Featured Product

    EIOPA Publishes Opinion on Supervisory Assessment of Internal Models

    December 20, 2017

    EIOPA issued an opinion on the supervisory assessment of internal models, including a dynamic volatility adjustment (DVA). The opinion is addressed to national supervisory authorities and stresses the importance of common supervisory practices and approaches throughout the EU with regard to the use of internal models.

    When using the DVA, undertakings should ensure prudency principle, meaning that the internal model should produce a Solvency Capital Requirement (SCR) "guarantying" a level of policyholder protection that is at least as high as if replicating the EIOPA Volatility Adjustment Methodology. EIOPA reminds undertakings to fulfill the Solvency II disclosure requirements and provide an explanation of the DVA methodology in their Solvency and Financial Condition Report. The EIOPA Chairman Gabriel Bernardino said that EIOPA will monitor the developments and assess the implementation of this opinion during 2019.

    Volatility adjustment is one of the measures of the Long-Term Guarantee Package linked with the Solvency II valuation of insurance contracts with long-term guarantees. It aims to stabilize the Solvency II balance sheet during short periods of high market volatility by adding an extra spread component to the discount rate used for the calculation of technical provisions. This opinion considers internal models making use of a DVA by allowing the volatility adjustment to move in line with the modeled credit spreads during the one-year forecast of basic own funds. According to the assessment of EIOPA, DVA modeling is an area where supervisory convergence needs to be reinforced.

     

    Related Links

    Keywords: Europe, EU, Insurance, Supervisory Assessment, Internal Models, Volatility Adjustment, Solvency II, EIOPA

    Featured Experts
    Related Articles
    News

    EBA Single Rulebook Q&A: Second Update for September 2019

    EBA updated the Single Rulebook question and answer (Q&A) tool with answers to three questions.

    September 13, 2019 WebPage Regulatory News
    News

    PRA Revises Branch Return and Updates Guidance for Regulatory Reports

    PRA published the policy statement PS17/19, which contains the final policy related to changes in the format and content of the Branch Return Form and reporting guidance.

    September 12, 2019 WebPage Regulatory News
    News

    ECB Publishes Version 1.5 of AnaCredit Validation Checks

    ECB published Version 1.5 of the AnaCredit validation checks.

    September 12, 2019 WebPage Regulatory News
    News

    FINMA Outlines Treatment of Stablecoins in Supplement to Guide on ICO

    FINMA published a supplement to its initial coin offerings (ICOs) guidelines, outlining the treatment for stablecoins under the Swiss supervisory law.

    September 11, 2019 WebPage Regulatory News
    News

    FCA and BoE Issue Updates on Brexit Preparations for Financial Sector

    FCA and BoE published important information to help regulated firms in preparing for Brexit.

    September 11, 2019 WebPage Regulatory News
    News

    Ursula von der Leyen Presents Structure of Next European Commission

    President-elect Ursula von der Leyen has presented her team and the new structure of the next European Commission.

    September 10, 2019 WebPage Regulatory News
    News

    FED Proposes to Revise and Extend Reporting Form on Systemic Risk

    FED proposed to extend for three years, with revision, the Banking Organization Systemic Risk Report (FR Y-15; OMB No. 7100-0352).

    September 10, 2019 WebPage Regulatory News
    News

    EBA Issues Revised List of Validation Rules for Reporting

    EBA published the revised list of validation rules (version 2.9) in its implementing technical standards on supervisory reporting.

    September 10, 2019 WebPage Regulatory News
    News

    Bundesbank Publishes Supplementary Validation Rules for Reporting

    Bundesbank published the updated document containing supplementary validation rules in the context of the implementation of the reporting system at national level.

    September 10, 2019 WebPage Regulatory News
    News

    APRA Licenses Xinja Bank as Authorized Deposit-Taking Institution

    APRA granted Xinja Bank Limited a license to operate as an authorized deposit-taking institution without restrictions, under the Banking Act 1959.

    September 09, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 3807