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Solvency II Reporting & Disclosure. Summary. General Framework Narrative Reporting & Disclosure Quantitative Reporting Templates Frequency & Deadlines Reporting & Disclosure Policies Open issues. General Framework. Summary. General Framework Narrative Reporting & Disclosure

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summary
Summary
  • General Framework
  • Narrative Reporting & Disclosure
  • Quantitative Reporting Templates
  • Frequency & Deadlines
  • Reporting & Disclosure Policies
  • Open issues
summary4
Summary
  • General Framework
  • Narrative Reporting & Disclosure
  • Quantitative Reporting Templates
  • Frequency & Deadlines
  • Reporting & Disclosure Policies
  • Open issues
narrative sfcr rsr similar structure with 5 parts to enable comparability between sfcr and rsr

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

B. System of governance

C. RISK Profile

Sfcr &

rsr

a. Business, External Environment and performance

D. Valuation for

solvency purposes

E. Capital

management

narrative reporting disclosure
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
summary9
Summary
  • General Framework
  • Narrative Reporting & Disclosure
  • Quantitative Reporting Templates
  • Frequency & Deadlines
  • Reporting & Disclosure Policies
  • Open issues
slide10

QRTs – current status

  • 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 2011. EIOPA currently considering responses
  • Public consultation phase – Autumn 2011?
quantitative reporting templates
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
quantitative reporting templates solo
Quantitative Reporting Templates - Solo

National specificities

Harmonised elements

Balance sheet

Variation analysis

Capital requirements (SCR / MCR) & Own funds

Specific regulations or activities

Assets (incl. detailed list)

+

Technical provisions

(Life & Non-Life)

Reinsurance

Received in locally-defined format and not automatically shared

Received in a harmonised format, capable of being shared automatically with EIOPA and/or other supervisory authorities

slide13

Balance Sheet (3 forms)

  • 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
slide14

Assets (7 forms)

  • Detailed list of investments
  • Structured products
  • Derivatives
  • Return on investments
  • Investment funds (look through)
  • Securities lending and repos
  • Assets held as collateral
slide15

Technical Provisions (15 forms)

  • 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
slide16

Reinsurance (4 forms)

  • Templates cover:
    • the reinsurance programme; and
    • the exposure to reinsurers.
  • Specific template for SPVs
slide17

Capital requirements (12 forms)

  • 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).
slide18

Own Funds (2 forms)

  • 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
slide19

Variation Analysis & miscellaneous (3 forms)

  • 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
slide20

Group specific templates (15 forms)

  • Aim is to cover group specific issues that cannot be directly covered by the solo templates
  • Different categories of group templates, including:
    • Description of scope of group for supervisory purposes
    • Group specific issues – group own funds etc.
    • Reporting of intergroup transactions and risk concentrations
qrts are very detailed but
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
summary22
Summary
  • General Framework
  • Narrative Reporting & Disclosure
  • Quantitative Reporting Templates
  • Frequency & Deadlines
  • Reporting & Disclosure Policy
  • Open issues
process of reporting frequency deadlines
Process of Reporting – Frequency & Deadlines

* 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

reporting required on other occasions
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
summary26
Summary
  • General Framework
  • Narrative Reporting & Disclosure
  • Quantitative Reporting Templates
  • Frequency & Deadlines
  • Reporting & Disclosure Policy
  • Open issues
reporting disclosure policy
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)
summary28
Summary
  • General Framework
  • Narrative Reporting & Disclosure
  • Quantitative Reporting Templates
  • Frequency & Deadlines
  • Reporting & Disclosure Policy
  • Open issues
open issues
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?
conclusion
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