Reporting and Disclosure - Solvency II Forum

Report
Solvency II Reporting & Disclosure
Summary
1. General Framework
2. Narrative Reporting & Disclosure
3. Quantitative Reporting Templates
4. Frequency & Deadlines
5. Reporting & Disclosure Policies
6. Open issues
General Framework
Summary
1. General Framework
2. Narrative Reporting & Disclosure
3. Quantitative Reporting Templates
4. Frequency & Deadlines
5. Reporting & Disclosure Policies
6. Open issues

Narrative SFCR & RSR => similar structure, with 5 parts,
to enable comparability between SFCR and RSR
Contents of SFCR and RSR
A) Business, External
Environment and
performance
B) System of
Governance
C) Risk profile
1. Business and
external
environment
2. Underwriting
Performance
3. Investment
Performance
4. Performance from
other activities
1. Governance
Arrangements
2. Fit and Proper
3. Risk Management &
ORSA
4. Internal Control
5. Internal Audit
6. Actuarial
7. Outsourcing
8. Any other
disclosures
Following risks
1. Underwriting Risk
2. Market
3. Credit
4. Liquidity
5. Operational
6. Other material Risk
Exposures
7. Any other
disclosures
Contents of SFCR and RSR
D) Valuation for Solvency Purposes
E) Capital Management
1.
2.
3.
4.
1. Own Funds - Structure, Amount
& Quality
2. MCR and SCR
3. Use of duration based equity
risk sub-module
4. SCR differences if standard
formula or internal model used
5. Non-compliance with SCR/MCR
6. Other Disclosures
Assets
Technical Provisions
Other Liabilities
Other Disclosures
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
Summary
1. General Framework
2. Narrative Reporting & Disclosure
3. Quantitative Reporting Templates
4. Frequency & Deadlines
5. Reporting & Disclosure Policies
6. Open issues
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
• 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
Harmonised elements
Balance
sheet
Assets (incl.
detailed list)
Technical
provisions
National specificities
Variation
analysis
Capital
requirements
(SCR / MCR) &
Own funds
+
Specific
regulations or
activities
Reinsurance
(Life & NonLife)
Received in a harmonised format, capable of being shared
automatically with EIOPA and/or other supervisory authorities
Received in locally-defined format
and not automatically shared
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
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
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
Reinsurance (4 forms)
•
•
Templates cover:
•
the reinsurance programme; and
•
the exposure to reinsurers.
Specific template for SPVs
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).
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
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
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:
o Description of scope of group for supervisory purposes
o Group specific issues – group own funds etc.
o Reporting of intergroup transactions and risk concentrations
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
Summary
1. General Framework
2. Narrative Reporting & Disclosure
3. Quantitative Reporting Templates
4. Frequency & Deadlines
5. Reporting & Disclosure Policy
6. Open issues
Process of Reporting – Frequency & Deadlines
SFCR
RSR
Frequency
Annual
1) “Full” report at
Quarterly and
least every 3 years
Annual
or when required by
Supervisors
2) Material Updates
Annually
Submission Date Solo*
14** weeks after
year end
14**weeks after
year end
* 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
Quantitative Forms
Quarterly 5**
weeks after end.
Annual 14** weeks
after year end
Process of Reporting – Frequency & Deadlines
SFCR
Format
RSR
Quantitative
Forms
Common Template Common Template Common Template
as developed by
as developed by
as developed by
EIOPA
EIOPA
EIOPA
Sign off -internal – Yes
administrative or
management body
Yes
Yes
Sign off – external
auditing or
verification
No
To be determined
No
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
Summary
1. General Framework
2. Narrative Reporting & Disclosure
3. Quantitative Reporting Templates
4. Frequency & Deadlines
5. Reporting & Disclosure Policy
6. Open issues
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)
Summary
1. General Framework
2. Narrative Reporting & Disclosure
3. Quantitative Reporting Templates
4. Frequency & Deadlines
5. Reporting & Disclosure Policy
6. 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
• 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

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