Featured Product

    EIOPA Report Examines Asset and Liability Management of Insurers

    December 16, 2019

    EIOPA published a report on the asset and liability management of insurers in relation to the illiquidity of their liabilities. The report supplements information provided in the EIOPA annual reports on long-term guarantee measures and is being published in response to a request from EC in the context of the 2020 Review of Solvency II. The report provides information on insurance liabilities; the asset management of insurers; long-term guarantee measures, including matching adjustment, volatility adjustment, actual yield, and dynamic volatility adjustment; and the market valuation of insurance liabilities.

    In its analysis, EIOPA investigated the illiquidity of insurance undertakings from two different perspectives: a total balance-sheet approach with a focus on how undertakings can hold on to their investments and a liability perspective that focuses on the predictability of the timing of the cash flows. On asset management, a key distinction is made between the length of an investment in individual assets and of an investment in an asset class when establishing the holding period of assets. Another distinction is made between actual observed investment practices in the past and the capacity of an undertaking to hold on to investment in times of distress. 

    Regarding long-term guarantee measures, the report provides detailed information about the corresponding portfolios for the matching adjustment and about the reference portfolio used to calculate the volatility adjustment. The weighted average net and gross dynamic volatility adjustment impact have been analyzed for solo undertakings and for groups, including under a spread-widening scenario and a spread-tightening scenario. Finally, the report sets out the findings of EIOPA on the market valuation of insurance liabilities (these findings were also set out in the EIOPA consultation paper on the opinion on the 2020 review of Solvency II).  

    In responding to the request for information by EC, several data sources have been used, including the quantitative reporting templates provided regularly to EIOPA. In addition, information was collected separately from undertakings in Spring 2018 and Spring 2019. EIOPA also issued a questionnaire to national supervisory authorities on the areas of tax incentives and lapse rates. EIOPA will draw upon the analysis in this report in its Opinion on the 2020 Review of Solvency II.

     

    Related Links

    Keywords: Europe, EU, Insurance, Solvency II Review, Solvency II, Asset Management Management, Long Term Guarantee, EIOPA

    Featured Experts
    Related Articles
    News

    BCBS Amends Guidelines on Sound Management of AML/CFT Risks

    BCBS amended the guidelines on sound management of risks related to money laundering and financing of terrorism (ML/FT).

    July 02, 2020 WebPage Regulatory News
    News

    US Agencies Finalize Amendments to Swap Margin Rule

    US Agencies (Farm Credit Administration, FDIC, FED, FHFA, and OCC) finalized changes to the swap margin rule to facilitate implementation of prudent risk management strategies at banks and other entities with significant swap activities.

    July 01, 2020 WebPage Regulatory News
    News

    PRA Letter Sets Expectations on Approach to Managing Climate Risks

    PRA published a letter that builds on the expectations set out in the supervisory statement (SS3/19) on enhancing banks' and insurers' approaches to managing the financial risks from climate change.

    July 01, 2020 WebPage Regulatory News
    News

    EBA Guidelines on Treatment of Structural Foreign Exchange Under CRR

    EBA finalized the guidelines on treatment of structural foreign-exchange (FX) positions under Article 352(2) of the Capital Requirements Regulation (CRR).

    July 01, 2020 WebPage Regulatory News
    News

    FSB Issues Statement on Impact of COVID-19 Crisis on Benchmark Reform

    FSB published a statement on the impact of COVID-19 pandemic on global benchmark transition.

    July 01, 2020 WebPage Regulatory News
    News

    IAIS Publishes List of Internationally Active Insurance Groups

    IAIS published the list of Internationally Active Insurance Groups (IAIGs) publicly disclosed by group-wide supervisors.

    July 01, 2020 WebPage Regulatory News
    News

    FED Temporarily Revises FR Y-9C With Respect to PPPLF and CARES Act

    FED has temporarily revised the reporting form on consolidated financial statements for holding companies (FR Y-9C; OMB No. 7100-0128).

    July 01, 2020 WebPage Regulatory News
    News

    EC Launches Consultation on Review of Solvency II Directive

    EC launched a consultation on the review of the key elements of Solvency II Directive, with the comment period ending on October 21, 2020.

    July 01, 2020 WebPage Regulatory News
    News

    ECB Consults on Supervisory Approach to Consolidation in Banking

    ECB launched a consultation on the guide that sets out supervisory approach to consolidation projects in the banking sector.

    July 01, 2020 WebPage Regulatory News
    News

    IAIS on Package for 2020 Data Collection on ICS and Aggregation Method

    IAIS published technical specifications, questionnaires, and templates for 2020 Insurance Capital Standard (ICS) and Aggregation Method data collections.

    June 30, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5425