Review Project on Solvency Capital Requirement Standard Formula
The agenda item discusses the review project led by Camille Graciani at the IRSG meeting in September 2016. The project aims to enhance the Solvency Capital Requirement standard formula by reducing complexity, correcting technical inconsistencies, and addressing market risks. Key objectives include simplifying calculations, updating risk mitigation techniques, and harmonizing loss-absorbing capacity. The project plan includes using reporting templates to deliver advice by February 2018, with stakeholder input and public consultations planned.
Download Presentation
Please find below an Image/Link to download the presentation.
The content on the website is provided AS IS for your information and personal use only. It may not be sold, licensed, or shared on other websites without obtaining consent from the author. Download presentation by click this link. If you encounter any issues during the download, it is possible that the publisher has removed the file from their server.
E N D
Presentation Transcript
Agenda item 5: SCR review project Camille Graciani IRSG meeting on 15 September 2016
Introduction Why is the topic on the agenda? o European Commission sent to EIOPA a call for advice on the SCR (limited to delegated regulation) o EIOPA has put in place a project group to review the SCR standard formula What is expected from IRSG? o This presentation informs IRSG of the scope of the review and timetable Next steps o A discussion paper from Dec. 2016 to Feb. 2017 o A call for data from Dec. 2016 to March 2017 2
Scope and objectives of the review (1/2) 1. Reducing complexity and ensuring proportionality of the requirements o Revision of the simplified calculations o Simplification of look-through approach, catastrophe risk submodule and counterparty default risk module 2. Correct technical inconsistencies o Insurance risks: - Review calibration of life, non-life and health underwriting risks - Review calibration of catastrophe risk, in particular the approach on contractual limits - Extend the scope of undertaking specific parameters 3
Scope and objectives of the review (2/2) 2. Correct technical inconsistencies o Market risks: - Reduce over-reliance on external credit rating agencies - Update treatment of guarantees and risk mitigation techniques - Look-through approach for related undertakings o Others: - Harmonisation of loss absorbing capacity of deferred taxes - Review risk margin and cost of capital - Compare own funds under Sol. II with banking framework 3. Other items for supervisory reasons o Interest rate risk 4
Project plan Reporting templates (QRT) will be used to the upmost extent o Annual QRT data received in July 2017 only o Staggered approach to deliver the advice: part in October 2017, part in February 2018 discussion with COM on-going Input from stakeholders o Discussion paper from Dec. 2016 to Feb. 2017 (12 weeks) o Call for data from Dec. 2016 to March 2017 (16 weeks) o Other public consultations of the draft advices in 2017 5
