Solvency UK, which replaces Solvency II in the UK and Gibraltar introduces changes to the Solvency II SFCR disclosures. One of the most significant, and welcome, changes is the introduction of mandatory granular disclosure of the components of the Solvency Capital Requirement (SCR).
Under Solvency II only firms using a partial or full internal module disclose granular SCR data. Firms subject to Solvency UK rules have to disclouse the data regardless of the capital model used.
The chart below shows the breakdown of the market risk components of 132 UK solo insurers revealing the dominance of spread risk and equity risk in the market.
UK group market risk
A similar distribution of SCR component risks can be found in a sample of 24 UK insurance groups (see above), where the dominance of spread risk and equity risk are also clear.
The chart below shows the disctribution of market risk components within each firm.
Across both samples the extent of diversification within the market risk module is also clear.
Solvency II Wire Data has identified 20 UK insurer that did not use the new Solvency UK reporting templates.
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