Tommaso Colozza

Ago 042018

The European Central Bank (ECB) released the results of the 2018:Q3 predictions on macroeconomic conditions in the Euro Zone. The main findings are summarized in three points:

  • HICP inflation expectations revised upwards for 2018 and 2019, while unchanged for 2020; longer-term expectations remained stable at 1.9%
  • Real GDP growth expectations revised downwards for 2018 and 2019, but unchanged for 2020
  • Unemployment rate expectations little changed

Respondents to the ECB Survey of Professional Forecasters (SPF) for the third quarter of 2018 reported point forecasts for annual HICP inflation averaging 1.7% for each of 2018, 2019 and 2020. Compared with the previous survey round, this represents upward revisions of 0.2 percentage point for 2018 and 0.1 percentage point for 2019, but no change to the expectation for 2020. Average longer-term inflation expectations (which, like all other longer-term expectations in this SPF, referred to 2023) remained stable at 1.9%.

SPF respondents’ expectations for real growth in euro area GDP averaged 2.2%, 1.9% and 1.6% for 2018, 2019 and 2020, respectively. This represents downward revisions of 0.2 percentage point for 2018 and 0.1 percentage point for 2019, but no change for 2020. Average longer-term expectations for real GDP growth remained unchanged at 1.6%.

Unemployment rate expectations were little changed, standing at 8.3%, 7.9% and 7.6% for 2018, 2019 and 2020, respectively, and 7.5% for the longer term.


Source: European Central Bank

Ago 042018

The Bank for International Settlement published the statistical results for end-of-March 2018 on global liquidity indicators. The results are summarized as follows.

  • US dollar credit to non-bank borrowers outside the United States rose to $11.5 trillion at end-March 2018, up by 7% over the previous year.
  • Euro-denominated credit to non-bank borrowers outside the euro area grew at an annual pace of 10%, reaching €3.1 trillion at end-March 2018.
  • US dollar credit to emerging market economies (EMEs) rose to $3.7 trillion at end-March 2018. The expansion was fuelled by international debt securities, which grew at an annual rate of 16%.

US dollar and euro credit to non-residents continued to expand

US dollar and euro credit to non-residents continued to expand
Graph 1: Annual growth of foreign currency-denominated credit to non-resident non-banks. Source: BIS global liquidity indicators.

US dollar credit to non-bank borrowers outside the United States rose to $11.5 trillion at end-March 2018, up by 7%over the previous year (Graph 1). Growth continued to be propelled by debt securities, which increased by 11%. Loans increased at a more modest pace of 3%. Since 2012, the growth of US dollar borrowing in debt securities markets has consistently outpaced that in loan markets. At end-March 2018, debt securities accounted for 52% of outstanding US dollar-denominated credit, up from 44% at end-2011.

Euro-denominated credit to non-bank borrowers outside the euro area also continued to expand at a rapid pace. It grew at an annual rate of 10% as of end-March 2018. The latest increase took its outstanding stock to €3.1 trillion.

Debt securities propelled the growth of US dollar credit to EMEs

Debt securities propelled the growth of US dollar credit to EMEs
Graph 2: Annual growth of US dollar-denominated credit to non-bank borrowers in EMEs. Source: BIS global liquidity indicators

Foreign currency credit to non-bank borrowers in EMEs continued to expand in Q1 2018. US dollar-denominated credit to EMEs grew by 9% in the year to end-March 2018, continuing the steady recovery from the contraction of 2016 (Graph 2). The expansion was fuelled by international debt securities, which grew at an annual rate of 16%. Euro-denominated credit rose by around 11%, similar to its pace in previous quarters.

The US dollar accounted for by far the largest share of outstanding foreign currency credit to non-bank borrowers in EMEs, at $3.7 trillion at end-March 2018, followed by the euro (€644 billion, or about $790 billion) and the yen (¥8 trillion, or $70 billion).

BIS global liquidity indicators (PDF)

Ago 042018

The board of the International Organization of Securities Commissions (IOSCO) today published eight recommendations to assist trading venues and regulatory authorities in the implementation of mechanisms to manage extreme volatility and preserve orderly trading.

Following recent extreme volatility events, regulatory authorities and trading venues have been reviewing their approaches to managing extreme volatility, particularly through the use of volatility control mechanisms. Volatility control mechanisms seek to minimize market disruption triggered by events such as erroneous orders, by halting or temporarily constraining trading. IOSCO believes that these mechanisms support the goal of ensuring that markets are fair, efficient and transparent, thereby increasing market integrity and investor confidence.

Today ́s final report, Mechanisms Used by Trading Venues to Manage Extreme Volatility and Preserve Orderly Trading, therefore recommends that trading venues should have volatility control mechanisms to manage extreme volatility and these mechanisms should be appropriately calibrated and monitored.

The report assists trading venues and regulatory authorities in implementing, operating and monitoring volatility control mechanisms by making recommendations that trading venues should, among other things, regularly monitor volatility control mechanisms to ensure they are working as designed and identify circumstances that would require the mechanisms to be re-calibrated. Trading venues also should make information available about volatility control mechanisms and when they are triggered to regulatory authorities, market participants and, if appropriate, the public.

Because of the importance of information sharing and communication among trading venues, the report recommends that where the same or related instruments are traded on multiple trading venues in the same jurisdiction, trading venues should communicate with one another when volatility mechanisms are triggered, as appropriate. Communication among trading venues may also be appropriate where the same or related instruments are traded in different jurisdictions and a volatility control mechanism is triggered.

The report also identifies the more recent development and use of price constraint mechanisms that, rather than simply halting trading, reject or constrain certain orders to allow trading and price formation to continue.

The report is part of IOSCO’s ongoing work on how technology is changing the way markets operate and how regulators and markets are responding to these changes. Specifically, the report builds on the recommendations in IOSCO ́s 2011 report Regulatory Issues Raised by the Impact of Technological Changes on Market Integrity and Efficiency, which addressed the broad technological changes impacting markets, including high frequency trading and measures used to address volatility, including trading halts, circuit breakers and price limits.

Ago 042018

The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) setting out conditions for securitisation to be deemed homogeneous. Homogeneity is one of the crucial requirements for a securitisation transaction to be assessed as simple, transparent and standardised (‘STS’) and to be eligible for more risk-sensitive risk weights under the new EU securitisation framework. Homogeneity is also a key element for investors when assessing the underlying risks and performing their due diligence.

According to the conditions specified in the RTS, homogeneous exposures need to be underwritten according to similar underwriting standards and serviced according to similar servicing procedures. In addition, they need to fall within the same asset category. To facilitate the assessment of homogeneity, the RTS specify a non-exhaustive list of the most common asset categories, reflecting the market practice. Finally, for the majority of these asset categories, the underlying exposures need to be homogeneous with reference to at least one of the homogeneity factors, such as type of obligor, ranking of security rights, jurisdiction, or type of immovable property.

The conditions of the homogeneity have been designed from the perspective of investors, so as to facilitate the investors’ assessment of the underlying risks on the basis of common methodologies and parameters.  The RTS are applicable to both asset-backed commercial paper (ABCP) and non-ABCP securitisations.

EBA Final Draft Regulatory Technical Standards (PDF)

Ago 022018

L’innovazione mette alla prova i Wealth Manager

Le Fintech stanno diventando realtà anche nel Wealth Management, il mercato più “human intensive” per definizione. Intelligenza artificiale, chatbot e robot sono le tecnologie Fintech che stanno cambiando il mercato finanziario e che saranno sempre più sulla bocca di tutti, clienti e consulenti finanziari compresi. In tale contesto le tecnologiche emergenti impatteranno sia le dinamiche di relazione consulente-cliente sia la macchina operativa.

È arrivato il Robo Advisory

Il mercato della Consulenza Finanziaria sta affrontando la sfida del Robo Advisory, il servizio di gestione degli investimenti supportato da algoritmi ed erogato attraverso piattaforme digitali. Il Robo Advisory, utilizzando le informazioni dei clienti e combinandole alle strategie desiderate di asset allocation, permette di fornire raccomandazioni d’investimento/ portafogli personalizzati. In poche parole un servizio di consulenza personalizzato, supportato da una gestione e da un’ottimizzazione automatizzata del portafoglio, fruibile mediante dashboard interattive. Questo fenomeno, che interessa sia operatori storici che start-up Fintech, ad oggi sta vivendo in Italia una forte fase espansiva.


Robo Advisory: un trend in crescita

A livello globale le masse gestite direttamente attraverso tecnologie Robo Advisory sono destinate a crescere considerevolmente nei prossimi 2 anni. Questo trend sarà principalmente guidato dal mercato americano: nei soli Stati Uniti, infatti, il mercato passerà dagli attuali ~265 €Mld a ~435 €Mld nel 2020. In Europa, invece, si passerà da ~17 €Mld (di cui ~170 €Mln in Italia) a ~50 €Mld nel 2020 (di cui ~670 €Mln in Italia) [Fig. 1]. L’impennata globale degli AUM gestiti da “Robo Advisor” non è tuttavia destinata a rallentare: le attese sono quelle di raggiungere ~1.300 €Mld nel 2025. Spinti da questo trend di crescita, anche i grandi player leader dell’Asset Management stanno orientando alcuni dei loro investimenti sulla costruzione di nuove piattaforme per la gestione completamente automatizzata di grandi portafogli. BlackRock, per esempio, ha recentemente annunciato l’introduzione di un fondo ETF seguito interamente da robot, che utilizzerà l’intelligenza artificiale per la selezione dei titoli replicando “meccanicamente” le analisi normalmente effettuate da intelligenza umana. L’investimento di BlackRock ha fin da subito portato a risultati soddisfacenti: i fondi gestiti dai robot hanno mostrato una performance significativamente superiore rispetto ai classici “stock pickers” discrezionali. Sulla scia di questa iniziativa anche altri grandi gestori di asset management come Bridgewater Associates, Point72 Asset Management e JPMorgan stanno andando nella stessa direzione sperimentando attivamente l’uso dell’automazione.

In Italia, Money Farm è stato un pioniere nell’offerta di servizi di consulenza automatizzata. Società fondata nel 2011, oggi conta 20k clienti attivi al mondo, 150k iscritti profilati dalla piattaforma al mondo e masse gestite a livello mondiale (tra Italia e UK) per oltre 400 €Mln. Lo sviluppo di piattaforme digitali di advisory per i segmenti “affluent” e “mass” con un patrimonio inferiore a 500 €k si sta diffondendo anche tra le banche commerciali italiane.

Quali sono i vantaggi del Robo Advisory?

L’introduzione del Robo Advisory permette di avere costi commissionali e di gestione significativamente più bassi rispetto ai modelli tradizionali, così da costituire un’opportunità per i segmenti di clientela a basso valore attualmente non pienamente serviti. L’utilizzo di algoritmi per la creazione e la gestione di portafogli, infatti, rappresenta una soluzione in grado di ridurre i costi di servizio per la Banca. Questa graduale riduzione dell’effort “discrezionale” dell’uomo si ribalterà sul cliente finale, generando una significativa riduzione dei costi dei servizi finanziari.  Secondo le analisi Monitor Deloitte, solo l’utilizzo delle chatbot porterà, entro il 2020, a significativi risparmi di costo quantificabili tra 0,50 e 0,70 dollari per ogni interazione banca-cliente.

La tecnologia viene quindi vista più come a supporto che come in sostituzione del lavoro umano in un’ottica “Robo 4 Advisor”. Riteniamo che questo potrebbe aprire il mercato della consulenza finanziaria su segmenti di clientela meno abbienti consentendo costi del servizio più accessibili e offrendo la possibilità al gestore di servire meglio e in modo più efficiente i clienti in portafoglio. Da un lato, se oggi per coprire costi diretti e indiretti del servizio, un Wealth Manager può arrivare a dover gestire 100 milioni di euro di masse, attraverso un modello combinato questa soglia potrebbe essere dimezzata.

Come “contropartita”, dal consulente ci si attende che riesca a seguire da vicino portafogli dai 100 ai 200 clienti. Senza il supporto della tecnologia, difficilmente si riuscirebbe ad essere proattivi su un portafoglio di tale entità e focalizzare, allo stesso tempo, l’effort commerciale sui clienti a maggior valore e/o intensità relazionale.

La consulenza Robo può quindi essere “vincente” su profili di clientela che tradizionalmente non potevano permettersi un consiglio finanziario personalizzato, strategia particolarmente attrattiva in questo periodo di tassi di interesse prossimi allo zero.

L’automatizzazione nella gestione dei portafogli, come detto, supporterà senza sostituire la componente umana. A seconda della diversa composizione del portafoglio, infatti, l’intervento umano rappresenta ancora un asset prezioso per la Banca. Nei portafogli molto concentrati (o caratterizzati da titoli con scarsa liquidità) la scarsa disponibilità di informazioni societarie e di settore genera la necessità di un tipo di consulenza più “insightful” ed elaborata, più adatta quindi a una valutazione discrezionale e personale. Saranno invece i settori caratterizzati da asset class consolidate e molto liquide, con la disponibilità di una grande quantità di informazioni, i più adatti a tale innovazione.

Cosa ne pensano i clienti?

Secondo il “Global Investor Pulse”, ricerca annuale di BlackRock sul mercato Italiano, il 46% degli investitori dichiara di sapere conoscere questa tecnologia, con punte che raggiungono il 62% tra i Millenial. Fra coloro che conoscono il Robo Advisory, il 57% dichiara che potrebbe ricorrere a un servizio di consulenza automatizzata già nel corso del prossimo anno (con picchi oltre il 70% per i Millenial) [Fig. 2]. In generale, comunque, tale apertura non è incondizionata, ma è subordinata per la maggior parte degli investitori alla presenza di un supporto terzo: quasi la metà condiziona la sua adozione alla possibilità di interagire con un consulente o con un’istituzione finanziaria avente un forte brand. Poco più del 10% si dice pronto a percorrere questa strada in modalità pienamente autonoma, livello di adozione in linea con i trend caratteristici dei canali digitali in Banca. Per fare un parallelismo con il mondo delle banche tradizionali, il canale fisico rimane (e rimarrà) centrale per la relazione con il cliente evolvendo, tuttavia, il proprio ruolo. Allo stesso modo, anche per il consulente finanziario, le nuove tecnologie prima ancora di cannibalizzare parte del mercato, potranno abilitare una relazione con il cliente più diretta, profonda ed economica.

Le nuove generazioni? Si aspettano sempre di più

Le piattaforme automatizzate possono risultare potenzialmente molto interessanti per una “nuova” fascia di clientela bancaria, giovane, con ampi margini di crescita, molto evoluta digitalmente che allo stesso tempo richiede alla propria banca un controllo e una conoscenza dei propri investimenti sempre maggiore. Infatti, anche i clienti high-net-worth (HNW) diventano più esperti di tecnologia digitale e si aspettano gli stessi livelli di trasparenza e connettività offerti dalle banche retail. Si prevede che le generazioni più giovani erediteranno 1 trilione di dollari nei prossimi 20 anni, aspettandosi un funzionamento dei servizi per la gestione dei propri patrimoni simile a quella di altre applicazioni, come Amazon e Google: servizi semplici e perfettamente integrati nella vita di tutti i giorni.

Tradizionalmente, i Private Banker, grazie alle relazioni personali, hanno gestito le esigenze dei clienti e garantito un livello di servizio elevato. La digitalizzazione non sostituisce quella relazione personale, ma la migliora accelerando i processi e utilizzando i dati dei clienti per prevedere con precisione ciò che sarà più vicino ai loro bisogni. In questo senso, i Private Banker dovranno essere in grado di fornire ai propri clienti un servizio ancora più personalizzato. Offrire un servizio di consulenza eccellente a 360° su tutto il patrimonio non è facile così come non è semplice amministrare capitale, partecipazioni, immobili, con un unico strumento. In questo senso, l’Intelligenza artificiale e tutte le nuove tecnologie disponibili possono venire in aiuto al consulente, permettendogli di offrire un servizio sempre più specifico e personalizzato nel prossimo futuro.


Carlo Murolo, Senior Partner, Head of FS Industry, Deloitte Consulting

Manuel Pincetti, Senior Executive, Monitor Deloitte Strategy Consulting

Luigi Capitanio, Senior Executive, Monitor Deloitte Strategy Consulting

Daniele Ingannamorte, Senior Associate, Monitor Deloitte Strategy Consulting

Lug 262018

The European Central Bank (ECB) published on the 24th of July the results of the euro area bank lending survey collected in July 2018. These results can be summarized in three main points:

  • Easing credit standards and increasing demand across all loan categories continued to support loan growth
  • Banks expect continued net easing of credit standards in all segments for the third quarter
  • Tightening impact on credit standards from banks’ non-performing loans is diminishing

Credit standards for loans to enterprises eased in net terms in the second quarter of 2018, according to the July 2018 bank lending survey (BLS). The net easing (-3%) of credit standards – i.e. banks’ internal guidelines or loan approval criteria – follows on from an easing of credit standards (-8%) for loans to enterprises in the previous quarter and was in line with banks’ expectations in the previous survey round. In addition, credit standards for loans to households for house purchase eased (net percentage of reporting banks at -8%, after -11%), and credit standards for consumer credit and other lending to households also eased (-3%, unchanged from previous period). Across the three segments, competitive pressure and risk perceptions had an easing impact on credit standards, while banks’ cost of funds and balance sheet constraints and their risk tolerance were broadly neutral. For the third quarter of 2018, banks expect a net easing of credit standards in all three segments.

Banks’ overall terms and conditions (i.e. banks’ actual terms and conditions agreed in the loan contract) on new loans eased across all loan categories in the second quarter of 2018, driven mainly by a narrowing of margins on average loans, while margins on riskier loans also eased across all loan categories, albeit to a lesser extent.

Net demand continued to increase across all loan categories in the second quarter of 2018. The net increase in demand for loans to enterprises was driven mainly by the general level of interest rates, inventories and working capital, and M&A activity. Net demand for housing loans continued to be driven mainly by the low general level of interest rates, favourable housing market prospects and consumer confidence. Consumer confidence, spending on durable goods and the low general level of interest rates continued to contribute positively to net demand for consumer credit and other lending to households.

With regard to the impact of banks’ non-performing loans (NPLs) on their lending policies, euro area banks reported that NPLs contributed to a tightening in their credit standards and terms and conditions across all categories of loans over the past six months. However, this tightening impact has generally diminished relative to the impact between 2014 and 2017, and it is expected to decrease further in the next six months. Banks’ NPL ratios affected their lending policies mainly through their impact on risk perceptions, risk tolerance and the cost of cleaning up the balance sheet.

Finally, with regard to the factors that are significant in determining banks’ lending margins, competition and profitability targets were reported as the most significant factors across all categories of loans over the past six months, and these factors also increased most in significance between the beginning of 2014 and the end of 2017.

The BLS, which is conducted four times a year, was developed by the Eurosystem to improve the understanding of banks’ lending behaviour in the euro area. The results reported in the July 2018 survey relate to changes in the second quarter of 2018 and expectations of changes in the third quarter of 2018, unless otherwise indicated. The July 2018 BLS was conducted between 18 June and 3 July 2018. In this BLS round, the sample size of the survey was 149 banks. The response rate was 100%.

Euro Area Bank Lending Survey (HTML)

Lug 262018

The Governing Council of the ECB met on July 26th to update decisions concerning monetary policy across the monetary union.The interest rate on the main refinancing operations and the interest rates on the marginal lending facility and the deposit facility will remain unchanged at 0.00%, 0.25% and -0.40% respectively.

The Governing Council expects the key ECB interest rates to remain at their present levels at least through the summer of 2019, and in any case for as long as necessary to ensure the continued sustained convergence of inflation to levels that are below, but close to, 2% over the medium term.

Regarding non-standard monetary policy measures, the Governing Council will continue to make net purchases under the asset purchase programme (APP) at the current monthly pace of €30 billion until the end of September 2018.

The Governing Council anticipates that, after September 2018, subject to incoming data confirming the Governing Council’s medium-term inflation outlook, the monthly pace of the net asset purchases will be reduced to €15 billion until the end of December 2018 and that net purchases will then end.

The Governing Council intends to reinvest the principal payments from maturing securities purchased under the APP for an extended period of time after the end of the net asset purchases, and in any case for as long as necessary to maintain favourable liquidity conditions and an ample degree of monetary accommodation.

Lug 262018

The International Organization of Securities Commissions (IOSCO) is preparing to launch its second annual World Investor Week (WIW) from 1 through 7 October 2018, following the success of last year ́s event in promoting investor education and protection and highlighting the various initiatives of securities regulators in those two areas around the globe.

The 2018 WIW involves a week of activities carried out by participating IOSCO member jurisdictions. A key objective of the WIW is to highlight the importance of investor education and protection, and to foster learning opportunities for investors, given today ́s rapidly changing environment of online and technological innovations. Many members leverage the event to organize further investor education activities throughout the year.

In last year’s WIW, IOSCO members and stakeholders from some 80 jurisdictions on six continents engaged in a range of activities, offering investor-focused information and services, staging contests to increase awareness of the importance of investor education, organizing workshops and conferences, and conducting local/national campaigns in their jurisdictions. The WIW 2017 Public Report provides an overview of these activities that took place worldwide.

Ashley Alder, Chair of the IOSCO Board and the Chief Executive Officer of the Hong Kong Securities and Futures Commission, said, “The IOSCO World Investor Week not only effectively communicates key messages to market participants regarding investor education, investor protection and financial literacy but also encourages and facilitates new initiatives among our members.”

Lug 262018

The European Banking Authority (EBA) published today a new updated list of Common Equity Tier 1 (CET1) instruments of EU institutions. This list is accompanied by an updated CET1 Report, which includes information on the underlying objectives of the monitoring as well as on the consequences of including or excluding instruments in or from the CET1 list.

The EBA’s monitoring of capital instruments contributes to the enhancement of the quality of institutions’ capital across the EU. The EBA will continue to update the Report on a regular basis to give account of new developments in CET1 issuances and practices.

Since the first publication of the list on 28 May 2014, the EBA has included 13 new forms of instruments issued after the entry into force of the Capital Requirements Regulation (CRR) and assessed their terms and conditions against the regulatory provisions with the aim of identifying any discrepancy with the eligibility criteria. In cooperation with competent authorities, the EBA is also conducting a review of some pre-CRR instruments.

In several cases, the EBA requested amendments to the terms and conditions of the instruments, mainly relating to the eligibility criteria flexibility of payments and permanence.

The CET1 Report includes some background information on the monitoring work done to establish the CET1 list. Its aim is to provide external stakeholders with further guidance on the content and objectives of the CET1 list. The main results of the monitoring and assessment of CET1 instruments are summarised in a ‘lessons learnt’ section. This section highlights areas where the EBA believed it was necessary to amend the terms and conditions of the instruments or the national laws of a given jurisdiction or the by-laws/statutes of institutions to make a given form of instrument eligible as CET1 capital.


EBA report on the monitoring of CET1 instruments — first update (PDF)

EBA updated CET1 list-Q3 2018 (XLSX)

Lug 262018

EIOPA launched its fourth union-wide exercise with the aim of assessing the resilience of the European insurance companies against adverse scenarios which can trigger systemic risk and threaten the stability of the European financial markets and the real economy.

The target sample encompasses 42 insurance groups (the first 30 and 12 additional others supervised by different NCAs), for a total coverage close to 78% of the consolidated Assets according to the SII Financial Stability reporting.

The Stress Test (ST) does not represent a “pass” or “fail” exercise, but rather a full bottom up calculation to assess the impact of three adverse scenarios to the insurance groups Balance Sheets (BS), Own Funds (OF) and Solvency Capital Requirement (SCR), with reference date 31.12.17. The set of templates to report these results are broadly based on the SII QRT reporting and will be partly disclosed upon the consent of the participating groups.

Participating groups are requested to submit the filled in templates to the NCAs by the 16th of August and quality checks and benchmarking will be carried out by the supervisors until end October, with the aim of disclosing the results by the second half of January 2019.

In the 2018 ST exercise:

  • the shocks are instantaneous and applied to the entire in force business at the reference date
  • the shocks levels for sovereign or corporate yields refer to a change in the total yield, and changes to the risk free yields (swaps) have to be considered too when calculating the credit spreads
  • shocks on the underwriting risks have to be applied after the market ones and, in case the lapse/longevity shocks imply a positive impact on the SII OF conditional to the situation after the application of the market ones, their impact has to be capped to 0 (only groups take part to the exercise)
  • the consolidation of the results for the group BS after stress shall be in line with the base
  • participations in not-insurance entities and related undertakings held by the group shall be stressed according to the shock prescribed to the stock prices
  • measures like mitigating strategies that rely on taking future actions after the reference date should not be considered
  • the look through approach shall be applied
  • for what concerns the SCR calculation, approximations and simplifications can be used considering the trade-off between feasibility and reliability, and all the simplifications shall be discussed with the group supervisor and cannot include the calculation of Loss Absorbing Capacity of Technical Provisions (LACTP) and Deferred Taxes (LACDT)
  • for what concerns the Risk Margin (RM) recalculation, scaling approaches can be used to derive the post stress RM according to the change in BEL
  • the Long Term Guarantees (LTG) and Transition measures applied at the reference date shall be applied in the stressed situations too and the impact calculated; the impact of the latter on the TP shall be calculated in the base scenario, approved by the NCA and kept constant in the stressed scenarios.

Three adverse scenarios are proposed, along with a questionnaire on the exposure to the cyber risk:

[1] YC up + LAPSE up + inflation pressure (that causes a provision deficiency)

This scenario is characterized by an upward shift in the risk free rates as well as a significant increase in inflationary pressure, followed by a large share of policyholders who surrender. An abrupt fall in the global asset prices puts in trouble the insurers that are large investors in government and corporate bonds, equity and real estates:

  • the swap yield with 10y maturity increases by 85bps in the EU
  • the spread of a 10y government bond increases on average by 36pbs, reaching a maximum of 134bps; yields on corporate and bank debt increase too and in larger measure
  • stock prices in the EU decline by about 39%, equity by 33%, real estate by 41% and residential and commercial real estates by 20% and 31% respectively
  • overall expenses and costs increase strongly because of the inflation pressure
  • an instantaneous shock of 20% of the lapse rate shall be applied in place of the best estimate to all products types (but mandatory), overruling the potential dynamic adjustment generated by the market shocks
  • the annual claims cost of non-life insurers increases by 2.24%

[2] YC dw + LONGEVITY up

This scenario is characterized by a protracted period of extremely low interest rates (including an adjustment to the UFR) in conjunction with a significant increase in the average life expectancy:

  • the swap yield with 10y maturity decreases by 80bps in the EU
  • the spread of a 10y government bond declines on average by 36pbs, spanning from 49 to 17bps; yields on corporate bonds decrease too, increasing the spreads
  • stock prices in the EU decline by about 16%, equity by 6%, real estate by 18% and residential and commercial real estate remain unchanged
  • consistently to the methodology recently suggested for the review of the SF, a relative change of -15% shall be applied to the best estimate mortality assumptions independently of the age and the type of product


This scenario is characterized by multiple catastrophic events for windstorm (4), floods (2) and earthquakes (2) to be considered as separate events for reinsurance recoveries. Management actions such additional reinsurances cannot be considered and insurers may therefore suffer from exhaustion of the reinstatement provisions of their reinsurance treaties



The questionnaire aims at gathering information on the current situation, the existing approaches and the best practices to deal with the cyber risk, that has climbed to the top positions in the list of global risks for businesses as a consequence of the digital transformation going on lately. Insurers have to check their definition of cyber risk against a benchmark and have to analyse its impact in terms of frequency and economic loss in the last four years (cyber risk is usually classified as operational risk, linked to a deliberate exploitation of computers systems and networks). They finally have to collect information on the exposures held in underwritten portfolios, split between “affirmative” (coverage explicitly included) and “not affirmative” (coverage not explicitly excluded, i.e. “silent”).