Instructions - Insurance - Class C, D and E - 2025 Global Financial Crisis (GFC) Stress Test

Summary

This document sets out the Bermuda Monetary Authority's technical instructions for the 2025 Global Financial Crisis (GFC) Stress Test, a one-off market-wide data call for Commercial Long-Term Class C, D and E insurers (reinsurers). It explains how to calibrate and apply a GFC-style stress to interest rates, credit spreads, equities, real estate and credit defaults, and how to report the results, including recapture risk and management actions, using a BMA-supplied template.

• Scope: Applies to all BMA-regulated commercial Class C, D and E insurers (reinsurers); non-insurance entities such insurance groups are excluded. Dual insurers must run the test for both long-term and general segments.
• Out-of-scope designation: Reinsurers with no in-force reinsurance treaties at the valuation date may apply by email to RiskAnalytics@bma.bm by 1 June 2025 to be treated as out-of-scope, but must still submit a best-endeavours disclosure.
• Stress calibration: Stresses are based on the April 2023 IAIS Aggregation Method Specification and applied to the balance sheet as at 31 December 2024 (or nearest financial year end), covering market risk (interest rate, spread, equity, real estate) and a 50%-of-ICS-factor credit default shock.
• Reporting template: Submissions must use the BMA-supplied template with four sheets: ECR Impacts (balance sheet pre- and post-stress and post-management action), Management Actions (top five actions, categorised by timeframe), Recapture (treaty-level detail on triggers and cure periods), and Disclosure (valuation date, currency, methodology choices, governance).
• Governance: Submissions must be reviewed by the company's risk function and signed off by the chief risk officer plus one other senior executive (CEO, CFO or chief actuary).
• Submission deadline: Completed submissions must be emailed to RiskAnalytics@bma.bm by 16 June 2025, with a possible extension to 30 June 2025 for firms that engage early with draft results.

The BMA states the exercise is for market monitoring purposes only and will not be used to set regulatory capital requirements.

Key obligations

• In-scope Class C, D and E commercial insurers (reinsurers) must complete and submit the GFC-style stress test using the BMA-supplied template by the submission deadline.
• Reinsurers seeking out-of-scope status (no in-force reinsurance treaties) must apply by email to RiskAnalytics@bma.bm by 1 June 2025, and if granted, must still provide a best-endeavours submission noting the lack of treaties in the Disclosure sheet.
• Submissions must be reviewed by the company's risk function and signed off by the chief risk officer and one other senior executive (CEO, CFO or chief actuary), with names and positions disclosed in Sheet 4.
• Firms using the alternative mortgage stress method must disclose and justify this choice in the Disclosure sheet.
• Dual (long-term and general) commercial insurers must perform the stress test for both segments.
• Reinsurers must report balance sheet, required capital and ECR under three bases: reported results, GFC combined stress impact, and stressed results before management actions, reconciled with the LLSBA year-end filing.
• The first management action must be reserved for SBA/SA asset rebalancing with no external trading, and subsequent actions must be limited to those contractually in place or highly plausible, categorised by implementation timeframe.

Applies to

Commercial Long-Term Class C, D and E insurers (reinsurers)

Deadlines

• 1 June 2025: Deadline for reinsurers with no in-force reinsurance treaties to apply by email for out-of-scope designation.
• 16 June 2025: Submission deadline for the completed GFC stress test data call via email to RiskAnalytics@bma.bm.
• 30 June 2025: Extended submission deadline available for reinsurers who engage with the Authority ahead of the standard deadline with draft results and management actions.
• 31 December 2024: Valuation date (or closest financial year end used for annual regulatory filings) on which the stress test balance sheet should be based.