2016-06-09-奥纬咨询-Reactions_to_FRB_s_Proposed_Rules_for_Insurers_13页_250kb

Federal Reserve Board Proposed Rules for Insurer Capital Requirements

Building Block Approach (BBA)

• Target: Non-SIFI insurers owning a bank

• Method: Aggregates capital requirements across legal entities, aligns with industry-advocated Aggregation and Calibration approach

• Key Features:

  • Uses local statutory accounting rules (SAP) to define qualifying capital
  • Requires capital adjustments to standardize across jurisdictions and intragroup transactions
  • Employs a scalar to calibrate capital requirements between insurance and banking sectors

• Uncertainties:

  • Ambiguous definitions of qualifying capital and adjustments
  • Potential impact on regulatory burden and operational costs

• Strengths/Weaknesses:

  • Strengths: Low regulatory burden, jurisdictional tailoring, expeditious implementation
  • Weaknesses: Regulatory arbitrage, double leverage risks in capital aggregation, limited risk coverage for systemically important insurers

Consolidated Approach (CA)

• Target: SIFI insurers
• Method: Uses GAAP-based financial statements and factor-based required capital calculation
• Key Features:
  • Applies uniform risk factors across legal entities, eliminating jurisdictional variations
  • Requires adjustments to normalized accounting practices
• Uncertainties:
  • Factor-based approach provides crude risk estimates, may ignore product-specific risk profiles
  • Early stages of development; scope limited to FSOC-designated SIFI insurers

Enhanced Prudential Standards for SIFI Insurers

• Requirements: Corporate governance, risk management, and liquidity standards (Dodd-Frank mandated)
• Governance:
  • Boards must establish independent risk committees and designated chief risk/actuary roles
  • Policies include risk monitoring, compliance, and operational integration
• Liquidity:
  • Liquidity buffer (highly liquid assets covering 90-day stress needs)
  • Stress test parameters: Scenarios include market shocks and idiosyncratic events, covering 7-365 day horizons
• Reactions: Generally supportive but note challenges including regulator discretion and potential implementation burdens

Key Observations

• FRB divergence from international frameworks (ICS) may limit applicability to non-US firms
• Factor-based approaches may yield qualitative risk estimates, requiring refinement
• Regulatory burden reduction versus risk comprehensiveness trade-off