This annual Financial Condition Report (“FCR”) for the year ended 31 December 2021 has been prepared for MS Amlin AG (“the Company”). MS Amlin AG is a wholly owned subsidiary of Mitsui Sumitomo Insurance Company, Limited (“MSI”) with its ultimate parent being MS&AD Insurance Group Holdings, Inc. (“MS&AD” or the “Group”).
Basis of preparation
This Financial Condition Report has been prepared in line with the requirements as set out in the Swiss Financial Market Supervisory Authority (“FINMA”) Circular 2016/2 “Disclosure – insurers”. The circular expands on Articles 111a and 203a of the Insurance Supervision Ordinance (ISO; SR 961,011) on the FCR of supervised insurance companies, groups and conglomerates. This report is to meet the regulatory reporting requirements of MS Amlin AG and for no other purpose and should not be relied upon for any other such purpose.
Financial information included in this report is based on MS Amlin AG’s 2022 Swiss Solvency Test’s (“SST”) Market Consistent Balance Sheet (for Balance Sheet financial information) and the 2021 Swiss CO Annual Report (“Swiss CO”), (for Profit or Loss information); both have been prepared in accordance with their relevant regulatory or accounting standards. Unless stated otherwise, this report represents the position of MS Amlin AG as of 31 December 2021 only and will not necessarily reflect all changes in MS Amlin AG’s operations since that date. All quantitative information in this report is disclosed in USD, MS Amlin AG’s presentational currency, unless otherwise specified.
Business activities
MS Amlin AG is a Swiss-domiciled, global reinsurer operating in local and international reinsurance markets, underwriting many classes of business through one capitalised underwriting platform.
The Company operates in four underwriting locations. It is headquartered in Zurich. The Zurich platform predominately writes EMEA (European, Middle East and Africa) business across all lines, and the Bermuda platform focuses on property, casualty, financial and specialty lines in both the U.S. and international markets. The Miami and New Jersey/New York branches write business through a binding authority with MS Amlin Reinsurance Managers, Inc (“ARMi”), which was acquired from MS Amlin Underwriting Limited during the year. Miami is focused on Latin American property, credit and surety, and accident and health business, and New Jersey/New York is focused on U.S. motor and general liability.
The overall portfolio continued to be rebalanced during the year with reductions in catastrophe exposure relative to other classes of business as part of the longer-term strategy to reduce volatility in financial results.
Corporate governance and risk management
The Company operates a two-tier board governance structure. The Supervisory Board consists of nonexecutive directors who are, in principle, not actively engaged in the day-to-day management of the Company and, of whom more than one third are independent of the Company. As an exception, during 2021, the chairman of the Supervisory Board assumed the role of chief executive officer on an interim basis for the final quarter of the year. The Supervisory Board appoints a chairman from among its members. The Executive Board is the Company’s managing body and consists of the chief executive officer and other senior officers and managers of the Company. Appointments to the Executive Board are at the discretion of the Supervisory Board. Further information on corporate governance is provided in section 5.1.
MS Amlin AG’s risk management function is embedded throughout the Company and is an integral part of the business model. Risk management is mandated to ensure that the organization has the necessary expertise, frameworks and infrastructure to support good risk-taking. In additional, risk management monitors and ensures adherences to applicable frameworks. Further information on risk management is provided in section 5.2.
Performance
As of 31 December 2021, the Company reported a net loss of USD 272.8 million (2020: net loss of USD 9.3 million). Key drivers of the current year net loss were prior year deteriorations stemming from developments in U.S. Casualty and Engineering, and catastrophe losses in Europe and the U.S. Further information on performance is provided in section 4.
Valuation for Solvency purposes
The MS Amlin AG SST 2022 Capital Ratio, described in detail later in this report, is 180%, which compares favourably with the minimum FINMA SST solvency requirement of 100%. The SST one-year risk capital is USD 892.7 million. The market value margin is USD 164.0 million. The Target capital is USD 1,056.7 million. And, the SST Risk Bearing Capital is USD 1,766.4 million. Please note that the SST 2022 is filed with FINMA in April 2022, simultaneously to this document.
As described throughout this document, the MS Amlin AG SST Target Capital is dominated by insurance risk. Within insurance risk, reserve risk has now overtaken premium risk as the main source of risk. Reserve risk has increased driven by the increase in reserves and the growing long-tail nature of the portfolio, while premium risk has reduced mainly due to reductions in exposures to natural catastrophes.
The relevant measure of available own funds is the risk bearing capital (“RBC”) calculated on the SST market consistent balance sheet. MS Amlin AG has net assets under Swiss Code of Obligation (“Swiss CO”) of USD 1,568.5 million compared to USD 1,766.4 million net assets based on SST market consistent balance sheet.
The adjustments made to move from Swiss CO balance sheet to SST market-consistent balance sheet are set out below:
Approval of the Financial Condition Report
This report was reviewed and approved, and its disclosure pursuant to the FINMA Circular 2016/2 “Disclosure – insurers” signed off, by the Supervisory Board of MS Amlin AG on 20 April 2022.