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.
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.
In this report, Milliman consultants Aisling Barrett and Sinéad Clarke highlight some interesting information around premiums, investments, and solvency coverage published in the Solvency and Financial Condition Reports of life insurance companies in Ireland at year-end 2017.
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.
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.
In February 2017, the Central Bank of Ireland published letters on its website relating to its review of the consistency of Solvency II life insurance pricing and reserving assumptions. This briefing note by Milliman’s Aisling Barrett and Sinéad Clarke summarises the contents of these letters. The authors also reference the contents of the December 2016 industry letter on the standard formula Solvency Capital Requirement.