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.
UK life insurers pass BoE stress test with 64% hit to surplus capital
Sector deemed resilient, but plausibility of some management actions questioned
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Cohen & Co yields 8% by lending to unrated insurance companies
Small firms in ‘the safest industry in the world’ can’t raise capital, creating a trading opportunity
US Treasury urged to investigate private equity insurers
Senate banking committee chair says Athene and other PE-owned firms take more risk, may hold less capital
Apollo, KKR, Ares and the Bermudan CLO arbitrage
‘Capital efficiency’ may explain a 1,100% surge in life assets reinsured on the Atlantic island
How to build a risk factor model for non-life insurance risk
In this paper the authors present a dependence model for non-life insurance risk based on risk factors, analogous to those generally used for life insurance or asset risk.
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
Aegon turns its back on pension deals in its home market
The Netherlands is Europe’s second-biggest pension market, but Aegon made little money from deals
Impact of hedging strategies on variable annuities
Put options may reduce the cost of hedging strategies for insurers
Axa’s solvency ratio continues fall in Q2
French insurer’s core ratio has dropped 18 percentage points year-to-date
Market risks push Allianz’s Solvency II ratio lower in Q2
Whipsawing markets help take three percentage points of the firm’s core solvency ratio
Market risks push up top EU insurers’ capital charges
Allianz sees SCR for market risk surge 28% year-on-year
Generali’s solvency ratio savaged by Covid-19 turmoil
Italian sovereign exposures could force capital gauge even lower
Aegon, Allianz Solvency II ratios diverge under coronavirus stress
Aegon cites volatility adjustment for buoying capital position through the crisis
Covid-19 chaos drains Axa’s Solvency II ratio
French insurer’s regulatory capital ratio is at its lowest since the Solvency II regime took effect
The impact of shareholders’ limited liability on risk- and value-based management
In this paper, we analyze the consequences of shareholders’ limited liability for the risk- and value-based investment decisions made by a nonlife insurer under solvency constraints.
Munich Re’s capital requirement jumped 19% in 2019
Interest rate declines added €2.2bn to SCR
Sliding rates crimp Allianz’s Solvency II ratio
Solvency II ratio down 17 percentage points year-on-year
EU insurers pile into loans, funds and private equity
Fund investments make up 12% of exposures as of Q3 2019
EU insurers increase derivatives holdings
Greater interest rate swap values push up interconnectedness risk of insurance sector
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
EU life insurers’ solvency ratios decay in first half
Aggregate SCR ratio for life undertakings down 9%, Q2 2018–Q2 2019
Solvency II relief measures lift EU insurer capital ratios by a third
UK firms benefit most from long-term guarantee and transitional benefits
EU supervisors set capital add-ons for 21 insurers in 2018
One Norwegian insurer had an add-on contributing 80% to their SCR