward for multiple reporting periods if the waiver periods extend for more than one quarter. Annual data is used to populate Q4 waiver periods when it is available. Due to the delay between receiving Q4 and annual data, Q3 data is used to populate Q4 waiver periods until the annual data is submitted.

Data Confidentiality

The aggregated data has been checked to ensure it is non-disclosive – ie that no one firm’s data can be identified within the charts and data published, unless express permission to publish is provided by any affected firm. This has led to some minor subcategories within Assets chart 3.1 being combined for a small number of reporting periods. 

Section 1 – Capital:

For Section 1, data from third country branches have been excluded due to the different capital requirements between third country branches and solo insurance firms.

Chart 1.1: Solvency Capital Requirement (SCR) coverage

This chart shows the capital coverage of the life and non-life insurance sectors over time, measured by the ratio of eligible own funds to meet SCR. This is a weighted average calculation:

Capital coverage = (1) / (2)

Chart 1.2: Range of SCR coverage ratio

This chart shows the range of SCR coverage ratios in the life and non-life insurance cohorts. The SCR is measured by standard formula, partial internal model or full internal model.  The range box shows the 25th, 50th and 75th percentiles of SCR coverage for each cohort. 

Chart 1.3: Quality of capital

This chart shows the breakdown of the quality of capital for the life and non-life sectors and how it has changed over time. The breakdown is into the relevant tiers reported for eligible own funds.

Proportion of tier 1 unrestricted eligible own funds to meet SCR = (1) / (5)

Proportion of tier 1 restricted eligible own funds to meet SCR = (2) / (5)

Proportion of tier 2 restricted eligible own funds to meet SCR = (3) / (5)

Proportion of tier 3 restricted eligible own funds to meet SCR = (4) / (5)

Section 2 – Balance Sheet:

Chart 2.1: Balance Sheet

This chart breaks down the movement in assets and liabilities.

Assets:

Liabilities:

Chart 2.2: Average and range of the ratio of assets to liabilities

This chart shows the average and range over time of the asset-liability ratio. It excludes unit linked and index linked assets and unit linked and index linked technical provisions. The range box shows the 25th, 50th and 75th percentiles of capital coverage for the selected cohort.

Asset-liability ratio = (Total assets - Assets held for index- and unit-linked contracts) / (Total liabilities – Technical provisions: Index and unit-linked)

Section 3 - Assets:

These charts show various breakdowns of assets and bonds based on the granular asset data set, which has been subject to some data cleansing.  The information is based on the item-by-item asset data submitted in S.06.02.

Chart 3.1 – Chart 3.3: Breakdowns of assets and bonds

This chart shows the proportion of each type of asset.  Some combining of categories has been necessary to ensure confidentiality of individual firm data. 

Chart 3.2: Breakdown of bonds by credit rating

This chart shows the proportion of bonds with each credit rating.  The reported data been subject to some data cleansing, as not all firms report ratings in the format shown in the chart.   The chart includes both government and corporate bonds.

Chart 3.3: Breakdown of bonds by years to maturity

This chart shows the proportion of bonds that fall into each duration bucket. The reported data has been subject to some data cleansing in order to derive years to maturity from the maturity date.

Section 4 – Non-Life Lines of Business:

Chart 4.1: Performance metrics for key lines of business (Non-life sector)

This chart shows performance metrics over time for all lines of business. It shows net written premiums in the last 12 months. It also shows the net incurred claims loss ratio and a combined operating ratio (difference being the expenses ratio).

Loss ratio = Net claims incurred / Net earned premiums

Expenses ratio = Expenses incurred / Net earned premiums

Combined ratio = Loss ratio + Expenses ratio 

Chart 4.2: Best estimate liabilities breakdown for key lines of business

This chart shows the breakdown of the best estimate liabilities into claims provisions and premium provisions, net and gross for all direct and proportional reinsurance lines of business.

Gross claims provisions = Net claims provisions + Ceded claims provisions

Gross premium provisions = Net premium provisions + Ceded premium provisions

(Ceded provisions are after the adjustment for expected losses due to counterparty default.)

Gross best estimate liabilities = gross claims provisions + gross premium provisions

Chart 4.3: Range of risk margin to net best estimate liabilities for key lines of business

This chart shows the range of the ratio of risk margin to net best estimate liabilities. The average is the weighted average for the line. The range box shows the 25^th, 50^th and 75^th percentiles of capital coverage for the line.

Ratio = Risk margin / net best estimate liabilities (including TPs calculation as a whole)