RegAlert2019-07-09 | NBB_2019_16Added
Circular NBB_2019_16 / Circular on the transparency approach in the calculation of the Solvency Capital Requirement under the standard formula
This circular provides guidance to Belgian insurance and reinsurance undertakings on applying the transparency approach when calculating the Solvency Capital Requirement under the standard formula. It specifies requirements for various asset classes, including money market funds, real estate investments, data pooling, catastrophe risk exposures, catastrophe bonds, longevity-indexed bonds, and leveraged investment vehicles. The guidance mandates prudent assumptions for duration and credit ratings in data pooling, requires aggregation of single-name exposures in collective investment funds, and details specific capital calculation methods for complex instruments that do not qualify for risk mitigation techniques.
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Circular NBB_2019_16
Boulevard de Berlaimont 14 - BE-1000 Brussels Tel. +32 2 221 35 02 Enterprise number: 0203.201.340 RPM Brussels www.bnb.be National Bank of Belgium Eurosystem
Circular
Brussels, 9 July 2019
Reference:
Your contact:
Nicolas Colpaert
Tel. +32 2 221 35 02 nicolas.colpaert@nbb.be
NBB 2019 16
Circular on the transparency approach in the calculation of the Solvency Capital Requirement under the standard formula.
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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
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