CEIOPS releases second set of Advice on Solvency II – Level 2 implementing measures for consultation
CEIOPS has released its second set of advice on solvency II – Level 2 implementing measures for consultation:
Addendum to CEIOPS-CP-37-09 Draft L2 Advice on the procedure to be followed for the approval of a group internal model
This addendum aims at providing advice for Level 2 implementing measures with
regard to the procedure to be followed for the approval of a group internal model
in accordance with Articles 112(1) and Article 229 of the Level 1 text.
CEIOPS-CP-39-09 Draft L2 Advice TP – Best Estimate
This consultation paper aims at providing advice with regard to actuarial and
statistical methodologies for the calculation of the best estimate as requested in
Article 85 (a) of the Level 1 text.
CEIOPS-CP-40-09 Draft L2 Advice on TP – Risk free interest rate
This consultation paper aims at providing advice with regard to the relevant riskfree
interest rate term structure to be used in the assessment of technical
provisions as requested in Article 85 (b) of the Level 1 text.
CEIOPS-CP-41-09 Draft L2 Advice TP – Calculation as a whole
This consultation paper aims at providing advice with regard to the circumstances
in which technical provisions shall be calculated as a whole (and not as a sum of a
best estimate and a risk margin), as required in Article 85c of the Level 1 text.
CEIOPS CP-42-09 Draft L2 Advice – Risk Margin
This consultation paper aims at providing advice with regard to the calculation of
the risk margin as requested in Article 85(d) of the Level 1 text.
The objective of this paper is to specify the overall structure of the calculation of
the risk margin, including the following aspects:
- the definition of the reference undertaking, including the assumption this
undertaking has to fulfil;
- the stipulation (calibration) of the Cost-of-Capital rate; and
- the projection of the future SCRs related to the reference undertaking.
CEIOPS-CP-43-09 Draft L2 Advice on TP – Standards for data quality
This consultation paper aims at providing advice with regard to the standards that
should be met with respect to ensuring the appropriateness, completeness and
accuracy of the data used in the calculation of technical provisions, and with the
specific circumstances in which it would be appropriate to use approximations, as
requested in Article 85 (f) of the Level 1 text.
CEIOPS-CP-44-09 Draft L2 Advice on TP – Counterparty default adjustment
This consultation paper aims at providing advice with regard to the methods to be
used when calculating the counterparty default adjustment to recoverables from
reinsurance contracts and special purpose vehicles as requested in Article 85(g) of
the Level 1 text.
CEIOPS-CP-45-09 Draft L2 Advice on TP – Simplifications
This consultation paper aims at providing advice with regard to simplified methods
and techniques to calculate technical provisions in order to ensure that actuarial
and statistical methodologies are proportionate to the nature, scale and complexity
of the risks, as requested in Article 85(h) of the Level 1 text
Concrete simplifications will be consulted upon in a third set of advice.
CEIOPS-CP-46-09 Draft L2 Advice on Own funds – Classification and eligibility
This consultation paper aims at providing advice with regard to the classification of
own funds (Article 97) and the eligibility of own funds (Article 99) in the Level 1
text
CEIOPS-CP-47-09 Draft L2 Advice on SCR Standard Formula – Market Risk
This consultation paper aims at providing advice with regard to the design and
structure of the market risk module of the SCR standard formula, as required by
Article 109 of the Level 1 text.
The objective of this paper is to give draft advice on the structure and design of
interest rate risk, spread risk, currency risk, property risk and concentration risk
sub-modules.
The equity risk sub-module, the calibration of the modules (except concentration
risk) and correlations will be covered in the third set of advice, together with
advice on potential simplified approaches in the light of the proportionality
principle.
CEIOPS-CP-48-09 Draft L2 Advice on SCR Standard Formula – Non-Life underwriting risk
This consultation paper covers advice in respect of the design of the non-life
underwriting risk module in the SCR standard formula, in particular the methods,
assumptions and standard parameters to be used when calculating this risk
module, as required in Article 109 (c) of the Level 1 text.
Calibration of the module, the use of undertaking–specific parameters, correlations
and simplifications will be included in the third set of advice.
CEIOPS-CP-49-09 Draft L2 Advice on SCR Standard Formula – Life underwriting risk
This consultation paper aims at providing advice with regard to the design,
structure and calibration of the life underwriting module in the SCR standard
formula as requested in Article 109 of the Level 1 text.
Calibration of the module, correlations and simplifications will be included in the
third set of advice.
CEIOPS-CP-50-09 Draft L2 Advice on SCR Standard Formula – Health underwriting risk
This consultation paper aims at providing advice with regard to the health
underwriting risk module in the in the SCR standard formula as requested in Article
109 of the Level 1 text.
Calibration of the module, correlations and simplifications will be included in the
third set of advice.
CEIOPS-CP-51-09 Draft L2 Advice on SCR Standard Formula –Counterparty Default risk
This consultation paper aims at providing further advice with regard to the
treatment of counterparty default risk in the SCR standard formula as requested in
Article 109 of the Level 1 text. This consultation paper complements CEIOPS’
Consultation Paper No. 28.
CEIOPS-CP-52-09 Draft L2 Advice on SCR Standard Formula – Reinsurance mitigation
This consultation paper covers the advice in respect of the qualitative criteria that
reinsurance and securitisation arrangements must meet in order to ensure that
there has been effective underwriting risk transfer to a third party, for allowance in
the SCR standard formula. The paper is complementary to the draft advice CP 31.
CEIOPS-CP-53-09 Draft L2 Advice on SCR Standard Formula – Operational Risk
This consultation paper aims at providing advice with regard operational risk in the
SCR standard formula, as required in Article 109(1) of the Level 1 text.
CEIOPS-CP-54-09 Draft L2 Advice on SCR Standard Formula – loss absorbing capacity of TP
This consultation paper aims at providing advice with regard to the calculation of
the adjustment for loss-absorbing capacity of technical provisions in the SCR
standard formula as requested in Article 109 (g) of the Level 1 text.
CEIOPS-CP-55-09 Draft L2 Advice on SCR Standard Formula – MCR calculation
This consultation paper aims at providing advice with regard to the calculation of
the Minimum Capital Requirement (MCR) as requested in Article 128 of the Level 1
text.
Calibration of the module will be included in the third set of advice.
CEIOPS-CP-56-09 Draft L2 Advice on Tests and Standards for Internal Model Approval
This consultation paper aims at providing advice with regard to the use test,
statistical quality, calibration, P&L attribution, validation, documentation and
external models and data, as requested in Article 125 of the Level 1 text. It also
includes draft advice with regard to specificities for Internal Models on the System
of Governance and specificities related to the requirements for approval of group
internal models are included.
Specific requirements for the approval of a partial internal model will be included in
the third set of advice.
CEIOPS-CP-57-09 Draft L2 Advice on Capital add-on
This consultation paper aims at providing advice for Level 2 measures with regard
to the power to set a capital add-on as provided for in Article 37 of the general
approach on the Level 1 text. According to Article 37(6) of the Level 1 text the
European Commission shall adopt implementing measures laying down further
specifications for the circumstances under which a capital add-on may be imposed
and the methodologies for the calculation thereof.
The advice also develops the requirements for setting a capital add-on in a group
context, further to Article 232 of the Level 1 text.
CEIOPS-CP-58-09 Draft L2 Advice on Supervisory reporting and disclosure
This consultation paper aims at providing advice with regard to supervisory
reporting and public disclosure, as requested in Article 35(6), Article 55 and Article
260 of the Level 1 text, along with supporting material that could be used to
develop Level 3 guidance.
CEIOPS-CP-59-09 Draft L2 Advice on remuneration
A consultation paper will be released in due course providing additional, standalone,
advice with regard to remuneration issues. It will serve as a basis for
implementing measures on this specific issue in the framework of Art. 49 of the
Level 1 text.
CEIOPS-CP-60-09 Draft L2 Advice on Group Solvency Assessment
This consultation paper aims at providing advice with regard to the technical
principles and methods set out in Article 218 to 227 and the application of Articles
228 to 231 as requested in Article 232 of the Level 1 text.
The advice covers the scope of the group solvency assessment and the calculation
methods. It includes advice on assessment of available elements of own funds,
including the fungibility and transferability of own funds. The advice also addresses
issues related to third country entities and/or groups.
CEIOPS-CP-61-09 Draft L2 Advice on intra-group transactions and risk concentration
As a lesson to be learned from the crisis, this consultation paper aims at providing
advice with regard to the important role risk concentration and intra-group
transactions can play in the financial well-being of a group. This own initiative
paper develops CEIOPS initial views on the supervision of these aspects under
Solvency II, including suggestions for Level 3 guidance and, potentially, for the
development of Level 2 implementing measures if requested by the European
Commission.
CEIOPS-CP-62-09 Draft L2 Advice on Cooperation and Colleges of supervisors
This consultation paper aims at providing advice with regard to the coordination of
group supervision along with supporting material that could be used to develop
Level 3 guidance as requested in Articles 252 (3) and 253 (2) of the Level 1 text.
