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Solvency II Reporting & Disclosure. Summary 1.General Framework 2.Narrative Reporting & Disclosure 3.Quantitative Reporting Templates 4.Frequency & Deadlines.

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Presentation on theme: "Solvency II Reporting & Disclosure. Summary 1.General Framework 2.Narrative Reporting & Disclosure 3.Quantitative Reporting Templates 4.Frequency & Deadlines."— Presentation transcript:

1 Solvency II Reporting & Disclosure

2 Summary 1.General Framework 2.Narrative Reporting & Disclosure 3.Quantitative Reporting Templates 4.Frequency & Deadlines 5.Reporting & Disclosure Policies 6.Open issues

3 General Framework

4 Summary 1.General Framework 2.Narrative Reporting & Disclosure 3.Quantitative Reporting Templates 4.Frequency & Deadlines 5.Reporting & Disclosure Policies 6.Open issues

5 Narrative SFCR & RSR => similar structure, with 5 parts, to enable comparability between SFCR and RSR 

6 Contents of SFCR and RSR A) Business, External Environment and performance B) System of Governance C) Risk profile 1.Business and external environment 2.Underwriting Performance 3.Investment Performance 4.Performance from other activities 1.Governance Arrangements 2.Fit and Proper 3.Risk Management & ORSA 4.Internal Control 5.Internal Audit 6.Actuarial 7.Outsourcing 8.Any other disclosures Following risks 1.Underwriting Risk 2.Market 3.Credit 4.Liquidity 5.Operational 6.Other material Risk Exposures 7.Any other disclosures

7 Contents of SFCR and RSR D) Valuation for Solvency PurposesE) Capital Management 1.Assets 2.Technical Provisions 3.Other Liabilities 4.Other Disclosures 1.Own Funds - Structure, Amount & Quality 2.MCR and SCR 3.Use of duration based equity risk sub-module 4.SCR differences if standard formula or internal model used 5.Non-compliance with SCR/MCR 6.Other Disclosures

8 Narrative Reporting & Disclosure Specific information requirements for undertakings / groups using internal models Groups – option to prepare a single group-wide SFCR (with agreement of supervisor). Must prepare group RSR and solo RSR Narrative SFCR & RSR => additional group-specific information: – Group SFCR : legal & organisational group structure intra-group outsourcing arrangements description of restrictions to fungibility & transferability of own funds – Group RSR : contribution of each subsidiary to the group strategy

9 Summary 1.General Framework 2.Narrative Reporting & Disclosure 3.Quantitative Reporting Templates 4.Frequency & Deadlines 5.Reporting & Disclosure Policies 6.Open issues

10 CP 58 (mid-2009) – preliminary draft of QRTs included Informal consultation carried out from April to September 2010 “Pre-consultation” phase – from January to March EIOPA currently considering responses Public consultation phase – Autumn 2011? QRTs – current status

11 Quantitative Reporting Templates Number – 46 templates for solo entities – Most solo templates are also applicable to groups – 15 group specific templates. Submission of templates : – Annual for all templates and all undertakings – Quarterly for “core” solo templates, with simplified presentation & possible exemption in certain cases – Quarterly or half-yearly for “core” group templates ? Public disclosure of templates : – Public disclosure of some annual templates, within the SFCR – Possibility of simplified presentation

12 Quantitative Reporting Templates - Solo Balance sheet Assets (incl. detailed list) Technical provisions (Life & Non- Life) Reinsurance Capital requirements (SCR / MCR) & Own funds Variation analysis Harmonised elements + National specificities Specific regulations or activities Received in a harmonised format, capable of being shared automatically with EIOPA and/or other supervisory authorities Received in locally-defined format and not automatically shared

13 Balance Sheet – based on Solvency II valuation rules Off-balance sheet items – representing risks not captured by the balance sheet Assets and liabilities by currency – to assess potential currency mismatches Balance Sheet (3 forms)

14 Detailed list of investments Structured products Derivatives Return on investments Investment funds (look through) Securities lending and repos Assets held as collateral Assets (7 forms)

15 Separate templates for life (7) and non-life (8) business Give an overview of TP by line of business (LoB) for both life and non-life – split by best estimate and risk margin (with additional segmentation) Also include information, amongst others, on: development triangles for non-life (and premium and expense information) movement in non-life claims provisions projection of future cash flows for life and non-life Variable annuities – guarantees by product and hedging of guarantees large risks underwritten for both life and non-life Technical Provisions (15 forms)

16 Templates cover: the reinsurance programme; and the exposure to reinsurers. Specific template for SPVs Reinsurance (4 forms)

17 Templates provide the main outputs of the SCR and MCR calculations For undertakings using the standard formula, outputs are further detailed by module (market risk, counterparty risk etc.). Freedom of format for SCR reporting by risk categories for undertakings using an internal model (to be determined with supervisor). Capital requirements (12 forms)

18 Templates give a detailed view of own funds by instrument and tier Additional elements for certain specific instruments such as ancillary own funds or subordinated liabilities Own Funds (2 forms)

19 Variation Analysis template analyse changes in own funds from one reporting period to another (since no Income Statement in Solvency II templates) Miscellaneous forms cover: Activity by country under Freedom to Provide Services / Branch : information requested under art. 159 of L1 Premiums, claims & expenses Variation Analysis & miscellaneous (3 forms)

20 Aim is to cover group specific issues that cannot be directly covered by the solo templates Different categories of group templates, including: o Description of scope of group for supervisory purposes o Group specific issues – group own funds etc. o Reporting of intergroup transactions and risk concentrations Group specific templates (15 forms)

21 QRTs are very detailed but…… Reporting burden is often due not to reporting itself, but to new requirements of Solvency II, e.g.: – New segmentation by LoB – Cash flow approach for BE – Economic valuation of BS items Less information in templates means : – More ad hoc requests – More national specificities

22 Summary 1.General Framework 2.Narrative Reporting & Disclosure 3.Quantitative Reporting Templates 4.Frequency & Deadlines 5.Reporting & Disclosure Policy 6.Open issues

23 Process of Reporting – Frequency & Deadlines SFCRRSRQuantitative Forms FrequencyAnnual1) “Full” report at least every 3 years or when required by Supervisors 2) Material Updates Annually Quarterly and Annual Submission Date - Solo* 14** weeks after year end Quarterly 5** weeks after end. Annual 14** weeks after year end * Group templates – as per the solo reporting period extended by 6 weeks ** Until 2015 there is a limited extension for both annual and quarterly submissions

24 Process of Reporting – Frequency & Deadlines SFCRRSRQuantitative Forms FormatCommon Template as developed by EIOPA Sign off -internal – administrative or management body Yes Sign off – external auditing or verification No To be determined

25 Reporting required on other occasions? “Day 1 reporting” – S2 balance sheet and SCR at 1 January 2013 is proposed – submission date? Predefined events – Report any information necessary for the purpose of supervision after the occurrence of any event that could effect protection of policyholders – Include any event that can lead to material changes to an undertaking’s risk profile – May require supervisory authorities to reassess the frequency and intensity of supervisory actions. Supervisory Enquiries – Supervisors may request any information required to assess the situation of an undertaking

26 Summary 1.General Framework 2.Narrative Reporting & Disclosure 3.Quantitative Reporting Templates 4.Frequency & Deadlines 5.Reporting & Disclosure Policy 6.Open issues

27 Reporting & Disclosure Policy Obligation for undertakings to have written Reporting & Disclosure policies, approved by administrative, management or supervisory body (AMSB) Possibility for undertakings not to disclose confidential information in SFCR, upon permission of supervisor Possibility for undertakings to disclose additional information Approval of SFCR by AMSB (L1) and of RSR (L3)

28 Summary 1.General Framework 2.Narrative Reporting & Disclosure 3.Quantitative Reporting Templates 4.Frequency & Deadlines 5.Reporting & Disclosure Policy 6.Open issues

29 Open issues Outcome of ORSA reported separately from RSR? External audit of templates? National specificities? Use of proxies for quarterly templates? Simplified format for public disclosure?

30 Conclusion Reporting and Disclosure provisions of Solvency II represent a significant change to the existing framework Concerns all supervisors and companies across Europe Requires significant preparation and adaptation


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