1. Moore Stephens Insight Solvency II Pillar 3 challenges
April 2016

2. Pillar III Reporting and Validations 1

3. Pillar 3 – Disclosure & Regulatory reporting
Pillar 3 high level recap of the principles
Pillar 3 – Disclosure & Regulatory reporting
Aims to ensure consistent supervisory reporting and disclosure across the EU
Detailed harmonised reporting requirements still to be finalised
Insurers should be prepared to disclose more information publicly than at present
Will require two different but complementary reports:
Solvency and Financial Condition Report (SFCR)
Regular Supervisory Report (RSR)
Supported by Quantitative Reporting Templates (QRT) s 2

4. Pillar 3 – Reporting overview
Private
Public
Contents
Report to Supervisor (RSR)
Solvency & Financial Condition Report (SFCR)
Target audience different
Documents to be stand alone
RSR has additional level of granularity over the SFCR
NB – Quarterly reporting for all
Reporting speeded up
Qualitative Annual
Executive Summary
Business and Performance
System of governance
Risk Management
Capital Management
Additional disclosures on Internal Model
Annex - QRT
Quantitative Annual (QRT)
Annual SFCR Annex – some of the QRTs
Summary data
Own funds, MCR & SCR
Balance sheet and P&L account
Asset data
Revenue analysis
Life liability analysis
Non-life liability analysis
Risk analysis
Quarterly
© 2016 Moore Stephens LLP 3

5. Solvency I Submissions Solvency II Submissions
Pillar 3 – PRA Reporting submissions timeline*
2015
2016
2017
Solvency I Submissions
March 2016
Final Solvency I submission
Solvency II Submissions
Preparatory phase returns
Cat 1-3 firms only
Day 1 returns
All Directive firms and groups
On-going SII returns
Solos
1 Jul 2015
Annual
25 Nov
2015
Qrtly
20 May 2016
One off
26 May 2016 Q1
25 Aug 2016 Q2
25 Nov 2016 Q3
25 Feb 2017 Q4
19 May 2017
Annual + NST
Groups
15 Jul 2015
Annual
6 Jan 2016
Qrtly
20 May 2016
One off
7 Jul 2016 Q1
6 Oct 2016 Q2
6 Jan Q3
7 Apr 2017 Q4
30 Jun 2017
Annual + NST
* For YE 3st December firms
© 2016 Moore Stephens LLP 4

6. The Reporting Challenges 5

7. Interconnectedness of Submission
Pillar 3 Challenges 01
Scale of Submission 02
Speed of Submission 03
Interconnectedness of Submission

8. 01
Scale of Submissions
Data Sets – Pillar 3 reporting encompasses the following data sets:
Balance Sheet
Asset
Technical Provisions
Expenses
Inwards & Outwards Premium
Claims
Exposure
RI Recoveries
IBNR
Capital
Qualitative Submissions
IT Systems – Pillar 3 returns are likely to extract data from various IT systems:
Insurance Administration/Booking Systems
Outward Reinsurance System
Reserving System
Capital Modelling Software
Cover Holder System/s
General Ledger
Data Warehouse
IT Systems – Pillar 3 submissions include the following number of forms*:
Variant
Solvency Return
Asset Data
Reinsurance Returns
Total
Annual 40 11 8 59
Quarterly 6 - 14
*Maximum number of forms

9. 01
Scale of Submissions
Form S has 9 triangles to complete (gross, net, reinsurance) x (paid, incurred, RBNS)
16 SII COBs x 7 SII Currencies = 112 form variants
9 Triangles x 112 variants = up to 1008 triangles
Producing a full Pillar 3 submission will be a sizeable
undertaking in terms of TIME and RESOURCES
© 2016 Moore Stephens LLP

10. 02
Speed of Submissions
By 2019, annual P3 submissions will be due 8 weeks after YE
Quarterly submissions will required 3 weeks after the end of each quarter
Stress / Scenario test results may be requested by the PRA 2-3 weeks after the end of each quarter (to maintain consistency with some of their regulatory counterparts in Europe)
National Specific Templates (NSTs) will be required in addition to regular submissions annually
Unless reporting process is optimised and automated it will result in a severe drain on resources and pose a real risk of regulatory breach
NOT possible to prepare these submissions within the allotted timeframes using existing methods without investment in INTEGRATION and AUTOMATION
Data
TPs
Premiums
Reinsurance
Collate Data
Store Data
Transform Data
Validate Data
Adjust Data
Sign Off Data
Create XBRL
Process Example:
© 2016 Moore Stephens LLP

11. Interconnectedness of Submissions03
Interconnectedness of Submissions
Form Validation
Submissions require that validation rules are ‘passed’
EIOPA QRT submission is associated with over 500 validation rules / 3600 cross checks
Inter form validation rules will demand appropriate cross team co-ordination
NOT viable to adopt a segregated approach to Pillar 3 reporting process: Interdepartmental coordination and data validation imperative
© 2016 Moore Stephens LLP

12. MS SII Engine vs Competition
Functionality
MS SII Engine
FS Assist
Tagetik
SII Solution
Full Pillar 1 SCR calculation and SII balance sheet
SCR drill down analysis for all risk categories
Solvency II Technical Provision
TP, SII balance and SCR projections over multiple years
Stress and Scenario testing for ORSA
Custom Risk MI and graphs
Functionality to easily add new lines of business and forecasted business plan
Interfaces with SII data warehouse and Interal models (ETL capability)
Manual adjustment possible at every stage but designed for automation of key tasks
Pillar 3 quantitative reporting output (QRT, SFCR and RSR) and XBRL
Full Audit trail and version control
Full functionality and compatible
with existing risk & capital models and data sources
Limited functionality and flexibility (partial solution)
Not available or require additional implementation package a

13. A long term cost-benefit evaluation
Investment in Integrated SII Solution
(MS SII Engine)
Status Quo
(persist with current processes & tools)
Costs:
Software and Implementation
Alignment and integration of current systems to SII Repository (based on proportionality)
Benefits:
Complete automation of P1 calculations and P3 Reports
Significant reduction in production times (Typically 70% reduction in manual data entry)
Substantial savings in cost of deployed resources to meet regulatory submission deadlines
Compliance with SII guidelines
Fully audit-trailed and data mapped
Costs (High Probability – High Severity):
Opportunity costs of deploying unplanned resources (external / inter-departmental) at regular intervals to meet submission deadlines
Substantial drain on resources to co-ordinate inter-departmental data flow
Submission errors and related operational risks arising out of unplanned, ad-hoc resource allocation
Audit trailing, control and reconciliations require significant manual resource co-ordination and strict adherence to procedural set-up
Breach of SII regulations
Regulatory intervention / penalties
Reputational damage
© 2016 Moore Stephens LLP

14. Moore Stephens Solvency II engine Simplifying complex Solvency II Reporting
April 2016

15. Partnership between Moore Stephens and Asseco in regards to SII for the London Market
London Market Actuarial Expertise
Financial DWH Expertise
SII Solution Expertise
9/17/2018

16. Asseco Group – EU Top 10 software company
Established in 1991
employees
+1,5 bln € annual turnover
9/17/2018

17. Selected Asseco clients
RSA
Nordic
DIFI
Bulgaria
9/17/2018 16

18. Asseco – Delivering to the Insurance Sector
- Asseco Group
160+
More than 160 Insurance Clients
1000+
More than Insurance Professionals on board
20+
More than 20 years experience in delivering soutions for insurance sector
Our products supporting all insurance business processes

19. Asseco SII Engine – Tried and tested
- Asseco Group
+60
+60 SII Engine Clients
Denmark is moving ahead of EIOPA
Insurance companies have since 1st January 2014 reported
Annual on SII for 2013 and 2014
Quarterly on SII, 3 times during 2014, 2 times during 2015
Scenario analysis, stress test, reverse stress test
SII Engine is the dominant Solvency II Solution with more than 35 Danish clients. Used by 60% of DK top-10
9/17/2018

20. Key design challenge and our solution
Solvency II Pillar 3
Key design challenge and our solution
9/17/2018

21. SII reporting – Same version of the truth
SII data warehouse
SFCR
QRT
Standard formula Calculation Kernel
Risk management
Management information
Economic capital allocation
Regulatory capital
ORSA
Reward strategy
Business strategy
Risk mitigation
Exposure management
Outward Reinsurance Purchase
Asset / Liability Management
Investment Decisions
Management of Business
Product Development
Underwriting & Pricing
Business Planning
Financial Plans / Statements
9/17/2018

22. Pillar 3 Reporting – Desired Solution
Major solution characteristics:
Produces accurate results
Highly automated & cost effective
Covers end to end reporting process
Highly auditable e.g. version control of business rules/allocations/mappings
Transparent with clear data lineage
Consolidates data from multiple sources
Allows user entered manual adjustments
Gives early site of populated templates
Automated source to target reconciliation
Reload capability
9/17/2018

23. Our proposed solution for SII reporting
Calculates all SCRrequirements using SF technical specifications
TP module
Pillar 2 stress tests
In- built validation
Rules based reporting
All PRA QRT reporting ready
Readily extend to other regulatory reporting
Possible to Interfaces with leading stochastic models
Handles both SF and IM
Built in SII data mart (option)
Flexible ETL
Able to handle multiple data source
Granular or aggregated data
SII data mapping
Data
Integration
Reporting
Capital calculation
Implementation
9/17/2018

24. Quantitative reporting templates - areas
PIII Submissions Dates – YE 31st December
Day 1
Quantitative reporting templates - areas
Due Date
PRA
Template name
Template Code
Basic Information - General S
20/5/2016
Balance Sheet S
Own funds S
SCR S
MCR S
9/17/2018

25. Quantitative reporting templates - areas
PIII Submissions Dates – YE 31st December
Quarterly
Quantitative reporting templates - areas
Due Date
PRA
Template name
Template Code
Basic Information - General S
1st quarterly sub : 26/5/2016
Quarterly thereafter:
25/8/2016
25/11/ /2/2017
Balance Sheet S
Premiums, Claims and Expenses S
Assets
S (List of Assets)
S (Collective Investment undertakings- look-through approach)
S (Open Derivatives)
S (Derivatives Transactions)
Own funds S
Technical Provisions S
MCR S
9/17/2018

26. PIII Submissions Dates – YE 31st December
Annually - 20/5/2017
Template name
Template Code
Basic Information - General S
Technical provisions
S.17.
S.18. (Projection of future cash flows)
Balance Sheet
S.02. (Balance Sheet/ Assets and Liabilities by currency)
S.19. (Non- Life insurance claims)
S.03. (Off-balance sheet items)
S.20. (Development of the distribution of the claims incurred)
S (Activity by country)
S.21. (Loss distribution risk profile/ Non-life underwriting peak risks/ Non-life underwriting mass risks )
Premium claims and expenses
S.05. (Premiums, claims and expenses by line of business/ Premiums, claims and expenses by country)
Reinsurance
S.30. (Facultative covers / Outgoing Reinsurance program)
Own funds/ Variation analysis
S.23. (Own funds/ Detailed information by tiers on own funds / List of items on own funds)
S.31. (Share of Reinsurer)
SCR
S.25. (Solvency Capital Requirement - Only SF)
Excess of Assets over Liabilities
S.29. (Excess of Assets over Liabilities)
S.27. (Non-life catastrophe risk)
IGT
S.36
MCR S
Assets
S.06. (Summary of assets/ List of assets/ Collective investment undertakings - look-through approach)
S.07. (Structured products)
S.08. (Derivatives)
S.09. (Income/ gains and losses in the period)
S.10. (Securities lending and repos)
S.11. (Assets held as collateral)
9/17/2018

27. SII Engine Pillar 1 & Pillar 3
Fully EIOPA and PRA Compliant SF SCR
All Day 1, Quarterly Solo and Quarterly Group
9/17/2018

28. A Rules Engine for multiple regulatory regimes
SII
Data areas
Assets
data
Accounting
Liabilities
External
Other
input data
Data
Sources
Actuarial
tools
Finance
systems
Asset man
Port.
Man.
National
Bank
Rating
agency
Rates FX
1. Data sources
5. Reporting
4. Calculation
3. Preparation
2. Collection
Load/ Unload ETL
DWH
Input adapter
Output adapter
Report
Calc. 1a 3 5b 4 1b 5a 2a 2b
Data repository
EIOPA SII
EIOPA SCR
Partial internal model
Non-SII models
EIOPA QRT
UK NST
Lloyds Returns
UK GAAP
Custom reports
Lloyds SII
SII
Other Regulatory
Own Schemas
9/17/2018

29. EIOPA SII Engine – Audited and Assured
Ready to use standard solution fully compliant with the Solvency II directive
Proven - in production with +60 clients in 10 different countries
35 companies have used it for more than
200 regulatory reportings
120 Pillar II Stress tests
Always EIOPA SII compliant – EIOPA updates guaranteed by Asseco
Pillar III
90% of Pillar III data mapped
Pillar I
ISAE Auditors declaration
Handles both Solo & Group
Group Method 1 & 2
Highly flexible Legal Entitiy setup
Full Pillar I SCR per Legal Entity
Aggregation on multiple levels
Partial portfolio calculations
RFF, Matching adjustments
Solo & Group
9/17/2018

30. Key functionality
Standard solution for advanced but flexible handling of calculations and reporting
Spreadsheet flexibility for Finance, Risk Management & Actuarial Departments
Takes in any spreadsheet model and puts it under control – 5 step process
Flexible handling – formulas, parameters, matrices,
Aggregation
Apportionments/allocations
User entered adjustments – controlled and with audit trail
Full transparency and drill down capabilities with clear data lineage
Covers end to end reporting process
Highly automated
Source to target reconciliation
Extensive controls and Roles & Rights management
Advanced audit trails and traceability
Easy configuration of Company specific reports
Integrates with Moore Stephens Insurance framework and other system infrastructure
9/17/2018

31. Full flexibility in regards to integration/data sourcing
SII
Data areas
Assets
data
Accounting
Liabilities
External
Other
input data
Data
Sources
Actuarial
tools
Finance
systems
Asset man
Port.
Man.
National
Bank
Rating
agency
Rates FX
Data sources
Reporting
Calculation
Collection and preparation
Asseco offers to deliver a SII data mart and to maintain this for you.
Low maintenance and high flexibility re. data source and project planning
Web based interface: manual entries and MS Excel uploads
Point to point integration to:
Actuarial kernels,
Finance systems,
Asset management,
ALM systems,
Automated Excel uploads
E-T-L to/from your data repository:
IBM
Oracle
Microsoft
SAS Institute

32. SII Engine Architecture
1. Data sources
2. Collection and Preparation
3. Calculation
4. Reporting
SII
Data areas
Assets
data
Accounting
Liabilities
External
Other
input data
Data
Sources
Insurance
systems
Finance
Asset man
EDW
National
Bank
Rating
agency
Rates FX
Send to
Regulator
in XBRL
NL BE
Manual Entry is also and option
(Optional module)
Load/ Unload ETL
Output adapter
NL BE & Run offs
Claims prov. Cash flows
Premium prov. Cash flows
Data Mart
Market Risk
Counterparty Risk
Health Risk
Life Risk
Own schemas

33. Flexibility in regards to data sourcing - Example Non-life
Run Off input
SCR Non-Life results input based on calc. outside in actuarial system
Best Estimates via Claims and Premiums history
Per LoB – Claims and Premium

34. SII Engine – Integration experience
1. Data sources
2. Collection
3. Preparation
4. Calculation
5. Reporting
SII
Data areas
Assets
data
Accounting
Liabilities
External
Other
input data
Data
Sources
Actuarial
tools
Finance
systems
Asset man
Port.
Man.
National
Bank
Rating
agency
Rates FX
Asseco SII server
AAE
Always SII compliant
No need to develop and maintain SCR calculation systems.
No need to develop and maintain QRT and FSVS reporting systems.
SII data model is maintained and upgraded
We have experience in regards to integration to system infrastructure with:
Microsoft DWH solutions
SAS Institute solutions
Teradata DWH
MoSes
Igloo
Inhouse developed TP calc. systems
(Schantz Valuation)
(Mo.net)
SimCorp Dimension
Wall street systems
Barrel One
Output adapter
QRTs
SII Engine
data mart
SCR

35. SII Engine – Reconciliation, validations and approvals
1. Data sources
2. Collection
3. Preparation
4. Calculation
5. Reporting
SII
Data areas
Assets
data
Accounting
Liabilities
External
Other
input data
Data
Sources
Actuarial
tools
Finance
systems
Asset man
Port.
Man.
National
Bank
Rating
agency
Rates FX
Source reconciliation
Approval flows
Approval workflows (multiple) can be set up in connection with:
Data input
Data output
EIOPA Cross checks
Generated results
Generated reports
Validations
Customer specific cross checks
Boundary checks
Validation reports – compare and alert (Management by exception)
alerts
Roles & Rights management
Everything is audit trailed
Asseco SII server
AAE
Output adapter
QRTs
SII Engine
data mart
SCR

36. Latest EIOPA QRTs EIOPA QRTs Day 1 reports SFCR and RSR Cross checks35
EIOPA QRTs
Annual
Quarterly
Solo
Group
Day 1 reports
SFCR and RSR
Cross checks
Validations
XBRL
Custom reporting
Lloyds Return
UK NST

37. Client Case RSA Nordic 9/17/2018 SII for +5 European countries
IBM
RSA
Nordic
SAS
SII for +5 European countries
Detailing the SII data governance for the Group
Both Internal model and Standard formula
Solo and Group reporting for UK
Group reporting for all European companies based on consolidated data and applied Group adjustments
SII for 4 Nordic companies
Both Internal model and Standard formula
Reporting in 2 different countries
Solo and Group reporting
Delivering SII data to RSA HQ
9/17/2018

38. Client Case SAS Client Case
Asseco integrates the SII data mart to your data warehouse, which enables you to:
Full insight to required SII data input – SCR and QRTs
Ease the identification of data gaps
Prepare full data in own DW
Reuse existing DW governance
Reuse existing ETL
Utilize existing data quality assurance routines
Use existing SOP’s & system support correcting data
Work on multiple reporting periods simultaneously
Check completeness of input data set
Validate data inputs
Customize your own set of tables and add to SII Engine data mart
Utilize SII data for other purposes (Internal reporting, BI, pricing modules etc. )
SAS
Client Case
SII Engine integrated to DW using data mart
Integrated within 3 months
15-20 Asseco man-days (same for client).
Deployed to SAS Technology DW
Igloo actuarial kernel
99% of data volume is data sourced automatically
9/17/2018

39. A coherent and controlled Solvency II performance
Client Case
One solution
Fast installation (1 week) – complementing existing systems
Integrated
Teradata DWH, SAS Institute Analytics, MoSes, Wall Street systems
Secure Web based solution
Easy & secure access, no matter the location.
EIOPA compliant
Always in accordance with Solvency II specifications by EIOPA
Local flexibility
Easy to adapt to National Specific requirem.
Controls and audit trails
User management, controls and complete
audit trails across entire organization.
Client Case
SII Engine integrated to DW using data mart
Integrated within 6 months
15-20 Asseco man-days
Deployed to Teradata and SAS Technology DW
MoSes actuarial kernel
Partial internal model
A coherent and controlled Solvency II performance

40. Client Case – Life assurance firm

41. Control the differences
Diverse reporting requirements
HQ required templates
EIOPA templates
National specific templates
Excel, XBRL, XML, Others
 Comply with requirements from HQ level to subsidiary level. HQ
Regulator
HQ QRT
Sub 1 Reports
Sub x Reports
Control, transparency and audit trails
All templates and reports can be shipped between different companies in the Group, fully controlled and in a complete transparent and auditable environment.
Sub X
Regulator
QRTs
Manage differences between subsidiaries, and make sure the group is compliant and coherent in all SII reporting matters
HQ Reports
SCR Calc.

42. Stress and Reverse Stress testing
SII Engine Pillar 2
Capital projections
Stress and Reverse Stress testing

43. SII Engine – Pillar II Stress testing
Ready to use standard solution fully compliant with the Solvency II directive
Proven - in production with +50 clients in 7 different countries
35 companies have used it for more than
200 regulatory reportings
100 Pillar II Stress tests
Always EIOPA SII compliant – EIOPA updates guaranteed by Asseco
Pillar I
Pillar III
90% of Pillar III data mapped
ISAE Auditors declaration
Pillar II
Stress test, reverse stress test and sensitivity analysis
Forward looking - SCR - SII Balance
Support of ORSA process
System of Governance
ORSA Reports
Risk Appetite
Etc.

44. SII Compliance & Risk Management
Policies and Guidelines
Process
Capital planning
Forward looking assesment
Stress test & scenarios
Risk identification
Risk evaluation
Risk handling
Risk monitoring and reporting
Risk appetite
7. Earnings risk
8. Strategic risk
9. Liquidity risk
10.Operational risik
11.Control risik
12.Settlement risk
13.Reputuational risk
1.Non-life risk 
2.Life risk
3.Market risk
4.Counterparty risk
5.Health risk
6.Concentration risk
9/17/2018

45. Forward looking assessment SCR and SII Balance sheet
Base year for the Forward Looking assesment is the current SCR calculations
Base year
Capital plan Input
3-5 year Strategy & Growth forecast

46. Regulator’s predefined stress and reverse stress test scenarios
Base year
Stress factors can e.g. include:
Interest rate risk - yield curve
Equity shocks
Property shocks
Spread risk - decrease in market value of bonds
Type 1 Counterparty risk
Premium growth - Line of Business volume changes
Catastrophe risk - e.g. Windstorm
Claims provision changes
Premium provision changes
Stress test module
Multiple periods

47. Multiple period stress testing - single factor and/or multi factor
Single period
Single Factor
Multi Factor
Multi period
Base year
Stress test module
Multiple periods

48. Custom reporting MI
All risks
Company relevant risks
Risk per risk group or risk driver
Top 10 risks
Risk maps
Realised vs. Risk appetite
Historic comparisons
Reports per risk ambassador or risk owner
Variables can be customised to client specific requirements.
SII engine is very flexible and you customise the reporting to your operations. In summary its has functionality includes
Base year SCR, SII Balance sheet and Own fund calculation
SII Technical Provisions (TP)
TP, SII balance and SCR projections over N number of years
Year on year SCR for analysis for all risk categories – assist with better setting of risk appetite and decisions making
Pillar 3 quantitative reporting output (QRT, SFCR and RSR)
Manual adjustment possible at every stage but designed for automation of key tasks
Stress and Scenario testing projections
Interfaces with SII data warehouse
Allows drill down risk MI
Functionality to easily add new lines of business and forecasted business plan
Produces Graphs of solvency ratio and other KRI output (we can bespoke to firms needs)
Full Audit trail and version control
AND NO NASTY EMISSIONS

49. Further information Omar Ripon Partner omar.ripon@moorestephens.com
David Sweet
Bo Ørskov Koldenborg