EIOPA Requests Data on LTG Measures from Insurers Under Solvency II
EIOPA has requested the European Economic Area insurance undertakings, which are subject to Solvency II, to provide information on the long-term guarantee (LTG) measures. EIOPA requires this information for the preparation of the fourth LTG report, the opinion on LTG measures, and the review of Solvency II. The fourth LTG report of EIOPA is due in 2019 while the Solvency II review is due in 2020. EIOPA also updated the reporting template and technical specifications for the provision of this information.
Insurers are being requested to provide information on LTG measures, dynamic volatility adjustment, and long-term illiquid liabilities. The information to be provided on LTG measures includes impact of the extrapolation of risk-free interest rates on the financial position of undertakings, losses due to bond defaults and downgrades of bonds in matching adjustment portfolios, assets in matching adjustment portfolios, diversification effects in the calculation of the Solvency Capital Requirement when the matching adjustment is used, and overcompensation of the volatility adjustment.
National supervisory authorities will contact a representative sample of undertakings regarding the provision of information for each information request. Insurance undertakings should submit the completed reporting templates to the respective national supervisory authority. The templates should be filled according to the instructions in the technical specifications and taking into account the technical information. Insurance and reinsurance undertakings are requested to submit results to national supervisory authorities by May 17, 2019, whereas the deadline for insurance groups (for the dynamic volatility adjustment) is June 14, 2019. Deadline for national supervisory authorities to report to EIOPA (except group data) is May 29, 2019 while the deadline to report to EIOPA on groups is June 28, 2019.
The Solvency II Directive requires a review of the LTG measures and the measures on equity risk by January 01, 2021. The review will consist of the following phases:
- EIOPA will provide annual reports on the impact of the application of the LTG measures and the measures on equity risk to the European Parliament, the Council of the EU, and the EC.
- EIOPA will submit an Opinion on the assessment of the application of the LTG measures and the measures on equity risk to EC in 2020.
- Based on EIOPA's Opinion, EC will submit a report on the impact of the LTG measures and the measures on equity risk to the European Parliament and to the Council of the EU.
Related Links
Keywords: Europe, EU, Insurance, Solvency II, LTG Measures, SCR, Volatility Adjustment, EIOPA
Featured Experts
Adam Koursaris
Asset and liability management expert; capable modeler; risk and capital specialist
Cassandra Hannibal
IFRS 17 subject matter expert; actuary; risk management and capital projection specialist
Jerome Ogrodzki
Insurance asset and liabilities modeling specialist; stochastic modeling expert
Previous Article
ISDA, SIFMA, ABA, BPI, and FIA Submit Comments on Proposed SA-CCRRelated Articles
ECB Finalizes Methodology to Assess CCR and A-CVA Risk of Banks
ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.
EBA Provides Opinion on Definition of Credit Institution in CRR
EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).
APRA Consults on Alignment of Daily Liquidity Report for Banks
APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.
FED Releases Scenarios for Second Round of Stress Tests on Banks
FED released hypothetical scenarios for a second round of stress tests for banks.
PRA Announces Update on Supervisory Benchmarking Portfolio Exercise
PRA published updates in relation to the 2021 Supervisory Benchmarking Portfolio exercise.
FED Revises and Extends Capital Assessment and Stress Testing Reports
FED adopted a proposal to extend for three years, with revision, the capital assessments and stress testing reports (FR Y-14A/Q/M; OMB No. 7100-0341).
HKMA Updates Policy Module for Non-Centrally Cleared OTC Derivatives
HKMA revised the Supervisory Policy Manual module CR-G-14 on margin and other risk mitigation standards for non-centrally cleared over-the-counter (OTC) derivatives transactions.
EBA Updates List of Validation Rules for Reporting by Banks
EBA issued a revised list of validation rules with respect to the implementing technical standards on supervisory reporting.
EBA Responds to EC Call for Advice to Strengthen AML/CFT Framework
EBA published its response to the call for advice of EC on ways to strengthen the EU legal framework on anti-money laundering and countering the financing of terrorism (AML/CFT).
NGFS Advocates Environmental Risk Analysis for Financial Sector
NGFS published a paper on the overview of environmental risk analysis by financial institutions and an occasional paper on the case studies on environmental risk analysis methodologies.
