Activities of Johan VAN OVERTVELDT related to 2021/0295(COD)
Shadow reports (1)
REPORT on the proposal for a directive of the European Parliament and of the Council amending Directive 2009/138/EC as regards proportionality, quality of supervision, reporting, long-term guarantee measures, macro-prudential tools, sustainability risks, group and cross-border supervision
Amendments (22)
Amendment 256 #
Proposal for a directive
Recital 36
Recital 36
(36) Directive 2009/138/EC provides for a volatility adjustment, which seeks to mitigate the effect of exaggerations of bond spreads and is based on reference portfolios for the relevant currencies of insurance and reinsurance undertakings and, in the case of the euro, on reference portfolios for national insurance markets. The use of a uniform volatility adjustment for entire currencies or countries can lead to benefits in excess of a mitigation of exaggerated bond spreads, in particular where the sensitivity of relevant assets of those undertakings to changes in credit spreads is lower than the sensitivity of the relevant best estimate to changes in interest rates. In order to avoid such excessive benefitversely, the use of a uniform volatility adjustment for entire currencies or countries can lead in exceptional circumstances to a situation where the sensitivity to changes in credit spreads of particular investments of undertakings are not sufficiently taken into account. In order to avoid inappropriate corrections from the volatility adjustment, the volatility adjustment should be subject to supervisory approval and its calculation should take into account undertaking- specific characteristics related to the spread sensitivity of assets and the interest rate sensitivity of the best estimate of technical provisions. Moreover, minimum conditions for the use of the volatility adjustment should be introduced as an additional safeguard. Member States, some of which already subject the use of the volatility adjustment to a supervisory approval process, should have the option to extend the conditions for approval to include an assessment against the underlying assumptions of the volatility adjustment. In light of the additional safeguards, insurance and reinsurance undertakings should be allowed to add up to an increased proportion of 85% of the risk-corrected spread derived from the representative portfolios to the basic risk- free interest rate term structure.
Amendment 258 #
Proposal for a directive
Recital 36 a (new)
Recital 36 a (new)
(36 a) Where the undertaking invests in debt instruments which have a better credit quality than the debt instruments contained in the representative portfolio for the calculation of the volatility adjustment, the volatility adjustment may overcompensate the loss of own funds caused by widening bond spreads and may lead to undue volatility in the own funds. Alternatively, where the undertaking invests in debt instruments which are underrepresented in the representative portfolio for the calculation of the volatility adjustment, the volatility adjustment may underestimate the loss of own funds caused by widening bond spreads and may lead to undue volatility in the own funds. With the objective to offset the artificial volatility caused by such inappropriate corrections, in these cases undertakings should be able to apply for a modification of the volatility adjustment that takes into account information on the undertaking specific investments in debt instruments.
Amendment 284 #
Proposal for a directive
Recital 64
Recital 64
(64) There is a lack of clarity regarding the types of undertakings for which Method 2, namely a deduction and aggregation method as defined in Article 233 of Directive 2009/138/EC, may be applied when calculating group solvency, which is detrimental to the level-playing field in the Union. Therefore, it should be clearly specified which undertakings may be included in the group solvency calculation through Method 2. Such method should only apply to insurance and reinsurance undertakings, third-country insurance and reinsurance undertakings, undertakings belonging to other financial sectors, mixed financial holding companies, insurance holding companies, and other parent undertakings the main business of which is to acquire and hold participations in subsidiary undertakings, where those subsidiary undertakings are exclusively or mainly insurance or reinsurance undertakings, or third-country insurance or reinsurance undertakings. It is also important to ensure that prudential rules warrant a level-playing field at global level for all insurance groups which are subject to Title III of Directive 2009/138/EC and which operate in third countries. For this reason, where an international group includes insurance or reinsurance undertakings with head offices in third countries whose solvency regimes have been deemed equivalent or provisionally equivalent in accordance with Article 227 of that Directive, the group supervisor should give such a consideration priority when deciding on whether method 2 should be used instead of – or in combination with – method 1 (accounting-based consolidation method).
Amendment 288 #
Proposal for a directive
Recital 72
Recital 72
(72) There is no legal provision specifying how to calculate group solvency when a combination of Method 1 and Method 2 is used. This leads to inconsistent practices and uncertainties, in particular in relation to the way of calculating the contribution to the group Solvency Capital Requirement of insurance and reinsurance undertakings included through Method 2. Therefore, it should be clarified how group solvency is to be calculated when a combination of methods is used. In order to avoid material increases and double counting in capital requirements as well as to preserve a level playing field for insurance and reinsurance groups at global level, it should be clarified that, for the purpose of calculating the consolidated group Solvency Capital Requirement, no equity risk capital charge is to be applied to such holdings. For the same reason, and because currency risk charge should only be appannot lead to a breach in the Solvency Capital Requirements as long as the solo undertakings are well capitalized to, currency risk of the value of those holdings that is in excess of the Solvency Capital Requirements of those related undertakings should be assessed and managed in the Own Risk and Solvency Assessment. Participating insurance or reinsurance undertakings should be allowed to take into account diversification between that currency risks and other risks underlying the calculation of the consolidated group Solvency Capital Requirement.
Amendment 302 #
Proposal for a directive
Recital 82 a (new)
Recital 82 a (new)
(82 a) The supervision of phasing-in plans for the transitional measures on risk-free interest rates and on technical provisions should be improved, in particular by strengthening the power of the supervisor to withdraw those transitional measures where progress towards compliance with the Solvency Capital Requirement at the end of the transitional period is not achieved or where such compliance is unrealistic. In particular, the compliance could be considered unrealistic where it is based on the assumption that the situation of financial markets at the end of the transitional period is improved compared to the situation at the time of the assessment.
Amendment 422 #
Proposal for a directive
Article 1 – paragraph 1 – point 18
Article 1 – paragraph 1 – point 18
Directive 2009/138/EC
Article 35b – paragraph 2
Article 35b – paragraph 2
2. Member States shall ensure that insurance and reinsurance undertakings submit the information referred to in Article 35(1) to (4) on a quarterly basis no later than fivesix weeks after the end of each quarter.
Amendment 553 #
Proposal for a directive
Article 1 – paragraph 1 – point 36 – point a (new)
Article 1 – paragraph 1 – point 36 – point a (new)
Directive 2009/138/EC
Article 77 – paragraph 3 a (new)
Article 77 – paragraph 3 a (new)
3a. The risk margin for the entire portfolio of insurance and reinsurance obligations shall be calculated using the following formula: RM = CoC * Σt≥0 (0.995t*SCR(t)/((1+r(t+1))t+1) where (a) CoC denotes the Cost-of-Capital rates and shall be assumed to be equal to 6%. (b) the sum covers all integers including zero (c) SCR(t) denotes the Solvency Capital Requirement after t years (d) r(t+1) denotes the basic risk-free interest rate for the maturity of t+1 years.
Amendment 565 #
Proposal for a directive
Article 1 – paragraph 1 – point 37
Article 1 – paragraph 1 – point 37
Directive 2009/138/EC
Article 77a – paragraph 2 – subparagraph 1
Article 77a – paragraph 2 – subparagraph 1
2. For the purpose of paragraph 1, second subparagraph, any parameters determining the speed of the convergence of the forward rates towards the ultimate forward rate of the extrapolation may be chosen such that on [OP please insert date = application date] the risk-free interest rate term structure is sufficiently similar to the risk-free interest rate term structure on that date determined in line with the rules for the extrapolation applicable on [OP please insert date = one day before date of application]. Those parameters of the extrapolation shall be decreased linearly at the beginning of each calendar year, during a transitional period. The final parameters of the extrapolation shall be applied as of 1 January 2032The extrapolated risk-free rate shall be determined as follows: rFSP+h = FSP+h√((1+rFSP)FSP * exp(h*fh)) - 1 Where: fh = ln(1+UFR) + [(LLFR - ln(1+UFR)] * ((1-exp(-a*h)/(a*h)) (a) UFR is the Ultimate Forward Rate (b) a is the convergence speed parameter (c) LLFR is the Last Liquid Forward Rate (d) FSP is the First Smoothing Point The convergence speed parameter a shall be set at 5%.
Amendment 577 #
Proposal for a directive
Article 1 – paragraph 1 – point 38 – point b
Article 1 – paragraph 1 – point 38 – point b
Directive 2009/138/EC
Article 77d – paragraph 1 c (new)
Article 77d – paragraph 1 c (new)
1c. Insurance and reinsurance undertakings may, subject to prior approval by the supervisory authority, apply an undertaking-specific adjustment to this risk-corrected spread of the currency referred to in paragraph 3, under the conditions that: (i) This risk-corrected spread exceeded, during the four previous quarterly reporting periods prior to the application date, the risk-corrected spread calculated based on the undertaking’s portfolio of investments in debt instruments; and (ii) The information that is inherent to the relevant assets of the undertaking and that is reported by the undertaking in line with Article 35(1) to (4) is of sufficient quality to allow a robust and reliable calculation of this adjustment. This adjustment shall correspond to the lowest between 150% and the ratio of the risk-corrected spread calculated based on the undertaking’s portfolio of investments in debt instruments and the risk-corrected spread calculated based on the reference portfolio for the relevant currency. The risk-corrected spread based on the undertaking’s portfolio of investments in debt instruments shall be calculated in the same manner as the risk-corrected spread based on the reference portfolio for the relevant currency, but using undertaking- specific data on the weights and the average duration of the relevant sub- classes within the undertaking’s portfolio of investments in debt instruments for the relevant currency. Where the adjustment is applied, the volatility adjustment shall not be increased by a macro volatility adjustment as referred to in paragraph 4. Insurance and reinsurance undertakings shall immediately stop applying this adjustment when it increases the risk- correction spread of the currency referred to in paragraph 3 for four consecutive quarterly reporting periods.
Amendment 585 #
Proposal for a directive
Article 1 – paragraph 1 – point 38 – point c
Article 1 – paragraph 1 – point 38 – point c
Directive 2009/138/EC
Article 77d – paragraph 3 – subparagraph 1 – point b a (new)
Article 77d – paragraph 3 – subparagraph 1 – point b a (new)
(b a) IRcu is the illiquidity ratio of an insurance or reinsurance undertaking for the currency cu;
Amendment 586 #
Proposal for a directive
Article 1 – paragraph 1 – point 38 – point c
Article 1 – paragraph 1 – point 38 – point c
Directive 2009/138/EC
Article 77d– paragraph 3 – subparagraph 2 a (new)
Article 77d– paragraph 3 – subparagraph 2 a (new)
IRcu measures the degree of illiquidity of the liabilities of an insurance or reinsurance undertaking for the currency cu. It is determined on the basis of the mortality risk and the lapse risk inherent to the liabilities. It shall not be lower than 60% and not higher than 100%.
Amendment 589 #
Proposal for a directive
Article 1 – paragraph 1 – point 38 – point c
Article 1 – paragraph 1 – point 38 – point c
Directive 2009/138/EC
Article 77d – paragraph 3 a (new)
Article 77d – paragraph 3 a (new)
3a. The portion of the spread that is attributable to a realistic assessment of expected losses, unexpected credit risk or any other risk shall be calculated as a function of the long-term average spread and the level of the spread.
Amendment 592 #
Proposal for a directive
Article 1 – paragraph 1 – point 38 – point c
Article 1 – paragraph 1 – point 38 – point c
Directive 2009/138/EC
Article 77d – paragraph 4 – subparagraph 1 – point b a (new)
Article 77d – paragraph 4 – subparagraph 1 – point b a (new)
(b a) IReuro is the illiquidity ratio of an insurance or reinsurance undertaking for the euro
Amendment 593 #
Proposal for a directive
Article 1 – paragraph 1 – point 38 – point c
Article 1 – paragraph 1 – point 38 – point c
Directive 2009/138/EC
Article 77d – paragraph 4 – subparagraph 2 a (new)
Article 77d – paragraph 4 – subparagraph 2 a (new)
IReuro shall be calculated as the illiquidity ratio of an insurance or reinsurance undertaking for the euro in accordance with paragraph 3.
Amendment 627 #
Proposal for a directive
Article 1 – paragraph 1 – point 43 a (new)
Article 1 – paragraph 1 – point 43 a (new)
Directive 2009/138/EC
Article 105 a (new)
Article 105 a (new)
Amendment 645 #
Proposal for a directive
Article 1 – paragraph 1 – point 46 – point b
Article 1 – paragraph 1 – point 46 – point b
Directive 2009/138/EC
Article 111 – paragraph 1 – subparagraph 2 a (new)
Article 111 – paragraph 1 – subparagraph 2 a (new)
Where the Commission adopts delegated acts pursuant to point (c) of the first subparagraph to specify the methods, assumptions and standard parameters to be used for calculating the interest rate risk sub-module referred to in Article 105(5)(a) with the objective to improve the sensitivity of capital requirements in line with developments in interest rates, insurance or reinsurance undertakings may phase in such adjustments to the interest rate risk sub-module over a transitional period of up to five years.
Amendment 716 #
Proposal for a directive
Article 1 – paragraph 1 – point 61 – point c
Article 1 – paragraph 1 – point 61 – point c
Directive 2009/138/EC
Article 212 – paragraphs 3 to 6
Article 212 – paragraphs 3 to 6
Amendment 727 #
Proposal for a directive
Article 1 – paragraph 1 – point 62 – point c
Article 1 – paragraph 1 – point 62 – point c
Directive 2009/138/EC
Article 213 – paragraphs 3a to 3c
Article 213 – paragraphs 3a to 3c
Amendment 764 #
Proposal for a directive
Article 1 – paragraph 1 – point 75
Article 1 – paragraph 1 – point 75
Directive 2009/138/EC
Article 233a – paragraph 3 – subparagraph 2
Article 233a – paragraph 3 – subparagraph 2
For the purposes of paragraph 1, point (b) (i), of this Article, the value of holdings in undertakings referred to in Article 220(3) to which method 2 is applied, in excess of their own Solvency Capital Requirement, shall be included in the consolidated data when calculating the sensitivity of assets and liabilities to changes in the level or in the volatility of currency exchange rates (‘currency risk’). However, tsensitivity of assets and liabilities to changes in the level or volatility of currency exchange rates of holdings in undertakings referred to in Article 220(3) to which method 2 is applied, shall be part of the assessment referred to in Article 45(1). The value of those holdings shall not be assumed to be sensitive to changes in the level or in the volatility of market prices of equities (‘equity risk’).
Amendment 765 #
Proposal for a directive
Article 1 – paragraph 1 – point 79
Article 1 – paragraph 1 – point 79
Directive 2009/138/EC
Article 246 – paragraph 1, 2(2), 2(3), 4(1) second sentence and 5
Article 246 – paragraph 1, 2(2), 2(3), 4(1) second sentence and 5
Amendment 797 #
Proposal for a directive
Article 1 – paragraph 1 – point 94 – point c
Article 1 – paragraph 1 – point 94 – point c
Directive 2009/138/EC
Article 308b – paragraph 17 – subparagraphs 1a and 1b
Article 308b – paragraph 17 – subparagraphs 1a and 1b
Amendment 803 #
Proposal for a directive
Article 1 – paragraph 1 – point 96 a (new)
Article 1 – paragraph 1 – point 96 a (new)
Directive 2009/138/EC
Article 308e
Article 308e
(96a) Article 308e is replaced by the following: "Article 308e Phasing- in plan on the transitional measures on risk-free interest rates and on technical provisions Insurance and reinsurance undertakings that apply the transitional measures set out in Articles 308c or 308d shall inform the supervisory authority as soon as they observe that they would not comply with the Solvency Capital Requirement without application of these transitional measures. The supervisory authority shall require the insurance or reinsurance undertaking concerned to take the necessary measures to ensure compliance with the Solvency Capital Requirement at the end of the transitional period. Within two months from observation of non-compliance with the Solvency Capital Requirement without application of these transitional measures, the insurance or reinsurance undertaking concerned shall submit to the supervisory authority a phasing-in plan setting out the planned measures, including the timing of those measures, to establish the level of eligible own funds covering the Solvency Capital Requirement or to reduce its risk profile to ensure compliance with the Solvency Capital Requirement at the end of the transitional period. The insurance or reinsurance undertaking concerned may update the phasing-in plan during the transitional period. Within two months from observation of non-compliance with the Solvency Capital Requirement without application of these transitional measures, the insurance orThe insurance and reinsurance undertakings concerned shall submit annually a report to their supervisory authority a phasing-in plan setting out the planned measures to establish the level of eligible own funds covering the Solvency Capital Requirement or to reduce its risk profile to ensure compliance with the Solvency Capital Requirement at the end of the transitional period. The insurance or reinsurance undertaking concerned may update the phasing-in plan during the transitional period. The insurance and reinsurancaken and the progress made to ensure compliance with the Solvency Capital Requirement at the end of the transitional period. Supervisory authorities may revoke the approval for the application of the transitional measure set out in Articles 308c and 308d where the undertakings concerned shall submit annually a report toannot demonstrate to the satisfaction of their supervisory authority setting out the measures taken and the progress made to ensurethat sufficient progress has been made with respect to compliance with the Solvency Capital Requirement without transitional measures at the end of the transitional period. Supervisory authorities shall revoke the approval for the application of the transitional measure where that progress report showsey consider that compliance with the Solvency Capital Requirement at the end of the transitional period is unrealistic. (https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02009L0138-20210630); " Or. en