NBB Publishes Results of Insurance Stress Test for 2019
NBB published a presentation on the results of the 2019 stress tests on insurance undertakings. Also published was the data on the seven Belgian insurance companies that have participated in all parts of the NBB insurance stress test for 2019. Overall, the results of the exercise reveal that the largest Belgian insurance companies are resilient toward increases in Belgian sovereign bond (OLO) spread. Most insurers have risk mitigation techniques in place to mitigate some of the impact (spread lock derivatives, retaining foreseeable dividends).
In 2019, a significant part of the Belgian insurance sector was subject to a stress test consisting of two scenarios. The first scenario (Belgian Adverse) assessed the impact of a repricing of the Belgian sovereign debt on the solvency positions of insurers. The Belgian Adverse scenario consisted of three parts: 100 basis points increase of the OLO spread; 200 basis points increase of the OLO spread; and the Reverse stress, whereby the insurer has to determine the OLO spread increase at which its solvency ratio drops below 100%. The second scenario (Low Yield) assessed the impact of a continued decline in the risk-free rates on the solvency positions of insurers. The aim of the stress test was to assess the impact of OLO spread increase on the solvency of the largest Belgian insurers and to assess the functioning of the volatility adjustment mechanism, should an idiosyncratic OLO spread increase occur.
Related Links
Keywords: Europe, EU, Belgium, Insurance, Stress Testing, Adverse Scenario, Low Yield Scenario, Volatility Adjustment, Belgian Sovereign Bond, OLO, NBB
Featured Experts
Metin Epözdemir
Metin Epözdemir helps European and African banks with design and implementation of credit risk, stress testing, capital management, and credit loss accounting solutions.
Emil Lopez
Credit risk modeling advisor; IFRS 9 researcher; data quality and risk reporting manager
James Partridge
Credit analytics expert helping clients understand, develop, and implement credit models for origination, monitoring, and regulatory reporting.
Previous Article
EBA Issues Opinion on Implementation of Deposit Guarantee DirectiveRelated 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.
