EIOPA Report Examines Asset and Liability Management of Insurers
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
Adam Koursaris
Asset and liability management expert; capable modeler; risk and capital specialist
Cassandra Hannibal
Life insurance actuary; risk management and economic capital specialist
Paul McCarney
Insurance product strategist; insurance domain expert; extensive experience developing risk assessment frameworks for insurers
Previous Article
FIN-FSA Publishes New Demo Workbooks of Its Reporting ApplicationRelated Articles
EBA Publishes Final Regulatory Standards on STS Securitizations
The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.
ECB Further Reviews Costs and Benefits Associated with IReF
The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.
EBA Publishes Funding Plans Report, Receives EMAS Certification
The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).
MAS Launches SaaS Solution to Simplify Listed Entity ESG Disclosures
The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.
BCBS to Finalize Crypto Rules by End-2022; US to Propose Basel 3 Rules
The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.
IOSCO Welcomes Work on Sustainability-Related Corporate Reporting
The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)
BoE Allows One-Day Delay in Statistical Data Submissions by Banks
The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.
ACPR Amends Reporting Module Timelines Under EBA Framework 3.2
The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.
ECB Paper Discusses Disclosure of Climate Risks by Credit Agencies
The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)
APRA to Modernize Prudential Architecture, Reduces Liquidity Facility
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.
