The exercise is designed to assess the resilience of the European occupational pensions sector to an adverse market scenario using common methodologies. It will also analyse how IORPs transfer shocks, resulting from the impact of the adverse market scenario, to the real economy and financial markets.
The stress scenario, referred to as "double-hit" scenario, was developed in cooperation with the European Systemic Risk Board and combines a drop in risk-free interest rates with a fall in the price of assets held by IORPs.
The occupational pensions stress test covers both Defined Benefit (DB) and hybrid as well as Defined Contribution (DC) plans, and includes all European Economic Area countries with material IORP sectors, exceeding EUR 500 million in assets. EIOPA’s aim is to reach a coverage rate of IORPs of at least 50% of assets of the total IORP sector per country. The deadline for participating IORPs to complete the exercise is 13 July 2017.
The EU-wide results of the occupational pensions stress test are planned to be published in an aggregated way by the end of 2017.
Gabriel Bernardino, Chairman of EIOPA, said: ‘EIOPA’s second occupational pensions stress test analyses the effects of prolonged adverse market conditions on sponsoring companies, members and beneficiaries and financial markets through pension funds’ investment behaviour, elaborating on the second round effects on the real economy and financial stability. It will provide up-to-date information on the vulnerabilities of the occupational pensions sector and the possible repercussions for the stability of the wider financial system and European economy.
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