CFO NETWORK22ND OCTOBER 2015

!

PRECISE. PROVEN. PERFORMANCE.

Moore Stephens Solvency II engineDemonstration 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

FormerCP 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 or 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

FormerCP 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

Rewardstrategy

Business strategy

Risk mitigation

Exposure management

Outward Reinsurance

Purchase

Asset / Liability Management

Investment Decisions

Management of BusinessProduct

DevelopmentUnderwriting

& Pricing

Business Planning

Financial Plans / Statements

Where do the SII valuation numbers go?

SII Engine – data architecture

SII Data areas

Assetsdata

Accountingdata

Liabilitiesdata

Externaldata

Otherinput data

Data Sources

Actuarialtools

Financesystems

Asset mansystems

Port.Man.

NationalBank

Ratingagency

RatesFX

1. Data sources 5. Reporting4. Calculation3. Preparation2. Collection

Load/Unload

ETL

EnterpriseDB’s

AAE

Inputadapter

Outputadapter

QRTs

SCR1a

3

5b

4

1b

5a2a

2b

MS SII serverDW

Market Risk

Counterparty Risk

Non-life Risk

Health Risk

Own Schemes

Life Risk

114/11/16

SII compliance & risk management

Risk identification

Risk evaluation

Risk handling

Risk monitoring and reporting

Risk appetite

0

1

2

3

4

5

6

7

8

9

1 0

1 1

1 2

0 1 2 3 4 5 6 7 8 9 1 0 1 1 1 2

Øk

on

om

isk

om

fan

g

S a n d s y n lig h ed

144

7. Earnings risk8. Strategic risk9. Liquidity risk10.Operational risik11.Control risik12.Settlement risk13.Reputuational risk

• Policies and guidelines

• Process

• Capital planning

• Forward looking assessment

• Stress test & scenarios

1.Non-life risk2.Life risk3.Market risk4.Counterparty risk5.Health risk6.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 forecastis produced and likewise the Profit Loss, SII balance sheetis produced for the forward looking assessment period.

Capital plan input

Stress testing

134/11/16 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

of 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

144/11/16

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 owner

Variables can be customised to client specific requirements.

www.siiengine.com

SII Engine Demo

Bo Ørskov Koldenborg

164/11/16 www.siiengine.com

SII Engine – key benefits

• Ready to use standard solution fullycompliant 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 than150 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

• 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

174/11/16 www.siiengine.com

SII Engine – 3rd party assured and audited

ISAE 3000 is an international recognisedassurance process. This assurance standard deals with assurance engagements other thanaudits or reviews of historical financialinformation.

IFAC – International Federation of Accountantsis the organisation, which overseasthis assurance method.

• Deloitte Risk and Actuarial department and Auditing department have checked all formulas, parameters, correlation matrices and QRTs and assures that these arecorrectly implemented in accordance with the directives.

Futhermore the assurance process entails an exhaustive series of trial calculations in boththe SII Engine and an alternative calculationmodel, 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

Assetsdata

Accountingdata

Liabilitiesdata

External data

Other input data

Data Sources

Insurance systems

Financesystems

Asset mansystems

EDW

NationalBank

Ratingagency

RatesFX

1. Data sources 4. Reporting3. Calculation2. Collection and Preparation

Load/Unload

ETL

Outputadapter

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.

194/11/16 www.asseco.dk

SII Engine Life and Health SLT

20

www.asseco.dk

SII Data areas

Assetsdata

Accountingdata

Liabilitiesdata

External data

Other input data

Data Sources

Insurance systems

Financesystems

Asset mansystems

EDW

NationalBank

Ratingagency

RatesFX

1. Data sources 4. Reporting3. Calculation2. Collection and Preparation

Load/Unload

ETL

Actuarial software

Outputadapter

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?