The Rothesay 2024 SFCR is the first to be published by the group under the Solvency UK insurance regulatory regime, which replaces Solvency II in the UK and Gibraltar.
Much is, and will continue to be, made of the new template IR.25.04, which provides detailed breakdown of the SCR risk components; the detail closely match those in template IR.26 (S.26 in Solvency II).
The main SCR risk categories, which Rothesay is exposed to are market risk and life underwriting risk.
The chart below shows the SCR risk charges between 2016 – 2024.
While market SCR continued to rise in 2024, life underwriting risk dropped.
Internal model opacity
Although the company started using an internal model in 2018 and switched to a full internal model in 2023 it only reported high level SCR risks (similar to those in the standard formula templates). However, this year with the introduction of the new SCR detailed templates, more granular detail of the risk exposures is made public.
Spread risk dominates Rothesay market risk SCR
The new template IR.25.04 provides more granular detail of the SCR risk moduels. The chart below shows the dominance of spread risk within the market risk module, the company’s largest risk module.
Longevity risk dominates life underwriting risk SCR
Withing the life underwriting risk, longevity risk is by far the largest component, as can be observed from the chart below.
The new templates also make it possible to compare the overall granular SCR risks of the firm.
The chart below shows the market risk and life underwriting risks in order of magnitude.
Weekly Lunchtime Webinar Series: 2024 SFCRs weekly reporting update
Wednesdays throughout May and June 2025, 12.00 UK / 13.00 CET
A weekly update on the state of the Solvency II and Solvency UK 2024 SFCR reports, including early market analysis from Solvency II Wire Data.
