CFO NETWORK 22 ND OCTOBER 2015 ! Moore Stephens Solvency II engine - - PowerPoint PPT Presentation

CFO NETWORK

22ND OCTOBER 2015

!

• PRECISE. PROVEN. PERFORMANCE.

Moore Stephens Solvency II engine

Demonstration of calculation and reporting tool for Pillars 1- 3

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 Development of policy and process

• Annual and quarterly returns – who will sign off?
• When do the board / AC need to be involved?

Templates and data requirements

• High quality and quantity of information required
• Granularity of data requirements – can we meet

them?

• Are we going to do a dry run?

Not just data

• Remember there are words not just data as in the

current PRA Annual Return Speed of reporting

• Deadlines are tight (eventually eight weeks for

annual and five weeks for quarterly)

• 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 CP ITS Key features CP- 14/052

Regular supervisory reporting

• 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
• group reporting (general) and the reporting of risk concentration and

intra-group transactions in particular

• a list of information to be reported
• the templates and LOGs as annexes for:

─

day-1 reporting,

─

quarterly submissions; and

─

annual submissions

CP- 14/055

Public disclosure: procedures, formats and templates

Defines the procedures, formats and templates for public disclosure by (re)insurance undertakings and participating (re)insurance undertakings

• r insurance holding companies for the SFCR on a regular basis and on

ad-hoc reporting following a major development which affects significantly the relevance of the information previously disclosed.

Pillar 3 – GL reporting and disclosure

Former CP Key features CP- 14/047

• 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 sections of their narrative reporting for both SFCR and RSR ─ 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

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

Where do the SII valuation numbers go?

SII Engine – data architecture

SII Data areas

Assets data Accounting data Liabilities data External data Other input data

Data Sources Actuarial tools Finance systems Asset man systems Port. Man. National Bank Rating agency Rates FX

• 1. Data sources
• 5. Reporting
• 4. Calculation
• 3. Preparation
• 2. Collection

Load/ Unload ETL Enterprise DB’s AAE Input adapter Output adapter QRTs SCR

1a 3 5b 4 1b 5a 2a 2b

MS SII server DW

Market Risk

Counterparty Risk Non-life Risk Health Risk Own Schemes Life Risk

11 4/11/16

SII compliance & risk management

Risk identification Risk evaluation Risk handling Risk monitoring and reporting

Risk appetite

• mf

1 4 4

• 7. Earnings risk
• 8. Strategic risk
• 9. Liquidity risk

10.Operational risik 11.Control risik 12.Settlement risk 13.Reputuational risk

• Policies and guidelines
• Process
• Capital planning
• Forward looking assessment
• Stress test & scenarios

1.Non-life risk 2.Life risk 3.Market risk 4.Counterparty risk 5.Health risk 6.Concentration risk

SCR and SII balance sheet projections

12

Base year 3-5 year Strategy & Growth forecast

• SII Engine - starting from a base year.
• Base year data is sourced from SII Engine Insurance Risk modules,

Investment Assets and BE

• Subsequently a projection is configured in a SII Engine capital plan

input module, based on information from the company's 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.

Capital plan input

Stress testing

13 4/11/16 www.assco.dk

Base year Stress Test Single period Single Factor Multi Factor Multi period Single Factor Multi Factor

Examples of typical stresses applied

• Interest rate risk - yield curve
• Equity shocks
• Property shocks
• Spread risk - decrease in market value
• f bonds
• Type 1 Counterparty risk
• Premium growth - Line of Business

volume changes

• Catastrophe risk - e.g. Windstorm
• Claims provision changes
• Premium provision changes

Custom reporting

14 4/11/16

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

• wner

Variables can be customised to client specific requirements.

www.siiengine.com

SII Engine Demo

Bo Ørskov Koldenborg

16 4/11/16 www.siiengine.com

SII Engine – key benefits

• Ready to use standard solution fully

compliant with the Solvency II directive

• Proven - in production with 50 clients
• 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
• wn SII framework
• In depth SII methodology know how
• SII know-how, risk & actuarial advisor –

Deloitte Actuarial & Risk

• Full data requirements specification

Pillar I Pillar III

90% of Pillar III data mapped

ISAE 3000 Auditors declaration

17 4/11/16 www.siiengine.com

SII Engine – 3rd party assured and audited

ISAE 3000 is an international recognised assurance process. This assurance standard deals with assurance engagements other than audits or reviews of historical financial 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 the SII Engine and an alternative calculation model, giving the proof to assure, that the SII Engine is working in accordance with the Directive

Pillar I Pillar III

90% of Pillar III data mapped

ISAE 3000 Auditors declaration

SII Engine Non-life and Health NSLT

18 www.asseco.dk

SII Data areas

Assets data Accounting data Liabilities data External data Other input data

Data Sources Insurance systems Finance systems Asset man systems

EDW

National Bank Rating agency Rates FX

• 1. Data sources
• 4. Reporting
• 3. Calculation
• 2. Collection

and Preparation

Load/ Unload ETL Output adapter

Data Mart

Market Risk Counterparty Risk Health Risk Own schemas Life Risk Claims prov. Cash flows NL BE & Run offs

Send to Regulator in XBRL

Premium prov. Cash flows

NL BE

NL Best Estimates, Run off (Incurred, Paid, Claimed) and cash flows for Claims and Premium prov.

19 4/11/16 www.asseco.dk

SII Engine Life and Health SLT

20 www.asseco.dk

SII Data areas

Assets data Accounting data Liabilities data External data Other input data

Data Sources Insurance systems Finance systems Asset man systems

EDW

National Bank Rating agency Rates FX

• 1. Data sources
• 4. Reporting
• 3. Calculation
• 2. Collection

and Preparation

Load/ Unload ETL Actuarial software Output adapter

Data Mart

Market Risk Counterparty Risk Health Risk Own schemas Life Risk

Health TP Assets CF Life TP

Send to Regulator in XBRL

www.siiengine.com

SII Engine Demo

Open forum

Employers’ support

• Questions?
• Observations?