Q22.2 Section 4.1.4.4 If “no” to Q22.1, what approaches could the IAIS explore to achieve that objective? Q23 Section 4.1.4.4 Should insurance liabilities be segregated into buckets for the purpose of applying the credit spread adjustment? Yes No Q23.1 Section 4.1.4.4 If “yes” to Q23, which criteria are appropriate to allocate liabilities to the different buckets? Q23.2 Section 4.1.4.4 If “yes” to Q23, what is an appropriate number of buckets? Q23.3 Section 4.1.4.4 If “yes” to Q23, what should be the application ratios associated with each bucket? Q23.4 Section 4.1.4.4 If ”no” to Q23, as an alternative to a criterion for predictability of insurance liabilities, could partial risk transfer to policyholders (eg market value adjusted products) be a criterion for determining the credit spread adjustment? Q24 Section 4.1.4.4 Does the ability of IAIGs to earn credit spreads above the interest rates in a risk-free manner depend on the IAIGs’ ability to match liability with asset cash-flows? Please explain. Yes No Q25 Section 4.1.4.4 What of granularity is more appropriate for the calculation of the credit spread adjustment? Please justify your answer. A single spread adjustment calculated and then applied to the different buckets (if more than one) using different application ratios. The IAIG identifies different classes or combinations of assets backing specific classes of liabilities associated with each bucket, calculating different credit spread adjustments for each bucket on the of the groups of assets identified. Q26 Section 4.1.4.4 In the absence of requirements concerning matching and ring-fencing, should supervisors require the proposed allocation be flows free
demonstrated and maintained throughout the lifetime of the corresponding insurance liabilities? Please explain and if “yes”, how could this be achieved? Yes No Q27 Section 4.1.4.4 Is the proposed approach for calculating the adjustments for default reasonable? If “no”, please explain how it could be improved. Yes No Q28 Section 4.1.4.4 Should the IAIS consider introducing an adjustment to the LTFR? If “yes”, what be the technical rationale for an adjustment to the LTFR and which methodologies should the IAIS explore? Yes No Q29 Section 4.1.4.4 Is a way to avoid or mitigate the issue of “inverted risk profile” (as described in Section 4.1.4.4)? If “yes”, please explain. Yes No Q30 Section 4.1.4.4 Is the move to an adjustment defined as an absolute change (in bps) to the base curve appropriate, rather than a proportional movement? Please explain. Yes No 4.1.4.5 Options for adjustments to base yield curves – 2016 Field Testing Q31 Section 4.1.4.5 Which of the proposed options strikes a better balance between the different policy issues under consideration by the IAIS? Please explain.
6.13.3.3 Treatment of reinsurance exposures Q203 Section 6.13.3.3 Should the IAIS continue to explore a different approach for Credit risk from reinsurance exposures, and in particular, for collateralised reinsurance? Why or why not? If “yes”, please provide specific proposals, rationale and evidence to support the proposals. Yes No 6.13.4 General comments Q204 Section 6.13.4 Are there any further comments on Credit risk that the IAIS should consider in the development of ICS Version 1.0? If “yes”, please explain with sufficient detail and rationale. Yes No 6.14 Operational Risk 6.14.3 Open issues for consultation Q205 Section 6.14.3 Should the IAIS use exposures that are reported before the impact of reinsurance for determining the Operational risk charge? Please explain. Yes No Q206 Section 6.14.3 Are the proposed Operational risk exposures appropriate for the ICS standard method? Please explain. Yes No Q207 Section 6.14.3 Are the proposed Operational risk factors appropriate for the ICS standard method, both in of size and relativity? Please explain. Yes No 6.14.4 General comments
have taxable profits? If “yes”, how would they assess whether these group companies would still be profitable in stress? Yes No 7.3 General comments Q235 Section 7.3 Are there any further comments on the approach to tax within the ICS that the IAIS should consider in the development of ICS Version 1.0? If “yes”, please explain with sufficient detail and rationale. Yes No