Solvency II updates for Q2/2024

There were recent regulatory updates by the EU and EIOPA which were monitored and pre-analyzed by the SimCorp Solvency II team: 

• On April 23, 2024, the European parliament adopted the text on Amendments to the Solvency II Directive, see Texts adopted - Tuesday, 23 April 2024 (europa.eu) and TA (europa.eu). The planned level 1 update of the Solvency II Directive 138/2009 contains various updates for all Pillars, particularly updated calculation rules for the Pillar 1 Market Risk calculations. The Solvency II team has done a first pre-analysis of the text and carried out an impact analysis for the SimCorp Solvency II standard solutions, and shared information on the updates in the Q2 User Groups Meetings with the Solvency II Service Clients. 
• After the introduction of Taxonomy 2.8 and the first submissions under the 2.8.0 Solvency II Taxonomy, EIOPA observed a high number of issues requiring additional workarounds and finally decided to correct them. This will be done in the form of the Taxonomy 2.8.2 minor release. A public working draft (PWD) will be published in early September 2024. The final 2.8.2 will be published no later than October 15, 2024,  although the exact timeline is still unknown. See Supervisory reporting - DPM and XBRL - European Union (europa.eu) for the current timelines and updates. 
  The Solvency II team will closely monitor the progress and provide updates for the Solvency II Standard Solutions, where necessary. 

Pillar 1 

EIOPA Insurance Stress Test 2024 

In July, the Solvency II team successfully completed an implementation of the 2024 version of the EIOPA Stress Test. The objective of the project was to use the SimCorp Dimension Strategy Manager and the Pillar 1 Standard Solution to implement the various scenarios of the current Insurance Stress Test as defined by EIOPA: Insurance stress test 2024 - European Union (europa.eu).

Integration of TPT data for Pillar 1 Market Risk calculations 

Another long-term working topic to integrate TPT data into the Pillar 1 Standard Solution is progressing well. The TPT integration for Pillar 1 involves importing raw data into SimCorp Dimension, as well as developing the business logic and calculation rules to seamlessly integrate it into the Market Risk calculations of the Pillar 1 architecture. The prototype is close to being finalized, and the Solvency II team plans to take the solution live in Q4/2024 and Q1/2025.