Own Risk and Solvency Assessment (ORSA) - NAIC Model Act
Section 3 Capital and Solvency

Own Risk and Solvency Assessment (ORSA) - NAIC Model Act GM-3A: Guidance Manual Section 3.A: Group assessment of risk capital

What does GM-3A require?

Compare aggregate available capital with the risks that could hurt the enterprise, through sound capital adequacy processes built into management and decision-making, possibly across several metrics, horizons, valuation bases and capital frameworks (economic, rating agency, regulatory). Show risk capital against the prior year with the changes explained, and describe the approach: how solvency is defined, the accounting or valuation basis, business included, time horizon, risks modelled, quantification method, risk capital metric (VaR, TVaR, probability of ruin), defined security standard, and aggregation and diversification. Consider removing intra-group transactions and capital counted twice (double gearing), holding company leverage, diversification credits and fungibility limits, and contagion, concentration and complexity risk. The result is the capital the group needs to meet its business objectives, not a regulatory action trigger. Also monitor liquidity risk, test resilience to severe but plausible liquidity stress against any liquidity appetite or limits, and describe liquidity policies and contingency funding.

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