Cash Management Group Solvency II and Money Market Funds

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1 Cash Management Group Solvency II and Money Market Funds The opinions expressed are as of June 2012 and may change as subsequent conditions vary. Managing cash and short term investments is an essential component of the portfolio asset allocation strategy for many insurance companies. Under Solvency II, the new regulatory framework for the European insurance industry, levels of money market or cash investments held by insurance firms may increase due to the likelihood that longer-term assets considered to carry greater risk may attract higher capital charges. As a result we believe it may be less expensive in capital terms for insurance firms to carry relatively higher levels of cash. Today insurance companies are often familiar with triple-a rated money market funds (MMFs) and many firms use them to manage their short-term cash exposures; as a result insurers will need to understand and consider the implications of Solvency II for their MMF holdings. Whilst regulatory regimes within the financial services industry often allow cash investments to attract zero capital charges, Solvency II will require new levels of differentiation and capital weighting between cash instruments. This new framework is intended to apply a more granular approach to the various market risks associated with cash investments and measure these exposures within an industry-recognized capital framework. At the time of writing, final clarification around the treatment of certain instruments, including cash, remains outstanding. Despite this uncertainty, this note aims to reflect our current understanding of the Solvency II requirements as they apply to MMFs and provide a number of observations that we believe may be helpful to cash investors in the insurance industry. BlackRock and Solvency II As a leading provider of asset management, risk management and advisory services to institutional, intermediary and individual clients worldwide, BlackRock is focused on assisting its clients in understanding regulatory change wherever it impacts the financial markets. With respect to Solvency II, we believe BlackRock is uniquely positioned to help insurance firms in understanding both its wider impact and targeting the expected treatment of specific asset classes. Through the expertise provided to investors via the BlackRock Cash Management and BlackRock Financial Institutions Groups, combined with the analytics, systems and technology provided by the BlackRock Solutions business we stand ready to support the insurance industry as it adapts to changing regulation. In this paper we combine the insight and capabilities of these businesses through both outlining our interpretation of how BlackRock s MMFs would be treated under Solvency II and additionally highlighting our systems ability to support the calculation and reporting of key measures. BlackRock Solutions Green Package analytics platform already facilitates the full analysis of investments across asset classes and the calculation of specific market risk exposures based on our interpretations of the technical specifications of QIS5 1, a component of the new regulations. BlackRock recognizes that the draft Level 2 text within the Solvency II framework provides the most up-to-date definitions at this time, but is potentially subject to amendment. As a result content within this paper may be updated when the Level 2 text is finalized. Examples in this note are provided to demonstrate the reporting and calculation of MMF holdings through Green Package based on the current QIS5 1 configuration. In the meantime BlackRock would be pleased to work with any insurers who may be completing analyses or preparing submissions based on the current draft text. 1 At the request of the European Commission, CEIOPS the Committee of European Insurance and Occupation Pensions Supervisors (replaced by EIOPA the European Insurance and Occupational Pensions Authority as of January 1, 2011) surveyed various European insurers between August and November 2010 in order to solicit quantitative input for the establishment of the Solvency II Framework Directive. This survey was called the fifth Quantitative Impact Study, or QIS5, and is the foundation for the calculations in Pillar 1. QIS5 provides detailed specifications for the valuation of assets and liabilities on an insurer s balance sheet as well as the methodology for calculating capital requirements.

2 Overview Solvency II is a risk-based framework denoting a collection of regulatory requirements for insurance firms domiciled in Europe, and including the European operations of overseas insurers. A key premise of the Solvency II framework is that a full understanding of the risks inherent in an insurer s businesses (both assets and liabilities) is critical and an insurer should allocate enough capital to cover these risks. Although this is by no means a new concept, Solvency II looks to provide to regulators a more extensive and detailed picture of the financial situation of insurance companies and provide for appropriate levels of capital allocation relative to the risks inherent within their business models. In summary, Solvency II aims to provide the European insurance market with a comprehensive and consistent method to measure the solvency margin of an insurance company where the solvency margin is defined as the amount of regulatory capital required to protect against unanticipated events. How does Solvency II apply to MMFs? Under Solvency II, the Solvency Capital Ratio (SCR) is a key indicator that ensures that insurance companies are able to continue their operations and make good on their obligations even in the event that they experience significant losses. In calculating the SCR a number of risk modules are considered including the Market Risk module which happens to be of most relevance to MMFs. Within the Market Risk module a number of factors are considered and insurers must provide reporting for their cash holdings for the risk areas listed below as part of their SCR calculation: a) Interest Rates sensitivity of assets and liabilities to changes in the term structure of interest rates or interest rate volatility. BlackRock s MMF portfolios typically hold short-dated fixed income instruments which tend to have relatively lower sensitivity to changes in interest rates than longer-dated securities. As a result the impact to the SCR calculation for this market risk factor is expected to be low. Screenshot is for illustrative purposes only.

3 An example of interest rate SCR for the BlackRock ICS Institutional Sterling Liquidity Fund (calculated by BlackRock Solutions on Green Package) can be seen below: Analysis: The Interest Rate SCR column highlighted reflects the impact to the levels of capital held against individual portfolio securities should interest rates move up or down. b) Credit Spreads sensitivity to changes in the level or volatility of credit spreads over the risk free interest rate term structure. Instruments included within a MMF portfolio are generally considered to carry lower credit risk than other instruments. Typically they include money market instruments such as certificates of deposit, time deposits, sovereign debt, commercial paper and repurchase agreements. Instruments held within BlackRock s MMF portfolios are generally of high credit quality and short term in duration 2 and these features are typically expected to result in relatively low levels of price volatility. As a result the impact to the SCR calculation for this market risk factor is expected to be minimal. c) Currency Rates sensitivity to the level or volatility of currency exchange rates. Solvency II regulations denote that the local currency defined as the currency in which the entity prepares its financial statements will attract a zero capital charge. All other reported currencies are referred to as foreign currencies. Foreign currency investments into MMFs will have a higher capital charge than local currency. Our understanding is that these investments will still benefit from the diversification provided by a MMF when compared with other cash alternatives. BlackRock MMFs typically do not take foreign currency exposure and only invest in securities issued in the base currency of the fund. d) Issuer Concentration assesses balance sheet exposure to individual issuers. Debt that is issued or guaranteed by a European Economic Area (EEA) national government in an EEA currency or by an approved multilateral development bank or international organization does not receive a capital charge. BlackRock s MMFs are well diversified and adhere to strict regulatory restrictions surrounding issuers, we therefore expect that there will be a relatively lower capital charge for this risk factor within our funds. An example of concentration risk SCR for the BlackRock ICS Institutional Euro Liquidity Fund (calculated by BlackRock Solutions Green Package analytics platform) can be seen below; Screenshot is for illustrative purposes only. 2 Spread duration, or weighted average life is an actively managed component within MMFs.

4 Analysis: The highlighted box above highlights key data-points in measuring concentration risk including; % Market NAV the percentage of a portfolio held in an individual security Concentration threshold the maximum permitted level within a portfolio held in an individual security Concentration risk factor the ratio weighting resulting from the concentration level of an individual portfolio security Other relevant risks considered under Solvency II; e) Counterparty Risk features alongside the market risk factors and focuses on the likelihood of a counterparty default. BlackRock s MMF portfolios have high levels of diversification across counterparties regarded to be of high credit quality including both non-government and government entities. We think this should result in reduced levels of capital charge relative to portfolios comprised of longer-dated and higher risk instruments. In fact we believe there may well be an improvement in the SCR due to this diversification. There are additional risk factors stated within the QIS5 specifications which are not relevant to MMFs and relate to equity markets, real estate and illiquidity premium risk. In addition to Pillar I requirements for Solvency II, insurers will need to consider the Pillar III reporting guidelines with regards to their MMF holdings. In particular the Complementary Identification Code (CIC) is a Solvency II 4-character alphanumeric security identification code. 3 The CIC code is part of Pillar III Quantitative Reporting Templates (QRT) and is intended to classify investment securities characteristics and risk exposures. The Quantitative Reporting Templates aim to harmonize the Solvency II process and provide disclosure and transparency into insurers Solvency Capital Requirements calculated in Pillar I. The CIC codes will need to be part of the security holdings input data feeding into insurers SCR calculation engine and will be relevant to the underlying holdings of MMF portfolios. How is the SCR for MMFs reported? Given the requirement within the SCR to look at the market risk factors of an insurer s cash portfolio, it is prudent to assume that MMFs will require modelling on a fully transparent look through basis. With reference to QIS5 there are three methodology options for determining market risk under Solvency II: Security level look-through applies the market risk factors mentioned previously to every security in the relevant MMF portfolio Portfolio level look-through looks at the MMF prospectus in order to determine the SCR calculation No look-through the investment has the potential to be classified as other equities and would therefore be subject to a 49% capital charge We believe that the most accurate representation of market risk and the least capital intensive option will be via a full security level look-through. As such, we feel that following this methodology would result in a lower capital charge being applied to a MMF allocation. For example: Blackrock s MMFs often invest in overnight repurchase agreements that are 102% collateralized with highly rated government bonds. Our interpretation is that these holdings would not be subject to counterparty risk given the collateral comprises government bonds and therefore should be viewed favourably under any market factor risk assessment. How can BlackRock s Cash Management Group assist? In order to support our insurance client base in relation to the security level look through, we are taking steps to expedite the production of our schedule of investment (SOI) reports to satisfy the reporting requirements connected with Pillar III. 4 In addition, we are exploring the development of online capabilities for a full security level look through via a bespoke platform solution. Through these steps and our on-going client dialogue our objective is to ensure that we are as prepared as we can be to assist our customers when Solvency II is implemented. Additionally, through the BlackRock Solutions Green Package analytics platform we are working to assist the insurance market through helping to facilitate the calculation of specific market risk exposures for SCR. 3, 4 It was introduced in EIOPA s draft pre-consultation proposal for Level 3 guidelines on Public Disclosure, Regular Supervisory Reporting and Predefined Events, which was circulated in January 2011.

5 Green Package will support a full range of risk assessments based on QIS5 including interest rate, credit spread, currency, equity market, and issuer concentration risk stress testing components. BlackRock remains committed to adapting our MMF range to support our insurance investor base in this continually evolving regulatory environment. BlackRock Financial Institutions Group (FIG) The BlackRock FIG team have produced a range of materials supporting Solvency II including assessments of the treatment of other non-cash asset classes under the regime. In particular, Balancing Risk, Return and Capital Requirements: The effect of Solvency II on Asset Allocation and Investment Strategy (published by BlackRock - February 2012) has been created by the FIG business in conjunction with the Economist Intelligence Unit to help investors and others in the insurance industry in their preparations. For more information from the FIG group or to share your views, please contact us through your Cash Management relationship manager or by to: Conclusion BlackRock is uniquely positioned to assist cash investors in the insurance industry through its cash management expertise, insurance specialization and analytics platforms While regulators are still finalizing a number of questions related to Solvency II, adopting a wait and see approach is not an option BlackRock remains ready to engage with investors to assist them in their preparations With respect to cash investments we believe the following are key: Portfolio level look-through will result in a lower capital charge than zero portfolio look-through Full look through on MMF portfolios may reduce levels of capital charge relative to single counter-party direct cash deposits or other cash equivalents Concentration risk is to be viewed across assets and liabilities in unison Foreign currency investments into MMFs will have a higher capital charge than local currency BlackRock remains ready to support its insurance industry clients throughout the transition to the new Solvency II regime. We look forward to working with investors to develop effective solutions serving their needs. About BlackRock BlackRock is a premier provider of asset management, risk management, and advisory services to institutional, intermediary, and individual clients worldwide. As of June 30, 2012, the firm manages USD 3.56 trillion across asset classes in separate accounts, mutual funds, other pooled investment vehicles, and the industry-leading ishares exchange-traded funds. BlackRock Cash Management Group BlackRock is an expert in liquidity management, managing an estimated USD239 billion 5 in short term cash assets for our global client base and considers cash management a unique investment discipline requiring a distinct skill set for effective management. While our investment strategy is conservative in nature, we strive to deliver competitive returns over time. We understand the importance of putting safety and liquidity first not as a marketing message, but as the code of our investment philosophy. BlackRock Solutions Through BlackRock Solutions, the firm offers risk management and advisory services that combine capital markets expertise with proprietarily-developed analytics, systems, and technology. BlackRock Solutions currently provides risk management and enterprise investment services for USD 12 trillions in assets. BlackRock serves clients in North and South America, Europe, Asia, Australia, Africa, and the Middle East. Headquartered in New York, the firm maintains offices in 27 countries around the world. BlackRock Financial Institutions Group BlackRock has unrivalled insights into the management of insurance company assets. Its Financial Institutions Group managed USD202 billion in unaffiliated general account assets for 125 insurers in 22 countries as of June 30, In addition to these asset management relationships, BlackRock also provides risk management services to 75 insurers through BlackRock Solutions. Reporting requirements under Solvency II will increase with an specific focus on transparency 5 As of June 30, 2012.

6 This material is for distribution only to those types of recipients as provided below and should not be relied upon by any other persons. This material is provided for informational purposes only and does not constitute a solicitation in any jurisdiction in which such solicitation is unlawful or to any person to whom it is unlawful. Moreover, it neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to it by making an offer to enter into an investment agreement. One should consider the investment objectives, risks, charges and expenses of a money market fund carefully before investing. A fund s prospectus contains this and other information and is available, along with information on all BlackRock Funds, by accessing the website at The prospectus should be read carefully before investing. Although a money market fund seeks to preserve the value of one s investment at $1.00 per share, it is possible to lose money by investing in a money market fund. Investment in a money market fund is not similar to making a bank deposit. This investment is not insured or guaranteed by the Federal Deposit Insurance Corporation or by any bank or governmental agency. This material may contain forward-looking information that is not purely historical in nature. Such information may include, among other things, projections, forecasts, estimates of yields or returns, and proposed or expected portfolio composition. Moreover, where certain historical information of any investment vehicles managed by BlackRock, Inc. and/or its subsidiaries (together, BlackRock ) has been included in this material such performance information is presented by way of example only. Any changes to assumptions that may have been made in preparing this material could have a material impact on the market outlook that is presented herein by way of example. This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are as of June 2012 and may change as subsequent conditions vary. The information and opinions contained in this material are derived from proprietary and non-proprietary sources deemed by BlackRock to be reliable, are not necessarily all-inclusive and are not guaranteed as to accuracy. There is no guarantee that any forecasts made will come to pass. Reliance upon information in this material is at the sole discretion of the reader. This document contains general information only and is not intended to represent general or specific investment advice. The information does not take into account your financial circumstances. An assessment should be made as to whether the information is appropriate for you having regard to your objectives, financial situation and needs. FOR MORE INFORMATION: BlackRock, Inc. All Rights reserved. BLACKROCK, BLACKROCK SOLUTIONS, ALADDIN, ishares, LIFEPATH, SO WHAT DO I DO WITH MY MONEY, INVESTING FOR A NEW WORLD, and BUILT FOR THESE TIMES are registered and unregistered trademarks of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners. Prepared by BlackRock Investments, LLC, member FINRA. THIS MATERIAL IS HIGHLY CONFIDENTIAL AND IS NOT TO BE REPRODUCED OR DISTRIBUTED TO PERSONS OTHER THAN THE RECIPIENT. CM

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