Solvency II QRT and SFCR – what we know so far

In preparation for the publication of the first round of Solvency II public disclosures on May 19 (30 June for groups) Solvency II Wire Data has obtained the Solvency and Financial Condition Report (SFCR) of 17 firms. 15 of the SFCRs contain Quantitative Reporting Templates (QRTs) – 12 solo and 3 groups.

Most of the reports are for firms with non-31 December year-end, with the exception of the ASR group that chose to publish its SFCR and QRTs on 29 March. The most recent SFCR was published by AIG Europe Limited (YE reporting date 30 November 2016).

SCR and MCR ratios

The chart below shows a comparison of the SCR and MCR ratio for the 15 firms. The SCR ratios ranges between 75% (Municipal Mutual Insurance Limited) and 481% (Vitality Health Insurance Limited). MCR ratios range between 263% and 1918%, for the same firms.

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Solvency II QRTs – a volume of public data

The Solvency II public disclosure QRTs comprise of 14 templates for solo firms amounting to about 1,705 data points, and 9 templates for groups, amounting to about 1,033 data points (excluding template S.32.01, which lists all the solo entities in the group).

In collecting the data so far we have notices a number of issues.

For example, AIG Europe Limited published both its SCR ratio (S.23.01.01:R0620_C0010) and MCR ratio (S.23.01.01:R0600_C0010) as “0.00”. The correct calculated figures are 108% and 284% respectively (calculated by dividing S.23.01.01:R0540_C0010 by S.23.01.01:R0580_C0010 for the SCR ratio and S.23.01.01:R0550_C0010 by S.23.01.01:R0600_C0010 for the MCR ratio)

In other instances firms have published the reporting rather than disclosure templates.

For example, Cornish Mutual published template S.19.01.01 (S.19.01.21 disclosures) containing claims triangles for 5 lines of business. Similarly Hodge Life Assurance Company published template S.22.01.01 (S.22.01.21 disclosures) containing further information about the LTG measures. It also published S.25.01.01 (instead of S.25.01.21) with further information about the standard.

A number of other firms published statutory account information alongside the Solvency II values in the balance sheet template S.02.01.02.

A flood of data and questions

The initial set of disclosures are starting to show the richness of data about to flood the market later this month. This mass is likely to bring with it as many questions as it might bring answers. For now we wait …

Futher information is available on Solvency II Wire Data (free to access – registration needed). Premium subscribers can obtain spreadsheets of the QRTs as well as an aggregated file of all available data.

Solvency II Wire Data is a simple and powerful tool for analysis of all available Solvency II public disclosures across Europe from Solvency II Wire. To learn more click here.

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