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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 l.jpg
Summary

  • General Framework

  • Narrative Reporting & Disclosure

  • Quantitative Reporting Templates

  • Frequency & Deadlines

  • Reporting & Disclosure Policies

  • Open issues



Summary4 l.jpg
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 l.jpg

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




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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


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Summary

  • General Framework

  • Narrative Reporting & Disclosure

  • Quantitative Reporting Templates

  • Frequency & Deadlines

  • Reporting & Disclosure Policies

  • Open issues


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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?


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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


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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


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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


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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


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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


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Reinsurance (4 forms)

  • Templates cover:

    • the reinsurance programme; and

    • the exposure to reinsurers.

  • Specific template for SPVs


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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).


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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


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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


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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


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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


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Summary

  • General Framework

  • Narrative Reporting & Disclosure

  • Quantitative Reporting Templates

  • Frequency & Deadlines

  • Reporting & Disclosure Policy

  • Open issues


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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



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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


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Summary

  • General Framework

  • Narrative Reporting & Disclosure

  • Quantitative Reporting Templates

  • Frequency & Deadlines

  • Reporting & Disclosure Policy

  • Open issues


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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)


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Summary

  • General Framework

  • Narrative Reporting & Disclosure

  • Quantitative Reporting Templates

  • Frequency & Deadlines

  • Reporting & Disclosure Policy

  • Open issues


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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?


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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