SCOR puts the median European captive at EUR 12.4 million of gross written premium, EUR 37.4 million of own funds and a solvency ratio of 221 per cent, in an analysis of the Solvency II disclosures of 223 captives. The reinsurer identifies 347 licensed European insurance and reinsurance companies acting as captives for large industrial and commercial groups, of which 223 have published a Solvency and Financial Condition Report (SFCR) containing at least some of the regulatory quantitative reports. The figures appear in European Captives: Analytical review of Solvency II reports, published on 14 October and drawn from year-end 2025 disclosures. The study is written by Jacky Mochel, chief technical officer, alternative solutions, in Paris, and the underlying data is taken from Solvency II Wire Data as at 1 September 2026. SCOR states that the sample, while in its view large enough to be representative of the European captive landscape, is not exhaustive. On SCOR’s measures the median captive also holds a balance sheet of EUR 63.4 million and carries EUR 12.3 million of claim reserves. At the lower quartile those figures are EUR 3.9 million of premium, a EUR 25.8 million balance sheet, EUR 3 million of claim reserves, EUR 18.9 million of own funds and a 169 per cent solvency ratio. At the upper quartile they are EUR 33.3 million, EUR 144.5 million, EUR 37 million, EUR 95.3 million and 301 per cent. Luxembourg holds the regulatory licence for 173 of the 347 captives identified and Ireland for 67. Sweden has 32, France 28, Malta 14, Germany nine, Denmark eight, Norway seven, the Netherlands six and Italy three. Luxembourg and Ireland together account for 69 per cent of the captives identified and 81 per cent of those in the reporting sample, and for 81 per cent of reported gross written premium and 78 per cent of reported assets. Measured instead by the headquarters of the ultimate parent, France accounts for 108 of the 347, ahead of Sweden on 36, Germany on 34 and Belgium on 33. Luxembourg accounts for 18, the United States 17, and the Netherlands and Spain 15 each. SCOR sets out four patterns in where groups place their captives. Captives domiciled in European Economic Area countries other than Ireland, Luxembourg and Malta mostly belong to domestic groups. Groups based in Denmark, Luxembourg, Norway and Sweden mostly domicile their captives in the same country. US-based groups mostly locate their European captives in Ireland. Groups based in Belgium, France and Spain mostly base their captives in Luxembourg. Of the 33 captives owned by Belgian groups, 32 are domiciled in Luxembourg, and of the 17 owned by US groups, 15 are in Ireland. Gross annual non-life premium across the sample totals EUR 6,598 million, a figure SCOR says is largely driven by a few major players. The largest captive writes more than EUR 501 million while the smallest write less than EUR 0.1 million, and 8 per cent of the captives account for half of the total premium. The study divides the sample into five bands by premium: very small captives writing less than EUR 2 million, at 13 per cent of the sample; smaller captives at EUR 2 million to EUR 8 million, 27 per cent; medium captives at EUR 8 million to EUR 25 million, 27 per cent; larger captives at EUR 25 million to EUR 80 million, 23 per cent; and major captives at EUR 80 million or more, 10 per cent. Across the 173 captives reporting premium for both years, median growth between 2024 and 2025 was 2.3 per cent, with the lower quartile at minus 4.4 per cent and the upper quartile at 10.3 per cent. Property is the most frequently written line, appearing in 77 per cent of the captives and accounting for an average of 39 per cent of total non-life premium. Liability is written by 68 per cent and accounts for 17 per cent of premium, and 55 per cent of captives write both. Very few write legal expenses or assistance business. The median captive manages two or three lines of business, with larger captives present on a wider range of risks. Monoliners account for 19 per cent of the sample and are mostly dedicated to property, at 7 per cent of the sample, liability at 5 per cent, miscellaneous financial loss at 3 per cent, health at 2 per cent and marine at 1 per cent. Their average size is EUR 15 million of gross written premium, the largest writes EUR 180 million, and together they account for 8.5 per cent of sample premium. Reinsurance captives make up 68 per cent of the sample and insurance captives 32 per cent, with a third of the captives writing direct business. The proportion writing direct is lower among the smaller captives and higher among the larger ones. SCOR notes that direct writing requires an insurance licence from the national authority for each line of business concerned, and that a captive licensed to write one line may also provide reinsurance and assume business from other insurers where its articles of incorporation permit. Retrocession accounts for 26 per cent of total premium written, with wide variation in behaviour. Some 47 per cent of the captives retrocede nothing and the median cession rate is 1.5 per cent, while 10 per cent retrocede more than 65 per cent of gross written premium. Larger captives tend to cede a higher share. By line, average cession is 38 per cent for marine, aviation and transport and 34 per cent for property, against 3 per cent for both health and motor. The highest rate, at 88 per cent, sits in the residual other category. Total assets held by the sample amount to EUR 37,276 million, an average balance sheet of EUR 171 million and a median of EUR 63 million. Some captives exceed EUR 3,370 million and others stand at less than EUR 2 million. Almost all, at 95 per cent, report cash or cash equivalents and 78 per cent report financial investments, the two together making up 62 per cent of total assets. Loans are held by 56 per cent, usually including loans to related companies, and reinsurance recoverables by 36 per cent. On average, financial investments account for 51 per cent of assets, loans 26 per cent, cash 11 per cent and reinsurance 7 per cent. Within financial investments, corporate bonds account for 26 per cent and government bonds 13 per cent, collective investment undertakings 28 per cent and deposits 22 per cent. Equities and participations account for 2 per cent, and SCOR reports hardly any investment in real estate, collateralised securities or derivatives. Technical provisions total EUR 9,865 million, an average of EUR 46 million per captive and a median of EUR 12 million, rising to EUR 539 million for the largest. Non-life provisions account for 95 per cent of the total and life guarantees for 5 per cent. Within the non-life best estimate of claims reserves, property accounts for 62 per cent and liability 26 per cent, with marine, aviation and transport at 5 per cent, health at 4 per cent, motor at 2 per cent and miscellaneous financial loss at 1 per cent. On the liabilities side of the balance sheet, own funds and technical provisions make up 60 per cent and 26 per cent of the total respectively. Deferred tax liabilities are reported by 78 per cent of the captives and amount to 8 per cent of balance sheet size, while payables account for 4 per cent. SCOR reports that financial debt, subordinated debt and other debt are not material. Total available own funds amount to EUR 23,148 million, an average of EUR 103 million per captive and a median of EUR 37 million, ranging from EUR 1.7 million for the smallest captives to EUR 2,680 million for the largest. SCOR’s analysis of the sample puts own funds at about three times gross written premium plus EUR 25 million, while noting that the amount also depends on the risk written, the diversification between risks, the reinsurance in place, growth prospects and risk appetite. That ratio falls as captives get larger, from a median of 9.1 times premium for very small captives to 2.2 times for major captives, against 3.5 times across the sample. SCOR attributes the difference to the diversification benefits available to larger companies and to their more sophisticated approach to capital management. Own funds are 97 per cent non-restricted tier one. No company in the sample uses restricted tier one items. Tier two items are reported by 14 per cent, most often subordinated loans but sometimes ancillary own funds such as a letter of credit, and tier three own funds by 9 per cent, made up of net deferred tax assets and usually very small. A further 5 per cent of the captives deduct non-eligible items from their available own funds. Non-life underwriting risk generates 69 per cent of the solvency capital requirement on average, ahead of market risk at 51 per cent, counterparty risk at 14 per cent, health underwriting risk at 7 per cent, operational risk at 4 per cent and life underwriting risk at 1 per cent. Diversification between the five main risk modules is recognised at an average of 30 per cent, and the loss-absorbing capacity of deferred tax reduces the requirement by a further 17 per cent. Every captive in the sample reports a capital requirement for market risk, and 68 per cent model the loss-absorbing capacity of deferred tax. SCOR notes that counterparty risk for captives may be a consequence of intra-group loans and cash pooling schemes, and that operational risk is usually not material. Solvency ratios in the sample range from 88 per cent to 1,666 per cent, with a median of 221 per cent. Minimum capital requirement positions were not studied. The study groups the captives into 14 industrial sectors for benchmarking. Transportation and logistics is the largest group with 28 captives, followed by food and agriculture with 23, metals and materials with 19, chemicals and pharmaceuticals with 18 and banks and financial services with 15. Aerospace and automotive, construction and engineering, energy and mining, and power and utilities each have 13. Technology, IT, telecommunications and media has 12, consulting and audit has nine, consumer goods has eight and retail has six, with a further 14 captives in a residual category. Across those sector groups, median gross written premium ranges from EUR 5 million to EUR 35 million, median balance sheet size from EUR 36 million to EUR 198 million, median capital from EUR 21 million to EUR 100 million and the median solvency ratio from 184 per cent to 341 per cent. For captives owned by aerospace and automotive groups, SCOR puts the median annual gross written premium at EUR 24 million, the smallest captive at EUR 2 million and the largest at EUR 270 million. For each sector the study sets out the number of captives reporting solvency and premium data and writing some non-life business, their domiciles, the number of lines of business written, the business mix of each captive and the own funds and capital requirement of each captive. The full report is available on the SCOR website.
