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

2. 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 to Feb. 2017
A call for data from Dec to March 2017

3. 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

4. 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

5. 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 to Feb (12 weeks)
Call for data from Dec to March 2017 (16 weeks)
Other public consultations of the draft advices in 2017