Il I pilastro di solvency 2: key issues e implicazioni. Alberto Floreani

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1 Il I pilastro di solvency 2: key issues e implicazioni Alberto Floreani alberto.floreani@unicatt.it 1

2 Agenda Introduzione a Solvency 2 Il primo pilastro di Solvency 2: elementi essenziali e criticità La relazione rischi, SCR e redditività (in pillole) 2

3 Introduzione a Solvency 2 3

4 Solvency II Timeline Directive Development (Commission) Directive Adoption (Council & Parliament) Level 2 & 3 finalised (EC & CEIOPS) Implementation (Member States) CEIOPS work on Pillar I CEIOPS work on Pillars II and III CEIOPS advice on Proportionality & Groups CEIOPS work on Implementing Measures and Supervisory Guidance QIS 1 QIS 2 QIS 3 QIS 4 Further QIS Industry gets prepared Fonte: Corinti (2009) 4

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6 I 3 pilastri di Solvency 2 Economic risk-based approach 1 PILASTRO REQUISITI QUANTITATIVI (Quantitative requirements) 2 PILASTRO REQUISITI QUALITATIVI E SISTEMA DI GOVERNANCE (qualitative and governance requirements) 3 PILASTRO REQUISITI INFORMATIVI (informative requirements) 6

7 Economic risk-based approach In line with the latest developments in risk management, in the context of the International Association of Insurance Supervisors, the International Accounting Standards Board and the International Actuarial Association and with recent developments in other financial sectors an economic riskbased approach should be adopted which provides incentives for insurance and reinsurance undertakings to properly measure and manage their risks. * *Premessa al testo della direttiva approvata. 7 7

8 1 pilastro (quantitative requirements) Valutazione delle attività e delle passività Riserve tecniche Fondi Propri Requisito Patrimoniale di solvibilità (SCR) Requisito Patrimoniale minimo (MCR) Disposizioni in materia di investimenti 8 8

9 2 Pilastro (qualitative/governance requirements) Some risks may only be properly addressed through governance requirements rather than through the quantitative requirements reflected in the Solvency Capital Requirement. An effective governance system is therefore essential for the adequate management of the insurance undertaking and for the regulatory system. The governance system includes the risk management function, the compliance function, the internal audit function and the actuarial function. All insurance and reinsurance undertakings should have, as an integrated part of their business strategy, a regular practice of assessing their over-all solvency needs with a view to their specific risk profile (own risk and solvency assessment). This assessment does not require the development of an internal model nor does it serve to calculate a capital requirement different from the Solvency Capital Requirement and the Minimum Capital Requirement. The results of each assessment should be reported to the supervisory authority as part of the information to be provided for supervisory purposes. * *Premessa al testo della direttiva approvata. 9 9

10 3 pilastro (informative requirements) Informativa all autorità di vigilanza Informativa al mercato In order to guarantee transparency insurance and reinsurance undertakings should publicly disclose at least annually essential information on their solvency and financial condition. Undertakings should be allowed to publicly disclose additional information on a voluntary basis. To publicly disclose information means to make it available to the public either in printed or electronic form free of charge. * *Premessa al testo della direttiva approvata

11 Il primo pilastro di solvency 2: elementi essenziali e criticità 11

12 Valutazione delle attività, delle passività e delle riserve tecniche Attività, passività e riserve tecniche sono valutate al fair value. Le passività e le riserve tecniche non devono considerare il proprio rischio di credito Operativamente le riserve tecniche sono calcolate come somma di una best estimate e di un risk margin. La best estimate è pari al valore attuale dei futuri cash outflows attesi. Per il calcolo del valore atteso è tipicamente richiesta una stima esplicita di tutti gli scenari possibili e delle rispettive provabilità Il risk margin deve essere espressione del premio per il rischio richiesto dal mercato e deve essere stimato con il metodo del costo del capitale. Art. 74 della direttiva: - insurance and reinsurance undertakings value assets and liabilities as follows: (a) assets shall be valued at the amount for which they could be exchanged between knowledgeable willing parties in an arm's length transaction; (b) liabilities shall be valued at the amount for which they could be transferred, or settled, between knowledgeable willing parties in an arm's length transaction. -When valuing liabilities, no adjustment to take account of the own credit standing of the insurance or reinsurance undertaking shall be made. Art. 75 direttiva - The value of technical provisions shall correspond to the current amount insurance and reinsurance undertakings would have to pay if they were to transfer their insurance and reinsurance obligations immediately to another insurance or reinsurance undertaking. - The calculation of technical provisions shall make use of and be consistent with information provided by the financial markets and generally available data on underwriting risks (market consistency). Art. 75 della direttiva - The value of technical provisions shall be equal to the sum of a best estimate and a risk margin Art. 76 della direttiva The best estimate shall correspond to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. The risk margin shall be such as to ensure that the value of the technical provisions is equivalent to the amount insurance and reinsurance undertakings would be expected to require in order to take over and meet the insurance and reinsurance obligations...the risk margin shall be calculated by determining the cost of providing an amount of eligible own funds equal to the Solvency Capital Requirement necessary to support the insurance and reinsurance obligations over the lifetime thereof (cost-co-capital-approach). 12

13 Le key issues 1 pilastro: La valutazione delle riserve tecniche secondo le modalità prescritte dalla direttiva e dalle misure di implementazione Technical issues la stima dei cash flows la stima del risk margin la valutazione delle polizze vita rivalutabili (participating contracts) la valutazione delle opzioni implicite nelle polizze la considerazione della market constency prescritta dalla direttiva Strategic issue il modello di valutazione delle attività e delle passività attualmente utilizzato è adeguato? Quali interventi sarà necessario fare e con quali tempi? quali impatti per la transizione? il cambiamento del modello valutativo avrà impatti esclusivamente sui sistemi contabili o anche su altri sistemi (risk management, design e pricing del prodotto, ad esempio)?. 13

14 Fondi Propri I fondi propri possono essere basic o ancillary. I fondi propri sono classificati in tre Tier (1, 2 e 3) a secondo delle proprie qualità (disponibilità permanente e subordine) e se sono basic o ancillary Per essere ammissibili (eligible) i fondi propri tier 2 e tier 3 sono soggetti a specifici vincoli quantitativi. Art. 86 della direttiva: Own funds shall comprise the sum of basic own funds and ancillary own funds. Art. 87 della direttiva: Basic own funds shall consist of the following items: (1) the excess of assets over liabilities (2) subordinated liabilities. Art. 88 della direttiva: Ancillary own funds shall consist of items other than basic own funds which can be called up to absorb losses. Art. 93 della direttiva (1) Own fund items shall be classified into three tiers. The classification of those items shall depend upon whether they are basic own fund or ancillary own fund items and the extent to which they possess the following characteristics: (a) the item is available, or can be called up on demand, to fully absorb losses on a going-concern basis, as well as in the case of winding-up (permanent availability); (b) in the case of winding-up, the total amount of the item is available to absorb losses and the repayment of the item is refused to its holder until all other obligations, including insurance and reinsurance obligations towards policyholders and beneficiaries of insurance and reinsurance contracts, have been met (subordination). Art. 94 della direttiva Basic own fund items shall be classified in Tier 1 where they substantially possess the characteristics set out in points (a) and (b) of Article 93 (1), taking into consideration the features set out in Article 93(2). Basic own fund items shall be classified in Tier 2 where they substantially possess the characteristic set out in point (b) of Article 93(1), taking into consideration the features set out in Article 93(2). Ancillary own fund items shall be classified in Tier 2 where they substantially possess the characteristics set out in points (a) and (b) of Article 93(1), taking into consideration the features set out in Article 93(2). Any basic and ancillary own fund items which do not fall under paragraphs 1 and 2 shall be classified in Tier 3. Art. 98 della direttiva As far as the compliance with the Solvency Capital Requirement is concerned, the eligible amounts of Tier 2 and Tier 3 items shall be subject to quantitative limits. 14

15 Le key issues 1 pilastro: I fondi propri Technical issues La classificazione dei fondi propri secondo i criteri stabiliti la nuova direttiva Strategic issue Il nuovo sistema di classificazione determinerà degli impatti consistenti sulle forme di provvista finanziaria delle compagnie di assicurazione? Quale ruolo per gli strumenti ibridi di capitale? Quali impatti per la transizione?.. 15

16 La situazione patrimoniale secondo solvency 2 (economic balance sheet) Assets Liabilities Free capital Available Capital (fondi propri) SCR: Required capital for 1-year risk Fair value of assets Risk margin Current exit value of liabilities Best estimate of liabilities Fonte: Adattato da Keller (2006) 16

17 Sovency Capital Requirements L SCR corrisponde al VAR99,5% (approccio risk based). Può essere calcolato: - attraverso una formula standard - attraverso dei modelli interni Art. 100 della direttiva The Solvency Capital Requirement shall be calculated, either in accordance with the standard formula in Subsection 2 or using an internal model, as set out in Subsection 3. Art. 101 della direttiva The Solvency Capital Requirement shall be calibrated so as to ensure that all quantifiable risks to which an insurance or reinsurance undertaking is exposed are taken into account. It shall cover existing business, as well as the new business expected to be written over the next twelve months. With respect to existing business, it shall cover unexpected losses only. It shall correspond to the Value-at-Risk of the basic own funds of an insurance or reinsurance undertaking subject to a confidence level of 99,5 % over a one-year period. The Solvency Capital Requirement shall cover at least the following risks: (a)non-life underwriting risk; (b)life underwriting risk; (c) health underwriting risk; (d)market risk; (e)credit risk; (f) operational risk. Operational risk as referred to in point (f) of the first subparagraph shall include legal risks, and exclude risks arising from strategic decisions, as well as reputation risks. 17

18 La determinazione dell SCR secondo l approccio di Solvency 2 Fair value of assets Fair value of liabilities One year capital scenarios Capital (eligible own funds) SCR (Solvency Capital Requirement) 99,5%WORST CASE 18

19 Le key issues 1 pilastro: Il Solvency Capital Requirements Technical issues Quali informazioni sono richieste per l applicazione della formula standard di Solvency 2? Quali informazioni e quali costi per l implementazione dei modelli interni.. Strategic issue Formula standard o modelli interni? Quale effetto sul design e sul pricing dei prodotti, sul sistema di risk management e di value based management?.. 19

20 La relazione rischi, SCR e redditività (in pillole) 20

21 Economic risk-based approach. an economic risk-based approach should be adopted which provides incentives for insurance and reinsurance undertakings to properly measure and manage their risks. * *Premessa al testo della direttiva approvata

22 Tanti rischi, tanto patrimonio netto minore redditività del capitale Impresa A - Utile 2009 Utile atteso = 50 Solvency Capital Requirement 156 Solvency capital requirement ROE Atteso massimo 32% 0,5% Utile 22

23 pochi rischio, poco patrimonio netto maggiore redditività del capitale Impresa B - Utile 2009 Utile atteso = 50 SCR 52 SCR ROE atteso massimo 96% 0,5% Utile 23

24 DOMANDE?. 24