Notice - BSCR Model Update February 2016 (2016-02-09)

Summary

This notice from the Bermuda Monetary Authority flags corrections to the 2015 year end Bermuda Solvency Capital Requirement (BSCR) models it published on 4 December 2015 for certain insurers and insurance groups. It identifies specific calculation and reference errors in those models and explains how affected entities should respond.

• Class 4, Class 3B, Class 3A models: The Fixed Income Charge for Other Cash incorrectly referenced prior year Schedule IIA balances instead of current year balances; Schedule V(e) Stress/Scenario Tests incorrectly referenced in force policies as at 1 January 2015 instead of 1 January 2016.
• Insurance Group models: Schedule II Common Stock and Equity Mutual Funds incorrectly referenced the Form 1EBS Trial Run spreadsheet instead of Form 1; Schedule V(e) Stress/Scenario Tests had the same 1 January 2015 versus 1 January 2016 error.
• Authority's guidance: Where these errors do not materially impact an insurer or insurance group, the Authority recommends continuing to use the model published on 4 December 2015. Where an insurer or group is materially affected, corrected models have been published on the Authority's website for download.

Questions about the notice can be directed to the Authority's risk analytics team by email.

Key obligations

• Insurers or insurance groups that are materially affected by the identified BSCR model errors should download and use the updated models published on the Authority's website rather than the 4 December 2015 versions.
• Insurers or insurance groups not materially affected by the errors may continue using the originally published 4 December 2015 BSCR models.

Applies to

Class 4 insurers, Class 3B insurers, Class 3A insurers, Class C insurers, Class D insurers, Class E insurers, Insurance Groups