1. Background information

1.1 ICS and ComFrame

The Insurance Capital Standard (ICS) is a consolidated group-wide capital standard. It is a measure of capital adequacy for Internationally Active Insurance Groups (IAIGs) and constitutes the quantitative component of the Common Framework for the Supervision of IAIGs (ComFrame), which consists of both quantitative and qualitative supervisory requirements tailored to the complexity and international scope of IAIGs.

The objective of this document is to provide insight into the calibration of the individual risk charges of the ICS. It aligns with the public commitment made by the IAIS to prepare and release a calibration document for ICS risk charges, reflecting the IAIS’s dedication to transparency and disclosure. $^{1)}$

This document aims at presenting information in a manner that is both clear and impactful. In particular, the evolution of calibration over time (during Field Testing and then confidential reporting of the ICS) is described succinctly only if essential for the understanding of current calibrations. Also, when not explicitly mentioned in the text, all stress factors used for the calculation of ICS risk charges are listed in Annex, so this document can be read on a standalone basis.

The present calibration document provides explanations on the calculation of the different ICS risk charges and their aggregation. Detailed information is made available for all risk modules within Insurance risks, Market risks, Credit risk and Operational risk, as well as for correlation matrices used for aggregating risk charges.
Because non-insurance risk charges essentially rely on sectoral requirements for which calibration was not performed by the IAIS, those risk charges have been excluded from the scope of this document.
The ICS treatment of tax has also been excluded from this document, as this item does not constitute a risk charge that relies on a calibration process.