The European Insurance and Occupational Pensions Authority (EIOPA) published today its updated Risk Dashboard based on the first quarter 2019 Solvency II data. The results show that the risk exposures of the European Union insurance sector remain overall stable, with macro and market risks now at a high level. This is due to a further decline in swap rates and lower returns on investments in 2018, which put strain on those life insurers offering guaranteed rates. The low interest rate environment remains a key risk for the insurance sector. Credit risks continue at medium level with broadly stable Credit Default Swap (CDS) spreads for government and corporate bonds. Profitability and solvency risks increased due to lower return on investments for life insurers observed in year-end 2018 data. Solvency Capital Requirement (SCR) ratios are above 100% for most undertakings in the sample even when excluding the impact of the transitional measures. Market perceptions were marked by a performance of insurers’ stocks broadly in line with overall equity markets, while median CDS spreads have slightly increased. No change was observed in insurers’ external ratings and rating outlooks. Background This Risk Dashboard based on Solvency II data summarises the main risks and vulnerabilities in the European Union insurance sector through a set of risk indicators of the first quarter of 2019. This data is based on financial stability and prudential reporting collected from 96 insurance groups and 2,868 solo insurance undertakings.

The European Insurance and Occupational Pensions Authority (EIOPA) is publishing the list of Reuters Instrument Codes (RICs) of financial market data for the calculation of the technical information relating to the risk-free interest rates (RFR) term structures, namely of the following rates:

• Interest rate swap rates
• Zero coupon government bond interest rates
• Inter-bank offered rates
• Overnight indexed swap rates
• Additional data necessary for the calculation of the volatility adjustment

The published instruments provided by Refinitiv were sufficiently tested, validated and deemed proper replacements for the currently used ones.

From 1 January 2020 onwards EIOPA plans to use Refinitiv as the main source of the RFR production process. Hence, the first publication of the technical information using this data would be for the reference date 31 January 2020. All historical data will be retained.

Stakeholders are invited to comment on the specific RICs chosen by EIOPA or submit any comment on the process by email to marketdata@eiopa.europa.eu until close of business on Friday, 16 August 2019. Afterwards, a revised RFR Technical Documentation containing the RICs as well as adjustments to the DLT points can be expected to be published by the end of Q3/2019.

Background

The technical information relating to risk-free interest rate (RFR) term structures is used for the calculation of the technical provisions for (re)insurance obligations.

In line with the Solvency II Directive, EIOPA publishes the technical information relating to RFR term structures on a monthly basis via a dedicated section on EIOPA’s Website also containing the release calendar for 2019, the RFR Technical Documentation, the RFR software source code and Frequently Asked Questions.

With this publication, EIOPA ensures consistent calculation of technical provisions across Europe.