NN and Aegon feel impact of Dutch regulator’s SII rule change

Written by Adam Cadle

13/07/2020

NN Group and Aegon have both seen their Solvency II (SII) ratios negatively impacted as a result of the Dutch regulator’s (DNB) decision to revise the required approach to calculating the SII ratio for an insurance-led Financial Conglomerate (FICO).

The regulator said the Solvency II regulation has been in force since 2016 and “additional rules apply for the treatment of entities in the group that fall under a different sectoral supervision regime (referred to as entities from ‘other financial sectors’)”. It has observed that the calculation method it has adopted does not sufficiently reflect the binding regulations as included in Article 329 of the Solvency II Regulation (EU) 2015/35. Under this Article, the calculation of group solvency takes account of capital requirements and, more specifically, own funds items, from for example related undertakings, including credit institutions, and this is reflected in the group's solvency ratio.

Under the new approach, NN Group will be required to include NN Bank in the calculation of its SII ratio, as from 31 December 2020. Including NN Bank in the group SII calculation under the new requirements is expected to negatively impact NN Group’s SII ratio of approximately 227% at the end of May 2020 by an estimated 11%-points.

This regulatory amendment has no impact on NN Group’s disclosures and targets as presented at its Capital Markets Day on 24 June 2020.

For Aegon, the estimated negative impact of the change, based on its capital position as per 31 March 2020, is 4 percentage points on the group SII ratio, which was reported at 208%.

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