Management of Insurance Assets Challenges and Opportunities Presented by Solvency II
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1 Management of Insurance Assets Challenges and Opportunities Presented by Solvency II Dr. Boris Neubert, 6 June 2014
2 Contents 3 Introduction 4 Solvency II 6 Impact on the Asset Management Industry 7 Future Investor and Regulatory Reporting 10 Opportunities for Product Development and Sales 13 Challenges of Implementation 15 Summary About the Author
3 Insurers play a significant role in the market for fund investments. 1 EFAMA, Asset Management in Europe, Facts & Figures, 6th annual review, June First Council Directive 73 / 239 / EEC of 24 July 1973 on the Coordination of Laws, Regulations and Administrative Provisions relating to the Taking-up and Pursuit of the Business of direct Insurance other than Life Assurance, as amended and expanded by a series of further Directives. 3 Survey conducted among asset managers by IDS GmbH Analysis and Reporting Services ( IDS ) in the period from December 2013 to March 2014, primarily in Germany, the UK, Luxembourg and Switzerland. Introduction Insurers play a significant role in the market for fund investments : At the end of 2011, institutional investors dominated the European asset management market constituting 75 % of total assets under management ( AuM ). Of this total, investments by insurance firms made up a large part ( 42 % of AuM ). Moreover, insurers represent more than half of institutional clients in Italy, Portugal, France and Germany, and over 30 % in Austria, Bulgaria, Hungary, the UK and Greece. 1 Up to now, investments by insurers in the European Union were governed by the Solvency I Directive 2, along with legislative guidelines at national level. The solvency rules coming into effect with the preparatory phase for the European Solvency II Framework Directive 2014 / 2015 will bring about fundamental changes in the regulatory landscape. The accompanying qualitative and quantitative guidelines for investment and reporting will also significantly impact the institutional client business of asset managers. In the first place, insurers are already demanding comprehensive investment reporting in accordance with the new rules from their external asset managers, to ensure proper coverage of fund investments and other externally managed portfolios in reporting, and especially to reduce capital adequacy requirements through compliance with transparency guidelines. Asset managers who are unable to satisfy these demands are at risk of losing clients. Secondly, the rules for calculating insurers Solvency Capital Requirement ( SCR ) will result in additional considerations for investments. Optimization of investment strategies in the context of these rules, as well as communication of the measures taken in the form of suitable marketing materials, will give asset managers an advantage over their competitors through the ability to offer Solvency II ready products. A recent survey 3 of asset management companies has found three roughly equally large groups within the industry, in terms of their willingness and ability to incorporate the coming changes into processes and policies. One group expects a large to very large impact on the products and services that their firm offers to clients, considers early implementation to be important to maintaining competitiveness and has therefore intensively addressed Solvency II topics in the firm. The opposing camp does not intend to significantly adjust products and services for clients under Solvency II, is not confident that early implementation of Solvency II requirements is important to competitiveness and has scarcely addressed Solvency II topics in the firm. In the middle group, although the majority does not expect large impacts from Solvency II on investment policies and reporting, most believe that early implementation of Solvency II is important for competitiveness and intend to offer clients Solvency II-ready products. Working Paper Challenges and Opportunities Presented by Solvency II 3
4 Solvency II sets out new requirements for insurers. 4 Directive 2009 / 138 / EC of the European Parliament and of the Council of 25 November 2009 on the Taking-up and Pursuit of the Business of Insurance and Reinsurance ( Solvency II ). 5 Proposal for a Directive of the European Parliament and of the Council amending Directives 2003 / 71 / EC and 2009 / 138 / EC in respect of the Powers of the European Insurance and Occupational Pensions Authority and the European Securities and Markets Authority; version dated 19 January Almost four-fifths of the firms have already begun with technical implementation of measures in preparation for Solvency II but about half of these are less than satisfied or completely unsatisfied with their current solution. Only one-third consider their available IT infrastructure, data quality and personnel numbers adequate for implementation. For approximately one-fifth, infrastructure and data quality are inadequate, and one-third report inadequate personnel numbers. This paper will therefore look at the changing environment and demands in the market, and discuss challenges and opportunities in asset management for insurance clients. Solvency II Solvency II is a project of the European Commission to set out new solvency requirements for insurers. Directive 2009 / 138 / EU 4, which entered into force on 6 June 2010, introduced a risk-based, total balance sheet solvency regime to assess capital requirements for insurance undertakings operating in the European Union ( EU ). Implementing measures ( directives and regulations ) had already been developed in tandem with representatives of the insurance market and special commissions during the Lamfalussy process ( including the Omnibus II Directive 5 ). These expanded the competency of EU supervisory authorities to include creation of technical standards and regulation of dispute resolution, as well as introduction timetables and rules for implementation. Supervisory competence is in the hands of the European Insurance and Occupational Pensions Authority ( EIOPA ) alongside the national-level regulatory bodies. Five Quantitative Impact Studies ( QIS ) were conducted along with national or topic-specific studies to field-test the practicability, implications and impact of Solvency II. Working Paper Challenges and Opportunities Presented by Solvency II 4
5 6 Technical Specifications for the Preparatory Phase ( Part I ), EIOPA-14 / 209, Annexes to the Technical Specifications for the Preparatory Phase ( Part I ), EIOPA-14 / 211, and Technical Specifications for the Preparatory Phase ( Part II ), EIOPA- 14 / 210 dated 30 April Solvency II is built on three pillars: quantitative requirements, qualitative requirements and reporting requirements ( see fig. 1 ). The central regulatory metric under Solvency II is the Solvency Capital Requirement ( SCR ) in pillar 1. The SCR represents a minimum amount of capital required to conduct insurance business. It covers all of the insurer s quantifiable risks, and corresponds to the Value-at-Risk of the own funds in the fair market value balance sheet of an insurer at a confidence level of 99.5 % over a one-year horizon. For calculation of the SCR, the insurer decides to apply the Standard Approach ( a de ter min istic model provided by the regu lator ) or to make ( partial ) use of an internal model based on its own stochastic methods. Even if an internal model is applied, insurers are also required to calculate the SCR according to the standard model and report the results to the supervisory authority. The latest compre hen sive, detailed guidelines are published in the Tech nical Specifications 6, last updated 30 April The Technical Specifications were repeatedly updated over time. Pillar 2 encompasses internal risk assessments by the insurer, as well as the setup of an efficient and appropriate operational system of risk management. Figure 1 Solvency II Pillar 1 Pillar 2 Pillar 3 Quantitative Requirements Qualitative Requirements Reporting Requirements Market-consistent valuation of assets and liabilities Calculation of Solvency Capital Requirements (SCR) Minimum Capital Requirement (MCR) Calculation of insurance-specific stress tests Consistently risk-based systems Risk strategies Organizational structure Internal management and control systems Auditing Supervisory Review Process (SRP) Own Risk and Solvency Assessment (ORSA) Objectives Improved risk management processes Reporting to public and regulator Transparency Corporate strategy, risk management and model Solvency and Financial Condition Report (SFCR) annual quantitative qualitative Regulatory reporting QRTs quarterly and yearly Harmonisation 5
6 Reporting according to Solvency II begins in Guidelines on Submission of Information to National Competent Authorities, EIOPA-CP-13 / Explanation for EIOPA Solvency II Annotated Templates, dated 28 September Pillar 3 introduces numerous reporting obligations vis-à-vis the public and regulatory authorities. The latest rules are contained in a set of guidelines 7 published by EIOPA on 31 October 2013, comprising 62 Quantitative Reporting Templates ( QRTs ) 8 for mandatory use by insurance undertakings ( 48 annual QRTs for each individual subsidiary and 34 at group level, 31 quarterly QRTs for individual subsidiaries and 20 for insurance groups ). During the transitional period, a reduced number of reports for 2014 is to be delivered by insurance firms to their national regulators within 22 weeks from the start of Effective November 2015, the first quarterly reports are then mandatory for the third quarter of Reporting obligations at the beginning of 2016 are still open and not covered by the guidelines for the preparatory phase. Impact on the Asset Management Industry Asset managers are uncertain about the effects of the new regulations and sentiments are mixed among insurers as to the opportunities they may or may not present, given the current state of the discussion surrounding implementation of Solvency II the spectrum of opinions and approaches to the issue is broad ranging from a reductionist approach, with letter-of-the-law application of reporting requirements, to playing up of the topic for active marketing of products to insurers as Solvency II ready. Thus, Solvency II is a topic that can be used to competitive advantage by asset management firms. Working Paper Challenges and Opportunities Presented by Solvency II 6
7 9 Communication between EIOPA and IDS, dated 22 August 2013 Asset managers intending to position themselves with a solid range of Solvency II products for institutional investors will have to possess profound expertise with respect to the effects of a fund investment on their clients capital requirements, and about the practical reporting implications for the investor. Along the asset management value chain, they will find numerous points of interest for product management, sales, fund management, investment controlling and investor reporting ( fig. 2 ). The main potential lies in future investor and regulatory reporting, and in the design of products that are compatible with insurers investment strategies under Solvency II. These topics are covered in the following sections. Future Investor and Regulatory Reporting Asset QRTs In the wake of the financial crisis, the regulator has tightened up the transparency regime. Under Solvency II, a lack of transparency about the individual assets involved in a fund investment results in higher own funds requirements. Consequently, insurers are relying on their asset managers to provide the necessary information in the format required for regulatory compliance. The QRT Assets-D4 is the tool used to provide the required transparency, as the only QRT that currently provides the look through to individual assets required by the regulator 9 for fund investments. Figure 2 Activities along the asset management value chain Product Development Institutional Sales Portfolio Management Investment Controlling Institutional Reporting Survey of investors requirements Definition of optimal portfolios SCR calculations for the development of efficient portfolios Comparison with benchmarks Definition of model porfolios and client products SCR calculations for investment funds and model portfolios for RfPs Proof of reporting capabilities Calculation of customized benchmarks Determination of the effects of investment decisions on the SCR as part of the investment process Putting optimal investment decisions into effect Current calculation of figures relevant for the investment guideline monitoring Investment guideline monitoring in accordance with Solvency-II-related product characteristics Reporting according to Solvency II (Asset QRTs and contributions to SCR) 7
8 Asset managers have to provide quantitative reporting templates. It is to be completed on a quarterly basis or, in the case of a minimal investment volume by the insurer, annually. Assets-D4 records the aggregate market value of the positions in the investment funds, grouped by asset class, geographical region and currency; liabilities must be identified separately. Home or foreign currencies are determined by the investor s reporting currency, and not that of the fund. In addition to the fact that D4 is a fundamentally new reporting format, there are significant challenges presented by proper, client-based standardization of the positions according to the CICs, as well as categorization by geographical region, client-specific currency recording and analysis of target funds in a manner that is useable by internal and external auditors. The asset class is labeled using a Complementary Identification Code ( CIC ), for which the regulator requires the methodology employed by each individual insurer for CIC assignment to be consistent rather than establishing an industry-wide uniform standard. If a fund contains units in another investment fund, a look through to the underlying assets must be carried out to the point that all material risks are identified. If this level of transparency is not possible, the option exists either for application of the least favorable investment permissible under the investment policies or classification as an equity investment. There is an urgent need for action especially in fund-of-funds management and conflicts are sure to arise between investors transparency needs on the one hand and the need to protect investment policy secrets on the other. With respect to data transfer formats, solutions are currently in development at national level, and the first independent providers of data transfer platform services have come into the market. For direct investments and, if the investor requires its own fund look through for consolidation purposes all of the Asset QRTs are relevant. D1 Investment data portfolio list D1S Structured products data portfolio list D2O Derivatives data open positions D2T Derivatives data historical derivatives trades D3 Return on investment assets ( by asset category ) D4 Investment funds ( look-through approach ) D5 Securities lending and the repos D6 Assets held as collateral In order to complete D2T, information is required not only on current positions, but on all derivatives transactions at any time during the reporting period. Further challenges include reporting of structured instruments, valuation issues ( fund accounting, IFRS valuation and Solvency II valuation of insurers ) and reporting of rolling hedge strategies. Working Paper Challenges and Opportunities Presented by Solvency II 8
9 The regulation supports transparency on risks of investment funds. SCR contributions By themselves, the Asset QRTs for investment funds will not be enough to give insurers a full picture of all reportable figures relating to their fund investments. Besides trivial overlaps with some QRTs, there is a need for additional data and metrics in relation to investment funds especially calculation of the SCR for QRTs SCR- B3A and SCR-B3B. A key objective of the regulation is establishment of transparency with respect to the risks from investment products and the related requirement for a look through in investment funds. Companies using an internal model require adequate information about the relevant positions in a quality that allows proper VaR calculation. Insurers that use the standard approach exclusively, and particularly small and medium-sized insurers, are not likely to implement the SCR calculation rules for the entire range of different financial instrument types in investment funds. Consequently, it can be surmised that these investors will request that their asset managers provide them with the contributions to the individual SCR components ( see next section ), so that they can aggregate the components together with the contributions from other assets and liabilities to a single overall SCR for the total balance sheet. The contribution of concentration risks to SCR is calculated as the sum of marked-to-market exposures to any single issuer, each multiplied by a rating factor. In this context, de minimis thresholds are applied, below which an exposure is exempted as insignificant. Thus, in order to calculate the contribution of concentration risks in the total balance sheet to the SCR, a list of all percentages attributable to individual issuers is required, which must also be provided by the asset manager. Summary In summary, it can be stated that with a view to Solvency II asset managers will have to set up a substantial new reporting infrastructure comprising data fields not currently included in investor reporting. The market will need to determine processes for the overall scope and format of reporting, and there is a need for consultations at the industry association level. Given the regulatory reporting requirements, insurers will require reports to be available on a quarterly basis. However, pillar 2 requires a forward-looking assessment of risks in the balance sheet, which will require e. g. an assessment of continual compliance with regulatory capital requirements. Accordingly independent of reporting dates and deadlines more frequent calculation of actual SCRs may be prudent ( e. g. monthly ), along with modeling of the related capital implications of fund investments. 9
10 Calculation of contributions to the solvency capital requirements allows optimization of investment strategies. Opportunities for Product Development and Sales The SCR is a key indicator for investment management by insurers. Expected returns from investment funds must thus also be viewed from the perspective of the resulting impact on own funds. To conclude, however, that creation of efficient products is utterly impossible because external asset managers generally lack an overview of the total balance sheet and thus the contribution of an investment to the SCR would be premature and wrong. Instead, it would make sense to examine SCR calculation and analyze the effects of investment strategies on the SCR; as qualitatively demonstrated in the examples below for the standard approach. SCR determinants SCR calculation is outlined in Articles 103 to 111 of the Solvency II Directive. The details can be found in Appendix IV of the Directive and in section 2 of the Technical Specifications. The calculation is broken down into several modules ( see fig. 3a ). Each module has its own selfcontained logic ( parameters, input and output data, calculation rules, simplifications ). The SCR is represented as an amount in monetary units. It is deduced using the Basic SCR plus a correction factor for loss absorbing effects of technical provisions and deferred taxes, and adding the SCR for operational risks. Basic SCR is the sum of SCR contributions from the five modules: market risk, health underwriting risk, counterparty default risk, life underwriting risk and non-life underwriting risk aggregated through a correlation matrix adding SCR from intangible assets. Figure 3a SCR Basic-SCR Adjustments Operational risk Market risk Health underwriting risk Non-life underwriting risk Life underwriting risk Counterparty risk Intangible assets Interest rate Up-/Downshift interest rate Equity Downshift equity Property Downshift real estate Spread Currency Up-/Downshift currencies Concentration Rating factor with de minimis threshold Working Paper Challenges and Opportunities Presented by Solvency II 10
11 10 EIOPA Report on the fifth Quantitative Impact Study ( QIS5 ) for Solvency II, EIOPA-TFQIS5-11 / 001, dated 14 March Given its high contribution of 57 % 10 to Basic SCR, the most significant module is the one for market risk. This module includes investments in funds. The market risk SCR is calculated using the correlation matrix in fig. 3b as an aggregation of six components in the insurer s total balance sheet. For each component, the contributions from an investment fund under the standard approach are added to the same components from other fund investments, direct investments and liabilities of the insurer. Given the positive correlations of the components relevant for investment funds, a quantitative statement can be made about the influence of an investment fund s components on the insurer s SCR: Interest Rate Risk SCR: change in market value upon revaluation of all interestsensitive instruments based on stressed yield curves ( rising and falling interest rates ). Since interest rate risks appear on both the asset side ( e. g. from fixed income investments ) and the liability side ( actuarial representation of technical liabilities through cash flows ) of the balance sheet, statements about the impact of interest positions in investment funds on the SCR for interest rate risk can only be made on the basis of a total balance sheet view. Spread Risk SCR: product of market value, rating factor and duration. Spread risks result in an increase of the SCR. Equity Risk SCR: change in market value upon 39 % or 49 % decline in stock price ( corrected as necessary to reflect regulatory add-ons / discounts ). Positive equity exposure results in a significantly higher SCR. Currency SCR: change in market value due to rise or fall in exchange rates of generally speaking 25 %. Currency risks result in a substantial increase to the SCR. Concentration Risk SCR: product of market value and rating factor with de minimis threshold per issuer. Concentration risks result in the requirement for additional capital. Property SCR: change in market value upon decline of property valuation. Figure 3b Correlation matrix Interest rate Equity Property Spread Currency Concentration Interest rate 1 Equity 0 / Property 0 / Spread 0 / Currency Concentration
12 The contributions to the solvency capital requirements from the market risk module are the control parameters. 11 e. g. Directive 2009 / 65 / EC of the European Parliament and the Council dated 13 July 2009 on the Coordination of Laws, Regulations and Administrative Provisions relating to Undertakings for Collective Investment in Transferable Securities ( UCITS ), and implementing measures; in Germany also the Capital Investment Code in the version dated 20 September Portfolio Institutionell, Wandler profitieren von Solvency II, March See section SCR in the Technical Specifications. 14 Matthieu Louanges, The New Normal in European Insurance Asset Management, PIMCO European Perspectives, May Key indicators at fund level The key indicators from the perspective of the asset manager are: equity SCR, spread risk SCR, currency SCR and property SCR. The interest rate risk SCR is of importance when it comes to products used for duration management. Concentration risks are already limited by investment legislation 11. All six components are important in the context of product development. To illustrate, the following rules can be derived: Given the asymmetric reaction to changes in underlying equity prices, convertible bonds offer advantages over equities ( SCR contribution only marginally higher than conventional bonds with equity-like upside 12 ). For bonds subject to spread risk, assuming the market is adequately large and diverse, short matu ri ties should be favored due to dependence on duration especially in combination with flatter credit spread curves. Currency risks should be avoided, either through hedging transactions in the fund or risk overlay concepts. The hedging effect of derivatives is taken into account for SCR calculation such that changes in the fair value of non-rolling hedging transactions are included proportionate to the residual maturity over one year Rolling hedges are accounted for in full, provided they satisfy the requirements for permissible risk mitigation techniques 13. Product needs from the insurer perspective Given the options for management at the level of SCR components, insurers will have a need for modular concepts: individual segments may be put in the hands of external asset man agers, whereas overall management is the responsibility of the insurer 14. Capital protected products are interesting provided the related guarantees are legally binding. In this case, the insurer can apply the difference between the market value and the minimum guarantee instead of the actual SCR components from the investment fund. For rule-based products, offering only soft guarantees, this is not possible given that dynamic hedging strategies are explicitly excluded as risk mitigation techniques. Consequently, asset managers have numerous possible ways to offer optimized products for Solvency II investors in terms of solvency capital requirements and investment returns. This also puts a premium on the ability to quantify the SCR contributions of fund investments: beyond usefulness merely for investor reporting, these figures provide insight that can be leveraged for product development, the investment process and sales. Working Paper Challenges and Opportunities Presented by Solvency II 12
13 15 Michael Metcalfe, Countdown to Solvency II: a checklist of IT challenges facing investment managers, Journal of Applied IT and Investment Management, April Challenges of Implementation Asset managers face challenges from a technical perspective 15 ( data and systems ) and with respect to the qualification of employees, who will have to adapt to the changing demands of investors, as well as an exceedingly complex regulatory environment in a field outside the traditional bounds of asset management. Figure 4 presents a number of relevant aspects. Factors that will ensure success include: Consistency of methods used for calculations in the process chain to maximize efficiency; there should be a consistent numerical basis for discussions of results and decisions between all internal and external process participants, Uniform internal and external reporting that promotes implementation and communication of the product strategy, and Comprehensive expertise about all issues surrounding Solvency II, to ensure high quality and professionalism in asset management and investor reporting. Figure 4 Challenges Systems Data Personnel Calculation/ Reporting Products System for risk analysis, calculation of SCR according to Solvency II Flexibility of systems to handle potential changes in calculation and reporting requirements Correct and complete data Consistency of data in all systems and reports Compatibility of data with changes to regulatory requirements Qualified personnel for operation of systems, monitoring and implementation of changes, communication with investors on a professional level Setup and updating of new reports and interfaces Calculation and reporting (regular and ad-hoc) Efficient reporting processes to support insurers Standard vs. internal model: determines degree of granularity in calculation and reporting Look-through: obtaining data for calculation/ reporting of SCR Preference of asset classes that reduce capital requirements (e.g. sovereign bonds before corporates, fixed-income before equities, etc.) Diversification (asset classe/region) Increasing importance of return per risk Need for innovative products and investment strategies Limits for risk strategies Capital requirement per asset class, sensitivities in complex assets, large concentrations Audit-proof systems, data and processes (consistent and reliable models in line with regulatory requirements; selection of appropriate, robust parameters, internal controls) 13
14 Success factors are consistency of methods, uniform reporting and comprehensive expertise. 16 Council Directive 85 / 611 / EEC of 20 December 1985 on the Coordination of Laws, Regulations and Administrative Provisions relating to Undertakings for Collective Investment in Transferable Securities ( UCITS ), as updated and expanded by other directives. Given these requirements, there is a need by all participants to set up three functional distinctions: 1. Collection, analysis and enrichment of investment data from different systems and contexts, to form a consistent base of data for subsequent calculations and reports. 2. Quantification of the contribution of the investment fund to individual SCR components, to determine the effects of the product structure in general, and investment decisions in particular, on the SCR contribution of the investment fund. 3. Preparation of reports for internal monitoring and control of the investment process as well as financial and regulatory reporting to investors. When implementing a proprietary solution, an asset manager may make use of the exist ing systems for risk monitoring under the UCITS Directive 16 and for investor reporting though these must be substantially expand ed and equipped with new parameters for application in accordance with the Technical Specifications of Solvency II. Prior to any such investment, the asset manager must ask itself questions, such as: Do we have adequate personnel available with sufficient qualification to continually monitor consultations on the European Directive and provide early and reliable signals for the further development of technical solutions? or Is the IT platform set up so that reports can be quickly and flexibly created and configured in such a way that regulatory reporting requirements can be implemented? Working Paper Challenges and Opportunities Presented by Solvency II 14
15 Specialized shared service centers provide advantages to asset managers for Solvency II solutions. Given the high degree of standardization, it could make sense for asset managers to find an external provider that can offer the aforementioned modules as a white label service. Because they feature the kinds of high performance IT platforms and focus on operational investment reporting needed in this context, shared service centers specialized in reporting and analysis services offer advantages over outsourcing of functions to custodian banks or consulting firms in the form of variable costs, minimized project risk and short production lead times. Summary Asset managers must act now if they wish to attract or retain insurance assets. The solutions they must offer go beyond the realm of investor reporting. Instead, with relatively little additional investment, the infrastructure necessary for future investor reporting can be used effectively today for development and marketing of investment fund products that are more efficient from a Solvency II stand point than the products offered by the competition. There are investment risks given the still evolving capital and reporting requirements facing insurers and the lack of market standards. However, by making use of external solutions that are already available, asset managers can begin to offer Solvency II ready products early on thus gaining a competitive advantage without additional risks from investment in infrastructure expansion. About the author Dr. Boris Neubert has been with IDS since 2009, where he is in charge of Business Development. During his 15 years of experience in the financial indus try, he has put intensive work into crucial topics such as risk management and reporting by asset managers. He has au thored numerous articles and, since 2010, has been an instructor at the Frank furt School of Finance & Management. I would like to thank my colleagues, Ms. Petra Schneider, CFA and Dr. Andrej El, product managers at IDS, whose assistance was indispen sable in preparing the contents of this article. 15
16 IDS GmbH Analysis and Reporting Services Koeniginstrasse 28, Munich, Germany For further information about IDS and all of our products, please visit IDS GmbH Analysis and Reporting Services All rights reserved. All information subject to change at any time. March _EN_WorkingPaper_SolvencyII
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