Restoring The Brand - Structured Credit Investor
100%. 100%. Solvency II – Proposed calibrations. AFME calibration. Commission's calibration. Credit Quality Step. 0. 1. 2. 3. 4. 5. 6. Charge per year of duration .
http://www.structuredcreditinvestor.com/PDFs/AFME_LDN_2011.pdf
OTN: credit quality step solvency ii
Insurance
Apr 30, 2012 . Solvency II at Odds With Basel: As Solvency II credit risk charges are . AA2. A3. BBB4. BB5. B <5. Unrated5. Credit quality step. 0. 1. 2. 3. 4. 5 .
http://www.moneymarketing.co.uk/Journals/3/Files/2012/5/1/Fitch%20report%20on%20Securitisatio3.pdf
CEIOPS-DOC-02-08 QIS4 Background document on calibration cl
2 -. Table of content. Calibration of the SCR: Calibration of the underwriting risk and . determined as follows: ratingi. Credit Quality Step. G. AAA. AA. 1. 0.15. A. 2 . discussions with stakeholders involved in the Solvency II process on the .
https://eiopa.europa.eu/fileadmin/tx_dam/files/consultations/QIS/CEIOPS-DOC-02-08%20QIS4%20Background%20document%20on%20calibration%20cl.pdf
EN
2. - since entering the assigned portfolio of assets, the credit quality of the asset was . (c) the replacing asset has the same credit quality step as the replaced asset before downgrade or a higher one. 7. . Valuation for solvency purposes .
http://www.actuaria.cz/upload/ECO-SLV-11-715_EC_3rd_written_procedure_on_level_2__risk_free_interest_rate_term_structure_updated-2011-03479.doc
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Standardised approach: mapping of ECAIs' credit assessments to ...
Institution (includes banks). Credit. Assessment method. Credit. Quality. Step. Fitch's . 2. A+ to A-. A1 to A3. A+ to A-. AH to AL. 50%. 50%. 50%. 20%. 20%. 3 .
http://www.fsa.gov.uk/pubs/international/ecais_standardised.pdf
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Insurance publications
Countdown to Solvency II: A step forward for Solvency II reporting requirements. Nov 2011 . Video: How will Solvency II affect your credit rating? Feb 2011 .
http://www.pwc.com/gx/en/insurance/publications/index.jhtml
Volume
Volume 33
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Solvency II will be the crown jewel of the European Union”
Jun 11, 2007 . A brief presentation of the Solvency II project. Lamfalussy . A. -0.4314. 0.9227. 4-6, -. 3%. BB or lower g1 g0. Credit Quality step. CT rating .
http://www.actuaries.org/LIFE/Events/Stockholm/Sandstrom.pdf
Solvency II: latest news, August 2011 edition - Financial services ...
. agencies make of Solvency II and how it will affect your client's credit rating; . and a delayed implementation date provides an opportunity to step back and .
http://www.pwc.be/en/financial-services/solvency-2-news-august-2011.jhtml
Change
Solvency II
Solvency II Lines of Business Descriptions (“Lines of Business”) . . This guidance aims to give more details on the above steps, specifically around the . data collection template which shows how the credit quality of each undertaking .
http://www.lloyds.com/The-Market/Operating-at-Lloyds/Solvency-II/Information-for-managing-agents/Guidance-and-workshops/~/media/Files/The%20Market/Operating%20at%20Lloyds/Solvency%20II/2012%20Guidance/Solvency%20II%202012%20SF_FinalPublish%20v4.pdf
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Solvency II Conference
Nov 29, 2011 . to Level 2 and Level 3 since QIS5 . Assets must be credit quality step 3 (i.e. BBB ) or above . that have an SCR (or equivalent) solvency ratio .
http://www.centralbank.ie/regulation/industry-sectors/insurance-companies/solvency2/Documents/Standard%20Formula%20Life%20Update.pdf
Solvency II and reinsurer ratings
on the amount and quality of the . take account of credit rating pro- . Solvency II and reinsurer ratings. Page 5/6. Step I. Scenario 1. As assumed, the claims .
http://www.munichre.com/publications/302-06232_en.pdf
European Solvency II Standard Formula
CCC-Unrated Not subject. Ratingi. AAA. AA. A to SII Regulation. BB. B to SII regulation. Credit quality step. 1. 1. 2. 3. 4. 5. 6, -. Counterparty solvency ratio, SR : .
http://www.crcnetbase.com/doi/abs/10.1201/b10338-51
Solvency II update - PwC UK |
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Countdown to Solvency II: Data quality: Don't leave it until last!
With so much of the Solvency II implementation project resting on the quality of the data, now is the time to make data a priority and get preparations on track.
http://www.pwc.com/gx/en/insurance/solvency-ii/countdown/data-quality.jhtml
From Fox Business
Stocktaking on the use of credit ratings
Appendix 3 Use of credit ratings in the future “Solvency II” European Insurance regulatory . to the regulatory risk-weights or credit quality steps). All members of .
http://www.iaisweb.org/view/element_href.cfm?src=1/7159.pdf
EIOPA-CP-12-003-Draft technical specifications QIS IORP II ...
Jun 15, 2012 . Solvency capital requirement . . Annex 3 – Credit quality steps and ratings . . of the latest technical specifications for Solvency II. In some .
http://eiopa.europa.eu/consultations/consultation-papers/index.html?no_cache=1&cid=5138&did=24129&sechash=6a33f0a5
The Trading Deck
Five Steps Toward Solvency II and Beyond
The European Union Solvency II Directive is planned for . Credit risk – such as, for example, when debt obligations . Figure 2: Step 1 – High Quality Data.
http://www.pbinsight.com/files/resource-library/resource-files/Five_Steps_Toward_Solvency_II_and_Beyond_AMER_WP_2.pdf
Regulatory Capital Requirements for European Banks
However, 2007-2009 credit crisis showed that Basel II Accord and CRD gave . certain non-EU sovereign exposures qualifying for credit quality step 1 (but .
http://www.lw.com/presentations/regulatory-capital-requirements-for-european-banks
Personal Finance
The Case for Issuing Subordinated Debt 12.qxp
With the advent of Solvency II it is imperative that executive management more carefully considers their . Fixed Coupons Step Up Coupon Min Issue Yr's Cumulative*. Tier 1 . much greater importance on the credit quality of reinsurers.
http://www.insuranceregcap.com/pdf/The_Case_for_Insurance_Subordinated_Debt.pdf
The Pfandbrief 2011 | 2012
The regulatory treatment of Pfandbriefe under Solvency II . 1 sent. 2 no. 3 Pfandbrief Act in that the credit quality step 1 was introduced for claims against credit .
http://www.pfandbrief.org/cms/_internet.nsf/0/E7C69DF2B3B8C4AAC125790C005E8164/$FILE/EN_%20PFB%202011-2012.pdf
MarketWatch Contest
Solvency II and Basel III: Reciprocal effects should not be ignored
Sep 22, 2011 . Solvency II gives preferential treatment to bonds with good credit ratings and . determined by the investments' maturity and credit rating. Government . Solvency II. Basel III is not only going to step up regulatory require- .
http://www.dbresearch.com/PROD/DBR_INTERNET_EN-PROD/PROD0000000000278734.PDF
Regulation of the Financial Market Authority (FMA) on the Solvency ...
on the Solvency of Credit Institutions. Solvency Regulation . dardised Approach to Credit Risk or at least credit quality step 2 in the Standardised. Approach to .
http://ec.europa.eu/internal_market/bank/docs/windingup/200908/annex1_finalcountryreport_at-2-solvency%20regulation_en.pdf
Commentary
Basel III And Solvency II Regulations Could Bring A Sea Change In ...
Liquidity Requirements May Threaten Certain Project Finance Credit . Like Basel III, Solvency II imposes higher capital charges for lower-credit-quality and . increased use of project features such as interest rate step-ups and cash sweeps .
http://www.ifroutlook.com/files/PDF/BaselIIIAndSolvencyIIRegulationsCouldBringASeaChangeInGlobalProjectFinanceFunding.PDF
CA CIB Covered Bond Updaye May 2012 - 20120507
May 7, 2012 . Regulatory issues – Basle III and Solvency II, all good for covered bonds…? Things . important risks to banks' credit quality in 2012. Source: .
http://www.hyponoe.at/m129/at/downloads/investor_relations/3_roundtable/florian_eichert_ca_cib_covered_bond_update_may_2012.pdf
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Basel III and Solvency II: issues for the ABS market and the real ...
Jun 11, 2012 . Basel III and Solvency II: issues for the ABS market and the real economy . Assets may be classified as of “high liquidity and credit quality” .
http://www.lexology.com/library/detail.aspx?g=a657f9e2-497e-4b35-ad04-e96b63c606e7
Solvency II: the opportunity for asset managers
ready for the changes Solvency II will make to their business . and credit, we anticipate companies to take steps to . credit quality and duration, discouraging .
http://www.ey.com/Publication/vwLUAssets/Solvency_II_The_oppurtunity_for_asset_managers_October_2011/$FILE/Solvency_II_The%20oppurtunity_for_asset_managers_October_2011.pdf
