Question ID: 3261
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII), (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
Topic: Own Risk and Solvency Assessment (ORSA)
Article: 45 of SII Directive; 306 of DR (EU) 2015/35
Status: Final
Date of submission: 18 Feb 2025
Question
Should the own-risk and solvency assessment supervisory report ('ORSA supervisory report') include an assessment of forward-looking SCR using baseline and stressed scenarios with and without the application of LTG measures (e.g. volatility adjustment)?
Background of the question
EIOPA's Supervisory Assessment of the Own Risk and Solvency Assessment - First experiences
EIOPA answer
In accordance with Article 306 of Commission Delegated Regulation (EU) 2015/35, the ORSA supervisory report should present in particular the quantitative and qualitative results of the own-risk and solvency assessment referred to in Article 45 of Directive 2009/138/EC.
The ORSA includes the assessment of continuous compliance with the capital requirements referred to in Article 45(1)(b) of Directive 2009/138/EC under baseline and stressed scenarios. In accordance with Article 45(2a) of Directive 2009/138/EC, that assessment should be performed with and without the long-term guarantees measures referred to in that paragraph.