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Date de publication: 18 juin 2013
Auteur: Y B
Noter cette article :
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L'Autorité européenne des assurances et des pensions professionnelles a publié son rapport à l'issue de l'étude d'impact du "paquet" branches longues.

Du 28 janvier au 31 mars 2013, plus de 400 organismes d'assurance au niveau européen, dont une trentaine d'organismes vie et non-vie français, ont participé à cette étude qui consistait à estimer l'effet des mesures du paquet branches longues sur le bilan prudentiel et les exigences de capital selon treize scénarios, pour la plupart évalués sur des données à fin 2011. Un questionnaire qualitatif a également été rempli par les participants et les autorités de contrôle nationales.

L'Autorité de contrôle prudentiel s'est fortement impliquée dans cet exercice, tant au niveau national, en conduisant l'étude sur son marché, qu'au niveau européen, en participant aux travaux de la Task Force EIOPA.

La Commission Européenne estime dans un communiqué que les résultats du rapport peuvent servir de base à un accord politique sur Omnibus II.

Résumé :

The European Insurance and Occupational Pensions Authority (EIOPA) has been requested by the Trialogue parties (the European Parliament, European Commission and Council of the European Union) to assess impacts of the market consistent approach on long-term guarantee products. Solvency II should include regulatory measures to ensure that short-term market movements are appropriately treated with regards to insurance business of a long term nature. In this context, EIOPA has conducted a technical assessment, collecting both qualitative and quantitative information from (re)insurance undertakings and supervisory authorities on the effects of selected regulatory measures.

The Long-Term Guarantees Assessment (LTGA) examines the so-called LTG package – a series of selected regulatory measures aimed at ensuring an appropriate supervisory treatment of long-term guarantee products, also under volatile market conditions. Six LTG measures are covered by this assessment, tested in different combinations through a series of 13 quantitative scenarios and tailored qualitative questions.

  1. Adaptation to the relevant risk-free term structure or Counter-Cyclical Premium (CCP): Crisis measure to complement market observations when these are determined to be temporarily unreliable or unfit for the prudential purpose, due to spread-related crisis situations in financial markets.
  2. Extrapolation: Properties of modelling used to value liabilities in order to supplement market observations when reliable market information is no longer available.
  3. “Classical” Matching Adjustment: Permanent measure providing an adjusted riskfree rate for (re)insurance annuities managed under a strict asset liability matching regime which does result in an immaterial exposure to short-term market volatility.
  4. Extended Matching Adjustment: The extension of the former measure envisaged to cover business of a long-term nature, but with a lower degree of certainty and predictability of cash flows.
  5. Transitional: Measure providing a smooth transition to Solvency II for certain long-term guarantees business underwritten under Solvency I economic and prudential conditions, avoiding disruptive events whilst ensuring right incentives.
  6. Extension of the Recovery Period: Measure to allow for an adjustment of the supervisory reaction to an individual breach of the solvency capital requirements in cases of exceptional falls in financial markets.

Apart from the last measure, the tested LTG package is mainly focussed on quantitative (capital) requirements (Pillar I), though all of those measures will need to be accompanied by suitable elements of risk management, transparency and disclosure (Pillar II and III)