Oracle Quantitative Management and Reporting for Solvency II Administration / User Guide

Transcription

1 Oracle Quantitative Management and Reporting for Solvency II Administration / User Guide Release Purpose... 2 Introduction... 2 QMR Overview... 2 Working with QMR Data Forms in HFM... 3 Linked Forms... 3 Cell Text... 3 Adding Members to Forms... 3 Performing Initial Configuration Tasks... 5 Configuring the application - global... 5 Configuring the application - local... 6 Initiating a New Reporting Cycle... 6 Loading System Data... 6 Loading Ownership Data... 7 Submitting Solo Data... 8 Loading Data from Source Systems into FDM... 8 Loading Data from FDM to HFM Reviewing and Reporting Solo Data in HFM Validating Solo Data Sign Off and Submit Solo Reports Submitting Group Data Loading Group Data from Source Systems into FDM Consolidating Solo Data in HFM Reviewing and Reporting on Group Data in HFM Signing Off and Submitting Group Data Glossary General Terms Technical Terms Administration / User Guide Page 1

2 Purpose This guide is designed for users within an insurer who will access the Oracle Insurance Quantitative Management and Reporting for Solvency II (QMR) to: enter QRT data for transmission to corporate/head office consolidate, aggregate and validate risk and capital data and generate QRT reports (Corporate users) create this new application and provide access to users (system administrators) This guide assumes that users are already familiar with the structure and usage of the Oracle Financial Close Suite and focuses on how to implement the QMR application. Please refer to the relevant sections of the Financial Close Suite User's Guides for further information. Introduction QMR Overview The Oracle Insurance Quantitative Management and Reporting for Solvency II (QMR) application is designed to provide a starting point for a new implementation of Hyperion Financial Management (HFM). The current version of the QMR application is designed to produce a validated set of Quarterly Reporting Template (QRT) report as required by the European Insurance and Occupational Pensions Authority (EIOPA) for both group and solo reporting. The application provides the capability for users across the organization to enter QRT source data and submit to group who can then review, consolidate and aggregate. The current version of the QMR application is based on the November and December Quantitative Reporting Template (QRT) consultation packs. At the time at which this version of QMR was released, EIOPA had not yet completely finalized the content of the QRT reports. The Variance Analysis templates in particular are expected to change and have not been included in QMR Administration / User Guide Page 2

3 Working with QMR Data Forms in HFM You use data forms to review and enter data into the QMR system in Hyperion Financial Management (HFM). Data Forms enable you to enter data for predefined views, such as specific periods and accounts. The forms support nested columns and rows for multidimensional analysis, and enable you to drill into further detail. In, QMR the data forms are organized by category into folders within HFM. For example, the data forms for Solvency Capital Requirements data are located in the 14_SCR folder. Linked Forms Several data forms have links to other data forms that provide a more specific data entry view. When you access a linked form, the point of view (POV) from the parent form is carried forward into the linked form. You do not need to specify the POV for the linked forms. Linked forms are indicated by this icon:. To access linked forms: 1. Select a row that contains linked forms. 2. Right-click a cell and select Linked Form. The linked form is opened in a separate window. 3. When you are finished using the linked form, you can close the window to return to the original form. Many of the linked forms contain additional links to more specific data entry views. You access these forms in the same way. Each linked form is opened in a separate window. Cell Text Cell text provides additional information about the data within a cell. For example, you can use cell text to get more information about a validation error in a data form. You can also view the basis for a calculated value by viewing the cell text for that value. Cell text is indicated by a blue triangle in the corner of the cell. To view cell text: 1. Locate a cell with a blue triangle in the corner. 2. Right-click the cell, and select Cell Text. 3. Click the Expand button to view the full cell text. Adding Members to Forms In some cases, you can add additional members to data forms. For example, you can add additional currencies, countries, or intercompany partners to a data form. Forms to which you can add members are indicated by this icon:. Administration / User Guide Page 3

4 To add members to a data form: 1. Click the Add Members button. 2. Select the members that you want to add. 3. Click OK to return to the form. The form displays the added members. Administration / User Guide Page 4

5 Performing Initial Configuration Tasks These tasks are required before starting a reporting cycle. Configuring the application - global The group administrator can load or enter configuration information for the Standard Model (SM), Standard Model with USP (SMU), Partial Internal Model (PIM) and Full Internal Model (FIM). The group administrator can also configure the undertaking type (if not configured at a solo level). There are three data forms in the document management 01_Configuration_Global folder. SCR_SetupAuthorizedModel QMR supports four SCR model types concurrently (SM, SMU, PIM and FIM). Only one of these models is deemed to be the authorized model. To designate the authorized model, load or enter a nonzero value (e.g. 1) to the appropriate data-point. Note that if non-zero data is entered to more than one model type, the least customized model type will be used, where SM is the least customized and FIM is the most customized. SCR_SetupPartialandInternalModel The Partial Internal Model is a combination of Standard Model risk components and extended or custom risk components. In order to modify a standard risk component, non-standard correlation factors are entered to the correlation tables for Partial Internal Model. When data is entered to the PIM correlation factors, the settings for extended risk components are changed when the entity is calculated. In order to enable custom risk components, a non-zero value is entered to the relevant risk component. MCR_SetupUndertakingTypeGlobal The type of each base entity must be specified (as defined by EIOPA): Life Non-Life Composite (Life and No-Life) IORP Regulated Other Financial Non-Regulated Ancillary Holding For each insurance entity, the classification must also be specified: Captive Reinsurance Included in Part A of Annex 1 of Directive 2009/138/EC Not Included in Part A of Annex 1 of Direction 2009/138/EC) Administration / User Guide Page 5

6 The system administrator has the option of defining these settings on an entity-by-entity basis in the metadata user defined fields. If these settings have been entered to metadata, then if no entry is made on a period-by-period basis, the default UD field entry is used. To override the default settings, enter a non-zero value where required. Configuring the application - local The solo administrator can load or enter configuration information for undertaking type (if not configured at group) and for entity-specific simplification. There are two data forms in the document management 02_Configuration_Local folder. MCR_SetupUndertakingType The type of each base entity must be specified (see details above). SCR_Simplification EIOPA have specified several risks for which simplified data entry can be used. A Net SCR and a Gross SCR value can be entered directly instead of entering five data values from which to calculate the Net and Gross SCR values: Assets before shock Liabilities before shock Assets after shock Liabilities after shock Liabilities after shock including the loss absorbing capacity of technical provisions In order to activate simplification for one or more of the permitted risk items, enter a non-zero value. To revert to the standard entry, remove the data or enter a zero. For all items for which simplification has been activated, an additional row will be displayed on the relevant data entry form to allow the direct entry of Net SCR and Gross SCR. Standard entry will not be prevented but any standard entry will be cleared when the entity is calculated. Initiating a New Reporting Cycle These tasks are required to initiate a new reporting cycle. Loading System Data The administrator loads the following system data to the global ([None]) entity, either using FDM, a DAT file load or on-screen entry: Exchange Rates There is one data form in the document management 03_Admin_Global folder. ExchangeRatesEntry All currencies available in the system are displayed in terms of the application currency for Opening Rate, Average Rate and Closing Rate. Opening Rate is entered only to the first period of the first year of the application and is carried forward from the Closing Rate of the prior year. Administration / User Guide Page 6

7 Correlation Factors There is one data form for each correlation table in the document management 03_Admin_Global folder. For each SCR risk category for which a correlation-factor-based diversification calculation is required, correlation factors must be entered. Both axes of each correlation table contain a list of each individual risk element across which the diversification effect is calculated. All values entered to the table must be in the range from -1 to 1, the values on the diagonal of the table must be 1 and the amount for each combination of risk X and risk Y must equal the amount for risk Y and risk X. Data is entered only to the lower left half of the table. When the [None] entity is calculated, the diagonal values will be populated with 1 and the upper right half of the table will be populated with the amount entered to the diagonally opposite cell. Any invalid entry will be cleared and left unpopulated. These invalid entries will be listed in the Correlation Table Validation form. EIOPA-defined standard model correlation table data is available in file: QMR_200_EIOPAData2011QA.dat The file is set for the Actual scenario for period QA of 2011 but the header can be changed to the period required.!scenario = Actual!Year = 2011!Period = QA Scalar Values There are no data forms for scalar values. These values are pre-set. If scalar values are not loaded to QMR then the current default settings will be applied. Data can be loaded should EIOPA change the required scalar values. Not all scalar values are configurable in QMR EIOPA-defined scalar data is available in file: QMR_200_EIOPAData2011QA.dat Undertaking Type During the initial configuration of the application, the type of each undertaking is defined. This can be reviewed at the beginning of each reporting period if required. The undertaking type is defined either by the group administrator or by the administrator of each solo entity, depending on the initial setup of the application when implemented. Loading Ownership Data HFM provides an Ownership Management screen to which ownership data can be entered. Alternatively, data can be loaded using FDM or a DAT file load. Ownership data is entered to the parent entity with the ICP dimension indicating the entity to which the settings apply. A sample data file provides examples of ownership settings. The settings required include the ownership Method (settings for consolidation logic), [PCon] (consolidation percentage) and [POwn] (ownership percentage). If the consolidation and ownership percentages are 100% then data need not be entered. A method must be entered for every parent / child combination of group and solo entities. Consolidation methods are not required for RFF entities. Administration / User Guide Page 7

8 Submitting Solo Data After the reporting cycle is opened, solo data is submitted. The users responsible for submitting solo data follow this task flow: 1. Data is imported from source systems into Financial Data Quality Management (FDM) and then validated. 2. The following schedules are reviewed and reported upon in FDM: All Assets schedules Technical Provisions (TP3, TP3A, TP3B) 3. All other data is loaded from FDM to Hyperion Financial Management (HFM). 4. The remaining solo schedules are reviewed and reported upon in HFM. These include: Financial Stability (FS1) Balance Sheet (BS) Technical Provisions (other than TP3, TP3A, and TP3B) Solvency Capital Requirements (SCR) Minimum Capital Requirements (MCR) Own Funds (OF) Country/Cover Reinsurance (Re) 5. After the solo data is reviewed and validated, it is submitted to the solo regulators via Financial Reporting reports. Future releases of QMR will support XBRL format reporting. Loading Data from Source Systems into FDM Data file format For each set of solo schedules for which reporting is completed in FDM, there is a standard import file format. For example, all Assets schedules use a single tilde-delimited format specific to Assets schedules. The Assets schedules all use a single format specific to Assets and Technical Provisions (TP) schedules have their own format. The QMR application provides sample data files with the required tilde-delimited formats. In each of these files, the first row highlights the headings of the columns. Different columns need to be populated for different schedules within each category. For instance, Assets-D1 will require that column 37 be populated for Issue Name. Assets-D1S will require that column 8 be populated for Capital Protection. Administration / User Guide Page 8

9 You can review what data is required for each schedule by reviewing the Import format screen in the FDM Web client (MetaData -> Import Format). Importing Data Once you have a data file completed for a particular schedule, you can import the data into FDM for review and reporting. Open and log in to FDM Web client. o EPM -> FDM -> Web Server Components -> Web logon. Click Workflow -> Import. Select the correct location in the POV bar at the bottom of the screen. Remember that there is one location for each schedule for each entity. Select Upload File. Browse to the required file. Select between Replace / Append and click Import. During the import process, FDM will run validations to ensure data quality. If validation errors occur, a report will be displayed showing all errors and each source record that failed to upload. All records that passed the validation checks will be imported. The data file should be corrected and re-imported until all validation errors are cleared. During subsequent loads, previous validation errors will display. In order to clear the previous validation error messages, complete the following before re-importing: Click Analysis -> Log Click the Delete button Specify the current date and all prior log entries will be deleted Running reports Once data has been validated and imported, QRT reports can be generated. To generate the QRT reports complete the following steps: Open and log in to FDM Web client o EPM -> FDM -> Web Server Components -> Web logon Click Analysis -> Report Select Quantitative Management Reporting for Solvency II from the drop down. Select the output format Select the correct location in the POV bar below (e.g. QMR-LE01-Assets-D1) Double click a report or select a report and click the Publish button Select the FDM Data Category, select the Accounting Period and click OK to run the report QMR provides reports in five languages; English (EN), German (DE) Spanish (ES), French (FR) and Dutch (NL). To view the reports in the required language: Select Tools -> User Setting Select the required language Administration / User Guide Page 9

10 Return to Analysis -> Report and you will see report group for the selected language. Loading Data from FDM to HFM Assets schedules Assets-D1, Assets-D1S, Assets-D2O, Assets-D4 and Assets-D5 are all loaded to HFM for validation against the Balance Sheet data. Reload these assets data files to the HFM Location for your entity, validate and export to HFM. The remaining data required for QRT reporting is also loaded to HFM through the HFM location as setup by your administrator. Reviewing and Reporting Solo Data in HFM Data loaded to HFM for each of the QRT schedules must be reviewed and reported upon. The solo schedules not reported upon through FDM are processed in HFM using data entry forms and financial reports. Balance Sheet - Review There are four data forms in the document management 11_BS folder: 00_Assets_Summary The Assets Summary form displays the summary of the data imported from the FDM Assets schedules. The detailed data in the Assets schedules is aggregated by account to be validated against the balance sheet entries in the BS-C1 schedule (below). The form presents the data in Read-Only mode. If the summary data is incorrect then the original source files must be amended and the reports re-created in FDM. 01_BS_C1 (BS-C1) This form displays balance sheet data for Solvency II and Statutory valuations. Data is displayed for the total of third party and intercompany entries. Select the required Custom4 (Data Source) member from the POV bar in order to enter, review or revise data. If the account supports intercompany entry, right-click the required cell and select the Linked Form menu item. To add new intercompany partners to the form, select the Add Members icon and select the required members from the POV selection screen. Statutory balance sheet data is either entered and reviewed directly at group or entered at solo level and consolidated. If statutory balance sheet data is entered at group level then data entry will be disabled when a solo entity is selected in the POV. Solvency II asset accounts for which there are matching Assets schedules will be validated against the summary data imported from the Assets schedules source files. The validations will be executed whenever the current entity is calculated or updated as part of a group consolidation. The details of each failed account validation will display on the right-hand side of the data entry form. To see the details of the validation check, right-click on the error message displayed and select the Cell Text option. Click the expand icon (+) to see the full details. If there are no validation errors, the error columns will be hidden. 02_BS_C1B (BS-C1B) This form displays specified balance sheet data by underlying currency. To modify or add data, open the linked form for the relevant row. Administration / User Guide Page 10

11 03_BS_C1D (BS-C1D) This form provides links to forms displaying additional details for specified balance sheet data. No data is displayed on the initial form. To modify or add data, open the linked form for the relevant row. Balance Sheet - Reporting There are three financial reports in the Workspace Explore 11_BS folder: BS-C1, BS-C1B, BS-C1D For each report, select the appropriate scenario, year, period and entity from the POV bar. The reports can be displayed in HTML format and then printed to PDF for formatted reporting. Country / Cover - Review There are five data forms in the document management 12_Cover folder. 01_Country_K1 (Country-K1) This form provides quarterly and annual premium and related claims information by the country into which the insurance coverage was sold. 02_Cover_A1A_NonLife (Cover-A1A) This form provides annual premium and related expenses information by line of business (LOB) for Non-Life insurance plus premium and claims information by country. 03_Cover_A1A_Life (Cover-A1A) This form provides annual premium and related expenses information by line of business (LOB) for Life insurance plus premium and claims information by country. 04_Cover_A1Q_NonLife (Cover-A1Q) This form provides quarterly premium and related expenses information by line of business (LOB) for Non-Life insurance plus premium and claims information by country. 05_Cover_A1Q_Life (Cover-A1Q) This form provides quarterly premium and related expenses information by line of business (LOB) for Life insurance plus premium and claims information by country. Country / Cover - Reporting There are five financial reports in the Workspace Explore 12_Cover folder: Country-K1, Cover-A1A-NonLife, Cover-A1A-Life, Cover-A1Q-NonLife, Cover-A1Q-Life For each report, select the appropriate scenario, year, period and entity from the POV bar. The reports can be displayed in HTML format and then printed to PDF for formatted reporting. Own Funds - Review There are three solo data forms in the 13_OF folder. 01_OF_B1_SQ (OF-B1Q Solo Quarterly) This form provides quarterly Own Funds (Owner s Equity) information for solo entities and must balance to the Net Assets in the Balance Sheet. Administration / User Guide Page 11

12 02_OF_B1_SA (OF-B1A Solo Annual) This form provides annual Own Funds (Owner s Equity) information for solo entities and must balance to the Net Assets in the Balance Sheet. Additional information such as movements, tier details and transactional details are displayed in linked forms. Validations identify where the totals of alternative details do not balance with each other. 06_OF_B1_NonAvail_Solo_DataEntry (OF-B1A Solo Annual Non Available Funds Data Entry) Solo own funds might not be available for group use due to regulatory or other restrictions. This form identifies any solo own funds by category that are not available for group use. Own Funds - Reporting There are 11 solo financial reports in the Workspace Explore 13_OF folder: OF-B1-Solo-Summary - This report is used for quarterly reporting and also provides the summary for annual reporting. OF-B1-Solo-Details-01 to OF-B1-Solo-Details-10 - These reports provide the additional detail for annual reporting. For each report, select the appropriate scenario, year, period and entity from the POV bar. The reports can be displayed in HTML format and then printed to PDF for formatted reporting. Variance Analysis There are currently no data forms for Variance Analysis pending clarification from EIOPA. Solvency Capital Requirements (SCR) - Review There are ten data forms in the document management folder 15_SCR folder. 01_SCR_B2A (SCR-B2A) This form provides information for the Standard Model, Standard Model with USP and Partial Internal Model. Linked forms provide further details that comprise the summary information. The SCR-B2A links to the SCR-B2B and also to all of the SCR-B3<n> forms. Select the Model from the POV bar to view data for the different models. Note that unless otherwise specified, all source data is entered to Standard Model and is copied to Standard Model With USP and to Partial Internal Model. Note that where the data cell displays a blue triangle in the upper left corner (for all diversification calculations for example), additional information is provided in Cell Text. Select the cell, select Cell Text from the right-click menu and then click on the expand button (+) to view the details provided. The cell text window may need to be expanded to display properly. 02_SCR_B2B (SCRB2B) This form provides information for the Partial Internal Model where the risk categories differ from the Standard Model calculations. This form is valid for Partial Internal Model only. The Net and Gross SCR values calculated in the SCR-B2B carry forward into the SCR-B2A on a single line. For any standard risk categories included in the SCR-B2B, those standard risk categories will display no data in the SCR-B2A. Administration / User Guide Page 12

13 03_SCR_B2C (SCR-B2C) This form provides information for the Full Internal Model. Data for each Internal Model risk category is calculated externally and entered to the SCR-B2C for reporting purposes. 11_SCR_B3A (SCR-B3A) This form provides detailed information for the Market Risk category. To enter intercompany data, open the linked form for each required row. 12_SCR_B3B (SCR-B3B) This form provides detailed information for the Counter-Party Risk category. To enter intercompany data, open the linked form for each required row. 13_SCR_B3C (SCR-B3C) This form provides detailed information for the Life Underwriting Risk category. To enter intercompany data, open the linked form for each required row. 14_SCR_B3D (SCR-B3D) This form provides detailed information for the Health Underwriting Risk category. To enter intercompany data, open the linked form for each required row. 15_SCR_B3E (SCR-B3E) This form provides detailed information for the Non-Life Underwriting Risk category. To enter intercompany data, open the linked form for each required row. 16_SCR_B3F (SCR-B3F) This form provides detailed information for the Non-Life and Health Catastrophe Risk categories. 17_SCR_B3G (SCR-B3G) This form provides detailed information for the Operational Risk category. To enter intercompany data, open the linked form for each required row. Solvency Capital Requirements (SCR) - Reporting There are 13 financial reports in the Workspace Explore 15_SCR folder, four for the SCR-B3F schedule and one for each remaining schedule. For each report, select the appropriate scenario, year, period, entity and model from the POV bar. The reports can be displayed in HTML format and then printed to PDF for formatted reporting. Minimum Capital Requirements (MCR) - Review There is one form in the document management folder 16_MCR. MCR_B4 (MCR-B4A, MCR-B4B) This form provides information on the calculation of Minimum Capital Requirements. The form will display the Life and Non-Life columns based on the Undertaking Type settings previously entered during the configuration phase. If the undertaking is a composite insurance company, all columns will be displayed, otherwise either the Life or Non-Life columns only will be displayed. Note that where the data cell displays a blue triangle in the upper left corner, additional information is provided in Cell Text. Select the cell, select Cell Text from the right-click menu and then click on the Administration / User Guide Page 13

14 expand button (+) to view the details provided. The cell text window may need to be expanded to display properly. Minimum Capital Requirements (MCR) - Reporting There is one financial report in the Workspace Explore 16_MCR folder: MCR-B4 Select the appropriate scenario, year, period and entity from the POV bar. The report will display Life and Non-Life columns for a composite entity, but either Life only columns or Non-Life only columns for non-composite entities. The report can be displayed in HTML format and then printed to PDF for formatted reporting. Technical Provisions - Review There are fifteen forms in the document management folder 17_TP. Note that Technical Provision schedules TP3, TP3A and TP3B are processed in FDM. 01_TP_F1Q_Life (TP-F1Q) This form provides information on quarterly Life technical provisions by LOB. 02_TP_F1Q_Health (TP-F1Q) This form provides information on quarterly Health (Similar to Life) technical provisions by LOB. 03_TP_F1_Life (TP-F1) This form provides information on annual Life technical provisions by LOB. 04_TP_F1_Health (TP-F1) This form provides information on annual Health (Similar to Life) technical provisions by LOB. 05_TP_F2 (TP-F2) This form provides information on future estimated cash flows for Life insurance policies by LOB. 06_TP_F4 (TP-F4) This form provides information on annuities stemming from Non-Life insurance obligations. 11_TP_E1Q (TP-E1Q) This form provides information on quarterly Non-Life technical provisions. 12_TP_E1 (TP-E1) This form provides information on annual Non-Life technical provisions. 13_TP_E1_Additional (TP-E1) This form provides information on quarterly Non-Life technical provisions. 14_TP_E2 (TP-E2) This form provides information on future estimated cash flows for Non-Life insurance policies. 15_TP_E3 (TP-E3) This form provides information on Non-Life insurance claims information. Select the claims information category and the LOB from the POV bar. Administration / User Guide Page 14

15 16_TP_E4 (TP-E4) This form provides information on Reported but not Settled (RBNS) claims by LOB. Select the LOB from the POV bar. 17_TP_E6 (TP-E6) This form provides information on the Non-Life Loss Distribution Profile by LOB. 18_TP_E7A (TP-E7A) This form provides information on Peak Underwriting Risks. 19_TP_E7B (TP-E7B) This form provides information on Mass Underwriting Risks. Technical Provisions - Reports There are eleven financial reports in the Workspace Explore 17_TP folder: TP-F1-Health, TP-F1-Life, TP-F1Q-Health, TP-F1Q-Life, TP-F2, TP-F4, TP-E1, TP-E1Q, TP-E2, TP-E3, TP-E4, TP-E6, TP-F7A, TP-F7B For each report, select the appropriate scenario, year, period, entity and model from the POV bar. Depending on the report, the Line of Business (LOB) must also be selected in the POV. The reports can be displayed in HTML format and then printed to PDF for formatted reporting. Reinsurance - Review There are five sets of data forms in the document management folder 18_Re. 01_Re_J1_NonLife (Re-J1) This form provides information on the ten most important Non-Life risks in terms of reinsured exposure by LOB. 02_Re_J1_Life (Re-J1) This form provides information on the ten most important Life risks in terms of reinsured exposure by LOB. 03_Re_J2 (Re-J2) This form provides information on the Outgoing Reinsurance Program in the next reporting year. 04_Re_J3 (Re-J3) This form provides information on the Share of Reinsurers. 05_Re_SPV (Re-SPV) This form provides information on the Special Purpose Insurance Vehicles. Reinsurance - Reports There are five financial reports in the Workspace Explore 18_Re folder: Re-J1-Life, Re-J1-NonLife, Re-J2, Re-J3, Re-SPV For each report, select the appropriate scenario, year, period, entity and model from the POV bar. The reports can be displayed in HTML format and then printed to PDF for formatted reporting. Administration / User Guide Page 15

16 Financial Stability Financial Stability data consists of data drawn from other schedules plus some additional data. There is also a requirement to enter a limited amount of data for non-insurance companies in the scope of the group reporting. There are two data forms in the document management folder 10_FS. 01_FS_1 (FS-1) This form provides information on Financial Stability that is not provided elsewhere. 02_Non_Insurance (data entry for G03) This form provides information for non-insurance companies required for group reporting. Validating Solo Data After the solo data has been calculated, reviewed and corrected as required, the validations can be reviewed. If there are any errors in the validation process, detailed information regarding the error is presented in cell text. There are six data forms in the 98_Validation_Local folder. 01_Validations This form provides a summary of validations and links to additional forms providing further detail. 02_Validations_DataEntry This form provides summary validation information on regular data entry and correlation factor entry. It is assumed that unless specifically identified by the administrator, all regular data is entered as a positive value and all correlation factors must be in the range from -1 to +1. Cell Text provides the details of the erroneous data-points. 03_Validations_BS This form provides information on Balance Sheet validation checks (assets details from the Assets schedules vs. the matching Balance Sheet account). 04_Validations_OF This form provides information on Own Funds validation check (matching the totals of the multiple sets of alternative details entered). SCRCorr_Validate This form provides a summary of the errors found in correlation factor data entry. Links are provided to view specific errors. SCRCorr_ValidateTable This form is linked to from the SCRCorr_Validate form and opens the relevant correlation table. Correcting Validation Errors If errors are identified during the validation process, these errors should be corrected before the data is finalized and submitted. After correcting the errors, re-review the validation forms to ensure that all of the data is properly validated. Administration / User Guide Page 16

17 Sign Off and Submit Solo Reports After all data has been reviewed and validated, you may be required to sign off on the data by submitting through HFM Process Control. Once signed off and approved, report as required. For release of QMR, Financial Reports are used for reporting. Future releases of QMR will support XBRL reporting. Submitting Group Data After the solo data is reviewed and submitted, you run a consolidation to consolidate it into group data. You then review and submit this group data to group regulators. To review and submit group data, you follow this task flow: 1. The group administrator loads the following group data from the source system into FDM. Intra-group transactions (IGT) Risk Concentration 2. The data in FDM is validated, reviewed, and reported on. 3. The remaining group schedules are reviewed and reported on in HFM. These include consolidated versions of: Financial Stability Reporting (FS1) Balance Sheet Reporting (BS) Solvency Capital Requirements (SCR) Own Funds (OF) Group Reporting 4. After the group data is reviewed and validated, it is submitted to the group regulators via Financial Reporting reports. Future releases of QMR will support the XBRL format. Loading Group Data from Source Systems into FDM Data file format For each set of schedules for which reporting is completed in FDM, there is a standard import file format. For example, all IGT schedules use a single tilde-delimited format specific to IGT schedules. The Intra-group transactions (IGT) schedules use an IGT format and the Risk Concentration RC) schedule has its own format. Note that Assets schedules submitted by group are the same as the solo schedules submitted by the group holding company. The QMR application provides sample data files with the required tilde-delimited formats. In each of these files, the first row highlights the headings of the columns. Different columns need to be populated for different schedules within each category. For instance, IGT1 will require that column 13 be populated Transaction Amount. IGT2 will require that column 21 be populated for Value At Report Date. Administration / User Guide Page 17

18 You can review what data is required for each schedule by reviewing the Import format screen in the FDM Web client (MetaData -> Import Format). Importing Data Once you have a data file completed for a particular schedule, you can import the data into FDM for review and reporting. Open and log in to FDM Web client. o EPM -> FDM -> Web Server Components -> Web logon. Click Workflow -> Import. Select the correct location in the POV bar at the bottom of the screen. Remember that there is one location for each schedule for each group entity. Select Upload File. Browse to the required file. Select between Replace / Append and click Import. During the import process, FDM will run validations to ensure data quality. If validation errors occur, a report will be displayed showing all errors and each source record that failed to upload. All records that passed the validation checks will be imported. The data file should be corrected and re-imported until all validation errors are cleared. During subsequent loads, previous validation errors will display. In order to clear the previous validation error messages, complete the following procedure before re-importing: Click Analysis -> Log. Click the Delete button. Specify the current date and all prior log entries will be deleted. Running reports Once data has been validated and imported, QRT reports can be generated. To generate the QRT reports complete the following steps: Open and log in to FDM Web client. o EPM -> FDM -> Web Server Components -> Web logon. Click Analysis -> Report. Select Quantitative Management Reporting for Solvency II from the drop down. Select the output format. Select the correct location in the POV bar below (e.g. QMR-LE01-Assets-D1). Double click a report or select a report and click the Publish button. Select the FDM Data Category, select the Accounting Period and click OK to run the report. QMR provides reports in five languages; English (EN), German (DE) Spanish (ES), French (FR) and Dutch (NL). To view the reports in the required language: Select Tools -> User Setting. Select the required language. Administration / User Guide Page 18

19 Return to Analysis -> Report and you will see report group for the selected language. Consolidating Solo Data in HFM After solo data is submitted in HFM, the group user must consolidate the data. A consolidation can be invoked from any data entry form, ad-hoc grid or the Process Control screen. Whenever solo data is updated, the group data must be re-consolidated. It is recommended that the Consolidate All consolidation option never be used. This may cause future consolidations to be more time-consuming. Select the Consolidate option to update only those solo entities for which data has changed. Select Consolidate All With Data to re-consolidate all entities for which data has been loaded. The Consolidate All With Data option should only be necessary if global data such as exchange rates have been changed and all solo data needs to be retranslated. Reviewing and Reporting on Group Data in HFM Review and report on the group consolidated data using data forms and financial reports after solo data is consolidated to group. Balance Sheet - Review There are four data forms in the document management 11_BS folder. These forms are the same as are used for solo review. The Solvency II group balance sheet data is consolidated from the solo balance sheet data reviewed and reported upon for each solo entity. Statutory balance sheet data is either entered and reviewed directly at group or entered at solo and consolidated. If statutory balance sheet data is entered at group level then data entry will be enabled when a group entity is selected in the POV. Balance Sheet - Reports Refer to solo Balance Sheet reports. Own Funds - Review There are three group data forms in the 13_OF folder. 03_OF_B1_GQ (OF-B1Q Group Quarterly) This form provides quarterly Own Funds (Owner s Equity) information for group entities based on consolidated solo Own Funds and must balance to the Net Assets in the Balance Sheet. 04_OF_B1_GA (OF-B1A Group Annual) This form provides annual Own Funds (Owner s Equity) information for group entities based on consolidated solo Own Funds and must balance to the Net Assets in the Balance Sheet. Additional information such as movements, tier details and transactional details (also consolidated from solo entry) are displayed in linked forms. 05_OF_B1_NonAvail (OF-B1A Group Annual Non-Available Funds) Solo own funds might not be available for group use due to regulatory or other restrictions. This form identifies any solo own funds by category that are not available for group use on an entity-by-entity basis. Own Funds - Reports There are 11 solo financial reports in the Workspace Explore 13_OF folder: Administration / User Guide Page 19

20 OF-B1-Group-Summary - This report is used for quarterly reporting and also provides the summary for annual reporting. OF-B1-Group-Details-01 to OF-B1-Group-Details-11 - These reports provide the additional detail for annual reporting. For each report, select the appropriate scenario, year, period and entity from the POV bar. The reports can be displayed in HTML format and then printed to PDF for formatted reporting. Solvency Capital Requirements (SCR) - Review There are ten data forms in the document management folder 15_SCR folder. These forms are the same as are used for solo review. The source solo data (such as Assets Before Shock / Liabilities Before Shock) are consolidated from solo to group and the SCR calculations are rerun in order to report group as solo. Simplification entries from solos that use simplification are merged with the more detailed data from solos not using simplification. USP entries entered by solos for Premium and Reserve Risk Standard Deviation / Adjustments are not re-used at group. Any Premium and Reserve Risk USPs to be applied at group must be entered at group. The exceptions to the consolidation of solo source data are for Deduction and Aggregation (D&A) solo entities. Based on the consolidation method assigned to the solo entity, the final calculated Net SCR for any D&A solo entity is consolidated as a single value directly to the SCR-B2A schedule. Two lines are provided on the SCR-B2A form, one for D&A entities subject to Article 4 and one line for those D&A entities not subject to Article 4. A linked form is available to identify each of the D&A entities reported on the relevant lines. At group level the source D&A entity is recorded in the intercompany dimension. Solvency Capital Requirements (SCR) - Reports Refer to solo SCR reports. Group - Review There are five Group data forms in the document management folder 21_Group. Most of the data for these schedules are consolidated from solo data entry but there are some entries required at group. 01_Group_G01 (G01) This form provides information on Undertakings in the scope of the group. This information is compiled from consolidated solo data and entity-specific information stored in the entity User Defined fields. 02_Group_G03 (G03) This form provides information on (Re)insurance Solo requirements. This information is compiled from consolidated solo data and entity-specific information stored in the entity User Defined fields. 03_Group_G04 (G04) This form provides information on other regulated entities including holding companies. Administration / User Guide Page 20

21 This information is compiled from consolidated solo data and entity-specific information stored in the entity User Defined fields. 04_Group_G14 (G14) This form provides information on solo contributions to group technical provisions. This information is compiled from consolidated solo data and entity-specific information stored in the entity User Defined fields. 05_Group_G20 (G20) This form provides information on the solo Deduction and Aggregation contribution to Group SCR. This information is compiled from consolidated solo data and entity-specific information stored in the entity User Defined fields. Group - Reports There are five financial reports in the Workspace Explore 21_Group folder: G01, G03, G04, G14, G20 For each report, select the appropriate scenario, year, period and entity from the POV bar. The reports can be displayed in HTML format and then printed to PDF for formatted reporting. Signing Off and Submitting Group Data After the data has been validated, you sign off on the data and submit it to the regulators who are responsible for group data. For this release of QMR, you submit the data by using Financial Reporting documents. Future releases of QMR will support creating XBRL versions of the reports. Administration / User Guide Page 21

22 Glossary General Terms Term BTS CEIOPS EIOPA EPIFP IFRS IORP MCR QRT RSR SCR SFCR Definition SI Solvency I. SII SLT SPV Binding Technical Standards Committee of European Insurance and Occupational Pensions Supervisors. European Insurance and Occupational Pensions Authority: EIOPA is the new European authority replacing CEIOPS. The proposals over EIOPA s powers are being debated, but in general EIOPA will be given more power to enforce prudential standards through the development of Binding Technical Standards. Expected profit in future premiums International Financial Reporting Standards: principles-based standards, interpretations and the framework adopted by the International Accounting Standards Board (IASB). Institutions for Occupational Retirement Provision. Minimum Capital Requirement: Key quantitative capital requirement defined in the Solvency II Directive. The MCR is the lower of the two capital levels required in Solvency II and provides an approximate 1 in 6 year level of protection. Quarterly Reporting Template. Report to Supervisors: A report submitted solely to the supervisor and contains the information considered necessary for the purposes of supervision. Solvency Capital Requirement: Key quantitative capital requirement defined in the Solvency II Directive. The SCR is the higher of the two capital levels required in Solvency II and provides an approximate 1 in 200 year level of protection. Solvency and Financial Condition Report: This is the public disclosure report which is required to be published annually by all undertakings and will contain detailed quantitative and qualitative elements. Solvency II. Similar to life. Special Purpose Vehicle. Administration / User Guide Page 22

23 Technical Terms Term Best estimate Best estimate liability Business risk Catastrophe risk Claims risk Compliance risk Concentration risk Cost of capital approach Credit risk Default risk Diversification Economic balance sheet Equity risk European embedded value Definition The probability-weighted average also referred to the mean. The estimation process is unbiased and based on all currently available information including information of currently observable trends, but excluding effects from events not yet occurred. The expected or mean value (probability weighted average) of the present value of future cash flows for current obligations, projected over the contract s run-off period, taking into account all up-to-date financial market and actuarial information. Unexpected changes to the legal conditions to which insurers are subject, changes in the economic and social environment, as well as changes in business profile and the general business cycle. The risk that a single event, or series of events, of major magnitude, usually over a short period (often 72 hours), leads to a significant deviation in actual claims from the total expected claims. An underwriting risk. A change in value caused by ultimate costs for full contractual obligations (claims without administration costs) varying from those assumed when these obligations were estimated. The risk of legal or regulatory sanctions resulting in a financial loss, or loss of reputation as a result of an insurer s failure to comply with laws, regulations, rules, related self-regulatory organisation standards, and codes of conduct. The exposure to increased losses associated with inadequately diversified portfolios of assets and/or obligations An approximation through which a risk margin is determined based on the present value of the cost of capital charge for all future capital requirements until run-off. The risk of a change in value due to actual credit losses deviating from expected credit losses due to the failure to meet contractual debt obligations. The risk of a change in value caused by the fact that actual default rates deviate from expected default rates with respect to non-payment of interest or principle. Reduction in risks among assets and/or obligations of an institution by accumulating risks that are not fully correlated in an aggregated risk position, for example, the aggregated amount of risks within a product portfolio or at a company level is smaller compared to the simple addition of the individual risks. Balance sheet statement based on one of those accounting approaches using market-consistent values for all current assets and current obligations relating to in-force business, including off-balance sheet items. The risk of a change in value caused by deviations of the actual market values of equities and/or income from equities from their expected values. A method for calculating the embedded value according to the principles and guidelines set by the CFO Forum. Administration / User Guide Page 23

24 Term Financial group Foreign exchange risk Fungible capital Health insurance Hedgeable risk Inflation risk Internal model Liquidity risk Longevity risk Market risk Market-consistent valuation Mark-to-market valuation Morbidity risk Mortality risk Non-SLT Definition A group of undertakings deploying financial activities, which consists of a parent undertaking, its subsidiaries, and the entities in which the parent undertaking or its subsidiaries hold a significant participation. Or, undertakings linked to each other by a relationship subject to conditions defined in EU law. The risk of a change in value caused by the fact that actual foreign currency exchange rates differ from those expected. That part of the capital of a group which can be transferred between different legal entities of the group. Generic term applying to all types of insurance indemnifying or reimbursing for losses (e.g.. loss of income) caused by illness or disability, or for expenses of medical treatment necessitated by illness or disability. A risk associated with an asset or an obligation that can be effectively neutralised by buying or selling a market instrument (or engaging in a contract with a third party in an arms length transaction under normal business conditions), whose value is expected to change so as to offset the change in value of the asset or liability caused by the presence of the risk. The risk of a change in value caused by a deviation of the actual marketconsistent value of assets and/or liabilities from their expected value, due to inflation, for example, price inflation, wage inflation, etc., leading to an unanticipated change in insurance cost and/or impact of an insurance contract, for example, with respect to contract limits. Risk management system of an insurer for the analysis of the overall risk situation of the insurance undertaking, to quantify risks and/or to determine the capital requirement on the basis of the company specific risk profile. The risk stemming from the lack of marketability of an investment that cannot be bought or sold quickly enough to prevent or minimize a loss Type of biometric risk. A change in value caused by the actual mortality rate being lower than the one expected. The risk of changes in values caused by market prices or volatilities of market prices differing from their expected values. The practise of valuing assets and liabilities on market values where observable with a given quality (mark-to-market), where not, on marketconsistent valuation techniques (mark-to-model). The practice of valuing insurance rights and obligations, or more broadly security and financial instruments, using current market prices. Type of biometric risk. A change of value caused by the actual disability and illness rates of the persons insured deviating from the ones expected. Type of biometric risk. A change in value caused by the actual mortality rate being higher than the one expected. Health type business which is not treated as life business. Administration / User Guide Page 24