Summary
EIOPA invited Insurance Europe and other industry representatives (CFOF, CROF and AMICE) for a call where it provided more background on the forthcoming complementary information request. This comprises of 1) a second HIA data request and 2) a data request relating to the impacts of COVID-19 pandemic.
Note that the information provided below is subject to approval by the BoS and therefore may change.
Objective/rationale for second data request
· EIOPA noted the delay for submitting its advice on the 2020 Review was necessary, in order to take into account the impact on financial markets and insurance business from the COVID-19 developments.
· EIOPA’s rationale for having the complementary information request is twofold:
o To gather data on the holistic impact of EIOPA’s proposals at an alternative reference date. To do this, it is proposed to repeat the previous information request, in a focused and simplified way.
o To collect specific data on the impact of COVID-19 pandemic on insurance business by collecting information on, for example, lapse rates and medical expense claims. The specific information will help EIOPA to understand the impact of pandemic.
Timeline
· 1 July – Launch (after EIOPA BoS on 29 June)
· 14 September – Deadline for companies to submit data to NSAs
· 14 September – 24 September – Validation of results by NSAs
· 24 September – Submission of results to EIOPA.
Scope
· The scope of the exercise will be a subsample of the first HIA exercise, to be selected by the NSAs.
· EIOPA will propose to set a benchmark of 25% of the national market, with at least 3 undertakings to participate per jurisdiction.
· All those insurers selected will be asked to participate in both the second HIA request and the COVID-19 data request.
· In addition, a number of health insurers may be asked to participate solely in the health-related parts of the COVID-19 request.
Content
The data collection exercise will consist of two parts:
· Second HIA data request which will be similar to the original HIA request, but simplified.
o The reference date for the data collection will be 30 June.
o EIOPA will focus on the most material changes, ie interest rate risk, extrapolation of RFR, VA, DVA, correlations, Risk Margin and long-term equity.
o Most of the other proposals, for example changes to best estimate and most SCR changes (except for interest rate risk and LTE) will not be included.
o The majority of the proposals being tested will be consistent with the first HIA. However, EIOPA signalled that some changes would be made to the LTE specifications to take on board lessons learnt from the first exercise.
o The extent to which the alternative calculations, ie Own Funds buffer, standard formula DVA, alternative calibrations for IRR, will be included remains under consideration.
· COVID-19 data request which will request specific data to better understand the COVID-19 impact and will consist of different things:
o VA: the impact of VA, in its current design, will be tested at the end of Q1, when market volatility was higher.
o DVA: Qualitative questions on DVA and how it behaved.
o Extrapolation: Impact of using an extrapolation with a Euro LLP of 30 yrs. This is being tested given that long-term rates significantly lowered during Q1 2020. Calculations will be limited it to technical provisions.
o Lapse rates: how lapse rates recently changed.
o Health claims: caused by COVID-19
o EIOPA is still considering whether it will ask for data on mortality risk and business interruption.
Operational aspects
· EIOPA will reuse as much as possible the files that were already previously provided for the first HIA. The technical specifications for the HIA will be based on the existing document with changes and additions clearly marked.
· Similarly, EIOPA proposes to reuse the HIA reporting template with amendments.