Update on EIOPA SII review

It currently estimates the net impact on its Solvency II ratio (Standard Formula) to be -10%-points, excluding phase-in measures, at the expected implementation date in 2024. Including these measures the impact on the reported Solvency is expected to be approximately neutral in 2024. The EIOPA Opinion does not lead to a change in a.s.r.’s capital management policy.

The EIOPA Opinion consists of various changes to the Solvency II framework, affecting most notably the liability discount curve, the risk margin (RM) and the volatility adjustment (VA). It is expected that the changes will come into effect at the earliest in 2024 and some measures will include a phase-in period of up to 8 years 2032. 

The preliminary impact assessment above is based on the interest rates as at 30 November 2020, including a VA of 7, an expected ultimate forward rate (UFR) of 3.30% in 2024, as well as the projected developments in the Life portfolios. The ultimate impact will depend on, amongst others, the actual interest rates, the VA and the UFR at implementation of the proposed changes to the Solvency II framework. Whilst the Solvency II framework changes eventually negatively impact the Solvency II ratio, or ‘stock of capital’, there is also a directly related positive impact on annual capital generation, or ‘flow of capital’.

At 30 June 2020, a.s.r.’s Solvency II ratio (Standard Formula) stood at 199%.