Tag Archives: Sinead Clarke

Analysis of Solvency and Financial Condition Reports for Irish life insurers

Solvency II came into effect on 1 January 2016 and introduced a number of disclosure requirements for European insurers. Under the new rules, European insurers are required to publish a Solvency and Financial Condition Report (SFCR). The third set of SFCRs contains a significant amount of information, including details on business performance, risk profile, balance sheet, and capital position. Insurers are also required to publish quantitative information in the public Quantitative Reporting Templates (QRTs) included within the SFCRs. This analysis by Milliman’s Matthew McIlvannaSinéad Clarke and Aisling Barrett highlights some interesting information published in the SFCRs of life insurance companies in Ireland at year-end 2018, focussing on premiums, investments and solvency coverage.

Solvency II reporting deadline calendar

The deadline for annual Solvency II reporting submissions will be two weeks earlier in 2020. The submission date is 7 April 2020. The deadline for the submission of the 2020 quarterly Quantitative Reporting Templates (QRTs) is unchanged from the equivalent deadline in 2019. This briefing note by Milliman’s Ellen Matthews and Sinéad Clarke provides a calendar highlighting key 2020 Solvency II deadlines.

Reviewing SFCRs for life insurers in Ireland

The Solvency and Financial Condition Reports (SFCRs) for year-end 2018 represent the third set of annual SFCRs published by European insurers. In this briefing note, Milliman’s Daniel McAleese and Sinéad Clarke analyse the SFCRs of 10 Irish life insurers (direct writers) selected based on Own Funds as of 31 December 2018.

EIOPA consultation on second set of advice on its Solvency II review

On 6 November 2017 the European Insurance and Occupational Pensions Authority (EIOPA) released a consultation paper on its second set of advice to the European Commission on the Solvency II review. This follows on from an earlier consultation paper and subsequent report released by EIOPA in July and October, respectively, on its first set of advice on the Solvency II review.

The second consultation paper is very detailed and sets out EIOPA’s proposed advice on a number of areas including various Solvency Capital Requirement (SCR) risk modules (premium and reserve risk, mortality and longevity risk, catastrophe risk, market risk, counterparty default risk), the risk margin, own funds and the look-though approach.

We are currently reviewing the consultation paper in detail and plan to publish a briefing note outlining EIOPA’s proposals for each of the topics covered in the consultation paper in the coming weeks.

However in advance of that, we have highlighted a few key proposals in this blog post:

• EIOPA is proposing that the calibration of the standard formula mortality risk capital charge should increase from 15% to 25% (as set out in section 3 of the consultation paper).
• EIOPA is proposing changes to the methodology underlying the interest rate risk capital charge to take account of the low interest rate environment. Two options are proposed in the consultation paper (see section 7).
• EIOPA is proposing simplifications to the application of the ‘look through’ approach for the purposes of the SCR calculation (as set out in section 15).
• EIOPA is proposing to keep the cost of capital rate used in the calculation of the risk margin unchanged at 6% (as set out in section 18).
• EIOPA is proposing changes to the standard formula factors for the standard deviation of premium and reserve risk for some non-life lines of business, including medical expense insurance (see section 1). For medical expense insurance EIOPA is proposing to increase the factors for standard deviation of premium risk from 5.0% to 6.0% and for reserve risk from 5.0% to 6.6%.

The deadline for responses to the consultation is 5 January 2018. EIOPA is expected to provide final advice to the European Commission on the proposed changes on 28 February 2018.




Judging the appropriateness of the Standard Formula under Solvency II

The Standard Formula (SF) aims to capture the risk that an average European (re)insurance company is exposed to. The SF may not be appropriate for all (re)insurance companies, but the majority of European insurers currently uses it. In this article, Milliman’s Steven Hooghwerff, Sinéad Clarke, and Roel van der Kamp provide a short overview of the SF’s structure. They also present a suggested framework and worked examples, and discuss challenges and pitfalls to be considered.