Market Update: 2015 BSCR Models for Insurers

On 9 December, the Bermuda Monetary Authority (BMA) published the 2015 BSCR models and the accompanying Capital and Solvency Return Instruction Handbook for individual and group insurers.

The 2015 model includes a variety of trial run reports that are identical to the regular reports, with the exception of values that should be calculated using the Economic Balance Sheet (EBS) framework. EBS is based on GAAP, and on the premise that assets and liabilities should be valued on a consistent economic basis. Per the Bermuda Monetary Authority Consultation Paper: Economic Balance Sheet Framework, ‘This common principle postulates the reduction or elimination of accounting mismatches where no underlying economic mismatches exist.’

The complete list of BMA reports relating to investments include:

1. Financial Condition Report (Trial EBS)
2. Form 1 – Group Statutory Balance Sheet
3. Form 1EBS (Trial EBS) – Group Statutory Balance Sheet
4. Form 2 – Group Statutory Statement of Income
5. Form 8 – Group Statutory Statement of Capital and Surplus
6. Schedule II – Schedule of Fixed Income and Equity Investments by BSCR Rating
7. Schedule II (Trial EBS) – Schedule of Fixed Income and Equity Investments by BSCR Rating
8. Schedule V(i) (Trial EBS) – Schedule of Currency Risk
9. Schedule V(j) (Trial EBS) – Schedule of Concentration Risk (used to be V(b))
10. Schedule VI – Schedule of Fixed Income Securities
11. Schedule VI (Trial EBS) – Schedule of Fixed Income Securities
12. Fixed Income Investment Risk
13. Equity Investment Risk
14. Currency Risk (Trial EBS)
15. Concentration Risk (Trial EBS)
16. Interest Rate/Liquidity Risk
17. Group Specific Parameters
18. Group Specific Parameters (Trial EBS)

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