IAIS Opens 2026 ICS Baseline Self-Assessment Across 18 Jurisdictions

The International Association of Insurance Supervisors has opened the first baseline self-assessment of how its members are implementing the Insurance Capital Standard, covering 59 Internationally Active Insurance Groups across 18 jurisdictions.

For US groups the exercise is narrower than it sounds. It is the moment the NAIC's Aggregation Method has to demonstrate comparable outcomes against live IAIG balance sheets rather than against the simulated portfolios the monitoring period used.

Key Takeaways

59 IAIGs across 18 jurisdictions respond to a structured questionnaire through the second half of 2026, covering legal basis, scope of group supervision, valuation methodology, supervisory review and transitional arrangements.
99.5 percent value-at-risk over one year is the ICS calibration, on a largely market-consistent group balance sheet. The Aggregation Method starts from US state-level RBC aggregated across the group, which is a different architecture rather than a different calibration.
Three divergences carry the comparability question: structured credit look-through, affiliated reinsurance consolidation, and the illiquidity premium in the discount rate.
The AM's own calibration is mid-revision. NAIC RBC factor updates on collateral loans, CLO tranches and investment subsidiaries are closing the gap from the US side while the self-assessment examines the current numbers.
2027 is the decision year, with targeted jurisdictional assessments and the AM comparability finalization landing together.

What the Self-Assessment Asks

The IAIS adopted the ICS as a group-level prescribed capital requirement in December 2024, closing a development process that ran through a five-year monitoring period. It is a market-consistent measure calibrated to a 99.5 percent value-at-risk over a one-year horizon on a group balance sheet. The Aggregation Method was developed alongside it as an alternative to be assessed as producing comparable outcomes, built on the existing US state-level Risk-Based Capital framework aggregated across the group.

IAIG status turns on a two-part test: total assets above USD 50 billion or gross written premium above USD 10 billion, combined with material activity across at least three jurisdictions. Fifty-nine groups meet it.

The jurisdictional distribution is why the exercise is asymmetric. European Economic Area and UK groups report under Solvency II and its post-Brexit successor, Switzerland under the Swiss Solvency Test, Bermuda under the Economic Balance Sheet framework. All four are market-consistent architectures broadly aligned with the ICS. Japan's Economic Solvency Ratio framework is converging toward one. The US is the outlier by construction, not by calibration choice.

Member jurisdictions respond on a prescribed timeline running through the second half of 2026, and the IAIS Secretariat aggregates the responses into a baseline report. The 2027 targeted assessments drill into that baseline with smaller supervisory teams, site visits and detailed review of selected IAIG group files. The AM comparability determination runs on a parallel track to the same year.

Where the Two Measures Diverge

Headline AM and ICS reference figures can look similar for the same US group. The divergence lives inside the composition, and it concentrates in three places.

Structured credit is the first. The ICS charges through to the underlying collateral; the AM applies bucket factors to the NAIC designation sourced through the Securities Valuation Office or an NRSRO rating. On a CLO equity tranche, a rated note feeder or a bespoke asset-backed finance position, the two produce materially different charges, and the AM tends to run lower on privately rated structures carrying investment-grade designations. A group with meaningful private structured credit inside its US life and annuity subsidiaries can show an AM ratio comfortably above thresholds while the ICS reference view is tight.

Affiliated reinsurance is the second and the sharper one. The ICS consolidates intra-group cessions with capital relief limited to diversification the consolidated group genuinely holds, eliminating the intra-group recoverable and re-deriving the requirement. The AM aggregates solo RBC after cession, so a US cedent that has moved material blocks to an affiliated Bermuda or Cayman reinsurer carries that capital benefit into the group figure. This is where the monitoring-period comparisons produced the widest gaps on specific groups, and it is the same structure the IAIS FundedRe and complex assets workstream is pursuing from the other direction.

The illiquidity premium is the third. The ICS ties the premium applied to long-duration liability discount rates to the liquidity profile of the backing assets and the predictability of liability cash flows. The AM inherits US statutory mechanics, where cash flow testing and principle-based reserving produce a different path. End-result figures can converge while the stress sensitivity does not.

A group with a Bermuda reinsurance subsidiary runs both conventions inside itself. The BMA's Economic Balance Sheet is substantively market-consistent at legal-entity level and typically sits closer to the ICS reference view than the US aggregated RBC view does, as the BMA's strategic positioning on private credit reflects. The comparability argument therefore has to explain how components on different valuation conventions produce a comparable group outcome.

The Ground Is Moving Under the Measure Being Assessed

The self-assessment examines the AM as currently calibrated, and the AM as currently calibrated is being rewritten.

The NAIC's Risk-Based Capital Investment Risk and Evaluation Working Group is updating factors for collateral loans, CLO equity and mezzanine tranches, and investment subsidiaries. Every one of those tightens the C-1 charge on precisely the asset classes where the AM diverges most from the ICS look-through. The direction of travel is closing the gap from the US side without abandoning the NAIC designation architecture, and the same look-through logic runs through the C-2 longevity risk framework on the liability side.

That creates a timing problem rather than a substantive one. The 2026 Group Capital Calculation filings incorporate the most recent factor updates; the self-assessment asks whether those updates are sufficient; and the 2027 comparability determination lands before the full sequence of RBC revisions has run. A determination made against a moving calibration is a determination that either credits work not yet finished or penalizes a framework for a gap being actively closed.

The political economy does not leave room to defer it. European supervisors sceptical of a US-specific alternative during the ICS development period have become more vocal through 2025 and 2026, partly because the European market has absorbed material cross-border cessions to US and Bermuda affiliates and wants consistent capital treatment of the resulting structures. EIOPA commentary and the IAIS Reference Group can now examine actual inputs rather than stylized sensitivity tests. The Aggregation Method Implementation Working Group's agenda at the Spring National Meeting, summarised in the NAIC international relations update, carries calibration refinements, US IAIG data-submission templates and Reference Group engagement protocols, all active and none finished.

The consequence for an appointed actuary at a US IAIG is that the reconciliation between the AM figure and the ICS reference figure stops being an internal model validation artifact. It becomes the document that explains a divergence to peer supervisors who have their own view of what the underlying collateral and the intra-group cession are worth. Groups that carry both lenses reconciled line by line will explain their positions in 2027. Groups that carry one will be reconstructing the other under supervisory questioning.

IAIS Opens 2026 ICS Baseline Self-Assessment Across 18 Jurisdictions

Key Takeaways

What the Self-Assessment Asks

Where the Two Measures Diverge

The Ground Is Moving Under the Measure Being Assessed

Further Reading

Sources