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.
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
Insurer of the year: Pension Insurance Corporation
Risk Awards 2020: Innovative regulatory capital bond gives PIC an edge
Low investment grade debt a staple of EU insurer portfolios
Debt holdings just one notch above junk status make up €642.8 billion of standard formula insurer assets
Sliding rates dent Legal & General’s capital ratio
Solvency capital requirement rises to £8.2 billion from £7.9 billion over first half of 2019
Rates decline sinks Allianz’s Solvency II ratio
Market impacts take 11 percentage points off ratio in first six months of 2019
Poor asset returns threaten EU insurers’ profitability
Life insurers report median zero investment return in 2018
Sterling RFR group urges Eiopa to end mismatch on rates
In letter, group points to discrepancy in requirement to use Libor-linked rates as Libor fades out
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