Professional Documents
Culture Documents
SST Survey 2023
SST Survey 2023
Laupenstrasse 27, 3003 Bern, Tel. +41 (0)31 327 91 00, Fax +41 (0)31 327 91 01, www.finma.ch
Contents
1 Introduction 3
2 Solvency overview 3
3 Model overview 5
5 Life 8
5.1 Comments on results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
5.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
5.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
5.4 Best estimate of liability and target capital in relation to the balance sheet total . 12
5.5 Target capital decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
5.6 Market risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
5.7 Interest rate analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.8 Impact ratios for market and credit risk scenarios . . . . . . . . . . . . . . . . . . 16
5.9 Impact ratios for insurance risk and global scenarios . . . . . . . . . . . . . . . . 17
6 General insurance 18
6.1 Comments on results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
6.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
6.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
6.4 Best estimate of liability and target capital in relation to the balance sheet total . 22
6.5 Target capital decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
6.6 Market risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
6.7 Interest rate analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
6.8 General insurance risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
6.9 Impact ratios for market and credit risk scenarios . . . . . . . . . . . . . . . . . . 27
6.10 Impact ratios for insurance risk and global scenarios . . . . . . . . . . . . . . . . 28
7 Health 29
7.1 Comments on results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
7.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
7.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
7.4 Best estimate of liability and target capital in relation to the balance sheet total . 33
7.5 Target capital decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
7.6 Market risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
7.7 Interest rate analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
7.8 Impact ratios for market and credit risk scenarios . . . . . . . . . . . . . . . . . . 37
7.9 Impact ratios for insurance risk and global scenarios . . . . . . . . . . . . . . . . 38
8 Reinsurance 39
8.1 Comments on results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
8.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
8.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
8.4 Best estimate of liability and target capital in relation to the balance sheet total . 43
8.5 Target capital decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
8.6 Market risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
8.7 Interest rate analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
8.8 Impact ratios for market and credit risk scenarios . . . . . . . . . . . . . . . . . . 47
1
8.9 Impact ratios for insurance risk and global scenarios . . . . . . . . . . . . . . . . 48
9 Re Captive 49
9.1 Comments on results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
9.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
9.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
9.4 Best estimate of liability and target capital in relation to the balance sheet total . 53
9.5 Target capital decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
9.6 Market risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
9.7 Interest rate analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
9.8 Impact ratios for insurance risk and global scenarios . . . . . . . . . . . . . . . . 57
B Global glossary 61
2
1 Introduction
This report provides an overview of the 2023 SST results and is based on data collected from
128 insurers (15 life insurers, 52 general insurers, 16 health insurers, 22 reinsurers and 23
reinsurance captives).
The survey was carried out at peer-group level according to sector: life, general insurance,
health, reinsurance and reinsurance captives. The survey shows breakdowns of various key
indicators such as total assets or liabilities, or target capital.
Unless otherwise stated, the scenario analysis only considers data of those companies
where the specific scenario has an impact on the risk-bearing capital (RBC). This avoids distor-
tion due to companies for which a given scenario has no relevance. Note that when less than
five companies are concerned only the mean value is displayed.
Quality and completeness checks were carried out for each key indicator, resolving most of
the errors and obvious deficiencies. The Fundamental Data Sheets (FDS) completed by com-
panies are the data source for this survey. The FDS contains detailed quantitative information
such as the decomposition of risk-bearing capital and target capital (TC). All supervised insur-
ers are requested to submit it to FINMA, regardless of whether they use a standard model or an
internal model.
2 Solvency overview
This report is divided into five sections according to sector: life, general insurance, health,
reinsurance and reinsurance captive. Table 1 shows the breakdown of the 128 insurers into
sector and category.1 All supervised insurers are assigned to categories 2 to 5; categories 1
and 6 are not relevant for insurers.
1 finma.ch>Supervision>Insurers>Categorization
3
The figures presented below show the aggregated SST results of all the participants, after a
formal review by FINMA (SST 2023 in Table 2, SST 2022 in Table 3).
4
3 Model overview
Of the 128 companies included in this report, 17 use an internal model for at least one module
(excluding NatCat). The other 111 companies are users of the standard models. From these
companies 17 use an additional internal model to determine their NatCat risks (cf. Table 4).
Table 4: Total number of (partial) internal models (IM), standard models (SM) and standard
models with an internal model component to capture NatCat risks exclusively, over the past
years and by legal entity.
Accordingly, the remaining (partial) internal models are predominantly needed for the calcu-
lation of the insurance risk. Frequently, when the standard model ”out of the box” is not adequate
to capture the company specific risk situation, a so-called company specific adjustment can be
applied. In 2023 this was the case for 16 companies for their market risk, 2 for their credit risk
module; and in 17 cases for the insurance risk module (cf. Table 5).
Table 5: Split by module. Total number of partial internal models (IM), standard models (SM)
and SM with company-specific adjustments (SM-ca) in 2023.
5
4 Goals of the analyses
The analyses presented in this section give a deeper insight into:
• investment structure;
• liability structure;
• best estimate of liabilities and target capital in relation to the total assets;
• split of target capital into its components, e.g. market, credit and insurance risk;
• split of market risk (including participation risk) into interest rate risk, equity risk, etc.;
• scenarios and their impact on risk-bearing capital; indication of whether the SST capital
requirements after scenario impacts are still met.
• waterfall diagrams;
To avoid conclusions that can be drawn about an insurers individual risk profile, the data
are pooled by insurance sector. The graphs illustrate a breakdown of the indicators into their
components.
Assets
The total assets in the market-consistent balance sheet are shown as the sum of the different
asset types (e.g. bonds, real estate, shares, etc.).
Liabilities
The total liabilities in the market-consistent balance sheet are split according to liability type.
Best estimate of liabilities and target capital in relation to the balance sheet total
• one-year capital requirement (SCR), which is computed as the difference between the
target capital (TC) and the market value margin. The TC, SCR and MVM are linked
through
• excess capital (EC), which is defined as the difference between the risk-bearing capital
(RBC) and the target capital (TC), which gives
RBC = TC + EC (2)
6
• supplementary capital (SC);
• deductions (D).
More precisely:
MV(A) = BEL + MVM + SCR + EC − SC + D.
To show this, note that the core capital (CC) and the risk-bearing capital (RBC) are related
through
RBC = CC + SC. (3)
CC can now be expressed as:
CC = MV(A) − BEL − D,
from which the following relation is derived by means of (3):
MV(A) = BEL + RBC − SC + D.
By means of (1) and (2) we conclude that
MV(A) = BEL + EC + TC − SC + D
= BEL + MVM + SCR + EC − SC + D.
Scenarios
For each scenario, we compute and show the impact ratio, which is defined as below:
RBC − MVM + c
Impact ratio = .
RBC − MVM
Typically, a scenario impact c with a negative value represents a loss. To concentrate only on
relevant scenarios, scenarios with no impact (i.e. c = 0) are ignored.
This loss is understood as the maximum loss an insurer can endure and still remain solvent.
It is quantified by excess capital (EC), i.e. c = −EC. To obtain the corresponding impact ratio,
we use relation (2), i.e. RBC = TC + EC:
RBC − MVM − EC TC − MVM
Impact ratio = = .
RBC − MVM RBC − MVM
7
5 Life
The overall SST ratio calculated over all life insurers increased by 2.97 percentage points from
236% in 2022 to 243% in 2023. The risk bearing capital decreased by 17.32% to CHF 67.525
million, while the target capital went down by 20.65% to CHF 31.261 million. The comparison is
based on aggregate numbers obtained by summing over all life insurers (15 in total).
With regards to the individual analysis, in order to avoid that companies with larger volume
dominate the results, an average over the percentages for each company is shown.
8
5.1 Comments on results
The asset portfolios of life insurers are mainly concentrated in bonds (39%) followed by real es-
tate (22%), as illustrated in Figure 1 ”Assets”. A further breakdown of the investment categories
bonds and real estate is shown in Table 6.
As shown in Figure 3 ”Liabilities”, the liabilities of life insurers are mainly concentrated in life
liabilities (individual) (40%) followed by life liabilities (group) (30%). In Table 7, a breakdown of
loss reserves and other liabilities into their components is shown.
In Figure 7 ”Target capital decomposition” it is shown that the one-year capital and market
value margin correspond to 83% and 17% of the target capital, respectively. The one-year
capital is driven (before diversification) by the market risk (60%) followed by the insurance risk
(23%) and credit risk (20%).
The main drivers of the market risk (before diversification) are the interest rate risk (44%) and
spread risk (41%). As shown in Figure 11, interest rate risk is dominated by the CHF interest
rate risk (116% before diversification).
9
5.2 Assets
6% 100%
100% 5%
6%
16%
80%
4% 1%
22%
60%
39% 1%
40%
20%
0%
nds ns te s ds e
ent
s
set
s e ets
Bo atio sta are fun anc anc Ass
r t icip e al e Sh dge i n sur ve stm h e r as i n sur
Pa R e life n t e
H
ed er i O R
- link Oth
it
Un
100%
80%
60%
40%
20%
0%
nds tion
s
tate es ds e nts ets nce
Bo ipa l es
ar fun anc tme ass ura
t ic e a Sh
edg
e
i n sur e s e r i n s
Par R life nv Oth Re
H er i
l i n ked Oth
it -
Un
10
5.3 Liabilities
10% 100%
100%
19%
80%
30% 1%
60%
40%
40%
20%
0%
al) oup
)
litie
s
litie
s s ties
ividu r
abi abi ilitie bili
(Ind s (G li li rl iab Lia
tie nce ed the
litie
s bili a link
abi lia sur Un
it- O
li Life e r in
Life Oth
100%
80%
60%
40%
20%
0%
) )
ual oup ilitie
s
ilitie
s
ilitie
s
ivid s (G
r
liab liab iab
(Ind tie e ed the
rl
t i es bili anc link
bili lia sur Un
it- O
lia Life e r in
Life Oth
11
5.4 Best estimate of liability and target capital in relation to the balance
sheet total
12% 1% 100%
100%
7% −1%
80% 1%
80%
60%
40%
20%
0%
bili
ty rgin ent ital ital ns e ts
f lia e ma u irem s cap y cap du ctio Ass
o lu q e s ar De
te a re Exc nt
ima et v tal me
t est M ark r c api p ple
s ea u
Be e-y
S
On
100%
80%
60%
40%
20%
0%
12
5.5 Target capital decomposition
7% 1% 17% 100%
100% 23%
83%
80% −17%
20%
60%
60%
−9%
40%
20%
0%
k
t ris al res
ult risk risk ios er
atio
n ent M ital
rke i e dit n ce e nar Oth ific u irem MV t cap
a n c C r ura Sc rs q g e
M
fina Ins Div
e
tal
re Tar
e cted r c api
Exp e-y
ea
On
100%
80%
60%
40%
20%
0%
−20%
t ent
isk sul it ri
sk
e ri
sk
ario
s
Oth
er
MV
M
r ket r i al re e d n c e n u i rem
Ma nc Cr ura Sc l re
q
fina Ins pita
c ted c a
e ear
Exp e-y
On
13
5.6 Market risk analysis
10%
6% 1%
34% 1%
150%
19%
13% 100%
100%
41% −70%
50% 44%
0%
isk
d ri
sk risk ty risk ty risk risk ty risk risk er
Oth ificati
on t ris
k
ra te r rea e ncy q ui e r u nds q ui t i o ns rke
r p f s a
est Sp
Cu
r E Pro edge e e
tici
p a
Div
e r M
Inte
r vat
H Pri Par
80%
60%
40%
20%
0%
r isk d ri
sk risk risk risk risk risk risk Oth
er
ate rea n cy u ity er ty n ds u ity i o ns
st r Sp rr e Eq
Pro
p f u
ee
q pa t
Inte
re Cu dge vat tici
He Pri Par
14
5.7 Interest rate analysis
24% 2%
33%
150%
116%
100%
100%
−74%
50%
0%
150%
100%
50%
0%
15
5.8 Impact ratios for market and credit risk scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
ss on ion lan
d ess ers ion
ital lo
ce ssi ress zer d istr n sur n trat
cap dep i t i e
e re in S
w ia l fr e
con
c
ess wid ide anc lt o
Exc rld rldw fall Fin e fau t ate
Wo Wo
sta
t e D al E
s
al e Re
Re
100%
80%
60%
40%
20%
0%
s ion n nd s rs n
los sio la tres e tio
ital ess res zer dis sur ntra
ap e re
c ep wit ial ein c e
es sc id ed in S anc of r con
rldw wid all Fin fau
l t
ate
Exc Wo rld te f De Est
Wo sta al
al e Re
Re
16
5.9 Impact ratios for insurance risk and global scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
ss ity lity ses ic m
ta l lo gev abi Lap d em roris
api Lon Dis Pan Ter
es sc
Exc
140%
120%
100%
80%
60%
40%
20%
los
s ity lity ses ic m
ital gev abi Lap dem roris
cap Lon Dis Pan Ter
ess
Exc
17
6 General insurance
The overall SST ratio calculated over all general insurers increased by 20.5 percentage points
from 239% in 2022 to 288% in 2023. The risk bearing capital decreased by 12.35% to CHF
76.106 million, while the target capital went down by 24.6% to CHF 31.843 million. The com-
parison is based on aggregate numbers obtained by summing over all general insurers (52 in
total).
With regards to the individual analysis, in order to avoid that companies with larger volume
dominate the results, an average over the percentages for each company is shown.
18
6.1 Comments on results
The asset portfolios of general insurers are mainly concentrated in bonds (34%) followed by
other assets (31%), as illustrated in Figure 17 ”Assets”. A further breakdown of the investment
categories bonds and real estate is shown in Table 8.
As shown in Figure 19 ”Liabilities”, the liabilities of general insurers are mainly concentrated
in loss reserves (57%) followed by other liabilities (29%). In Table 9, a breakdown of loss
reserves and other liabilities into their components is shown.
In Figure 23 ”Target capital decomposition” it is shown that the one-year capital and market
value margin correspond to 90% and 10% of the target capital, respectively. The one-year
capital is driven (before diversification) by the insurance risk (63%) followed by the market risk
(49%) and credit risk (19%).
The main drivers of the market risk (before diversification) are the equity risk (37%) and
interest rate risk (35%). As shown in Figure 27, interest rate risk is dominated by the CHF
interest rate risk (70% before diversification).
19
6.2 Assets
5% 100%
100% 31%
80%
4%
11% 2% 1%
60%
11%
40% 34% 2%
20%
0%
nds ns te s ds e
ent
s
set
s e ets
Bo atio sta are fun anc anc Ass
r t icip e al e Sh dge i n sur ve stm h e r as i n sur
Pa R e life n t e
H
ed er i O R
- link Oth
it
Un
100%
80%
60%
40%
20%
0%
nds tion
s
tate es ds e nts ets nce
Bo ipa l es
ar fun anc tme ass ura
t ic e a Sh
edg
e
i n sur e s e r i n s
Par R life nv Oth Re
H er i
l i n ked Oth
it -
Un
20
6.3 Liabilities
29% 100%
100%
80%
12% 1%
60% 57%
40%
20%
1%
0%
)
oup ves litie
s
litie
s
ilitie
s ties
r ser abi abi iab bili
s (G re li li rl Lia
ilitie L oss a nce link
ed the
liab sur it- O
Life e r in Un
Oth
100%
80%
60%
40%
20%
0%
) es s s s
r oup erv ilitie ilitie ilitie
s (G res liab liab rliab
ilitie Los
s
anc
e
link
ed the
liab sur it- O
Life er in Un
Oth
21
6.4 Best estimate of liability and target capital in relation to the balance
sheet total
33% 2% 100%
100%
−1%
80%
17%
60%
48% 2%
40%
20%
0%
bili
ty rgin ent ital ital ns e ts
f lia e ma u irem s cap y cap du ctio Ass
o lu q e s ar De
te a re Exc nt
ima et v tal me
t est M ark r c api p ple
s ea u
Be e-y
S
On
100%
80%
60%
40%
20%
0%
−20%
ility arg
in ent ital ital tion
s
liab m rem cap cap duc
o f lue qui ess a r y
De
im ate et v
a
ta l re Exc ent
est ark c api p p lem
st M
ear Su
Be e-y
On
22
6.5 Target capital decomposition
63%
120% 6%
19%
60%
49%
40% −6%
20%
0%
k
t ris al res
ult risk risk l resu
lt ios ion ent M ital
rke i e dit n ce a e nar i fi cat irem MV t cap
a c r a ic c rs q u e
M n C ur hn S e re Tar
g
fina Ins tec Div tal
e cted c t ed r c api
e
Exp Exp e-y
ea
On
150%
100%
50%
0%
−50%
−100%
−150%
isk sul
t sk sk ult s ent M
ket r al re d it ri c e ri a l res e n ario i rem MV
r i Cr e n ic Sc u
Ma nc ura chn l re
q
fina Ins d te pita
c ted t e c a
e ec ear
Exp Exp e-y
On
23
6.6 Market risk analysis
5% 4%
150% 3% 3%
15%
37%
100%
100%
28% −55%
26%
50%
35%
0%
100%
80%
60%
40%
20%
0%
r isk d ri
sk risk risk risk risk risk risk Oth
er
ate rea n cy u ity e r ty n ds u ity i o ns
st r Sp rr e Eq
Pro
p f u
ee
q pa t
Inte
re Cu dge vat tici
He Pri Par
24
6.7 Interest rate analysis
120% 20% 2%
100%
100% 25%
−16%
80%
70%
60%
40%
20%
0%
140%
120%
100%
80%
60%
40%
20%
0%
25
6.8 General insurance risk analysis
7%
140% 16%
23%
120%
100%
100% 42%
−42%
80%
60% 54%
40%
20%
0%
risk aim
s ims tC
at
UR
R ion
Ris
k
ve l cl cla Na ifi cat e
ser a
Lar
g e
ers anc
Re No
rm Div Insur
100%
80%
60%
40%
20%
0%
ri sk
laim
s ims tC
at
UR
R
ve lc cla Na
ser ma Lar
ge
Re No
r
26
6.9 Impact ratios for market and credit risk scenarios
80%
60%
Impact ratio
40%
20%
0%
ss on ion lan
d ess ers ion
ital lo
cessi r ess zer d istr n sur n trat
cap dep i t i e
e re in S
w ia l fr e
con
c
ess wid ide anc lt o
Exc rld rldw fall Fin e fau t ate
Wo Wo
sta
t e D al E
s
al e Re
Re
120%
100%
80%
60%
40%
20%
0%
ss on ion lan
d ess ers ion
ita l lo
ce ssi r ess zer d istr n sur n trat
cap dep i t i e
e re in S
w ia l fre
con
c
ess wid ide anc lt o
Exc rld rldw fall Fin e fau t ate
Wo Wo
sta
te D al E
s
al e Re
Re
27
6.10 Impact ratios for insurance risk and global scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
ss ity lity ses ic sio
n
ium ent vin
g
ism
ital lo gev abi Lap dem cur tad cid ser ror
cap Lon Dis Pa n
e ex i n s
a l a c
r - r e Ter
c r i e
ess pris Pan
i ust Un
d
Exc ter Ind
En
100%
80%
60%
40%
20%
0%
los
s ity lity ses ic ion um ent ing m
tal gev abi Lap dem xcurs adi cid er v oris
ca p i L o n Dis Pa n e i n s t
a l a c
r -res Terr
e ic r i de
es s pris Pan ust Un
Exc ter Ind
En
28
7 Health
The overall SST ratio calculated over all health insurers decreased by 7.12 percentage points
from 393% in 2022 to 365% in 2023. The risk bearing capital decreased by 7.05% to CHF
23.816 million, while the target capital went down by 2.98% to CHF 8.049 million. The com-
parison is based on aggregate numbers obtained by summing over all health insurers (16 in
total).
With regards to the individual analysis, in order to avoid that companies with larger volume
dominate the results, an average over the percentages for each company is shown.
Table 11: Breakdown of Liabilities categories Loss reserves and Other lia-
bilities as reported in the Fundamental Data Sheets (FDS) as of 1 January
2023.
29
7.1 Comments on results
The asset portfolios of health insurers are mainly concentrated in bonds (49%) followed by
shares (19%), as illustrated in Figure 35 ”Assets”. A further breakdown of the investment cate-
gories bonds and real estate is shown in Table 10.
As shown in Figure 37 ”Liabilities”, the liabilities of health insurers are mainly concentrated
in loss reserves (45%) followed by other liabilities (28%). In Table 11, a breakdown of loss
reserves and other liabilities into their components is shown.
In Figure 41 ”Target capital decomposition” it is shown that the one-year capital and market
value margin correspond to 76% and 24% of the target capital, respectively. The one-year
capital is driven (before diversification) by the insurance risk (65%) followed by the market risk
(34%) and credit risk (6%).
The main drivers of the market risk (before diversification) are the interest rate risk (57%)
and equity risk (53%). As shown in Figure 45, interest rate risk is dominated by the CHF interest
rate risk (95% before diversification).
30
7.2 Assets
14% 100%
100%
3%
19% 1%
80%
14%
60%
49%
40%
20%
0%
60%
40%
20%
0%
nd s ate are
s nds nts set
s
Bo al est Sh e fu tme r as
Re He
dg ves Ot h e
er in
Oth
31
7.3 Liabilities
140%
120%
28% 100%
100%
80% 7%
18%
−1%
60%
45%
40%
20%
3%
0%
600%
400%
200%
0%
−200%
−400%
−600%
−800%
−1,000%
) s
ual erv
es i litie litie
s
litie
s
litie
s
ivid s iab abi abi abi
s (I
nd s re r ml ce
l i
ed
l i
e r l i
ilitie Los g-te ran link Oth
liab Lon r i nsu U nit-
Life e
Oth
32
7.4 Best estimate of liability and target capital in relation to the balance
sheet total
68% 1% 100%
100%
80%
60%
40%
26%
20%
9%
0%
−3%
ility arg
in ent ital ns ets
iab irem cap ctio Ass
of l l u em q u e ss
De
du
ate t va tal
re Exc
stim rke api
st e Ma
ea r c
Be e-y
On
100%
50%
0%
−50%
−100%
33
7.5 Target capital decomposition
80% 76%
−24%
60%
40% 34% 6%
−4%
20%
0%
k
t ris al res
ult risk risk l resu
lt ios ion ent M ital
rke i e dit n ce a e nar i fi cat irem MV t cap
a c r a ic c rs q u e
M n C ur hn S e re Tar
g
fina Ins tec Div tal
e cted c t ed r c api
e
Exp Exp e-y
ea
On
120%
100%
80%
60%
40%
20%
0%
−20%
t t ent
isk sul it ri
sk
e ri
sk sul ios MV
M
r ket r i al re r e d n c ca l re ce nar u i rem
Ma nc C ura chn
i S l re
q
fina Ins d te pita
c ted c t e c a
e e ear
Exp Exp e-y
On
34
7.6 Market risk analysis
1% 3% 1%
19%
53%
150%
18% 100%
100%
−74%
22%
57%
50%
0%
80%
60%
40%
20%
0%
risk d ri
sk risk risk risk risk risk Oth
er
ate rea n cy u ity e r ty n ds u ity
st r Sp rr e E q
Pro
p f u
ee
q
Inte
re Cu dge vat
He Pri
35
7.7 Interest rate analysis
120% 11% 1%
8%
100%
100% 95%
−15%
80%
60%
40%
20%
0%
160%
140%
120%
100%
80%
60%
40%
20%
0%
36
7.8 Impact ratios for market and credit risk scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
ss on ion lan
d ess ers ion
ital lo
ce ssi r ess zer d istr n sur n trat
cap dep i t i e
e re in S
w ia l fr e
con
c
ess wid ide anc lt o
Exc rld rldw fall Fin e fau t ate
Wo Wo
sta
t e D al E
s
al e Re
Re
100%
80%
60%
40%
20%
s ion n nd s rs ion
los sio tres e
ital ess res zer
la
dis sur trat
ap e re
c ep it ial ein cen
es sc id ed in Sw anc of r con
rldw wid all Fin fau
l t
ate
Exc Wo rld te f De Est
Wo sta al
al e Re
Re
37
7.9 Impact ratios for insurance risk and global scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
l lo
ss
abi
lity ses ic sio
n
ium ent vin
g
ism
ita Dis Lap dem cur tad cid ser ror
cap Pa n ex n s
rial
a c - r e Ter
ss pris
e ic i ust der
Ex ce ter Pan Ind Un
En
100%
80%
60%
40%
20%
los
s
bili
ty ses ic ion m nt ing m
tal a Lap dem urs diu ide erv oris
api Dis Pan exc i n sta l acc r -res Terr
essc pris
e ic ust
r i a de
Exc ter Pan Ind Un
En
38
8 Reinsurance
The overall SST ratio calculated over all reinsurers increased by 29 percentage points from
200% in 2022 to 258% in 2023. The risk bearing capital decreased by 5.21% to CHF 55.377
million, while the target capital went down by 24.24% to CHF 25.245 million. The comparison is
based on aggregate numbers obtained by summing over all reinsurers (22 in total).
With regards to the individual analysis, in order to avoid that companies with larger volume
dominate the results, an average over the percentages for each company is shown.
Table 13: Breakdown of Liabilities categories Loss reserves and Other lia-
bilities as reported in the Fundamental Data Sheets (FDS) as of 1 January
2023.
39
8.1 Comments on results
The asset portfolios of reinsurers are mainly concentrated in bonds (34%) followed by other
assets (33%), as illustrated in Figure 51 ”Assets”. A further breakdown of the investment cate-
gories bonds and real estate is shown in Table 12.
As shown in Figure 53 ”Liabilities”, the liabilities of reinsurers are mainly concentrated in loss
reserves (77%) followed by other liabilities (21%). In Table 13, a breakdown of loss reserves
and other liabilities into their components is shown.
In Figure 57 ”Target capital decomposition” it is shown that the one-year capital and market
value margin correspond to 84% and 16% of the target capital, respectively. The one-year
capital is driven (before diversification) by the insurance risk (84%) followed by the market risk
(29%) and credit risk (24%).
The main drivers of the market risk (before diversification) are the spread risk (57%) and
interest rate risk (42%). As shown in Figure 61, interest rate risk is dominated by the EUR
interest rate risk (53% before diversification).
40
8.2 Assets
10% 100%
100%
33%
80%
60% 15%
3% 1%
40% 2% 2%
34%
20%
0%
nds ns te es ds ent
s
set
s e ets
Bo atio sta ar fun anc Ass
r t icip e al e Sh dge ve stm h e r as i n sur
Pa R e n t e
H er i O R
Oth
80%
60%
40%
20%
0%
41
8.3 Liabilities
21% 100%
100%
77%
80%
60%
40%
20%
2%
0%
l) ves
idu
a
ilitie
s ties
iv ser iab bili
(Ind re rl Lia
s oss the
litie L O
liabi
Life
100%
80%
60%
40%
20%
0%
)
ual ves ilitie
s
ivid eser iab
(Ind s r er l
litie
s Los Oth
liabi
Life
42
8.4 Best estimate of liability and target capital in relation to the balance
sheet total
21% 2% 100%
100%
−1%
80% 16%
59% 3%
60%
40%
20%
0%
bili
ty rgin ent ital ital ns e ts
f lia e ma u irem s cap y cap du ctio Ass
o lu q e s ar De
te a re Exc nt
ima et v tal me
t est M ark r c api p ple
s ea u
Be e-y
S
On
80%
60%
40%
20%
0%
ility arg
in
me
nt ital ital tion
s
f liab m ire s cap y cap duc
o lue equ es a r De
im ate et v
a
tal
r Exc ent
est ark c api p p lem
st M
ear Su
Be e-y
On
43
8.5 Target capital decomposition
140% 84%
120% 3%
60%
24%
40%
29%
20% −3%
0%
k
t ris al res
ult risk risk l resu
lt ios ion ent M ital
rke i e dit n ce a e nar i fi cat irem MV t cap
a c r a ic c rs q u e
M n C ur hn S e re Tar
g
fina Ins tec Div tal
e cted c t ed r c api
e
Exp Exp e-y
ea
On
200%
100%
0%
−100%
−200%
isk sul
t sk sk ult s ent M
ket r al re d it ri c e ri a l res e n ario i rem MV
r i Cr e n ic Sc u
Ma nc ura chn l re
q
fina Ins d te pita
c ted t e c a
e ec ear
Exp Exp e-y
On
44
8.6 Market risk analysis
3% 2%
6%
6% 2%
17%
150% 39%
57% 100%
100%
−76%
50% 42%
0%
isk
d ri
sk risk ty risk ty risk risk ty risk risk er
Oth ificati
on t ris
k
ra te r rea e ncy q ui e r u nds q ui t i o ns rke
r p f s a
est Sp
Cu
r E Pro edge e e
tici
p a
Div
e r M
Inte
r vat
H Pri Par
120%
100%
80%
60%
40%
20%
0%
r isk d ri
sk risk risk risk risk risk risk Oth
er
ate rea n cy u ity e r ty n ds u ity i o ns
st r Sp rr e Eq
Pro
p f u
ee
q pa t
Inte
re Cu dge vat tici
He Pri Par
45
8.7 Interest rate analysis
6%
48%
120%
100%
100%
−25%
80% 53%
60%
40%
18%
20%
0%
140%
120%
100%
80%
60%
40%
20%
0%
46
8.8 Impact ratios for market and credit risk scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
s on n d ss
los ssi ess
io lan stre
ital ce r zer di
cap e re dep Sw
i t ial
ess wid ide in anc
Exc rld rldw fall Fin
Wo Wo tate
a l es
Re
120%
100%
80%
60%
40%
20%
0%
s ion n d s
los sio lan tres
ital c ess res zer dis
ap e re ep Sw
it al
es sc wid ed in nci
wid fall Fin
a
Exc Wo
rld rld e
Wo st at
al e
Re
47
8.9 Impact ratios for insurance risk and global scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
ss ic
rsio
n m
ital lo d em
xcu roris
cap Pan e e Ter
ess pris
Exc ter
En
100%
80%
60%
40%
20%
0%
s ic n
los em r sio oris
m
ital d xcu Ter
r
sc
ap Pan s ee
es r i
Exc t erp
En
48
9 Re Captive
The overall SST ratio calculated over all reinsurance captives decreased by 4.13 percentage
points from 242% in 2022 to 232% in 2023. The risk bearing capital increased by 3.79% to CHF
3.721 million, while the target capital went up by 8.09% to CHF 1.643 million. The comparison
is based on aggregate numbers obtained by summing over all reinsurance captives (23 in total).
With regards to the individual analysis, in order to avoid that companies with larger volume
dominate the results, an average over the percentages for each company is shown.
Table 15: Breakdown of Liabilities categories Loss reserves and Other lia-
bilities as reported in the Fundamental Data Sheets (FDS) as of 1 January
2023.
49
As shown in Figure 69 ”Liabilities”, the liabilities of reinsurance captives are mainly concen-
trated in loss reserves (84%) followed by other liabilities (16%). In Table 15, a breakdown of
loss reserves and other liabilities into their components is shown.
In Figure 73 ”Target capital decomposition” it is shown that the one-year capital and market
value margin correspond to 96% and 4% of the target capital, respectively. The one-year capital
is driven (before diversification) by the insurance risk (90%) followed by the credit risk (27%)
and market risk (15%).
The main drivers of the market risk (before diversification) are the currency risk (50%) and
interest rate risk (44%). As shown in Figure 77, interest rate risk is dominated by the EUR
interest rate risk (62% before diversification).
50
9.2 Assets
60% 1% 100%
100%
80%
60%
27%
40%
20%
5%
6%
0%
s es nts s e ets
Bo
nd ar me set anc Ass
Sh
ves
t e r as in sur
er in Oth Re
Oth
100%
80%
60%
40%
20%
0%
51
9.3 Liabilities
16% 100%
100%
84%
80%
60%
40%
20%
0%
ves ilitie
s ties
ser iab bili
re er l Lia
Loss Oth
100%
80%
60%
40%
20%
0%
ves ilitie
s
re ser iab
rl
L oss Othe
52
9.4 Best estimate of liability and target capital in relation to the balance
sheet total
33% 2% 100%
100%
80%
36%
60%
40%
28% 1%
20%
0%
bility arg
in ent ital ns et s
f lia em u irem s cap du ctio Ass
ate o t va
l u re q
Exc
e s De
stim rke tal
e Ma c api
Best ea r
e-y
On
60%
50%
40%
30%
20%
10%
0%
53
9.5 Target capital decomposition
140% 90%
5%
120%
−17% 4% 100%
100% 96%
−23%
80%
60%
27%
40%
20% 15%
−1%
0%
k
t ris al res
ult risk risk l resu
lt ios ion ent M ital
rke i e dit n ce a e nar i fi cat irem MV t cap
a c r a ic c rs q u e
M n C ur hn S e re Tar
g
fina Ins tec Div tal
e cted c t ed r c api
e
Exp Exp e-y
ea
On
100%
50%
0%
−50%
isk sul
t sk sk ult s ent M
ket r al re d it ri c e ri a l res e n ario i rem MV
r i Cr e n ic Sc u
Ma nc ura chn l re
q
fina Ins d te pita
c ted t e c a
e ec ear
Exp Exp e-y
On
54
9.6 Market risk analysis
140%
13%
120% 50%
100%
100%
−26%
80%
19%
60%
44%
40%
20%
0%
100%
80%
60%
40%
20%
0%
isk risk y ri
sk isk
te r ad uity r
ra re enc Eq
r est Sp C urr
Inte
55
9.7 Interest rate analysis
30% 3%
120%
100%
100%
62% −21%
80%
60%
40%
26%
20%
0%
120%
100%
80%
60%
40%
20%
0%
56
9.8 Impact ratios for insurance risk and global scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
ss ic
rsio
n m nt ing
l lo em diu cci
de erv
api
ta
Pan
d xcu in s
ta res
sc is ee ic rial a er-
es rpr Pan ust Un
d
Exc En
te Ind
100%
80%
60%
40%
ss ic
rsio
n m nt vin
g
l lo em diu ide ser
ita
Pan
d xcu in s
ta cc -re
cap ee al a der
ess rpr
is
Pan
ic ustri Un
Exc En
te Ind
57
A Glossary for figures
In the following appendix, risk is measured by the 99% expected shortfall.
A.2 Box-plot
Each box-plot graphic consists of a box and two lines extending vertically from the box, called
whiskers. The box is defined through the lower quartile, the 0.25-quantile of the input data, and
the upper quartile, the 0.75-quartile of the input data. The horizontal line inside the box is the
median, i.e. half of the points are less and half of the points are larger than the median.
The whiskers indicate variability outside the upper and lower quartiles within a defined ”in-
terquantile range”. Any data outside of the whisker range is supposed to be an outlier and is
denoted with a star (individual points).
The box plots in this report exclude all data points equal to zero. Moreover, if less than 5
companies submitted data, only the mean value is shown.
A.3 Liabilities
Loss reserves Best estimate of liabilities, gross of reinsurance, for claims in general
insurance or treatments in health insurance which happened prior to
the reference date of the balance sheet.
Life liabilities (Indi- Best estimate of liabilities, gross of reinsurance, for individual life insur-
vidual) ance contracts, excluding unit-linked liabilities.
Life liabilities Best estimate of liabilities, gross of reinsurance, for group life insurance
(Group) contracts, excluding unit-linked liabilities.
Long-term liabili- Best estimate of liabilities, gross of reinsurance, for health insurers ow-
ties ing to the fact that the insurer is obliged to renew the health insurance
contract until the death of the insured.
Unit-linked liabili- Best estimate of liabilities, net of reinsurance, for unit-linked insurance
ties contracts.
Other liabilities Remaining liabilities, e.g. surplus funds, bonds/loans, various obliga-
tions, etc.
58
A.4 Best estimate of liabilities and target capital in relation to the balance
sheet total
Best estimate of Best estimate value of liabilities at the reference date of the SST.
liabilities
Market value mar- Expected cost of the risk-bearing capital to be held for the settlement of
gin the insurance liabilities over their lifetime.
One-year capital Risk arising from the one-year change in risk-bearing capital. The sum
requirement of the one-year capital requirement plus the market value margin equals
the target capital.
Excess capital Commonly used to refer to that part of the risk-bearing capital that is
held by an insurer in excess of the target capital, i.e. risk-bearing capital
minus target capital.
Expected financial Negative of the expected financial result on the assets in excess of the
result risk-free rate.
Expected technical Negative of the expected result on the new insurance business, exclud-
result ing the financial result.
Other Impact on the target capital of risks not included elsewhere (e.g. guar-
antee).
One-year capital Risk arising from the one-year change in risk-bearing capital. The sum
requirement of the one-year capital requirement and the discounted market value
margin is equal to the target capital.
59
Market value mar- Expected cost of the risk-bearing capital to be held for the settlement of
gin the insurance liabilities over their lifetime.
Spread risk Risk arising from corporate and governmental spreads over the risk-free
rate.
Equity risk Risk arising from quoted shares and share funds.
Property risk Risk arising from real estate investments and real estate funds.
Participations risk Risk arising from participations in enterprises not recognised for official
quotation that is not private equity.
Other Risk arising from market risk but not covered by above categories.
CHF interest rate Risk arising from Swiss risk-free interest rates.
risk
EUR interest rate Risk arising from Euro risk-free interest rates.
risk
GBP interest rate Risk arising from British risk-free interest rates.
risk
Reserve risk Risk that ultimate costs relating to incurred claims (existing claims) vary
from those assumed when the liabilities were estimated. Reserve risk
arises from claim sizes being greater than expected or differences in
timing of claims payments from expected.
60
Normal claims Risk from claims with loss amounts below a certain threshold value,
typically characterized by high frequencies and low severities.
Large claims Risk from claims with loss amounts above a certain threshold value,
typically characterized by low frequencies and high severities.
Nat Cat Risk from claims triggered by a single event, or a series of events (natu-
ral hazards such as earthquake, flood, hail, storm, etc.), of major mag-
nitude, usually over a short period (often 72 hours) that lead to a signif-
icant deviation in actual claims from the total expected claims.
B Global glossary
Cost of capital Cost rate used to determine the costs expected for all future one-year
charge capital requirements until run-off.
Economic balance Balance sheet statement based on market-consistent values for all
sheet assets and liabilities relating to in-force business, including off-balance
sheet items.
Fundamental data Form to report figures for the annual SST reporting process. It needs to
sheet be submitted to FINMA by all insurers, regardless of whether they use
an internal model or the SST standard model.
Market-consistent The practice of valuing assets and liabilities on market values, where
valuation observable, with a given quality (mark-to-market); where not, on
market-consistent valuation techniques (mark-to-model).
61
Premium risk Risk that ultimate costs relating to future claims vary from those
assumed when the obligations were estimated. Premium risk arises
from claim sizes being greater than expected or differences in claims
frequency from those expected. Premium risk is composed of fre-
quency claims, large claims and catastrophe claims.
Risk-bearing capi- Capital which may be taken into account when determining the insurers
tal available capital for SST purposes. Risk-bearing capital is defined as
the sum of the core capital with the supplementary capital.
Risk-free interest Risk-free interest rate is the theoretical rate of return of an investment
rate with no credit risk.
Risk-free yield Curve that shows the relation between the risk-free interest rate (or
curve cost of borrowing) and the time to maturity (the term) of the debt for
a given borrower in a given currency. The yield curves corresponding
to the bonds issued by governments in their own currency are called
the government bond yield curves and considered as risk-free in the
context of the SST.
Supervisory cate- System of six risk categories to which each supervised institution is
gory assigned. Categorisation is based on the risks posed to creditors,
investors and policyholders, as well as to the entire system, and to
Switzerland’s reputation as a financial centre. Supervised institutions
in category 1 are characterised by their size and global relevance, and
the associated significant risks posed at various levels. In the other
categories, the institutions’ risk potential decreases incrementally to
category 5, while those in category 6 are not subject to prudential
supervision.
62
Supplementary Additional capital eligible to cover an insurer’s target capital. Supple-
capital mentary capital is split between lower supplementary capital and upper
supplementary capital, depending on how well the capital can absorb
losses. Supplementary capital includes instruments with risk-absorbing
properties such as hybrid capital or subordinated debt. For instance,
perpetual subordinated loans qualify as upper supplementary capital,
whereas subordinated bonds with a fixed maturity date qualify as lower
supplementary capital.
Target capital The amount of capital to be held by an insurer to meet the quantitative
requirements under the SST. The target capital equals the sum of the
one-year capital requirement plus the market value margin.
Total balance Principle which states that the determination of the amount of capital an
sheet approach insurer has available and needs for solvency purposes should be based
upon all assets and liabilities, as measured in the insurers regulatory
balance sheet (e.g. market-consistently), and how they interact.
63