轻资本传统产品的有效性，以及它们如何随着《国际财务报告准则第17号》的到来而发展

Effectiveness of capital lighttraditional products, and howthey might evolve with thearrival of IFRS 17 Alessandro ClapisMatteo Fruzzetti, ISOAAbraham Mapelli The implementation of Solvency II represented a huge change in theEuropean insurance market, and so-called capital light products haveassumed a key role as they can help reduce capital consumption.Understanding, therefore, the evolution of this type of product could help usfind future solutions under new accounting standards like IFRS 17. In this brief discussion paper, we analyse how companies' business choices have changed with the introduction ofSolvency II, and whether the arrival of International Financial Reporting Standard (IFRS) 17 will result in similarchanges. Our focus is on life insurance companies. INTRODUCTION What are the main drivers of change to consider and where can the real effects be seen? Solvency II, where applicable, has had a major impact on the risk reporting of insurance companies. Indeed,companies have become more sensitive to their own risk profiles, and they have begun to review business strategieswith risk much more in mind. The new capital requirements, and the closer links between the risks a company faces and the capital it must hold,have certainly played a role in pushing companies to develop new insurance solutions. It is interesting, however, totry to understand whether Solvency II has been instrumental in the evolution of so-called capital light products. As will be discussed further in the next section, the evolution process was not abrupt, and it became perceptibleonly a few years after Solvency II came into effect. To analyse its effects, it is necessary to expand the window ofobservation over multiple years around the introduction of Solvency II in 2016, and thus many other external factorswill come into play (e.g., changes in economic conditions, government policy across Europe). These drivers willgive us the opportunity to draw conclusions about the relevance of Solvency II in the evolution of Europeaninsurance business. Analysing how companies have responded to Solvency II can help evaluate future business choices for newinternational accounting standards such as IFRS 17. Therefore, the question is whether the new accounting standard will entail financial consequences for companies andthus whether there are and will be adequate business responses in the market. HAS THE INTRODUCTION OF SOLVENCY II CHANGED THE RISK PROFILE OF COMPANIES?Earlier background Solvency I represented capital requirement measurements on a deterministic basis, which were the same for allplayers and not linked to each company’s own risk profile. In fact, capital requirements were calculated as 4% oftechnical provisions for products with guarantees and up to 1% for products without guarantees. Those requirementsled to strategies detached from any explicit risk management method, and therefore led to inconsistencies in the fairrepresentation of the liabilities of a company. CHANGES ARISING FROM THE INTRODUCTION OF THE SO-CALLED “THREE-PILLAR STRUCTURE” Solvency II fundamentally changed the reporting framework, and it forced companies to adopt principles more linkedto market-consistent thinking. Insurers became more sensitive to risk management and began to focus their businessstrategies on hedging or reducing possible adverse effects arising from taking on risk from the policyholder. Thethree-pillar structure under Solvency II covers quantitative, qualitative and disclosure requirements, while Solvency Imainly focused on quantitative requirements only (see section above). Furthermore, Solvency II introduced a risk-based approach to calculating the Solvency Capital Requirement (SCR)and the Minimum Capital Requirement (MCR) for insurers, considering each insurer's risk profile. At the same time,book value (or historical value) reporting for assets has been abandoned for this purpose, switching to a market-consistent valuation method. Solvency II enhances the disclosure and transparency requirements for insurers, both to supervisors and to thepublic. Insurers must also publish a Solvency and Financial Condition Report (SFCR) that supplies information ontheir business performance, governance system, risk exposure, valuation methods and capital adequacy. Solvency Ihad less stringent reporting and disclosure obligations. THE “CHANGEOVER” IN THE ITALIAN MARKET The“AssociazioneNazionale fra le imprese assicuratrici”(ANIA) each year drafts surveys on the balance sheetposition of Italian insurance companies. In 2016, it reported the effect of the changeover from Solvency I to SolvencyII (SII): “At the end of 2015, insurance companies had a solvency margin (Solvency I) of €47.5 billion; the margin ownedcompared to the minimum to be owned (the so-called coverage ratio) was equal to 1.5 in the life sector […] on theother hand, if we consider the new Solvency II regulatory regime, this ratio would turn out to be […] higher and equal