| Column 04 | Instructions |
|---|
|
General | The risk categories (e.g. Insurance, Market, Credit, Operational, Other) and amounts reported as an insurer's "ORSA Capital (Margin)" should reflect those determined as part of the insurer's ORSA process. An insurer's allocation of the various components calculations of its Own Capital (Margin) Needs should be consistent with the components of MCT / MICAT "Minimum capital (margin) required" with explanations and details provided. |
Lines 06 – 17:
Other ORSA Risks
(write in) | Describe and include amounts for other risks not explicitly specified in the MCT / MICAT guideline (e.g. concentration risk) but assessed as part of the ORSA. (These should therefore not be included in any lines under Column 02 vis-à-vis Regulatory Capital (Margin)). |
Line 18:
ORSA Adjustments – Other | Include amounts for elements that relate to an adjustment to a number of own risks or to a specific own risk not identified /included on a particular line (e.g. model risk, data quality/quantity or for management tolerances, if not quantified elsewhere). |
Line 19:
Adjustments – Aggregation /
Diversification | Include amounts for between-risk diversification benefits (i.e. within-risk diversification should be reflected on that individual risk line), net of any dependencies creating, in aggregate, capital (margin) needs that are greater than the sum of the individual risk assessments. |
Line 20:
ORSA Adjustments - Extremely Severe Scenarios | May be necessary when sophisticated scenario testing tools uncover dependencies between risks that had not been measured by individual risk assessment, or when it is determined that some plausible but extremely severe scenarios, in aggregate, amount to capital (margin) needs greater than the sum of the individual risk assessments. |
Line 21:
ORSA Own Capital (Margin) Needs | This line is calculated by an embedded formula and reflects the insurer's assessment of "Own Capital (Margin) Needs" for all risks. |
Line 22:
ORSA Adjustments – Other | Once an insurer has determined "Own Capital (Margin) Needs" (i.e.: line 21 above), other adjustments may be required to account for external or third party margin expectations, notably OSFI expectations including that the "Internal Target" (line 24) should not be less than the MCT / MICAT Supervisory "Target capital (margin) required". Adjustments applied in line 22 must be positive. |
Line 23:
ORSA Adjustments – Varying Nature & Severity Scenarios | In addition to the "Adjustments – Other" (i.e. line 22 above), an insurer may include additional adjustments based on scenarios of varying nature and severity to assess the adequacy of the margin between the amount of its "Own Capital (Margin) Needs" and external expectations (e.g. OSFI's Supervisory Target). Adjustments applied in line 23 must be positive. |
Line 24:
Internal Target | This line is calculated by an embedded formula. This should be the same as the Internal Target identified in the insurer's Capital Management Policy and disclosed to OSFI. This amount should not be less than OSFI's Supervisory Target. As outlined in
Guideline A-4: Regulatory Capital and Internal Targets, the Internal Target should be determined through the ORSA process. |