SST Survey 2022

SST 2022 Survey
FINMA Report on the Swiss Insurance Market
23. September 2022
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
4 Goals of the analyses 7
5 Life 9
5.1 Comments on results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
5.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
5.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
5.4 Best estimate of liability and target capital in relation to the balance sheet total . 13
5.5 Target capital decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
5.6 Market risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5.7 Interest rate analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
5.8 Impact ratios for market and credit risk scenarios . . . . . . . . . . . . . . . . . . 17
5.9 Impact ratios for insurance risk and global scenarios . . . . . . . . . . . . . . . . 18
6 General insurance 19
6.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
6.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
6.8 General insurance risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
7 Health 30
7.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
7.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
8 Reinsurance 40
8.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
8.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
1
9 Re Captive 50
9.2 Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
9.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
A Glossary for figures 59

A.1 Waterfall chart . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
A.2 Box-plot . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
A.3 Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
A.4 Best estimate of liabilities and target capital in relation to the balance sheet total 60
A.5 Target capital decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
A.6 Market risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
A.7 Interest rates analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
A.8 General insurance risk analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
B Global glossary 62
2
1 Introduction
This report provides an overview of the 2022 SST results and is based on data collected from
129 insurers (14 life insurers, 52 general insurers, 18 health insurers, 22 reinsurers and 23
reinsurance captives). It does not include insurance groups.
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 RBC. This avoids distortion due to com-
panies 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. All supervised insurers 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 129 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.
Category 2 Category 3 Category 4 Category 5 Total

Life 2 10 2 0 14
General insurance 2 9 20 21 52
Health 0 8 8 2 18
Reinsurance 1 9 10 2 22
Re Captive 0 0 7 16 23
Total 5 36 47 41 129
Table 1: Breakdown of all insurers subject to SST reporting requirements

according to sector and supervisory category.
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 2022 in Table 2, SST 2021 in Table 3).
RBC TC MVM SST ratio

Life 81,667 39,397 8,407 236%
General insurance 86,833 42,230 10,302 239%
Health 25,622 8,296 2,401 393%
Reinsurance 58,421 33,324 8,428 200%
Re Captive 3,585 1,520 70 242%
Total 256,130 124,768 29,610 238%
Table 2: Risk-bearing capital (RBC, in CHF million), target capital (TC, in

CHF million), market value margin (MVM, in CHF million) and SST ratios as
of 1 January 2022, broken down by sector.
RBC TC MVM SST ratio

Life 76,621 41,382 8,551 207%
General insurance 82,287 43,009 10,550 221%
Health 24,591 8,974 2,437 339%
Reinsurance 53,811 33,030 8,551 185%
Re Captive 3,333 1,268 42 269%
Total 240,643 127,663 30,130 216%
Table 3: Risk-bearing capital (RBC, in CHF million), target capital (TC, in

CHF million), market value margin (MVM, in CHF million) and SST ratios as
of 1 January 2021, broken down by sector.
4
3 Model overview
Of the 129 companies included in this report, 17 use an internal model for at least one module
(excluding NatCat). The other 112 companies are users of the standard models. From these
companies 17 use an additional internal model to determine their NatCat risks (cf. Table 4).
2017 2018 2019 2020 2021 2022

IM 61 29 19 20 19 17
SM 86 116 120 117 114 112
... thereof with IM for NatCat 1 13 12 16 16 17
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 2022 this was the case for 16 companies for their market risk, 3 for their credit risk
module; and in 16 cases for the insurance risk module (cf. Table 5).
Aggregation and MVM Market risk Credit risk Insurance risk

without NatCat risk
IM 8 6 5 13
SM 121 123 124 116
... thereof SM-ca 0 16 3 16
Table 5: Split by module. Total number of partial internal models (IM), standard models (SM)
and SM with company-specific adjustments (SM-ca) in 2022.
5
With the introduction of the new model approval process in 2016, all companies still in need
of a (partial) internal model had to resubmit their model application, starting with the so-called
proof of need. In the meantime, almost all internal models have gone through this process
including a summary review. Summary reviews are now only performed on model changes.
2017 2018 2019 2020 2021

Proof of need 43 9 3 3 2
Summary review 53 63 56 39 21
... thereof SM-cA 6 28 20 12 6
... thereof IM 47 35 36 27 15
Material review 0 7 8 4 6
Table 6: Total number of submitted proofs of need, model applications followed by a summary
review (split into company specific adjustments to the standard model (SM-cA) and (partial)
internal models (IM) and material reviews over the past years all by legal entity and module.2
2 Note that starting with the SST Survey 2022, the date of FINMA’s decision is used to define the year of a review
instead of the date of its submission.
6
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.;
• split of interest rate risk into different currencies;
• scenarios and their impact on risk-bearing capital; indication of whether the SST capital
requirements after scenario impacts are still met.
Two types of graph are shown:
• waterfall diagrams;
• box plots providing information on data dispersion.
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
The market value of assets (MV(A)) is decomposed into:
• best estimate of liabilities (BEL);
• market value margin (MVM);
• 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
TC = SCR + MVM (1)
• 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)
7
• 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.
Target capital decomposition

Target capital is the sum of the one-year capital requirement (SCR) and the market value margin
(MVM). In turn, the SCR key components are market risk, credit risk, insurance risk and effect
of the scenarios and diversification.
Market risk analysis

Market risk plays an important role in an economic, risk-based solvency regime. A number of
risk factors, such as interest rates, credit spreads, exchange rates, real estate, to name but a
few, contribute to market risk. Waterfall and box plot diagrams are used to present the most
important market risk factors.
Interest rate risk analysis

Insurers with assets and liabilities denominated in different currencies are exposed to currency
risk and generally also to interest rate risk. In such cases, the total interest rate risk comprises
the interest rate risk of each currency. We have shown the decomposition of the total interest
rate risk into four currencies CHF, EUR, USD and GBP, including the effect of diversification.
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
8
5 Life
The overall SST ratio calculated over all life insurers increased by 29 percentage points from
207% in 2021 to 236% in 2022. The risk bearing capital increased by 6.6% to CHF 81,667
million, while target capital went down by 4.8% to CHF 39,397 million. The comparison is based
on aggregate numbers obtained by summing over all life insurers (14 in total).
With regard 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.
Life FDS component
Government bonds 49.9%

Bonds
Corporate bonds 47%
Investment funds: bonds 3.1%
Real estate 64.5%

Real estate
Mortgages 28.3%
Investment funds: real estate 7.2%
Table 7: Breakdown of Investments categories Bonds and Real estate as

reported in the Fundamental Data Sheets (FDS) as of 1 January 2022.
Life FDS component
Best estimate of insurance liabilities (life): gross 99.9%

Loss reserves Best estimate of insurance liabilities (non-life): gross 0%
Best estimate of insurance liabilities (health): gross 0%
Active reinsurance (indirect business) 0.1%
Deposit liabilities from ceded reinsurance 7.5%

Liabilities from derivative financial instruments 3.2%
Non-technical provisions 0.8%
Other liabilities
Liabilities from insurance business 25.1%
Other liabilities 24.3%
Reserves for surplus funds 5.9%
Subordinated liabilities 26.7%
Interest-bearing liabilities 6.4%
Table 8: Breakdown of Liabilities categories Loss reserves and Other lia-

bilities as reported in the Fundamental Data Sheets (FDS) as of 1 January
2022.
9
5.1 Comments on results
The asset portfolios of life insurers are dominated by bond investments (42%) followed by in-
vestment in real estate (20%) and unit-linked life insurance (16%), as illustrated in Figure 1
”Assets”. A further breakdown of the investment categories bonds and real estate is shown in
Table 7.
As shown in Figure 3 ”Liabilities”, the liabilities of life insurers are dominated by individual life
liabilities (42%) followed by group life liabilities (29%) and unit-linked liabilities (19%). In Table
8, 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 82% and 18% of the target capital, respectively. The one-year
capital is driven (before diversification) by the market risk (59%) followed by the insurance risk
(22%) and credit risk (20%).
The main drivers of the market risk (before diversification) are the interest rate risk (45%) and
spread risk (42%). As shown in Figure 11, interest rate risk is dominated by the CHF interest
rate risk (114% before diversification).
10
5.2 Assets
6% 100%
100% 4%
6%
16%
80%
5% 1%
20%
60%
42% 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
Figure 1: Life (mean values by sector)
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
Figure 2: Life (distribution as box-plot)
11
5.3 Liabilities
9% 100%
100%
19%
80%
29% 1%
60%
42%
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 tie s
ivid r
liab liab bili
(Ind ties (G e ed r lia
t i es bili anc link the
bili lia sur Un
it- O
lia Life r in
Life O the
12
5.4 Best estimate of liability and target capital in relation to the balance
sheet total
11% 1% 100%
100%
8% −2%
80% 2%
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%
ility arg
in
me
nt ital ital ns
f liab m ire s cap y cap du ctio
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
13
5.5 Target capital decomposition
6% 1% 18% 100%
100%
22%
82%
80% −17%
20%
59%
60%
−8%
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
14
5.6 Market risk analysis
9%
5%
28% 1%
150%
22%
17%
100%
100%
42% −70%
50% 45%
0%
isk risk risk risk risk risk risk Oth
er
atio
n
t ris
k
ra te r re ad e ncy q uity e r ty un ds q uity ific rke
r p f s a
est Sp Cu
r E Pro dge e e
Div
e r M
Inte
r
He vat
Pri
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
15
5.7 Interest rate analysis
25% 3%
36%
150%
114%
100%
100%
−79%
50%
0%
isk isk isk isk io n isk
ra te r rate r ra te r te r ifi cat a te r
est est est t ra ers st r
ter r r res div tere
F in R inte Di
nte P in
te
a tes In
CH EU US GB rest r
Inte
150%
100%
50%
0%
te risk te risk te risk te risk

t ra t ra t ra t ra
res res res res
F in te
R inte Di
nte P i n t e
CH EU US GB
16
5.8 Impact ratios for market and credit risk scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
s n
los ion sio nd ess ers ion rio
p i tal e c ess p res it zerla l d istr i n sur e n trat sc ena
ca r e w ia fr e c
ess ide ide
d
in S anc lt o con tion
Exc o rldw r ldw fall Fin e fau s t ate c e ntra
o t e D n
W W sta al E Co
al e Re
Re
100%
80%
60%
40%
20%
0%
s n on s rs
los sio ssi rlan
d
tres ure tion ario
tal ces pre itze dis ins ntra cen
capi r e d e w i a l r e ce n s
ess ide ide in S anc ult
of con rati
o
Exc rldw rldw fall Fin efa tate ent
Wo W o
st a te D al E s
C o n c
al e Re
Re
17
5.9 Impact ratios for insurance risk and global scenarios
100%
80%
Impact ratio
60%
40%
20%
0%
ss ity lity ses ic m
tal
lo gev abi Lap d em roris
capi Lon Dis Pan Ter
es s
Exc
140%
120%
100%
80%
60%
40%
20%
los
s ity lity ses ic ism
ital gev abi Lap dem ror
cap Lon Dis Pan Ter
ess
Exc
18
6 General insurance
The overall SST ratio calculated over all general insurers increased by 18 percentage points
from 221% in 2021 to 239% in 2022. The risk bearing capital increased by 5.5% to CHF 86,833
on aggregate numbers obtained by summing over all general insurers (52 in total).
General insurance FDS component

Bonds
Corporate bonds 51.5%
Investment funds: bonds 30%
Real estate 41.7%

Real estate
Mortgages 10.5%

General insurance FDS component

Loss reserves Best estimate of insurance liabilities (non-life): gross 85.3%
Best estimate of insurance liabilities (health): gross 0.6%

Other liabilities
Reserves for surplus funds 1.3%
2022.
19
The asset portfolios of general insurers are mainly concentrated in bond investments (35%)
followed by other assets (27%), as illustrated in Figure 17 ”Assets”. A further breakdown of the
investment categories bonds and real estate is shown in Table 9.
As shown in Figure 19 ”Liabilities”, the liabilities of general insurers are dominated by the
loss reserves (58%) followed by the other liabilities (26%). In Table 10, 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 the
market value margin correspond to 89% and 11% of the target capital, respectively. The one-
year capital is driven (before diversification) by the insurance risk (53%) followed by the market
risk (50%).
The main drivers of the non-life insurance risk (before diversification) are the reserve risk
(58%) and the normal claims (41%). The main drivers of market risk (before diversification) are
the equity risk (41%) and interest rate risk (33%). As shown in Figure 27 the interest rate risk is
dominated by the CHF interest rate risk (70% before diversification).
20
6.2 Assets
4% 100%
100% 27%
80%
4%
2% 1%
13%
60%
11%
40% 35% 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
Figure 17: General insurance (mean values by sector)
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 nked Oth
it -
Un
Figure 18: General insurance (distribution as box-plot)
21
6.3 Liabilities
26% 100%
100%
80%
13% 1%
58%
60%
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%
p ) es s s s
rou erv ilitie ilitie ilitie
s (G res liab liab rliab
litie Los
s
anc
e
link
ed the
li abi sur it- O
Life r in Un
O the
22
sheet total
34% 2% 100%
100%
−1%
80%
18%
60%
45% 2%
40%
20%
0%
bili
o lu q e s ar De
te a re Exc nt
ima et v tal me
s ea u
Be e-y
S
On
100%
80%
60%
40%
20%
0%
−20%
ility rgin ent tal tal ns

iab a rem c api cap
i
ctio
of l alu
em qui ess ary De
du
ate et v tal
re Exc ent
e stim ark c api ppl
em
B est M
ear Su
e-y
On
23
120% 53% 7%
−6% 11% 100%

100%
89%
−26%
80%
18%
60%
50%
40% −7%
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
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
24
160% 7% 3%
3% 2%
15%
140%
41%
120%
100%
100%
27% −57%
80%
25%
60%
40% 33%
20%
0%
risk risk risk ty risk ty risk risk ty risk risk er
Oth ificati
on t ris
k
rate pread e ncy q ui e r u nds q ui t i o ns rke
t r r E p f e a r s a
res S Cu Pro edge vat
e tici
p
Div
e M
Inte H Pri Par
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 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
25
3%
22%
120%
31% 100%
100%
−26%
80%
70%
60%
40%
20%
0%
r r r res div tere
F inte R inte Di
nte P in
te
a tes In
CH EU US GB rest r
Inte
150%
100%
50%
0%

t ra t ra t ra t ra
res res res res
F in te
R inte Di
nte P i n t e
CH EU US GB
26
6.8 General insurance risk analysis
9%
140% 15%
120% 19%
41% 100%
100%
−41%
80%
60% 58%
40%
20%
0%
risk aim
s ims tC
at
UR
R ion
Ris
k
r ve l cl cla Na ifi cat e
ese a
Lar
g e
ers anc
R 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
27
80%
Impact ratio
60%
40%
20%
0%
s n
ca r e w ia fr e c
ess ide ide
d
o t e D n
W W sta al E Co
al e Re
Re
100%
50%
0%
−50%
−100%
s n on s rs
los sio ssi rlan
d
tres ure tion ario
of con rati
o
Wo W o
st at e D al E s
C o n c
al e Re
Re
28
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 erv 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
29
7 Health
The overall SST ratio calculated over all health insurers increased by 54 percentage points from
on aggregate numbers obtained by summing over all health insurers (18 in total).
Health FDS component

Bonds
Real estate 45.2%

Real estate
Mortgages 0.3%

Health FDS component
Best estimate of insurance liabilities (life): gross 0%

Best estimate of insurance liabilities (health): gross 75.9%
Deposit liabilities from ceded reinsurance 0%

Liabilities from derivative financial instruments 7%
Non-technical provisions 8%
Other liabilities
Reserves for surplus funds 0%
Interest-bearing liabilities 3%
2022.
30
The asset portfolios of health insurers are mainly concentrated in bond investments (48%) fol-
lowed by share investments (20%), as illustrated in Figure 35 ”Assets”. A further breakdown of
the investment categories bonds and real estate is shown in Table 11.
As shown in Figure 37 ”Liabilities”, the liabilities of health insurers are dominated by the loss
reserves (106%) followed by the other liabilities (87%) and the long-term liabilities (-106%)3 . In
Table 12, a breakdown of other liabilities and loss reserves into their components is shown.4
capital is driven (before diversification) by the insurance risk (61%) followed by the market risk
(33%).
The main drivers of the market risk (before diversification) are the equity risk (58%) followed
by the interest rate risk (52%). As shown in Figure 45, interest rate risk is dominated by the
CHF interest rate risk (89% before diversification).
3 Negative long-term liabilities correspond to the partial recognition of an embedded value of the underlying business.
4 Note, that for this table only non-negative best estimates (actual liabilities) are taken into account.
31
7.2 Assets
13% 100%
100%
4%
20% 1%
80%
14%
60%
48% 1%
40%
20%
0%
nds atio
ns ate are
s nds nts set
s ets
Bo p al est Sh e fu t me r as Ass
tici Re dg ves e
Par He e r in Oth
Oth
Figure 35: Health (mean values by sector)
60%
40%
20%
0%
nd s ion
s ate are
s nds nts ets
Bo ipa
t
al est Sh e fu tme ass
tic Re dg ves er
Par He er in Oth
Oth
Figure 36: Health (distribution as box-plot)
32
7.3 Liabilities
140%
120%
106%
87% 100%
100%
80%
60%
40%
20% 11%
2%
0%
−106%
) s
ual ves litie ties ilitie
s ties
ivid ser liab
i
abi
li
iab bili
nd re e li rl Lia
s (I oss erm anc the
litie L g-t u r O
li abi Lon r in
s
Life e
Oth
600%
400%
200%
0%
−200%
−400%
−600%
−800%
−1,000%
) s
ual erv
es ilitie ilitie
s ties
ivid s iab ab liabili
s (I
nd s re r ml e li her
ilitie Los g-te a nc Ot
liab Lon n sur
Life er i
Oth
33
sheet total
66% 1% 100%
100%
80%
60%
40%
23%
20%
9%
1%
0%
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%
ility in ent tal ns

iab arg rem capi ctio
of l ue
m
qui ess De
du
ate t val ta l re Exc
estim rke api
st Ma c
Be ear
e-y
On
34
2% 27% 100%
100% 61%
−2%
80%
73%
−24%
60%
40% 7%
33%
−4%
20%
0%
k
t ris al res
g
e
Exp Exp e-y
ea
On
100%
80%
60%
40%
20%
0%
isk sul
t sk sk ult s ent M
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
35
200%
2% 3%
19% 1%
58%
150%
22% 100%
100%
−82%
25%
52%
50%
0%
risk d ri
sk risk risk ty r
isk risk ty r
isk
Oth
er ion isk
te rea ncy uity ds qui cat et r
t ra Sp rre Eq o per fun e r sifi ark
res C u P r
dg e
vat
e Div
e M
Inte He Pri
80%
60%
40%
20%
0%
risk risk risk risk risk risk risk Oth

er
t ra
te read ncy uity pe r ty nds qu ity
res Sp rre Eq Pro e fu te e
Cu dg va
Inte He Pri
36
17% 1%
120%
12% 100%
100%
89% −19%
80%
60%
40%
20%
0%
F in R inte Di
nte P in
te
a tes In
CH EU US GB rest r
Inte
120%
100%
80%
60%
40%
20%
0%
risk r isk risk risk

t ra
te ate t ra
te
t ra
te
res r est r res res
in te in te nte n t e
F R Di P i
CH EU US GB
37
100%
80%
Impact ratio
60%
40%
20%
0%
s n
ca r e w ia fr e c
ess ide ide
d
o t e D n
W W sta al E Co
al e Re
Re
100%
80%
60%
40%
20%
s n on s rs
los sio ssi rlan
d
tres ure tion ario
of con rati
o
Wo W o
st a t e D al E s
C o n c
al e Re
Re
38
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%
l lo
ss bili
ty ses ic ion um ent ing
oris
m
ta Dis
a Lap dem curs t adi cid erv err
api Pan ex i n s l a c
r -res T
essc pris
e ic ust
r i a de
Exc ter Pan Ind Un
En
39
8 Reinsurance
The overall SST ratio calculated over all reinsurers increased by 15 percentage points from
million, while target capital went up by 0.9% to CHF 33,324 million. The comparison is based
on aggregate numbers obtained by summing over all reinsurers (22 in total).
dominate the results, an average over the percentages for each company is shown. As of SST
2018, a standard model for reinsurers (StandRe) has been made available for the calculation of
insurance risk (excluding life and natural catastrophes).
Reinsurance FDS component
Government bonds 26%

Bonds
Real estate 10.9%

Real estate
Mortgages 9.1%
Investment funds: real estate 80%

Reinsurance FDS component


Other liabilities
2022.
40
The asset portfolios of reinsurers are mainly concentrated in bond investments (34%) followed
by other assets (33%), as illustrated in Figure 51 ”Assets”. A further breakdown of the invest-
ment categories bonds and real estate is shown in Table 13.
As shown in Figure 53 ”Liabilities”, the liabilities of reinsurers are dominated by the loss
reserves (77%) and the other liabilities (21%). In Table 14, a breakdown of loss reserves and
other liabilities into their components is shown.
capital is driven (before diversification) by insurance risk (74%) followed by the market risk
(31%).
The main drivers of the market risk (before diversification) are the spread risk (59%) followed
by the currency risk (42%) and the interest rate risk (39%). As shown in Figure 61, interest rate
risk is dominated (before diversification) by the USD interest rate risk (55%) followed by EUR
interest rate risk (52%).
41
8.2 Assets
10% 100%
100%
33%
80%
60% 13%
5% 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
Figure 51: Reinsurance (mean values by sector)
80%
60%
40%
20%
0%
nds ns te s ds nts ets e

Bo atio sta are fun me ass anc
icip al e Sh e
ves
t er sur
Pa r t Re H edg r in Oth Re
i n
e
Oth
Figure 52: Reinsurance (distribution as box-plot)
42
8.3 Liabilities
21% 100%
100%
77%
80%
60%
40%
20%
3%
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 e ser iab
(Ind s r er l
ilitie
s Los Oth
liab
Life
43
sheet total
22% 1% 100%
100%
−1%
80% 16%
3%
60% 58%
40%
20%
0%
bili
o lu q e s ar De
te a re Exc nt
ima et v tal me
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
44
74%
120% 1% 1%
−11% 17% 100%
100%
83%
80% −31%
60%
21%
40%
31%
−3%
20%
0%
t ris
k ult risk risk l resu
lt ios er on ent M ital
rke ncial
res
e dit n ce a e nar Oth ificati uirem MV t cap
a C r ur a n ic S c rs q g e
M
fina Ins d tech
e
Div pital r
e Tar
e c ted c t e r c a
e
Exp Exp e-y
ea
On
150%
100%
50%
0%
−50%
−100%
−150%
isk sul
t sk sk ult s er ent M
k et r a l re d it ri c e ri a l res e n ario Oth i r em MV
r i Cr e n ic Sc u
Ma nc ura chn l re
q
fina Ins d te pita
c t ed t e c a
e ec ear
Exp Exp e-y
On
45
9% 2% 1%
5% 2%
22%
150% 42%
59% 100%
100%
−80%
50% 39%
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 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
46
140% 12%
55%
120%
100%
100%
−36%
80%
52%
60%
40%
20% 17%
0%
F in R inte Di
nte P in
te
a tes In
CH EU US GB rest r
Inte
150%
100%
50%
0%

t ra t ra t ra t ra
res res res res
F in te
R inte Di
nte P i n t e
CH EU US GB
47
80%
Impact ratio
60%
40%
20%
0%
ss on ion nd ss rio
ta l lo
cessi ress zer
la
di stre cen
a
api e re dep wit ial ns
sc wid e S anc io
es wid all
in
Fin trat
Exc Wo
rld rld te f nce
n
Wo esta Co
al
Re
100%
50%
0%
−50%
−100%
s ion n d s
los ssi
o lan tres ario
ital ess e zer dis cen
ap e re
c epr wit al ns
essc id ed in S nci t i o
rldw wid fall Fin
a ntra
Exc Wo rld nce
Wo st ate Co
al e
Re
48
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 dem ur sio oris
m
ital exc Ter
r
sc
ap Pan
es prise
Exc ter
En
49
9 Re Captive
The overall SST ratio calculated over all reinsurance captives decreased by 27 percentage
points from 269% in 2021 to 242% in 2022. The risk bearing capital increased by 7.6% to CHF
3,585 million, while target capital went up by 19.9% to CHF 1,520 million. The increase in target
capital is to a considerable extent due to the introduction of an improved SST standard model
for insurance risks of captives. The comparison is based on aggregate numbers obtained by
summing over all reinsurance captives (23 in total).
Re Captive FDS component
Government bonds 37%

Bonds
Corporate bonds 43%
Investment funds: bonds 20%
Table 15: Breakdown of Investments category Bonds as reported in the Fun-

damental Data Sheets (FDS) as of 1 January 2022.
Re Captive FDS component
Best estimate of insurance liabilities (life): gross 0%

Loss reserves Best estimate of insurance liabilities (non-life): gross 0%
Active reinsurance (indirect business) 100%
Deposit liabilities from ceded reinsurance 0%

Liabilities from derivative financial instruments 0%
Other liabilities
Interest-bearing liabilities 0%
2022.

The asset portfolios of reinsurance captives are mainly concentrated in other assets (59%)
followed by other investments (26%) and bond investments (7%), as illustrated in Figure 67
50
”Assets”. A further breakdown of the investment category bonds is shown in Table 15.
As shown in Figure 69 ”Liabilities”, the liabilities of reinsurance captives are dominated by the
loss reserves (85%) and the other liabilities (15%). In Table 16, 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 the
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 (82%) followed by the credit
risk (27%). The main drivers of market risk (before diversification) are the interest rate risk
(59%) and the currency risk (38%). As shown in Figure 77 the interest rate risk is dominated by
the EUR interest rate risk (57% before diversification).
51
9.2 Assets
59% 1% 100%
100%
80%
60%
26%
40%
20%
7%
7%
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
Figure 67: Re Captive (mean values by sector)
100%
80%
60%
40%
20%
0%
nd s es nts ets nce

Bo ar me ass a
Sh
ves
t er sur
r in Oth Rein
th e
O
Figure 68: Re Captive (distribution as box-plot)
52
9.3 Liabilities
15% 100%
100%
85%
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
53
sheet total
32% 1% 100%
100%
−1%
80%
38%
60%
40%
29% 1%
20%
0%
bili
ty rgin ent ital ital n s e ts
f lia e ma u irem s cap y cap ductio Ass
o lu q e s ar De
te a re Exc nt
ima et v tal me
s ea u
Be e-y
S
On
80%
60%
40%
20%
0%
−20%
ility in nt tal ta l s
iab arg me api api tion
o f l
lue
m uire ess
c
tar
yc duc
ate a req Exc en De
im et v tal em
est ark c api ppl
st M
ear Su
Be e-y
On
54
82%
120% 7%
−13% 4% 100%
100% 96%
−19%
80%
60%
27%
40%
20% 14%
−1%
0%
k
t ris al res
g
e
Exp Exp e-y
ea
On
100%
50%
0%
−50%
isk sul
t sk sk ult s ent M
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
55
140% 17%
120% 38%
100%
100%
−34%
20%
80%
59%
60%
40%
20%
0%
isk risk risk isk ion isk
te r ad ncy ui ty r ifi cat rke
tr
t ra Sp
re rre Eq ers Ma
res Cu Div
Inte
100%
80%
60%
40%
20%
0%
risk sk
y ri
sk isk
te d ri uity r
t ra rea enc Eq
res Sp C urr
Inte
56
24% 1%
100%
100%
−6%
57%
80%
60%
40%
25%
20%
0%
isk isk isk isk ion isk
r r r res div tere
F inte R inte Di
nte P in
te
a tes In
CH EU US GB rest r
Inte
120%
100%
80%
60%
40%
20%
0%
risk risk risk r isk

t ra
te ate t ra
te ate
res st r res st r
in te in tere nte inte
r e
F R Di P
CH EU US GB
57
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%
20%
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
58
A Glossary for figures
In the following appendix, risk is measured by the 99% expected shortfall.
A.1 Waterfall chart

Waterfall charts explain the quantitative decomposition of an entity by revealing the cumulative
positive and negative effects of its components in the form of bars. The waterfall charts in this
report show unweighted mean values.
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.
Other insurance Best estimate of other insurance liabilities, gross of reinsurance.

liabilities
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.
59
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.
Supplementary Additional capital eligible to cover an insurers target capital such as

capital hybrid capital or subordinated debt.
Deductions Regulatory adjustments for determining an insurers core capital. De-

ductions include, among others, own shares, goodwill and other intan-
gibles, planned dividend payments or repayments of debt.
A.5 Target capital decomposition
Market risk Standalone risk from financial market risk factors.
Expected financial Negative of the expected financial result on the assets in excess of the
result risk-free rate.
Credit risk Standalone credit risk (default and migration).
Insurance risk Standalone insurance risk.
Expected technical Negative of the expected result on the new insurance business, exclud-
result ing the financial result.
Scenarios Impact of the scenarios (prescribed and company-specific) on the target

capital.
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.
60
Market value mar- Expected cost of the risk-bearing capital to be held for the settlement of
gin the insurance liabilities over their lifetime.
A.6 Market risk analysis
Spread risk Risk arising from corporate and governmental spreads over the risk-free
rate.
Currency risk Risk arising from the foreign exchange market.
Equity risk Risk arising from quoted shares and share funds.
Property risk Risk arising from real estate investments and real estate funds.
Hedge funds risk Risk arising from hedge funds.
Private equity risk Risk arising from private equity investments.
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.
A.7 Interest rates analysis
CHF interest rate Risk arising from Swiss risk-free interest rates.
risk
EUR interest rate Risk arising from euro risk-free interest rates.
risk
USD interest rate Risk arising from US risk-free interest rates.

risk
GBP interest rate Risk arising from British risk-free interest rates.
risk
A.8 General insurance risk analysis
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.
61
Normal claims Risk from claims with loss amounts below a certain threshold value,
typically characterized by high frequencies and low severities.
Related terms: frequency claims, small claims, attritional claims
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
Core capital Core measure of an insurer’s strength from a regulatory perspective.

Core capital equals the market-consistent value of assets minus the
market-consistent value of liabilities minus deductions plus the market
value margin.
Related terms: market-consistent valuation, market value margin,

deductions
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.
Related terms: market-consistent valuation, total balance sheet

approach
Expected shortfall A coherent risk measure. For a given confidence level of 1 − α, it

measures the average losses over the threshold defined (typically set
as the value-at-risk for a percentile given), i.e. the conditional mean
value, given that the loss exceeds the 1 − α percentile.
Related term: value-at-risk
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).
62
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.
Synonyms: current year risks, underwriting risks, pricing risk
Related terms: reserve risk
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.
Related terms: core capital, supplementary capital
Risk-free interest Risk-free interest rate is the theoretical rate of return of an investment
rate with no credit risk.
Related term: risk-free yield curve
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.
Related terms: risk-free interest rate
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.
63
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.
Related terms: risk-bearing capital, target 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.
Related terms: one-year capital requirement, market value mar-

gin
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.
Related terms: economic balance sheet, market-consistent valua-

tion
Value-at-risk Value-at-risk is a percentile of a distribution and is used as a (non-

coherent) risk measure.
Related term: expected shortfall
64

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SST 2022 Survey

FINMA Report on the Swiss Insurance Market

23. September 2022

4 Goals of the analyses 7

A Glossary for figures 59

Category 2 Category 3 Category 4 Category 5 Total

Table 1: Breakdown of all insurers subject to SST reporting requirements

RBC TC MVM SST ratio

Table 2: Risk-bearing capital (RBC, in CHF million), target capital (TC, in

RBC TC MVM SST ratio

Table 3: Risk-bearing capital (RBC, in CHF million), target capital (TC, in

2017 2018 2019 2020 2021 2022

Aggregation and MVM Market risk Credit risk Insurance risk

2017 2018 2019 2020 2021

instead of the date of its submission.

• split of interest rate risk into different currencies;

Two types of graph are shown:

• box plots providing information on data dispersion.

The market value of assets (MV(A)) is decomposed into:

• best estimate of liabilities (BEL);

• market value margin (MVM);

TC = SCR + MVM (1)

Target capital decomposition

Market risk analysis

Interest rate risk analysis

Life FDS component

Government bonds 49.9%

Real estate 64.5%

Table 7: Breakdown of Investments categories Bonds and Real estate as

Life FDS component

Best estimate of insurance liabilities (life): gross 99.9%

Deposit liabilities from ceded reinsurance 7.5%

Table 8: Breakdown of Liabilities categories Loss reserves and Other lia-

Figure 1: Life (mean values by sector)

Figure 2: Life (distribution as box-plot)

Figure 3: Life (mean values by sector)

Figure 4: Life (distribution as box-plot)

Figure 5: Life (mean values by sector)

Figure 6: Life (distribution as box-plot)

Figure 7: Life (mean values by sector)

Figure 8: Life (distribution as box-plot)

Figure 9: Life (mean values by sector)

Figure 10: Life (distribution as box-plot)

Figure 11: Life (mean values by sector)

te risk te risk te risk te risk

Figure 12: Life (distribution as box-plot)

Figure 13: Life (mean values by sector)

Figure 14: Life (distribution as box-plot)

Figure 15: Life (mean values by sector)

Figure 16: Life (distribution as box-plot)

General insurance FDS component

Government bonds 18.5%

Real estate 41.7%

Table 9: Breakdown of Investments categories Bonds and Real estate as

General insurance FDS component

Best estimate of insurance liabilities (life): gross 2.7%

Deposit liabilities from ceded reinsurance 1.1%

Figure 17: General insurance (mean values by sector)

Figure 18: General insurance (distribution as box-plot)

Figure 19: General insurance (mean values by sector)

Figure 20: General insurance (distribution as box-plot)

Figure 21: General insurance (mean values by sector)

ility rgin ent tal tal ns

Figure 22: General insurance (distribution as box-plot)