With the implementation of the Solvency II regime in January 2016 substantial improvements as regards the risks' quantification and the reporting standards were introduced. The enhanced data of all (re)insurance undertakings subject to the Solvency II regime is the basis of the newly developed and improved analytical risk dashboard.
Risk Dashboard July 2021 (Q1-2021 Solvency II Data)
Note: The structural break as of Q1 2020 related to the Brexit withdrawal agreement and represented with a dashed line indicates a break in the number of undertakings of the time series and rebalance of the country weights. Additionally, adjusted time series for EU27 before Q1 2020 are also disclosed to reflect potential variations driven by the structural break in the sample.
The results show that insurers’ exposures to macro risks remain at high level while all other risk categories remain at medium level.
- With regards to macro risk, Gross Domestic Product growth and inflation forecasts registered new upward revisions. The 10 years swap rates have slightly increased across currencies in the second quarter of 2021.
- Financial markets remain broadly stable, amid fiscal and monetary support. Solvency positions for the first quarter of 2021 for all types of undertakings showed an improvement.
- Life insurers’ profitability, measured by annual investments’ returns, registered a notable deterioration in 2020.
- Insurance risks remain at medium level, in spite of deterioration of some indicators.
- The cumulative catastrophe loss ratio and year-on-year premium growth for non-life continued deteriorating.
- On the other hand, the loss ratio decreased to one of the lowest values and year-on-year premium growth for life reported a slight recovery after the deterioration in the previous quarters.
- Market perceptions remain at medium level with an increasing trend.
- The life insurance sector underperformed while non-life outperformed the stock market in the second quarter 2021.
This Risk Dashboard based on Solvency II data summarises the main risks and vulnerabilities in the European Union insurance sector through a set of risk indicators of the first quarter of 2021 complemented with market data and other available information. Solvency II data is based on financial stability and prudential reporting collected from 91 insurance groups and 2227 solo insurance undertakings.
- Reference date for company data is Q1-2021 for quarterly indicators and 2020-YE for annual indicators. The cut-off date for most market indicators is end June 2021.
- Risk Levels are based on a 4-level scale from Low (green) to Very high (red). Risk trend reports the quarter on quarter variation of the risk based on a 5-level scale from Substantial Decrease to Large Increase.
The Outlook displayed for the next 12 months is based on the responses received from the national competent authorities (NCAs) and ranked accordingly to the expected change in the materiality of each risk (Substantial decrease, decrease, unchanged, increase and substantial increase).