Insurance (Collateralized Insurers) (Statements, Returns and Solvency) Rules 2020 - Schedules

Summary

These are the Schedules to the Insurance (Collateralized Insurers) (Statements, Returns and Solvency) Rules 2020, published separately by the Bermuda Monetary Authority as required by section 6A(8) of the Insurance Act 1978. They set out the prescribed forms and instructions that collateralized insurers must use to prepare their statutory financial statements, statutory financial returns and related solvency disclosures.

• Statutory Balance Sheet (Form 1SFS): Prescribes line-by-line asset, liability and statutory capital and surplus categories for general business and long-term business, to be completed on a General Account and Combined basis (the latter incorporating segregated accounts where applicable), using the insurer's GAAP recognition and measurement principles.
• Collateral disclosure: Requires insurers to detail total collateral held for the benefit of ceding (re)insurers by asset type (cash, quoted/unquoted investments, funds held, letters of credit) and to disclose contingent collateral including outward reinsurance exposure, with explanatory notes where applicable.
• Outward reinsurance schedule (Schedule XVIII): Requires disclosure of outward reinsurance cover grouped by BSCR rating, including reinsurer name, BSCR rating, amount of outward reinsurance cover (PML or PML 99 TVaR basis), collateral placed by type, qualifying collateral (net of a prescribed market risk reduction), and net qualifying exposure.
• BSCR rating methodology: Sets out how the applicable BSCR rating for a reinsurer or letters-of-credit issuer is determined, including treatment of domestic affiliates, unrated but IAIS-compliant reinsurers, and split exposures where letters of credit cover only part of the reinsurance exposure.

The document is almost entirely composed of prescribed form templates and completion instructions rather than narrative rules; substantive obligations (who must file, when, and under what rule) are set out in the main body of the 2020 Rules, which these Schedules supplement.

Key obligations

• Insurers must complete Form 1SFS using GAAP recognition and measurement principles adopted by the insurer, entering General Account figures and, where segregated accounts exist, Combined figures.
• Every insurer must provide detail of total collateral held for the benefit of ceding (re)insurers by type of collateral, with explanatory notes where applicable.
• Outward reinsurance cover included as contingent collateral must be presented as the PML for outward property catastrophe reinsurance or the PML-99 TVaR for other reinsurance lines, grossed up by the appropriate premium risk factor.
• Insurers must disclose outward reinsurance particulars grouped by BSCR rating, including reinsurer name, BSCR rating, outward reinsurance cover amount, collateral by type, qualifying collateral (with a 2% market risk reduction for non-cash collateral), and net qualifying exposure.

Applies to

collateralized insurers, insurers registered as segregated accounts companies