RegAlert2016-04-25 | NBB_2016_14Added
Circular NBB_2016_14 on guidelines regarding basic risk when applying risk mitigation techniques in the calculation of the Solvency Capital Requirement under the standard formula
The circular mandates that insurance and reinsurance companies applying the standard formula under Solvency II must evaluate whether risk mitigation techniques generate significant basic risk before reducing their Solvency Capital Requirement. It establishes specific criteria for assessing financial mitigation techniques, including relative exposure importance, symmetry, non-linear dependencies, and diversification levels, and requires that currency asymmetries in insurance mitigation be treated as significant basic risk unless covered by narrow bands or fixed rates. The document specifies that companies must exclude mitigation techniques from capital calculations if they result in significant basic risk, except where Article 86 of Delegated Regulation 2015/35 applies, and sets the effective date of application as March 23, 2016.
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NBB_2016_14 – 25 April 2016 Circular – Page 1/4 boulevard de Berlaimont 14 – BE-1000 Brussels tel. +32 2 221 38 12 – fax + 32 2 221 31 04 company number: 0203.201.340 RPM Brussels www.bnb.be
Circular
Brussels, 25 April 2016
Reference: NBB_2016_14 your contact:
Kajal Vandenput tel. +32 2 221 51 77 – fax +32 2 221 31 04 Kajal.vandenput@nbb.be
Circular regarding the guidelines on basic risk when applying risk mitigation techniques in the calculation of the Solvency Capital Requirement under the standard formula
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Lineage: In force
Source: National Bank of Belgium — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works