Notice - Bermuda Solvency Capital Requirement (BSCR) for 2019 Year-End (2020-02-17)

Summary

This notice from the Bermuda Monetary Authority informs (re)insurers that the Bermuda Solvency Capital Requirement (BSCR) models for 2019 year end have been updated to incorporate Grandfathering Equity risk charges reported on Schedule XXIA Concentration Risk. It clarifies which model version different categories of insurer should use for their 2019 year end BSCR reporting.

• Who is addressed: Insurance groups and Class E, Class D and Class C (re)insurers are advised of the updated 2019 year end BSCR models.
• Grandfathered equity risk: Insurers with long term policies supported by equity investments that took advantage of grandfathering of equity risk charges for policies in force prior to the 2018 year end can use the updated model to recognise the grandfathered charges on Schedule XXIA Concentration Risk.
• No eligible grandfathered business: Insurers without long term business eligible for grandfathering, including commercial general business insurers with a Class 4, 3B or 3A licence, are advised to instead use the models released on 20 December 2019.
• Where to find models: Updated models are available on the Authority's website under reporting forms and guidelines for insurance.
• Queries: Questions on the above or on BSCR regulatory reporting generally should be directed to riskanalytics@bma.bm.

Key obligations

• Insurers with long term policies supported by equity investments that used grandfathering of equity risk charges for pre-2018 year end policies must use the updated 2019 year end BSCR model to report the grandfathered equity risk charges on Schedule XXIA Concentration Risk.
• Insurers without eligible long term grandfathered business, including Class 4, 3B and 3A general business insurers, should use the BSCR models released on 20 December 2019 for 2019 year end reporting.

Applies to

insurance groups, Class E (re)insurers, Class D (re)insurers, Class C (re)insurers, Class 4 insurers, Class 3B insurers, Class 3A insurers