CFO NETWORK 22 ND OCTOBER 2015

Transcription

1 CFO NETWORK 22 ND OCTOBER 2015!

2 Moore Stephens Solvency II engine Demonstration of calculation and reporting tool for Pillars 1-3 PRECISE. PROVEN. PERFORMANCE.

3 Agenda Introduction to Moore Stephens SII engine Demo of SII engine

4 Speakers Omar Ripon Moore Stephens Partner Bo Ørskov Koldenborg Asseco Partner

5 Solvency II reporting key issues Issues Development of policy and process Templates and requirements Not just Speed of reporting Considerations Annual and quarterly returns who will sign off? When do the board / AC need to be involved? High quality and quantity of information required Granularity of requirements can we meet them? Are we going to do a dry run? Remember there are words not just as in the current PRA Annual Return Deadlines are tight (eventually eight weeks for annual and five weeks for quarterly) Can we / our asset managers deliver the granular on a timely basis? XBRL delivery How will we deliver? Do we have the technology?

6 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) Standards-(ITS)-and-Guidelines.aspx

7 Pillar 3 second set of ITS July 2015 Former CP CP- 14/052 CP- 14/055 ITS Regular supervisory reporting Public disclosure: procedures, formats and templates Key features 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 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.

8 Pillar 3 GL reporting and disclosure Former CP Key features 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: CP- 14/047 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 validation approval of reported information by the administrative, management or supervisory body

9 Where do the SII valuation numbers go? ORSA Risk management Standard formula Calculation Kernel Economic capital allocation Asset / Liability Management Reward strategy QRT Investment Decisions Business strategy Risk mitigation Exposure management SFCR Management information SII warehouse Regulatory capital Management of Business Product Development Underwriting & Pricing Outward Reinsurance Purchase Financial Plans / Statements Business Planning

10 SII Engine architecture 1. Data sources 2. Collection 3. Preparation 4. Calculation 5. Reporting SII Data areas Data Sources DW MS SII server AAE Liabilities Accounting Actuarial tools Finance systems 1a Load/ Unload ETL 1b Input adapter 4 2b 3 SCR Output adapter QRTs Asset man systems 5b 5a 2a Assets Port. Man. Market Risk External Rating agency National Bank Enterprise DB s Counterparty Risk Non-life Risk Health Risk Other input Rates FX Life Risk Own Schemes

11 Sandsynlighed SII compliance & risk management Policies and guidelines Process Capital planning Forward looking assessment Stress test & scenarios Risk monitoring and reporting Risk identification Risk handling Risk evaluation Risk appetite 1.Non-life risk 2.Life risk 3.Market risk 4.Counterparty risk 5.Health risk 6.Concentration risk 7. Earnings risk 8. Strategic risk 9. Liquidity risk 10.Operational risik 11.Control risik 12.Settlement risk 13.Reputuational risk Øk o n o mis k o mfa n g /11/16 11

12 SCR and SII balance sheet projections Base year Capital plan input 3-5 year Strategy & Growth forecast SII Engine - starting from a base year. Base year 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. 12

13 Stress testing Base year 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 Stress Test Single period Multi period Single Factor Multi Factor Single Factor Multi Factor volume changes Catastrophe risk - e.g. Windstorm Claims provision changes Premium provision changes 4/11/

14 Custom reporting 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. 4/11/16 14

15 SII Engine Demo Bo Ørskov Koldenborg

16 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 companies have used it for more than 150 regulatory reportings Latest version of the EIOPA SII Directive Pillar III Pillar I 90% of Pillar III mapped 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 ISAE 3000 Auditors declaration Full requirements specification 4/11/

17 SII Engine 3 rd 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. Pillar III Pillar I 90% of Pillar III mapped 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 ISAE 3000 Auditors declaration 4/11/

18 SII Engine Non-life and Health NSLT 2. Collection 1. Data sources 3. Calculation 4. Reporting and Preparation SII Data areas Liabilities Data Sources Insurance systems NL BE NL BE & Run offs Output adapter Send to Regulator in XBRL Accounting Finance systems Claims prov. Cash flows Premium prov. Cash flows Asset man systems Assets External Rating agency National Bank EDW Load/ Unload ETL Data Mart Market Risk Counterparty Risk Health Risk Life Risk Other input Rates FX Own schemas 18

19 NL Best Estimates, Run off (Incurred, Paid, Claimed) and cash flows for Claims and Premium prov. 4/11/

20 SII Engine Life and Health SLT 2. Collection 1. Data sources 3. Calculation 4. Reporting and Preparation SII Data areas Liabilities Data Sources Insurance systems Actuarial software Life TP Output adapter Send to Regulator in XBRL Accounting Finance systems Health TP Asset man systems Assets CF Assets External Rating agency National Bank EDW Load/ Unload ETL Data Mart Market Risk Counterparty Risk Health Risk Life Risk Other input Rates FX Own schemas 20

21 SII Engine Demo

22 Open forum Questions? Observations? Employers support