European Insurance and Occupational Pensions Authority submits draft Solvency II RTS on liquidity risk management plans and macroprudential analyses with a €20 billion asset threshold

The European Insurance and Occupational Pensions Authority (EIOPA) submitted two sets of draft regulatory technical standards (RTS) to the European Commission setting out how new macroprudential tools introduced by the revised Solvency II framework will operate in practice, covering liquidity risk management plans (LRMPs) and mandatory macroprudential analyses. For LRMPs, the draft RTS propose a combination of quantitative and risk-based selection criteria to determine which undertakings must carry out medium and long-term liquidity analyses in addition to short-term assessments. Solo undertakings and groups with assets above EUR 20 billion would be required to include medium and long-term analyses, with national supervisors able to waive the requirement for entities with low liquidity risk exposures or extend it to smaller balance sheets where the risk profile warrants inclusion. LRMPs would need to be updated at least annually and without delay following significant changes in the undertaking’s risk profile or relevant external conditions. The second RTS set specifies which (re)insurers must integrate macroprudential analyses into their Own Risk and Solvency Assessments (ORSA) and their application of the prudent person principle, using a EUR 20 billion asset threshold alongside risk-based criteria; supervisors will review these analyses in aggregate and provide feedback. The European Commission will review the draft RTS and decide on adoption within the next three months.