Insurance (Prudential Standards) (Class 4 and Class 3B Solvency Requirement) Amendment Rules 2018 - Schedules

Summary

This document sets out the detailed schedules and reporting instructions that form part of the Bermuda Solvency Capital Requirement (BSCR) statutory return for Class 4 and Class 3B insurers, as introduced by the 2018 amendment rules. It consists mainly of technical reporting templates (Schedules IIB, IIC, IID and others, including an interest rate shock schedule XXIII) together with detailed instructions on how insurers must classify and report investments, derivatives and liabilities.

• Fixed income and equity classification: Insurers must categorise quoted and unquoted bonds, mortgage-backed securities, bond mutual funds, mortgage loans and equity holdings by BSCR rating, using specified mappings to S&P, Moody's, AM Best and Fitch rating scales.
• Rating conventions: Where agencies disagree, the most conservative rating must be used; unrated securities must be assigned BSCR rating 8; certain sovereign and government-guaranteed debt is assigned BSCR rating 0 under specified conditions.
• Credit derivatives and counterparty risk: Insurers must report spread-up and spread-down shock exposures for credit derivatives by BSCR rating, and counterparty default risk for over-the-counter derivatives, using prescribed shock percentages and basis-point shocks.
• Funds held under reinsurance/retrocession: Schedule IIC requires reporting of funds held by ceding insurers and funds held under retrocession, cross-referenced to Form 1EBS lines, classified using the same fixed income and equity rating framework.
• Segregated accounts and interest rate risk: Additional schedules require reporting of segregated account company assets and liabilities by BSCR rating, and (Schedule XXIII) currency-by-currency exposures under prescribed interest rate up and down shock scenarios, covering both derivative and non-derivative exposures and liabilities with and without management actions.
• Look-through approach: Exposures in collective investment vehicles and other fund-packaged investments must be determined using a look-through approach in accordance with criteria prescribed by the Authority.

The document is essentially a set of prudential reporting schedules and accompanying line-by-line instructions rather than a standalone obligation-creating rule; it operationalises how Class 4 and Class 3B insurers must complete parts of their BSCR return. No specific filing dates or transitional periods are stated within the extracted text.

Key obligations

• Class 4 and Class 3B insurers must classify and report fixed income investments (corporate/sovereign bonds, residential and commercial mortgage-backed securities, bond mutual funds, mortgage loans) by BSCR rating in the prescribed schedules
• Insurers must classify equity holdings by category (strategic holdings, listed securities, preferred stocks, other equities, infrastructure, real estate, derivatives) and by BSCR rating for preferred stocks
• Insurers must use the most conservative available rating from S&P, Moody's, AM Best or Fitch when ratings differ, and assign BSCR rating 8 to unrated securities
• Insurers must report funds held by ceding insurers and funds held under retrocession (Schedule IIC), cross-referenced to Form 1EBS lines 12(c) and 34(c)
• Insurers must report segregated account company assets and liabilities by BSCR rating (Schedule IID)
• Insurers must report currency-by-currency interest rate sensitive assets and liabilities under prescribed up and down interest rate shock scenarios (Schedule XXIII), including derivative and non-derivative exposures
• Exposures in collective investment vehicles and fund-packaged investments must be determined using the look-through approach per Authority-prescribed criteria

Applies to

Class 4 insurers, Class 3B insurers