CFO NETWORK 22 ND OCTOBER 2015 !
Moore Stephens Solvency II engine Demonstration of calculation and reporting tool for Pillars 1- 3 PRECISE. PROVEN. PERFORMANCE.
Agenda • Introduction to Moore Stephens SII engine • Demo of SII engine
Speakers • Omar Ripon – Moore Stephens Partner – omar.ripon@moorestephens.com – 020 7651 1151 • Bo Ørskov Koldenborg – Asseco Partner – bo@asseco.dk – +45 29 20 49 60 •
Solvency II reporting – key issues Issues Considerations • Annual and quarterly returns – who will sign off? Development of policy and process • When do the board / AC need to be involved? • High quality and quantity of information required • Granularity of data requirements – can we meet Templates and data requirements them? • Are we going to do a dry run? • Remember there are words not just data as in the Not just data current PRA Annual Return • Deadlines are tight (eventually eight weeks for annual and five weeks for quarterly) Speed of reporting • Can we / our asset managers deliver the granular data on a timely basis? XBRL delivery • How will we deliver? Do we have the technology?
Recommended reading On 6 July 2015 EIOPA published its second and final set of Implementing Technical Standards (ITS) and Guidelines for Solvency II. • Two ITS – overview next slide • Five guidelines on ─ reporting and disclosure (formerly CP 14/047) ─ third country branches (formerly CP 14/048) ─ methods to determine the market share for the purpose of exemptions to supervisory reporting (formerly CP 14/044) ─ financial stability reporting (formerly CP 14/045) ─ exchange of information on a systematic basis within colleges (formerly CP 14/050) https://eiopa.europa.eu/Pages/Consultations/Public-consultation-on-the-Set-2-of-the-Solvency-II-Implementing-Technical- Standards-(ITS)-and-Guidelines.aspx
Pillar 3 – second set of ITS – July 2015 Former ITS Key features CP • The ITS sets out the templates to be submitted by (re)insurance undertakings and participating (re)insurance undertakings or insurance holding companies to NCAs. It defines: solo reporting • Regular group reporting (general) and the reporting of risk concentration and CP- • supervisory intra-group transactions in particular 14/052 reporting a list of information to be reported • the templates and LOGs as annexes for: • day-1 reporting, ─ quarterly submissions; and ─ annual submissions ─ Public Defines the procedures, formats and templates for public disclosure by disclosure: (re)insurance undertakings and participating (re)insurance undertakings CP- procedures, or insurance holding companies for the SFCR on a regular basis and on 14/055 ad-hoc reporting following a major development which affects formats and significantly the relevance of the information previously disclosed. templates
Pillar 3 – GL reporting and disclosure Former Key features CP • The guideline sets out what NCAs should expect from undertakings and groups with regard to supervisory reporting and public disclosure .Thirty nine guidelines on narrative reporting supplementing the requirements of the Delegated Acts, including: ─ detailed guidance on items to be covered by insurers in specified CP- sections of their narrative reporting for both SFCR and RSR 14/047 ─ identification of pre-defined events and reporting ─ requirements for public disclosure and reporting policies ─ cross referencing and data validation ─ approval of reported information by the administrative, management or supervisory body
Where do the SII valuation numbers go? Economic Risk Standard formula Asset / Liability Calculation Kernel capital management Management ORSA allocation Reward Investment QRT strategy Decisions Business Management of strategy Business SFCR Product Risk mitigation SII data Development warehouse Underwriting Exposure & Pricing management Management Regulatory information capital Business Planning Outward Financial Plans / Reinsurance Statements Purchase
SII Engine – data architecture 2. Collection 3. Preparation 4. Calculation 5. Reporting 1. Data sources SII Data MS SII server DW Data areas Sources AAE Liabilities 4 Actuarial Output data tools adapter Load/ Unload 3 QRTs Accounting ETL Finance data 2b systems Input 1a SCR adapter 1b 5b 2a Asset man systems 5a Assets data Market Risk Port. Man. Counterparty Risk Enterprise Rating DB’s agency Non-life Risk External data Health Risk National Bank Other Life Risk input data Rates FX Own Schemes
SII compliance & risk management • Policies and guidelines Risk appetite Risk identification • Process Risk monitoring Risk evaluation • Capital planning and reporting • Forward looking assessment Risk handling • Stress test & scenarios 7. Earnings risk 1 2 1 1 1 0 8. Strategic risk 9 1.Non-life risk 8 a n g 9. Liquidity risk 7 1 o mf s k 6 Ø k o n o mi 2.Life risk 5 10.Operational risik 4 3.Market risk 3 4 2 11.Control risik 4 1 4.Counterparty risk 0 0 1 2 3 4 5 6 7 8 9 1 0 1 1 1 2 12.Settlement risk S a n d s y n l g h e i d 5.Health risk 13.Reputuational 6.Concentration risk risk 4/11/16 11
SCR and SII balance sheet projections Base year Capital plan input • SII Engine - starting from a base year. • Base year data is sourced from SII Engine Insurance Risk modules, 3-5 year Investment Assets and BE Strategy & • Subsequently a projection is configured in a SII Engine capital plan Growth input module, based on information from the company's forecast strategy and growth forecast. • a 3-5 year SCR forecast is produced and likewise the Profit Loss, SII balance sheet is produced for the forward looking assessment period . 12
Stress testing Base year Examples of typical stresses applied Single Factor • Interest rate risk - yield curve Single period • Equity shocks Multi Factor • Stress Test Property shocks • Single Factor Spread risk - decrease in market value of bonds Multi period • Multi Factor Type 1 Counterparty risk • Premium growth - Line of Business volume changes • Catastrophe risk - e.g. Windstorm • Claims provision changes • Premium provision changes 4/11/16 www.assco.dk 13
Custom reporting MI Variables can be customised to • All risks client specific requirements. • 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 4/11/16 14
SII Engine Demo Bo Ørskov Koldenborg www.siiengine.com
SII Engine – key benefits • Ready to use standard solution fully compliant with the Solvency II directive 90% of Pillar III Pillar III data • Proven - in production with 50 clients mapped Pillar I • Guaranteed installation time 3-5 days • First client went live in June 2012 • 35 companies have used it for more than 150 regulatory reportings • Latest version of the EIOPA SII Directive • Always EIOPA SII compliant – EIOPA updates guaranteed by Asseco No need to monitor EIOPA yourself • No need to develop, test or update your • own SII framework ISAE 3000 • In depth SII methodology know how Auditors declaration • SII know-how, risk & actuarial advisor – Deloitte Actuarial & Risk • Full data requirements specification 4/11/16 www.siiengine.com 16
SII Engine – 3 rd party assured and audited ISAE 3000 is an international recognised 90% of Pillar III assurance process. This assurance standard Pillar III data deals with assurance engagements other than mapped audits or reviews of historical financial Pillar I information . IFAC – International Federation of Accountantsis the organisation, which overseas this assurance method. Deloitte Risk and Actuarial department and • Auditing department have checked all formulas, parameters, correlation matrices and QRTs and assures that these are correctly implemented in accordance with the directives. Futhermore the assurance process entails an exhaustive series of trial calculations in both ISAE 3000 the SII Engine and an alternative calculation model, giving the proof to assure, that the SII Engine is working in accordance with the Auditors declaration Directive 4/11/16 www.siiengine.com 17
SII Engine Non-life and Health NSLT 2. Collection 1. Data sources 3. Calculation 4. Reporting and Preparation SII Data Data areas Sources Send to Regulator in XBRL NL BE Insurance Liabilities Output systems data adapter NL BE & Run offs Accounting Finance Claims prov. data systems Cash flows Premium prov. Cash flows Asset man systems Assets data EDW Data Mart Load/ Unload Market Risk ETL Rating agency Counterparty Risk External data Health Risk National Bank Life Risk Other input data Own schemas Rates FX www.asseco.dk 18
NL Best Estimates, Run off (Incurred, Paid, Claimed) and cash flows for Claims and Premium prov. 4/11/16 www.asseco.dk 19
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