The required capital stood at € 4,185 million per 31 December 2021 (2020: € 4,159 million). The required capital (before diversification) consists for 2021 € 3,416 million out of market risk and the insurance risk amounted to € 3,388 million.
a.s.r.'s Solvency II ratio, including financial institutions, complied during 2021 with the applicable externally imposed capital requirement. The capital requirements of the financial institutions fall under a different sectoral supervision regime.
The table below presents the solvency ratio at group level as at the date indicated.
|||31 December 2021||31 December 2020|
|Eligible Own Funds Solvency II||8,189||8,273|
|Solvency II ratio excluding Financial Institutions||196%||199%|
|Eligible Own Funds Solvency II||8,270||8,351|
|Solvency II ratio including Financial Institutions||195%||199%|
The Solvency II ratio stood at 196% (excluding financial institutions) as at 31 December 2021 (2020: 199%). The Solvency II ratio including financial institutions stood at 195% as at 31 December 2021 (2020: 199%). The Solvency II ratios presented are not final until filed with the regulators.
Based on the knowledge and insights we have today we expect both positive as well as negative impact on the business and financial performance from the COVID-19 crisis. However, this has up to now had a limited impact on the solvency position of a.s.r.
Under Solvency II it is permitted to reduce the required capital with the mitigating tax effects resulting from a 1-in-200-year loss (Shock loss). There is a mitigating tax effect to the extent that the Shock loss (BSCR + Operational risk) is deductible for tax purposes and can be compensated with taxable profits. This positive tax effect can only be taken into account when sufficiently substantiated (‘more likely than not’). a.s.r. included a beneficial effect on its solvency ratio(s) due to the application of the LAC DT. The LAC DT benefit was € 994 million at year-end 2021.
Relevant regulation and current guidance (Delegated Regulation, Level 3 guidelines, Dutch Central Bank Q&A’s and IAS12) is taken into account in the development of the LAC DT methodology.
a.s.r. uses an advanced model for the LAC DT of both a.s.r. life and a.s.r. non-life and a ‘basic’ model for a.s.r. health basic and supplementary. In the advanced model future fiscal profits are used to underpin the LAC DT, while in the basic model no future profits are used. Both models are and will be updated in case constrained by additional guidance or legislation provided.
The a.s.r. solvency ratio does not include any contingent liability potentially arising from any of the current and / or future legal proceedings in relation to unit-linked insurance contracts or for other products sold, issued or advised on by a.s.r.’s insurance subsidiaries in the past, the reason being that it is impossible at this time to make reliable estimates because the book of policies of a.s.r. dates back many years, contains of a variety of products with different features and conditions and because of the fact that rulings are diverse.
On 22 September 2021 the European Commission adopted a ‘review package’ of Solvency II legislation. It consists of various changes to the Solvency II framework, affecting most notably the liability discount curve, the risk margin and the volatility adjustment (VA). The next step is for the European Parliament and the Member States in the Council to negotiate the final legislative texts on the basis of the Commission's proposals. It is expected that the changes will come into effect in 2024 at the earliest and that some measures will include a phase-in period. Quantitative impact of the EC proposal has been analysed and appears to be more favourable compared to the earlier EIOPA advice, but a conclusion is only possible after specifications have been finalised.
Standard & Poor’s confirmed the single A rating of a.s.r., a.s.r. life and a.s.r. non-life on 14 September 2021.
|Ratings Standard & Poor's||Type||Rating||Outlook||Rating & outlook since|
|ASR Nederland N.V.||CCR||BBB+||Stable||15 May 2014|
|ASR Levensverzekering N.V.||FSR||A||Stable||23 August 2012|
|ASR Levensverzekering N.V.||CCR||A||Stable||23 August 2012|
|ASR Schadeverzekering N.V.||FSR||A||Stable||23 August 2012|
|ASR Schadeverzekering N.V.||CCR||A||Stable||23 August 2012|
FSR: financial strength rating
Rating reports can be found on the corporate website: www.asrnl.com