​The Review of Long-Term Guarantees Measures and Measures on Equity Risk: Information Request

Insurance undertakings from the European Economic Area and subject to Solvency II are requested to provide the following information in the context of EIOPA's 4th Long-Term Guarantees (LTG) Report due in 2019 as well as in the preparation of EIOPA's Opinion on those measures and the review of Solvency II due in 2020:

Information on the LTG measures 

  • Impact of the extrapolation of risk-free interest rates on the financial position of undertakings
  • Losses due to bond defaults and downgrades of bonds in matching adjustment portfolios
  • Assets in matching adjustment portfolios
  • Diversification effects in the calculation of the Solvency Capital Requirement when the matching adjustment is used
  • Overcompensation of the volatility adjustment

Information on the dynamic volatility adjustment

  • Impact of the dynamic volatility adjustment in three economic scenarios, a base case and a spread widening and tightening scenario.
  • Impact of four configurations: no VA, constant VA, dynamic VA and exclusion of sovereign risk.
  • Overview of market value of fixed income portfolio in different dimensions
  • Qualitative questions regarding investment and risk management and supporting the analysis of quantitative results

Information on long-term illiquid liabilities

  • Characteristics and measurements of illiquidity of liabilities
  • Asset management practices
  • Exposure of assets to forced selling under stressed conditions.

The information requested is necessary for EIOPA to comply with the following tasks:

  • This year's report on the impact of the application the long-term guarantees measures and the measures on equity risk (LTG report 2019) according to Article 77f(1) of Solvency II
  • The Opinion on those measures according to Article 77f(3) of Solvency II
  • The Call for Information of the Commission of April 2018 on the 2020 review
  • The Call for Advice of the Commission of February 2019 on the 2020 review
  • Monitoring of the implementation of the EIOPA 'Opinion on the supervisory assessment of internal models including a dynamic volatility adjustment' (EIOPA-BoS-17/366).

National supervisory authorities will contact a representative sample of undertakings (and groups, for the information on the dynamic volatility adjustment) regarding the provision of information for each part of the request.

Insurance undertakings should submit the completed reporting templates to the respective national supervisory authority. The templates should be filled according to the instructions in the technical specifications and taking into account the technical information.

Templates / Q&A

LTG Reporting template (updated: 3 May 2019)

LTG Technical specifications

Technical information

DVA Instructions to undertakings

DVA Qualitative questionnaire

DVA Quantitative questionnaire

IL Reporting Template

IL Technical specifications

Q&A Info request to undertakings LTG Review 2019

Timeline
17 May 2019
Deadline for insurance and reinsurance undertakings to submit results to national supervisory authorities

29 May 2019

Deadline for national supervisory authorities to report to EIOPA (except group data)
14 June 2019Deadline for insurance groups (for the dynamic volatility adjustment)
​28 June 2019Deadline for national supervisory authorities to report to EIOPA on groups


The Long-Term Guarantees Review

The long-term guarantees (LTG) measures were introduced in the Solvency II Directive to ensure an appropriate treatment of insurance products that include long-term guarantees. The long-term guarantees measures are the following:

  • The extrapolation of risk-free interest rates
  • The matching adjustment
  • The volatility adjustment
  • The extension recovery period in case of non-compliance with the Solvency Capital Requirement
  • The transitional measure on the risk-free interest rates
  • The transitional measure on technical provisions

The equity risk measures are the application of a symmetric adjustment mechanism to the equity risk charge and the duration-based equity risk sub-module. The measures on equity risk should ensure an appropriate allowance for equity risk in the capital requirement for insurance and reinsurance undertakings.  

According to Article 77f the Solvency II Directive requires a review of the LTG measures and the measures on equity risk by 1 January 2021. The review will consist of the following phases:

  • EIOPA's annual reports on the impact of the application of the LTG measures and the measures on equity risk to the European Parliament, the Council of the European Union and the European Commission. The reports published by EIOPA can be accessed here.
  • EIOPA's will submit an Opinion on the assessment of the application of the LTG measures and the measures on equity risk to the European Commission in 2020.
  • Based on EIOPA's Opinion the European Commission will submit a report on the impact of the LTG measures and the measures on equity risk to the European Parliament and to the Council of the European Union.