Clear Path Analysis - Interview with EIOPA's Montalvo

The guys at Clear Path Analysis have come through with another suite of exclusive Solvency II material, following along from their efforts in September 2012 and 2011 (sign up required if you are not already hooked up with them).

This is dominated by asset allocation and Pillar 3 requirements, and I'll cover through those in due course. It was the interview with Sr. Montalvo from EIOPA which immediately caught my eye, so I picked the following bones out of it:

• Solvency II is "...nothing more and nothing less than a risk-based supervisory framework"
• Solvency II "aims to be a neutral system" with regard to asset allocation
• "The new framework creates business opportunities rather than operational risks"
• "No Pillar prevails, all are equally important" 
• The capital weightings on asset lines are based on "...sound technical calculations that were taken by the supervisory community (and in particular by the actuarial teams involved)" - is this a tacit acknowledgement of a residual element of black-boxedness?
• On IFRS convergence "...we had to move forward because in the accounting areas progress was not being sufficiently made". 'Aimerez-vous rencontrer M. Kettle, M. Pot?'
• On early implementation, "...once we see how it is working, [EIOPA] will have the courage to say which things can be improved"

Perhaps his sweetest quote is worth isolating:

AON Report on Regulatory, Accounting and Rating Agency critera changes

A decent piece from AON covering influences of Solvency II (amongst other similarly flavoured risk-based capital regulatory influences), IFRS, and ratings agency criteria for ERM on capital allocation strategies.

Some (surely sympathetically sampled) stats are included on how ratings strength will be more important than Solvency ratios - remains to be seen which measures are preferred for economic capital measurement for those who don't necessarily want or need to chase ratings agency favour.

Also includes country specific details on ORSA in the US, Risk based capital in Asia and Latin America, and references the AM Best supplemental rating questionnaire for ERM, which sounds like there might be some merits in reading