Solvency II - Second and third set of advice
10/06/2009
* The list reflects the implementing measures contained in the Solvency II Directive on which CEIOPS will provide advice in the coming months; the number of papers can however vary following potential regrouping of issues in the final drafts. The first set of advice was released for consultation on 26 March (see http://www.ceiops.eu/content/view/14/18/) The titles of the Consultation Papers Solvency II * before consultation. Second set of advice on will be revised Third set of advice on Solvency II * Consultation period July- September 2009 Article 85 a - TP Methods and statistical techniques for calculating the best estimate (further advice) Article 85 b - TP Risk free interest rate Article 85 c - TP Circumstances in which TP shall be calculated as a whole Article 85 d - TP Risk margin Consultation period November - December 2009 Article 92 and 109 l - Own funds and SCR Treatment of participations
Pillar I TP Pillar I TP Pillar I TP Pillar I Risk Margin Pillar I TP Pillar I TP Pillar IOF Pillar I SCR standard formula Pillar I SCR standard formula Pillar I SCR standard formula Pillar I SCR standard formula Pillar I SCR standard formula Pillar I SCR standard formula Pillar I SCR standard formula Pillar I SCR standard formula Pillar I MCR Pillar II
Article 99 - Own funds Quantitative limits to the eligibility of own funds Article 99 and 109 ga - Own funds and SCR Treatment of ring fenced funds Article 109 a,b, c- Design of the equity risk sub-module, including design of adjustment mechanism (Article 109 c), duration based equity risk module for retirement provision business (Article 305 b) Article 109 c - SCR Calibration of the market risk module Article 109 c - SCR Calibration of the non-life underwriting risk
Article 85 f – TP Data standards and approximations Article 85 g – TP Counterparty default adjustment
Article 97 (a) and (b) - OF List of own funds and methods for approval of Article 109 d - SCR Correlation parameters, including the procedure for updating the own funds not covered by the list parameters Article 109 a,b,c - SCR Design of the market risk module and subArticle 109 i. j - SCR Undertaking specific parameters modules (currency risk, property risk, interest rate risk, spread risk and concentration risk) Article 109 a,b,c - SCR Design of the non-life underwriting risk module and sub-modules (Premium and reserve risk and non-life CAT risk) Article 85h and 109 k - SCR and TP Simplifications for TP and SCR
Article 109 a,b,c - SCR Design of the health risk module and submodules
Article 109 a,b,c - SCR Design (incl. calibration) of the life underwriting risk module and sub-modules (mortality risk, longevity risk, life catastrophe risk, lapse risk, expenses risk and disability risk) Article 109 a,b,c - SCR Design of the counterparty default risk module simplification of LGD
Article 109 e - SCR Methods for assessing changes in risk profile
Article 109 g - SCR Operational risk
Article 109 h - SCR Adjustment for loss absorbing capacity of TP
Article 128 - Calculation of the MCR (Design of MCR, Notional life and non-life MCR, Quarterly MCR, Calibration of the MCR) Article 37 - Capital add-on Article 35 - Reporting to Supervisors Article 133.2 - Treatment of securitisation Article 141 - Extension of the recovery period
Pillar III Article 55 - Solvency and Financial Condition Report Pillar III Groups Groups Groups Internal Models Internal Models Internal Models Internal Models Internal Models Internal Models Article 252 and 253 - Cooperation and Colleges of supervisors Article 260 - Group solvency and financial report Article 118 - Use test Article 119 - Statistical quality test Art icle 120 - Calibration standards Article 121 - Profit and loss attribution Article 122 - Validation standards Article 123 - Documentation Art icle 124 - External models and data Internal Models Article 229 - Adendum on group internal model approval Article 112 - Advice on Partial Internal Models Article 232 - Assessment of group solvency Article 248 and 249 - Intra group transactions and risk concentrations Article 245 - Groups with centralized risk management