Follow Us

Follow us on Twitter  Follow us on LinkedIn
 

03 August 2012

年金向けの情報サイトIPE:HBS(包括的バランスシート)を用いたIORPs(職域年金)のソルベンシー評価は「見せ掛けの」結果をもたらす恐れがあるとする欧州の業界団体


Default: Change to:


The holistic balance sheet (HBS) will fail to assess the solvency of European occupational pension schemes accurately – with IORPs being asked to make risk and impact calculations with too many assumptions rather than accurate figures, increasing the risk of "pseudo" security.


Responding to the consultation paper on the quantitative impact study (QIS) for the revision of the IORP Directive, launched by the European Insurance and Occupational Pensions Authority (EIOPA) in June, several European pension fund associations have argued that IORPs do not have the necessary tools to complete the calculations required for the HBS model.

The EIOPA's Occupational Pensions Stakeholder Group (OPSG) argued that even if IORPs managed to complete the calculations, the final outcome may nevertheless not be of use to supervisors and the pension sector. "To calculate the HBS, IORPs have to make many assumptions, so the risk of pseudo security is severe and the model-risk of this approach is very large", the group said in its response. "Markets are incomplete – e.g. long maturities, wage inflation, long term volatility – and thus dependent on modelling assumptions, so the reliability of outcomes is questionable."

In Germany, the country's association of occupational pension funds, AbA, expressed similar doubts over the tools IORPs would have at their disposal to implement the HBS approach, and reiterated its concerns over a market-consistent valuation of assets and liabilities. "Given that members cannot call their benefits before they are due – unlike customers of banks and insurance companies – market risk is a secondary risk to IORPs", the association said. "The primary risk of changing asset prices is the effect on the portfolio return of reinvestments."

The European Association of Paritarian Institutions (AEIP) argued against the calculation of solvency capital requirements in the operational risk module. "We find the formula proposed too difficult, complex and burdensome for small IORPs to follow", the association said. Instead, the AEIP suggested that operational risk might be ignored in this first QIS, especially where good governance models are already in place.

Full article (IPE subscription required)



© IPE International Publishers Ltd.


< Next Previous >
Key
 Hover over the blue highlighted text to view the acronym meaning
Hover over these icons for more information



Add new comment