Insurance (Technical Standards) (Class IIGB) (Solvency Requirement) Rules 2020 - Schedules

Summary

This document sets out the detailed technical schedules underpinning the Bermuda Solvency Capital Requirement (BSCR) calculation for Class IIGB insurers, a Bermuda insurer class that includes digital asset exposure. It prescribes the formulas, capital charge factors and reporting tables insurers must use to calculate each risk component of their regulatory capital requirement, including a dedicated digital asset risk charge.

• Risk charge formulas: Prescribes formulas and capital charge factor tables for fixed income, equity, interest rate/liquidity, currency, digital asset, concentration, premium, reserve, credit, catastrophe and operational risk charges used to build the Class IIGB BSCR.
• Digital asset charge: Introduces a specific digital asset risk charge with capital factors ranging from 3 percent for audited fiat-backed stablecoins up to 100 percent for unlisted digital assets, with asset-liability offset credits by market cap tier.
• Transition factors: Applies a phased transitional factor to the digital asset element of the BSCR: 33 percent for financial years beginning on or after 1 January 2020, 66 percent for 2021, and 100 percent for 2022 onward.
• Sanctions reporting (Schedule XXIV): Requires insurers to report on sanctions screening of policyholders, beneficiaries and employees, and to disclose any client asset freezes under the Bermuda sanctions regime in the preceding 12 months, repeated every 12 months.
• Digital assets schedule (Schedule XXV): Requires insurers to report total digital assets, digital liabilities and net digital asset position broken down by stablecoin status and market-cap based BSCR rating tiers.

The schedules are technical annexes to the underlying Rules and are used directly in statutory financial return preparation; they do not on their own state commencement or general applicability provisions beyond what is embedded in the formulas and transition factors.

Key obligations

• Class IIGB insurers must calculate their BSCR using the prescribed formulas and capital charge factor tables in the Schedules for each risk category (fixed income, equity, interest rate/liquidity, currency, digital asset, concentration, premium, reserve, credit, catastrophe and operational risk).
• Class IIGB insurers must apply the digital asset risk charge using the capital charge and asset-liability offset factors in Table 5, allocating digital assets by market capitalisation tier or as audited fiat-backed stablecoins.
• Class IIGB insurers must apply the prescribed transitional factor to the digital asset component of the BSCR (33 percent for FY beginning 1 January 2020, 66 percent for FY beginning 1 January 2021, 100 percent for FY beginning 1 January 2022 onward).
• Class IIGB insurers must report, per Schedule XXIV, whether they screen policyholders, beneficiaries and employees against the Bermuda sanctions regime, and disclose any client asset freezes occurring in the prior 12 months, updated every 12 months.
• Class IIGB insurers must complete Schedule XXV disclosing total digital assets, digital liabilities and net digital position broken down by stablecoin classification and market-cap based rating tier.

Applies to

Class IIGB insurers

Deadlines

• financial year beginning on or after 1 January 2020: Digital asset risk charge transitional factor set at 33 percent.
• financial year beginning on or after 1 January 2021: Digital asset risk charge transitional factor increases to 66 percent.
• financial year beginning on or after 1 January 2022: Digital asset risk charge transitional factor reaches 100 percent.
• every 12 months from initial date of filing: Class IIGB insurers must report any client asset freezes under the Bermuda sanctions regime occurring in the preceding 12 months, on a recurring basis.