Stress test – summary of EIOPA conference call

The final 2018 stress test exercise specifications are expected to be approved by the BoS this week following several changes to accommodate stakeholder feedback.

The secretariat of IE believes that the changes reflect an improvement relative to recent discussions. However, there has been no change to EIOPA’s request for post-stress SCR calculations nor its desire for individual disclosure. It also remains unclear whether the revised reporting templates will offer the flexibility required for those undertakings using a top-down approach.

The main changes communicated by EIOPA were:

• • The time provided for calculations will be extended by 4 weeks. Consequently:
    • The submission date will be 16 August 2018
    • An extension to the Q&A process is expected
    • The publication of the report will be rescheduled until January 2019

• • Additional methodological options will be permitted.
    • Top-down, bottom-up or a mixture of these two approaches is now acceptable

• Reporting templates will be split into two parts.

• • • Information for disclosure. These are required to be completed by all undertakings.

• • • Information for validation. The requirements for these will depend on the methodological approach taken.

• • Reduced granularity of reporting requirements. This includes
    • Lapse tables having been removed
    • Reduced information requests on tiering (LTG and Own Funds tabs)
    • Simplification of the Liability Characteristics tab
  • There are minor changes to the stress scenarios.

• • The permanent lapse assumption has been removed from the two market scenarios
  • The US natcat events previously being considered have been disregarded
• Clarification that the calculation of post-stress LAC DT should be consistent with the approach used in the baseline. However, when detailing the approach in the explanatory note, groups should make reference to the EIOPA advice on LAC DT.