Solvency II
WHAT IS THIS? Europe’s Solvency II directive came into effect in 2016, putting risk at the heart of a harmonised prudential framework for insurance firms. Similar in outline to the banking industry’s Basel standards, Pillar 1 sets out quantitative requirements; Pillar 2 tackles risk management and governance; Pillar 3 addresses transparency, reporting and public disclosure.
Pre-2019 ABS ‘very unlikely’ to stay in EU liquidity buffers
Issuers will struggle to adapt old deals to new STS rules, forcing banks to reshuffle HQLAs
Generali expands scope of internal model
Total SCR drops 8% to €20.4 billion in 2018
L&G’s counterparty risk charge almost doubles in two years
Operational and market risk charges also climb at UK group
Allianz’s counterparty risk charge up €102 million in 2018
Total solvency capital requirement down €600 million year-on-year
Axa market risk charge drops almost €3bn in 2018
Solvency capital requirement falls 9% year-on-year
EU insurers’ solvency ratios weather UFR change
New fixing of ultimate forward rate increases firms’ solvency capital requirements
Generali’s solvency ratio falls on risk-free rate changes
Regulatory changes increased present value of liabilities
Allianz’s solvency ratio dips 11 points
Share buyback, market moves, regulatory tweaks all take their toll on capital
Into the void: Europe’s new but hazy securitisation market
Regulatory vagueness reaches new heights as incomplete rules take effect
Munich Re's P&C capital charge swells €2bn in 2018
Property and casualty capital requirement pushes overall SCR to €14.7 billion
Model updates buttress Allianz's solvency ratio
Solvency II requirement less sensitive to rates, credit volatility than 2017
Basel haircut floors threaten securities financing desks
Banks fear capital hit unless regulators provide exemption for stock borrowing
Fed to persist with insurance capital proposals
Quarles indicates Fed will follow through on building block approach designed by previous board
Solvency II special measures boost EU insurers’ capital ratios
Median insurer's SCR ratio would be 24 percentage points lower without LTG and transitional benefits
Credit data: how US industries have fared under Trump
At the halfway point in the administration, time for a credit check, writes David Carruthers
Risk Markets Technology Awards 2019: Vendors enter the pick-and-mix era
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Banks warned of capital add-ons for legacy Libor contracts
UK regulators’ letter to firms could be followed by Pillar 2 charge to speed transition to Sonia
Bank bail-in rules put European insurers at risk
The major buyers of bank debt could suffer a domino effect if the bonds are bailed in
Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
In this paper, the authors derive an analytical solution for sub-SCR VTs starting with a model risk appetite (MRA) that defines acceptable errors for an insurer’s total SCR.
Axa's solvency ratio soars on US IPO, debt issue
Solvency II SCR ratio up to 233%
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
Poor governance is top factor in insurer failures – Eiopa
Internal governance and control risks primary cause of 14% of failures
Veteran structurer Paul Fulcher to leave Nomura
Structurer for insurers and pension funds departing at the end of September