Q22.2 Section 4.1.4.4 If to Q22.1, what approaches could the IAIS explore to “no” achieve that objective? Q23 Section 4.1.4.4 Should insurance liabilities be segregated into buckets for the purpose of applying the credit spread adjustment? Yes No Q23.1 Section 4.1.4.4 If to Q23, which criteria are appropriate to allocate “yes” liabilities to the different buckets? Q23.2 Section 4.1.4.4 If to Q23, what is an appropriate number of buckets? “yes” Q23.3 Section 4.1.4.4 If to Q23, what should be the application ratios “yes” associated with each bucket? Q23.4 Section 4.1.4.4 If to Q23, as an alternative to a criterion for predictability of ”no” insurance liabilities, could partial risk transfer to policyholders (eg market value adjusted products) be a criterion for determining the credit spread adjustment? Q24 Section 4.1.4.4 Does the ability of IAIGs to earn credit spreads above the free interest rates in a risk-free manner depend on the IAIGs’ ability to match liability flows with asset cash-flows? Please explain. Yes No Q25 Section 4.1.4.4 What of granularity is more appropriate for the calculation of the credit spread adjustment? Please justify your answer. A single spread adjustment calculated and then applied to the different buckets (if more than one) using different application ratios. The IAIG identifies different classes or combinations of assets backing specific classes of liabilities associated with each bucket, calculating different credit spread adjustments for each bucket on the of the groups of assets identified. Q26 Section 4.1.4.4 In the absence of requirements concerning matching and ring-fencing, should supervisors require the proposed allocation be
Q22.2 Section 4.1.4.4 If “no” to Q22.1, what approaches could the IAIS explore to achieve that objective? Q23 Section 4.1.4.4 Should insurance liabilities be segregated into buckets for the purpose of applying the credit spread adjustment? Yes No Q23.1 Section 4.1.4.4 If “yes” to Q23, which criteria are appropriate to allocate liabilities to the different buckets? Q23.2 Section 4.1.4.4 If “yes” to Q23, what is an appropriate number of buckets? Q23.3 Section 4.1.4.4 If “yes” to Q23, what should be the application ratios associated with each bucket? Q23.4 Section 4.1.4.4 If ”no” to Q23, as an alternative to a criterion for predictability of insurance liabilities, could partial risk transfer to policyholders (eg market value adjusted products) be a criterion for determining the credit spread adjustment? Q24 Section 4.1.4.4 Does the ability of IAIGs to earn credit spreads above the interest rates in a risk-free manner depend on the IAIGs’ ability to match liability with asset cash-flows? Please explain. Yes No Q25 Section 4.1.4.4 What of granularity is more appropriate for the calculation of the credit spread adjustment? Please justify your answer. A single spread adjustment calculated and then applied to the different buckets (if more than one) using different application ratios. The IAIG identifies different classes or combinations of assets backing specific classes of liabilities associated with each bucket, calculating different credit spread adjustments for each bucket on the of the groups of assets identified. Q26 Section 4.1.4.4 In the absence of requirements concerning matching and ring-fencing, should supervisors require the proposed allocation be flows free
2016160226_1607-iais-pc.docx