Agenda item 5: SCR review project Camille Graciani IRSG meeting on 15 September 2016

Introduction Why is the topic on the agenda? European Commission sent to EIOPA a call for advice on the SCR (limited to delegated regulation) EIOPA has put in place a project group to review the SCR standard formula What is expected from IRSG? This presentation informs IRSG of the scope of the review and timetable Next steps A discussion paper from Dec. 2016 to Feb. 2017 A call for data from Dec. 2016 to March 2017

Scope and objectives of the review (1/2) Reducing complexity and ensuring proportionality of the requirements Revision of the simplified calculations Simplification of look-through approach, catastrophe risk submodule and counterparty default risk module Correct technical inconsistencies Insurance risks: Review calibration of life, non-life and health underwriting risks Review calibration of catastrophe risk, in particular the approach on contractual limits Extend the scope of undertaking specific parameters

Scope and objectives of the review (2/2) 2. Correct technical inconsistencies Market risks: Reduce over-reliance on external credit rating agencies Update treatment of guarantees and risk mitigation techniques Look-through approach for related undertakings Others: Harmonisation of loss absorbing capacity of deferred taxes Review risk margin and cost of capital Compare own funds under Sol. II with banking framework 3. Other items for supervisory reasons Interest rate risk

Project plan Reporting templates (QRT) will be used to the upmost extent Annual QRT data received in July 2017 only Staggered approach to deliver the advice: part in October 2017, part in February 2018 – discussion with COM on-going Input from stakeholders Discussion paper from Dec. 2016 to Feb. 2017 (12 weeks) Call for data from Dec. 2016 to March 2017 (16 weeks) Other public consultations of the draft advices in 2017