Solvency II Reporting & Disclosure

1. Solvency II Reporting & Disclosure

2. Summary • General Framework • Narrative Reporting & Disclosure • Quantitative Reporting Templates • Frequency & Deadlines • Reporting & Disclosure Policies • Open issues

3. General Framework

4. Summary • General Framework • Narrative Reporting & Disclosure • Quantitative Reporting Templates • Frequency & Deadlines • Reporting & Disclosure Policies • Open issues

5.  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

6. Contents of SFCR and RSR

7. Contents of SFCR and RSR

8. 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

9. Summary • General Framework • Narrative Reporting & Disclosure • Quantitative Reporting Templates • Frequency & Deadlines • Reporting & Disclosure Policies • Open issues

10. 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?

11. 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

12. 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

13. 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

14. 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

15. 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

16. Reinsurance (4 forms) • Templates cover: • the reinsurance programme; and • the exposure to reinsurers. • Specific template for SPVs

17. 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).

18. 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

19. 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

20. 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

21. 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

22. Summary • General Framework • Narrative Reporting & Disclosure • Quantitative Reporting Templates • Frequency & Deadlines • Reporting & Disclosure Policy • Open issues

23. 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

24. Process of Reporting – Frequency & Deadlines

25. 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

26. Summary • General Framework • Narrative Reporting & Disclosure • Quantitative Reporting Templates • Frequency & Deadlines • Reporting & Disclosure Policy • Open issues

27. 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)

28. Summary • General Framework • Narrative Reporting & Disclosure • Quantitative Reporting Templates • Frequency & Deadlines • Reporting & Disclosure Policy • Open issues

29. 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?

30. 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