CEIOPS' Advice for Level 2 Implementing ... - EIOPA - Europa

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Annex G. Illustrative example of further level 3 guidance to foster harmonization and comparability of the counterparty default adjustment CEIOPS would released a table as follows to apply as part of the relevant level 3 guidance, where an undertaking has not sufficient resources to derive reliably RR and PD according a market consistent methodology. CEIOPS would check, and review where appropriate, these values to guarantee they are, at any moment, consistent with the in<strong>for</strong>mation available in financial markets. Values of RR and PD in the table below are only <strong>for</strong> illustrative purposes. It is assumed that these values would be estimated (updated) according the observations of financial markets at the reference date. Recovery rate Probability of default(1) Adjustment of best estimate of reinsurance recoverables and SPVs, acoording the duration of expected cash flows. Expressed as a percentage of the best estimate. ( (1-RR) * PD / ( 1 – PD ) * Dur ) 1 year 2 year 3 year 4 year 5 year AAA 50% 0,05% 0,03% 0,05% 0,08% 0,10% 0,13% AA 45% 0,10% 0,06% 0,11% 0,17% 0,22% 0,28% A 40% 0,20% 0,12% 0,24% 0,36% 0,48% 0,60% BBB 35% 0,50% 0,33% 0,65% 0,98% 1,31% 1,63% BB 20% 2,00% 1,63% 3,27% 4,90% Others 10% 10.0% 112/112 Non applicable Simplification non applicable according 5 per cent threshold proposed in this advice (1) Simplification non applicable according the 5 per cent threshold proposed in this advice Premium provisions of annual insurance contracts may be considered as having a duration equivalent to that of the claims provision corresponding the claims occurred during the last year, plus one year. © CEIOPS 2010
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CEIOPS e.V. - Westhafenplatz 1 - 60
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1. Introduction 1.1. In its letter
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2.2.2. The following recitals provi
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“[…]Where, in specific circumst
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3.6 It is noted that in the recital
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have in place internal processes an
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not be appropriate to reduce this v
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3.36 Hence where an (re)insurance u
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Scale 3.46 Assigning a scale introd
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“scale” that will apply in all
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circumstances of its omission or mi
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3.81 Under these circumstances, it
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• the level of certainty i.e. the
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3.105 All in all, at least the foll
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the chosen valuation method. If it
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development, so that it is likely t
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• As part of supervisory guidance
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case the threshold is not exceeded.
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if the threshold is not exceeded th
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principles. In following paragraphs
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sign ( x) = −1 if x < 0 . 3.179 E
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3.193 The time value of the investm
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distribution to policyholders as th
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• assume independency between ass
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company or new line of business, al
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easonable be supposed proportional
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incurred when the method is applied
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3.261 The general rule for calculat
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• the loss absorbing capacity of
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3.285 As a consequence of this, the
Page 61 and 62: SCR for the individual lines of bus
Page 63 and 64: • the loss absorbing capacity of
Page 65 and 66: OPRU,lob,>0 = an approximation of t
Page 67 and 68: Life insurance 3.323 With respect t
Page 69 and 70: 3.330 With respect to health insura
Page 71 and 72: eing applicable for life insurance
Page 73 and 74: 3.351 The structure of the health u
Page 75 and 76: ∆rn = the absolute decrease of th
Page 77 and 78: the methods to be used for projecti
Page 79 and 80: CEIOPS’s draft advice on the valu
Page 81 and 82: 3.392 In this context, the technica
Page 83 and 84: clearly the present difficulties of
Page 85 and 86: • Even if the undertaking’s rei
Page 87 and 88: information regarding the RBNS-clai
Page 89 and 90: CEIOPS’ Advice Simplifications re
Page 91 and 92: 3.5. Quarterly calculations 3.444 A
Page 93 and 94: e to use the simplified calculation
Page 95 and 96: Annex A. Example to illustrate the
Page 97 and 98: Annex B. Some technical aspects reg
Page 99 and 100: is accurate because the payment of
Page 101 and 102: C.6. The individual elements sketch
Page 103 and 104: UMRU,lob,≥0 = max{∑ ≤ t Durmo
Page 105 and 106: E.5. The considered proxies based o
Page 107 and 108: E.14. The following criteria should
Page 109 and 110: “The gross-to-net proxy was used
Page 111: where Durmod denotes the modified d
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