FINMA / BAG SST Reporting

FINMA/ BAG SST REPORTING

Supporting insurance companies in reporting of assets under SST and KVG-SST.

Our services include:

  • Calculation of market risk on holdings level (Delta, Gamma)
  • Scenario calculation
  • Credit risk mapping
  • Aggregation including distribution of insurance risk
  • Fund look-through analysis

Regulatory Investment Guideline Monitoring (FINMA / KVAV)

FINMA “Circular 2016/5 Investment Guidelines – Insurers” requires the coverage ratio of tied assets to be above 100% with various limits on counterparty, asset class and single holding exposures. We are supporting Swiss insurance companies in the ongoing evaluation of the coverage ratio of tied assets as well as related look-through analysis.

Our services include:

  • Support on ongoing monitoring according to Rz 112
  • Evaluation of relevant limits and calculation of Tied Assets Coverage
  • Fund look-through analysis and counterparty-risk exposure aggregation
  • Final report on Tied Asset Coverage and presentation to management

Fund Look-through Reporting under SST

  • Insurance companies with material holdings of collective investments are typically required to apply fund look-through when reporting SST relevant risk figures.
  • The large amount of look-through data in Solvency II Tripartite format that we receive from over 100 asset managers and store on our online platform allows us to model SST risk accurately. As we are continuously widening the scope of reports we can easily include funds from further fund providers to the platform.

sst-fundreporting.ch

  • While the Solvency II tripartite template is designed to cover regulatory requirements of Solvency II regulated insurance companies, no standardisation effort for the SST regulated Swiss market has been made so far
  • We are supporting the sst-fundreporting.ch initiative with the aim to extend the Solvency II TPT template with SST relevant fields
  • We are providing SST fundreports to various Swiss insurance companies – please contact us for further details us here.

SST Field Tests

  • We are supporting insurance companies facing ad-hoc challenges such as field tests (e.g. SST Field Test 2018) or special requests from their regulators.