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.
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
Generali boosts capital with sale of German unit
Offloading Generali Leben will bolster group's SCR by 2.6%; Generali Deutschland's by 43%
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
EU insurers embrace infrastructure bonds
Solvency II-compliant infrastructure investments concentrated in handful of firms
EU insurers most exposed to French sovereign risk
French government bonds make up 23% of sovereign exposures
EU insurance solvency ratios strengthen in 2017 – Eiopa
Average solvency ratio climbs to 237%
EU insurers shun ABS, real estate
Securitisations make up just 0.5% of portfolios; property 2.7%
Brexit dims hopes for Solvency II change in UK
Lawyers say political tensions may have killed off chance of reform, following PRA U-turn
Solvency II capital charges concentrated in two key risks
Market risk SCR averages 37% across six large insurers
Allianz reduces interest rate risk following model change
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%