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.
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
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