Insurance (Prudential Standards) (Insurance Group Solvency Requirement) Amendment Rules 2018 - Schedules

Summary

This document consists of the detailed reporting schedules (Schedule IIB, IIC, IID and others, including Schedule XXIII) that form part of the Bermuda Monetary Authority's Insurance (Prudential Standards) (Insurance Group Solvency Requirement) Amendment Rules 2018. It sets out the prescribed templates and instructions that insurance groups subject to Bermuda's group solvency requirement must use to report investment holdings, equity exposures, credit derivatives, funds held by ceding insurers/retrocession, segregated account company assets, and currency/interest rate shock exposures for group solvency (BSCR-style) calculations.

• Fixed income and equity reporting: Schedule IIB requires insurance groups to categorize quoted and unquoted bonds, mortgage-backed securities, bond mutual funds, mortgage loans and equity holdings by BSCR rating, using the latest AM Best, S&P, Moody's or Fitch ratings and the most conservative rating where agencies differ; unrated securities must be assigned BSCR rating 8.
• Ceding/retrocession funds: Schedule IIC requires reporting of all funds held by ceding reinsurers and funds held under retrocession, classified in the same manner as Schedule IIB, including cash and cash equivalents.
• Segregated account companies: Schedule IID requires reporting of segregated account company assets and liabilities by BSCR rating.
• Interest rate shock exposures: Schedule XXIII requires insurance groups to report interest rate sensitive assets and liabilities (including fixed income assets, hybrid instruments, deposits, loans, reinsurance receivables, derivatives and look-through exposures) by currency, before and after prescribed interest rate up and down shocks.
• Classification criteria: Sovereign debt in local currency rated AA- or better, and government-guaranteed debt, must be classified as BSCR rating 0; strategic and infrastructure equity holdings, listed equity securities and other equities must be classified according to criteria prescribed by the Authority.

The schedules are technical annexes rather than a standalone obligations-creating rule; they operationalize how insurance groups must complete regulatory returns already required under the parent Insurance Group Solvency Requirement Rules. No new commencement date, transition period or filing deadline is stated within the schedules themselves.

Key obligations

• Insurance groups must classify and report fixed income investments (quoted and unquoted bonds, mortgage-backed securities, bond mutual funds, mortgage loans) by BSCR rating using the latest AM Best, S&P, Moody's or Fitch ratings, applying the most conservative rating where ratings differ, and assigning BSCR rating 8 to unrated securities.
• Insurance groups must classify equity investments into long and short exposures, further categorized by strategic holdings, duration-based holdings, listed equity securities, preferred stocks, other equities, letters of credit, intangible assets, pension benefit surplus, infrastructure and derivatives, per criteria prescribed by the Authority.
• Insurance groups must report all funds held by ceding reinsurers and funds held under retrocession, including identifiable fixed income, equity, mortgage loan and cash holdings, in Schedule IIC.
• Insurance groups must report segregated account company assets and liabilities by BSCR rating in Schedule IID.
• Insurance groups must report interest rate sensitive assets and liabilities by currency under prescribed interest rate up and down shock scenarios in Schedule XXIII.
• Insurance groups must classify sovereign debt rated AA- or better in its own currency, and government-guaranteed debt, as BSCR rating 0, and classify other sovereign bonds in a manner similar to corporate bonds.

Applies to

insurance groups