Carbon – Divestment and Investment
Nima Shahroozi and Neil Dissanayake

With the Journey to Net Zero now a strategy being considered by many in the market, there is an increasing demand for low-carbon tilts* that divest away from carbon-intensive exposures. We will provide a brief overview of this expanding investment strategy, and how it is compatible with existing risk management frameworks.

A key milestone in achieving the Paris Goals for addressing climate change, is to have an appropriate price on carbon. The EU Emissions Trading Scheme is now maturing into its 4th phase, and recent price rises are making progress towards this target. The UK is launching its post-Brexit scheme too. We will also provide a brief introduction to the market, and how it is becoming a tradeable asset class for investors.

*A “tilt” is a modification to a benchmark index that applies different weightings to underlying components

Modelling of Equity Release Mortgages
Michael Leitschkis and Amritpal Khangura

For UK life insurers, equity release mortgages (ERMs) are an increasingly relevant asset class, especially to back annuity business, while providing attractive yields. Legacy modelling solutions are being challenged and strained by growing complexity of risks and regulations. For example, optimisation algorithms are needed in order to handle loan securitisations in the context of Solvency II Matching Adjustment. Furthermore, the materiality of ERM requires modelling solutions to form part of a well-audited, governed and robust end-to-end process.

In our talk, we will discuss the above, covering elements ranging from cash flow and proxy modelling to operational challenges.

SFCRs: the 2020 results
Neil Christy and Will Smith

We will share the results of our updated analysis into UK and European life insurers’ latest set of Solvency and Financial Condition Reports (SFCRs). This presentation will focus on some of the key results and trends we have identified based on the qualitative information included in the SFCR alongside the public Quantitative Reporting Templates (QRTs).

Operational Resilience
Fred Vosvenieks

Following the publication of the PRA’s and FCA’s policy statements on operational resilience with the confirmation of an end of March 2022 effective date, firms should now be actively working on their operational resilience programmes. In this talk we will review key changes from the previous consultations, approaches to identifying important business services and setting impact tolerances, lessons learned from the COVID-19 pandemic, and the role of the 1st and 2nd lines in supporting operational resilience.

Alternative perspectives on climate change
Amy Nicholson & Natasha Singhal

With the PRA’s upcoming SS3/19 requirements, climate change is now firmly on the agenda for many insurers. For the life industry, the primary focus so far has been on the asset side of the balance sheet. In this talk we will explore some aspects of climate change that have received less attention to date: the potential impact on mortality and morbidity assumptions for life and health insurers, the opportunities for insurers around climate change, and the current blockers to climate change innovation.