Swiss insurance companies face various regulatory challenges with respect to analytics and reporting. While regulatory requirements are imposed on assets and liabilities, we see Swiss actuaries often focusing on the evaluation of the former. This might often be well justifiable, however, in some cases regulatory challenges also arise from the asset side. If assets are globally diversified with fund (-of-fund) structures and derivatives, the regulatory risk analysis and reporting can become a difficult task.
Yearly SST reporting of assets including fund look-through and derivatives modelling.
KVG-Solvency Test Reporting
Yearly reporting of assets including fund look-through and derivatives modelling according to the SST delta-model.
Investment Guideline Monitoring
Counterparty, asset class and FX monitoring according FINMA Circular 2016/05 and KVAV including fund look-through analysis.
Our yearly SST reporting includes the asset reporting according to the following SST input sheets: SST Balance, Asset Prices, Fixed Income, Asset Prices Forwards, FX Forwards, Expected Financial Result, Credit Risk.
We receive position data directly from insurance companies and fund look-through data in Solvency II TPT format which can be well applied for SST. The analysis typically includes the modelling of various types of derivatives and credit risk calculation of direct and fund look-through positions.
KVG-solvency test reporting
For compulory health insurers we offer yearly KVG-solvency test reports where we calculate assets’ deltas, credit risk and populate the following sheets of the KVG solvency test template: Marktnahe_Bilanz, Sensitivitaeten Delta_Market, Input Basel III.
The analysis include the modelling of derivatives and credit risk of direct and fund look-through positions.
Investment Guideline Monitoring (Circular 2016/05 and KVAV)
FINMA and Federal Office of Public Health (FOPH / BAG) regulated insurs that need to comply with investment guidelines defined in Circular 2016/05 or the KVAV, respectively, may face significant challenges, if regulators or auditors require fund look-through analysis. The difficulty stems from the different types of constraints on e.g. counterparty, asset class and FX level in combination with a high portion of fund investments. Especially in the Swiss market where concentration risk of market capitalisation weighted indices is high, the importance of fund look-through analysis is higher than in many other countries.
We offer quarterly investment guideline monitoring reports according to Circular 2016/05 and KVAV including fund look-through analysis.