Non-Life Insurance Prism Scores in the United States Show Signs of Deterioration

According to Prism, Fitch Ratings’ proprietary capital model, the property/casualty (P/C) insurance sector in the United States maintained extremely strong capital strength in 2021. “2021 U.S. Non-Life Sector Prism Scores,” Fitch’s 10th annual special report, covers Prism results for 49 U.S. P/C insurance groups.

Individual scores within Fitch’s chosen universe fell from YE 2020 to YE 2021, with seven groups experiencing score declines and only three groups experiencing score increases. While the distribution of Prism scores has shifted downward from the previous year, all Fitch-rated insurers had a “Strong” Prism score or higher. In general, the unrealized gain component of Available Capital decreased year on year, while Target Capital increased slightly.

The Prism score for the US P/C sector as a whole is “Extremely Strong,” though the cushion between Available Capital and Target Capital has shrunk. If the aggregate existed as a true insurance company, it would be the world’s largest insurer, with significant risk parameter offsets and increased diversification.

Fitch anticipates that any changes to Prism Scores at YE 2022 will be limited and modest – depending on the insurer’s profile, continued rising interest rates and historic catastrophe losses will decrease Available Longer-term assets and property cat exposures will provide capital for those insurers.

Consistent inflation increases and the availability of reinsurance will raise Underwriting, Reserve, and Catastrophe risk projections in Target Capital for insurers that are unable to push through rating actions or have longer-tail liabilities.
The report’s exhibits discuss changes in Available Capital and Target Capital for the subject group of insurers, in addition to published scores on individual groups. Target Capital is allocated across major modelled risk factors such as underwriting, natural disasters, reserves, and asset risk. Based on historical and projected experience, Prism creates a unique risk profile for each insurer.


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