EFAMA KPMG Solvency II Report

4 WORKING GROUP FINDINGS | 21
From a risk categorisation perspective, the CIC classification assumes that each
asset only mitigates one main risk, whilst in reality an invested asset could mitigate
a range of risks. In addition, the code alone does not suffi ciently reflect the risks
associated with the portfolio. For example, a Greek government bond listed in London
will be classified using the same CIC as a UK government bond, yet these may have
significantly different risk profi les.
Different insurers may also classify the same security differently, requiring the asset
manager to keep multiple client specific maps and thus further increasing effort and
reducing the ease of automation.
Potential Solutions
Insurers and asset managers require clearer guidance for CIC classifi cations, especially
where inconsistencies and overlaps have been identifi ed.
The appointment of a single industry supplier for CICs through a tender process could
provide this guidance and consistency, however it will be important to ensure the
supplier is reviewed and regulated frequently.
Alternatively, an industry guidance committee could be convened for CICs to ensure
the consistency of coding and application of CICs across the asset portfolio.
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