Own Risk and Solvency Assessment (ORSA)

Assuming that a member state has fully implemented the Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) and having in mind that the COMMISSION DELEGATED REGULATION (EU) 2015/35 is directly applicable in each member state, Do the Solvency II Directive and the Delegated Regulation allow a Member State (a) to regulate a quantitative measure for the liquidity risk based on the following formula (non-life): liquid assets / gross claim reserve; and (b) at the same time to impose a legal obligation on national insurance undertakings requiring that this indicator be above 1 (essentially disregarding the effect of reinsurance and other mitigation tools)?

The Romanian Financial Supervisory Authority has recently enacted secondary legislation (Norm no. 46/2020 amending FSA Norm no. 21/2016 on reporting obligations regarding insurance and reinsurance activities). Norm no. 46/2020: (a) institutes a new (monthly) reporting obligation with respect to liquidity risk; (b) requires Romanian insurance undertakings to maintain liquid assets above the level of the gross claim reserve (for non-life insurers); (c) requires Romanian insurance undertakings which do not meet this level to restore such liquidity indicator to the required level (as per (b) above) no later than the next reporting deadline; The 1st reporting deadline under Norm no. 40/20120 is March 31st, 2021.