European Insurance: Solvency II (16 January 2017)

OAC Digest
EU / European Parliament / EIOPA, Life insurance, Non-Life, PRA / Bank of England, Solvency II

16 January 2017

Selected recent Solvency II news items: 

The PRA has added "PRA Solvency II Regulatory Reporting FAQs" to its "Detailed technical information" webpage. From my review, the document largely contains information already available but may be another useful resource for reporting queries.

On 23 December, EIOPA published an update of the technical documentation of the methodology to derive the risk-free interest rate term structures. No changes were made to the derivation of GBP rates (based on swap rates with maturities ranging from 1 to 50 years).

On 21 December, EIOPA published the "Opinion on disclosure of information related to the use of transitional measures in the calculation of technical provisions". EIOPA considers the SFCR should contain the information necessary to reflect a material decrease of the transitional measures adjustment [which is performed on the first day of the next financial year] in the technical provisions, capital requirements and own funds. 

On 19 December, the PRA published PS38/16 "Solvency II: Reporting format of National Specific Templates and reporting clarifications". The final rules require the National Specific Templates for end December 2016 ("and future financial year ends") to be submitted using PRA designed Excel templates. No validation rules are built into the spreadsheets. The Bank also updated the Solvency II XBRL Filing Manual.  OAC expects software providers to incorporate these templates into reporting software.

The PRA has now confirmed that "the Sterling value of the Euro for insurance regulatory purposes for the 12 month period beginning 31 December 2016 is 90.050 pence". This is to be used for reference amounts in euros for Solvency II calculations. The depreciation of sterling (now 1 euro = 0.9005 GBP (compared to 0.7182 at end 2015)) is relevant to the calculation of the MCR. For example, based on a reference amount of EUR 3,700,000 for life insurers the absolute floor for end 2016 will be £3.3m - £0.6m higher than the year before.  

David Gray

For more information
David Gray
Consultant Actuary

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