Aggregate Insurance QRTs 2018

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1 Aggregate Insurance QRTs 218 T: +353 () E:

2 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 2 Table of Contents 1 Irish Regulated Industry at a glance Overall Statistics Solvency Capital Requirement Coverage Risk Profile Financial Strength Investment Holdings Risk Margin Calculating Regulatory Capital Life Insurance GWP Growth Lines of business Technical Provisions Non-life Insurance GWP Growth Lines of Business Technical Provisions Net Combined Ratio Reinsurance GWP Growth Lines of business Technical Provisions Explanatory Notes... 18

3 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 3 Introduction The implementation of Solvency II on 1 January 216 introduced a new regulatory regime for insurers, including comprehensive annual and quarterly reporting requirements for companies. The Central Bank of Ireland has, at the time of publication, received nine sets of quarterly and two sets of annual Solvency II quantitative reporting templates. The Central Bank of Ireland uses this data to deliver an effective, intrusive, analytical and outcomes-focused approach to supervision. Analysis of the data is performed on an aggregated and individual firm basis. This publication shares a selection of our aggregated analysis and includes all Solvency II insurance companies regulated by the Central Bank of Ireland, including domestic and international business. This publication is aimed at reporting companies and persons familiar with the Solvency II framework and, in particular, the associated quantitative reporting requirements. This publication is delivered in line with the key Solvency II principle of promoting comparability and transparency. The aim is to disclose aggregated metrics and to allow reporting companies to view aggregate trends. The Central Bank does not seek to use this publication to comment on the data. All analysis relies on the quality of the data submitted. Where there have been resubmissions, this publication includes the resubmitted data up to end Q A detailed specification for each chart is given in section 6. Data included in this publication is based on Solvency II quarterly reporting templates up to Q1 218 and annual reporting templates up to year end 31 December 217.

Aggregate Insurance QRTs 218 Central Bank of Ireland Page 4 1 Irish

(re)insurance companies regulated by the Central Bank of Ireland

Establishment business, based on year end 217 data. Figure 1.

4 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 4 1 Irish Regulated Industry at a glance The following maps show where (re)insurance companies regulated by the Central Bank of Ireland conduct business, including Freedom of Services and Freedom of Establishment business, based on year end 217 data. Figure 1. Central Bank of Ireland regulated (re)insurers international Gross Written Premium footprint

5 SCR Q1 218 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 5 2 Overall Statistics 2.1 Solvency Capital Requirement Coverage The following graph shows the range of Solvency Capital Requirement (SCR) coverage ratios for all companies and the number of companies below 1% at each quarter. X = Mean = Median Figure 2. Evolution of the SCR coverage ratios from Q1 216 to Q The following graph shows the evolution from Q1 216 to Q1 218 of SCR coverage ratios at a firm-level. 6% Firm-Level View of Evolution of SCR Coverage 5% 4% 3% 2% Life Non-Life Reinsurance 1% % % 1% 2% 3% 4% 5% 6% SCR Q1 216 Figure 3. Firm-level view of the evolution of SCR coverage from Q1 216 to Q1 218 for Life, Non-Life and Reinsurance companies.

6 Aggregate Insurance QRTs 218 Central Bank of Ireland Page Risk Profile The following graph shows the decomposition (waterfall) of the SCR by Risk Category for standard formula companies only. Figure 4. Decomposition of SCR by Risk Category The following graph shows the decomposition (waterfall) of the Market Risk SCR by sub-risk category for standard formula companies only. Figure 5. Market Risk SCR decomposition

7 BILLIONS Billions Aggregate Insurance QRTs 218 Central Bank of Ireland Page Financial Strength The following graph shows the evolution of the excess of assets over liabilities for Life, Non-life and Reinsurance companies Excess of Assets over Liabilities Q1 216 Q2 216 Q3 216 Q4 216 Q1 217 Q2 217 Q3 217 Q4 217 Q1 218 Figure 6. Evolution of excess of assets over liabilities Life Non-Life Reinsurance The following graph shows the evolution of eligible own funds by tier for all companies. 45 Eligible Own Funds Q1 216 Q2 216 Q3 216 Q4 216 Q1 217 Q2 217 Q3 217 Q4 217 Q1 218 Figure 7. Evolution of eligible own funds by tier Tier 1 - Unrestricted Tier 1 - Restricted Tier 2 Tier 3

8 Aggregate Insurance QRTs 218 Central Bank of Ireland Page Investment Holdings The following graph shows the breakdown of asset allocation in Q1 216, Q1 217 and Q1 218 (excluding unit-linked assets). Asset Allocation (%) 4% 35% 3% 25% 2% 15% 1% 5% % Q1 216 Q1 217 Q1 218 Figure 8. Evolution of asset allocation The following graph shows the credit of corporate bonds in Q1 216, Q1 217 and Q1 218 for companies calculating their capital requirement using standard formula (excluding unit-linked assets). 45% 4% 35% 3% Corporate Bond Quality 25% 2% 15% 216 Q1 217 Q1 218 Q1 1% 5% % No rating available Figure 9. Evolution of corporate bond credit quality

9 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 9 The following graph shows the credit of government bonds in Q1 216, Q1 217 and Q1 218 for companies calculating their capital requirement using standard formula (excluding unit-linked assets). 7% Government Bond Quality 6% 5% 4% 3% 2% 216 Q1 217 Q1 218 Q1 1% % No rating available Figure 1. Evolution of Government Bond Quality The following graph shows the currency of assets held by all companies in Q1 218 (excluding unit-linked assets). SEK 1% JPY 1% Asset Currency Other 2% GBP 18% USD 2% EUR 58% Figure 11. Assets by Currency at Q1 218

10 Billions Aggregate Insurance QRTs 218 Central Bank of Ireland Page 1 The following graph shows the exposure to corporate bonds and sovereign bonds across a range of countries and institutions for all companies in Q1 218 (excluding unit-linked assets) Bond exposures by country - Q1 218 Government Bonds Corporate Bonds Figure 12. Total Bond Exposures by Country at Q Risk Margin The following graph shows the evolution of risk margin to net best estimate liabilities for select lines of life and non-life business. 25% Risk Margin to net Best Estimate liabilities 2% 15% 1% 5% % Q1 216 Q2 216 Q3 216 Q4 216 Q1 217 Q2 217 Q3 217 Q4 217 Q1 218 Total Non Life With Profit Unit Linked Other Direct Life Figure 13. Risk Margin to Best Estimate liabilities

11 Aggregate Insurance QRTs 218 Central Bank of Ireland Page Calculating Regulatory Capital The following graph shows the number of companies calculating their Solvency II regulatory capital requirement using a partial or full internal model % of companies use Standard Formula Full internal model Partial internal model Figure 14. Number of companies using a partial or full internal model at year-end 217

12 Billions Number of companies Aggregate Insurance QRTs 218 Central Bank of Ireland Page 12 3 LIFE INSURANCE 3.1 GWP Growth The following graph sets out bands of gross written premium growth rates from 216 to 217 for life insurance companies Figure 15. Life insurance GWP growth rates from 216 to Lines of business Life GWP growth rates <-75% <-5% <-25% <% <25% <5% <75% <1% -1% -75% -5% -25% % 25% 5% 75% 1% + >=-1% >=-75% >=-5% >=-25% >=% >=25% >=5% >=75% >=1% Growth Rates The following graph shows the total gross written premium for the life Solvency II lines of business Life GWP by line of business Unit-Linked or index-linked Other Life insurance With Profit participation Health insurance -Life Life re Figure 16. Life insurance Gross Written Premiums by line of business

13 Billions Aggregate Insurance QRTs 218 Central Bank of Ireland Page Technical Provisions The following graph shows the evolution of technical provisions by line of business for life insurance companies from Q1 216 to Q Life technical provisions by line of business 25 2 Health reinsurance (reins accepted) 15 1 Health insurance (direct) Other life Life Accepted reinsurance With Profit Unit Linked and index-linked 5 Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr Figure 17. Life technical provisions by line of business

14 Billions Number of companies Aggregate Insurance QRTs 218 Central Bank of Ireland Page 14 4 NON-LIFE INSURANCE 4.1 GWP Growth The following graph sets out the gross written premium growth rates from 216 to 217 for non-life insurance companies Non-life GWP growth rate Figure 18. Non-life insurance GWP growth rates from 216 to Lines of Business <-75% <-5% <-25% <% <25% <5% <75% <1% -1% -75% -5% -25% % 25% 5% 75% 1% + >=-1% >=-75% >=-5% >=-25% >=% >=25% >=5% >=75% >=1% Growth rates The following graph shows the total gross written premium for the non-life Solvency II lines of business. Non-life GWP by line of business Property Motor Liability Medical expense Marine, aviation & transport Other Figure 19. Non-life insurance Gross Written Premiums by line of business

15 Billions Aggregate Insurance QRTs 218 Central Bank of Ireland Page Technical Provisions The following graph shows the evolution of technical provisions by line of business for non-life insurance companies from Q1 216 to Q Non-life technical provisions by line of business Life business Other non-life & suretyship Marine, aviation & transport Health Property Motor Liability Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr Figure 2. Non-life technical provisions by line of business 4.4 Net Combined Ratio The following graph shows the evolution of the net combined ratio (Net Expenses Incurred + Net Claims Incurred/Net Earned Premium) for certain lines of non-life business. 16% 15% 14% 13% 12% 11% 1% 9% 8% 7% 6% Q1 216 Q2 216 Q3 216 Q4 216 Q1 217 Q2 217 Q3 217 Q4 217 Q1 218 Figure 21. Non-life net combined ratio by line of business Net Combined Ratio Motor Property Liability Marine, Aviation & Transport Health Other Total 1%

16 Billions Number of companies Aggregate Insurance QRTs 218 Central Bank of Ireland Page 16 5 REINSURANCE 5.1 GWP Growth The following graph sets out the gross written premium growth rates from 216 to 217 for reinsurance companies Reinsurance GWP growth rate <-75% <-5% <-25% <% <25% <5% <75% <1% -1% -75% -5% -25% % 25% 5% 75% 1% + >=-1% >=-75% >=-5% >=-25% >=% >=25% >=5% >=75% >=1% Growth rates Figure 22. Reinsurance GWP growth rates from 216 to Lines of business The following graph shows the total gross written premium for the Solvency II lines of business Reinsurance GWP by line of business Figure 23. Reinsurance Gross Written Premiums by line of business

17 Billions Aggregate Insurance QRTs 218 Central Bank of Ireland Page Technical Provisions The following graph shows the evolution of technical provisions by line of business for reinsurance companies from Q1 216 to Q Reinsurance technical provisions by line of business Other reinsurance Workers comp Health Marine, aviation & transport Motor Property Liability Life accepted reinsurance Qtr1 Qtr2 Qtr3 Qtr4 Qtr1 Qtr2 Qtr3 Qtr4 Qtr Figure 24. Reinsurance technical provisions by line of business

18 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 18 6 EXPLANATORY NOTES All figures are in Euro. Companies are categorised according to their authorisation. Figure 1. Central Bank of Ireland regulated (re)insurers international Gross Written Premium footprint GWP taken from 217 Annual data Life GWP Non-life GWP S _R2_C8-C9 S _R2_C8-C9 S _R2_C8-C1 S _R2_C1 S _R11:R13_C2 S _R14_C3 Figure 2. Evolution of the SCR coverage ratios from Q1 216 to Q1 218 S _R62_C1 The boxes represent the range from the 25 th to 75 th percentile. X is the mean marker and the line is the median. Outliers have been removed (as defined by Excel box and whisker chart). Figure 3. Firm-level view of the evolution of SCR coverage from Q1 216 to Q1 218 for Life, Non-Life and Reinsurance companies S _R62_C1 Figure 4. Decomposition of SCR by Risk Category for standard formula companies S _ R1: R1_C4 S _ R12: R22_C1 Figure 5. Market Risk SCR breakdown Standard Formula companies only included. S _R1:R8_C8 SR _R1:R8_C8 Figure 6. Evolution of excess of assets over liabilities SE _R1_C1

19 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 19 Figure 7. Evolution of eligible own funds by Tier S _R54_C2:C5 Figure 8. Evolution of asset allocation Excluding unit-linked assets, Complementary Identification Code (CIC) 93 and CIC 95 Split by CIC category (3 th digit of CIC code). Figure 9. Evolution of Corporate Bond Quality CIC = 2 (Corporate Bonds) only applicable to CIC categories 1, 2, 5 and 6. The credit attributed to the asset is defined by article 19a(1) of Directive 29/138/EC. The credit shall in particular reflect any readjustments to the credit quality made internally by the companies that use the standard formula. This item is not applicable to assets for which companies using internal models use internal ratings. If companies using internal models do not use internal rating, this item shall be reported. Figure 1. Evolution of Government Bond Quality CIC = 1 (Government Bonds) only applicable to CIC categories 1, 2, 5 and 6. The credit attributed to the asset is defined by article 19a(1) of Directive 29/138/EC. The credit shall in particular reflect any readjustments to the credit quality made internally by the companies that use the standard formula. This item is not applicable to assets for which companies using internal models use internal ratings. If companies using internal models do not use internal rating, this item shall be reported. Figure 11. Assets by Currency at Q1 218 Original currency from S.6.2 Excluding unit-linked assets, CIC 93, CIC 95, CIC 75 and CIC category 8 Mortgages and Loans (for mortgages and to natural persons, as those assets are not required to be individualised). Figure 12. Total Bond Exposures by Country at Q1 218 Issuer country from S.6.2, CIC 1 and CIC 2 (Government and Corporate Bonds) Excluding unit-linked assets, look-through, CIC 93 and CIC 95.

20 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 2 Figure 13. Risk Margin to Best Estimate liabilities Risk margin/net best estimate liabilities. Product Risk Margin (numerator) Net best estimate (denominator) With S _R1_C2 S _R9_C2 Profits Unit Linked S _R1_C3 S _ R9_C4:C5 Other S _R1_C6 S _ R9_C7:C8 Direct Life Total Nonlife S _R28_C18 S _R27_C18 Figure 14. Percentage of companies using different calculation methods at year-end 217 S _R13_C1 Figure 15. Life insurance GWP growth rates from 216 to 217 Growth in Gross Written premium for all life companies from 216 to 217 S _ R141_C21:C28 The following companies have been excluded: Companies authorised since 1 January 216 Companies with annual reporting date between 1 January and 3 June (as no 216 annual QRTs available for these companies). Companies whose authorisation has been revoked since 1 January 216. Figure 16. Life insurance Gross Written Premiums by line of business S _ R141_C21:C28 Figure 17. Life technical provisions by line of business S _R2_C2:C2

21 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 21 Figure 18. Non-life insurance GWP growth rates from 216 to 217 Growth in Gross Written premium for all non-life companies from 216 to 217 S _ R11: R13_C1:C16 The following companies have been excluded as 2 years of data is not available: Companies authorised since 1 January 216 Companies with annual reporting date between 1 January and 3 June (as no 216 annual QRTs available for these companies). Companies whose authorisation has been revoked since 1 January 216. Figure 19. Non-life insurance Gross Written Premiums by line of business S _ R11: R13_C1:C16 Figure 2. Non-life technical provisions by line of business S _R32_C2:C17

22 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 22 Figure 21. Non-life net combined ratio by line of business (Net Claims + Net Expenses)/Net Earned Premium Net Claims Net Expenses Net Earned Premium Motor S _R4_ S _R55_ S _R3_ C4+C5 C4+C5 C4+C5 Property S _R4_ S _R55_ S _R3_ C7+C16 C7+C16 C7+C16 Liability S _R4_ S _R55_ S _R3_ C8+C14 C8+C14 C8+C14 MAT (Marine, S _R4_ S _R55_ S _R3_ aviation, transport) C6+C15 C6+C15 C6+C15 S _R4_ S _R55_ S _R3_ C9 C9 C9 Health S _R4_ S _R55_ S _R3_ C1+C13 C1+C13 C1+C13 Other S _R4_ S _R55_ S _R3_ C2+C3+ C2+C3+ C2+C3+ C1+C11+C12 C1+C11+C12 C1+C11+C12 Total S _R4_ S _R55_ S _R3_ C1:C16 C1:C16 C1:C16 Figure 22. Reinsurance GWP growth rates from 216 to 217 Growth in Gross Written premium for all reinsurance companies from 216 to 217 S _ R11: R13_C1:C16 S _ R141_C21:C28 The following companies have been excluded as 2 years of data is not available: Companies authorised since 1 January 216 Companies with annual reporting date between 1 January and 3 June (as no 216 annual QRTs available for these companies). Companies whose authorisation has been revoked since 1 January 216.

23 Aggregate Insurance QRTs 218 Central Bank of Ireland Page 23 Figure 23. Reinsurance Gross Written Premiums by line of business Motor Life reinsurance Property Liability MAT (Marine, aviation, transport) Health S _ R11: R13_C4+C5 S _ R141_C28 S _ R11: R13_C7+C16 S _ R11: R13_C8+C14 S _ R11: R13_C6+C15 S _ R11: R13_C9 S _ R11: R13_C1+C13 Figure 24. Reinsurance technical provisions by line of business S _R2_C2:C2 S _R32_C2:C17

24 E:

INDEX SUMMARY A. BUSINESS AND PERFORMANCE B. SYSTEM OF GOVERNANCE C. RISK PROFILE D. VALUATION FOR SOLVENCY PURPOSES E. CAPITAL MANAGEMENT

INDEX SUMMARY A. BUSINESS AND PERFORMANCE A.1 BUSINESS A.2 UNDERWRITING PERFORMANCE A.3 INVESTMENT PERFORMANCE A.4 PERFORMANCE OF OTHER ACTIVITIES A.5 ANY OTHER INFORMATION B. SYSTEM OF GOVERNANCE B.1