Lapse, Liquidity and Scenario-Based Approach Return - 2024 Completion Instructions

Summary

This document sets out the Bermuda Monetary Authority's completion instructions for the Lapse, Liquidity and Scenario-Based Approach (LLSBA) Return, a template introduced following the 2023 consultation papers on enhancements to the regulatory regime for commercial insurers. It explains, tab by tab and field by field, how insurers, reinsurers and Bermuda Groups should populate the asset, derivative, SBA, lapse and liquidity sections of the return for both Scenario-Based Approach (SBA) model/asset approvals and year-end filings.

• Asset approval filings (SBA): Registrants seeking SBA model or asset approval must complete all asset-related tabs and all derivative-related tabs used in the SBA, but are not required to complete the SBA, lapse or liquidity-related tabs.
• Standard approach affiliated asset approvals: Companies using a standard approach that seek approval for affiliated assets must also complete all asset tabs.
• Year-end filings (SBA insurers): Insurers using the SBA must complete all tabs of the LLSBA template for year-end filings.
• Year-end filings (standard approach insurers): Insurers using the standard approach must complete all asset-related tabs plus the Cash Flows - Asset-related, Lapse Profile and Liquidity Projections tabs.
• Field-level guidance: The document defines common asset fields (e.g. Asset ID, Market Value, Ratings, Ownership Vehicle), asset-class-specific fields (bonds, alternatives, structured assets, real estate, infrastructure, mortgage loans), derivative and cash flow fields, and financing inflow/outflow categories used in the SBA analysis of change, lapse profile and liquidity projections tabs.

The instructions are technical guidance for completing a specific regulatory return template rather than a standalone rule; they operationalise reporting obligations that arise under the Authority's broader prudential and BSCR framework for commercial insurers.

Key obligations

• Insurers, reinsurers and Bermuda Groups applying for SBA model or asset approval must complete all applicable asset-related and derivative-related tabs of the LLSBA template.
• Standard-approach companies seeking approval for affiliated assets must complete all asset tabs in the LLSBA template.
• Insurers using the SBA must complete all tabs of the LLSBA template for year-end filings.
• Insurers using the standard approach must complete the asset-related tabs together with the Cash Flows - Asset-related, Lapse Profile and Liquidity Projections tabs for year-end filings.
• Registrants must classify assets into LLSBA template categories in accordance with the nature, characteristics and risks of the assets, consistent with prudential rules, instructions and BMA guidance.

Applies to

insurers, reinsurers, Bermuda Groups, commercial insurers