Quantitave reporting templates Appendix SFCR Schade. jij, je pensioen en

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1 Quantitave reporting templates 2016 Appendix SFCR Schade jij, je pensioen en

2 Inhoud Balance sheet Non-Life Life... 6 Home Country - non-life obligations Total Top 5 and home country - non-life obligations Home Country - life obligations Life and Health SLT Technical Provisions Non-Life Technical Provisions Gross Claims Paid (non-cumulative) Gross undiscounted Best Estimate Claims Provisions Impact of long term measures and transitionals Own funds Reconciliation reserve Basic Solvency Capital Requirement Calculation of Solvency Capital Requirement Linear formula component for non-life and re obligations Linear formula component for life and re obligations Total capital at risk for all life (re) obligations Overall MCR calculation Quantitave reporting templates Loyalis Schade NV 2

3 S Balance sheet Assets Solvency II value C0010 Statutory accounts value C0020 Goodwill R Deferred acquisition costs R Intangible assets R Deferred tax assets R Pension benefit surplus R Property, plant & equipment held for own use R Investments (other than assets held for index-linked and unitlinked contracts) R Property (other than for own use) R Holdings in related undertakings, including participations R Equities R Equities - listed R Equities - unlisted R Bonds R Government Bonds R Corporate Bonds R Structured notes R Collateralised securities R Collective Investments Undertakings R Derivatives R Deposits other than cash equivalents R Other investments R Assets held for index-linked and unit-linked contracts R Loans and mortgages R Loans on policies R Loans and mortgages to individuals R Other loans and mortgages R Re recoverables from: R Non-life and health similar to non-life R Non-life excluding health R Health similar to non-life R Life and health similar to life, excluding health and indexlinked and unit-linked R Health similar to life R Life excluding health and index-linked and unit-linked R Life index-linked and unit-linked R Deposits to cedants R Insurance and intermediaries receivables R Re receivables R Receivables (trade, not ) R Own shares (held directly) R Amounts due in respect of own fund items or initial fund called up but not yet paid in R Cash and cash equivalents R Quantitave reporting templates Loyalis Schade NV 3

4 S Balance sheet Solvency II value C0010 Statutory accounts value C0020 Any other assets, not elsewhere shown R Total assets R Liabilities Technical provisions non-life R Technical provisions non-life (excluding health) R Technical provisions calculated as a whole R Best Estimate R Risk margin R Technical provisions - health (similar to non-life) R Technical provisions calculated as a whole R Best Estimate R Risk margin R Technical provisions - life (excluding index-linked and unitlinked) R Technical provisions - health (similar to life) R Technical provisions calculated as a whole R Best Estimate R Risk margin R Technical provisions life (excluding health and index-linked and unit-linked) R Technical provisions calculated as a whole R Best Estimate R Risk margin R Technical provisions index-linked and unit-linked R Technical provisions calculated as a whole R Best Estimate R Risk margin R Other technical provisions R Contingent liabilities R Provisions other than technical provisions R Pension benefit obligations R Deposits from reinsurers R Deferred tax liabilities R Derivatives R Debts owed to credit institutions R Financial liabilities other than debts owed to credit institutions R Insurance & intermediaries payables R Re payables R Payables (trade, not ) R Subordinated liabilities R Subordinated liabilities not in Basic Own Funds R Subordinated liabilities in Basic Own Funds R Any other liabilities, not elsewhere shown R Total liabilities R Excess of assets over liabilities R Quantitave reporting templates Loyalis Schade NV 4

5 S Non-Life Premiums written Medical expense Income protection Workers compensation Line of Business for: non-life and re obligations (direct business and accepted proportional re) Line of Business for: accepted non-proportional re Total Motor vehicle liability Other motor Marine, aviation and transport Fire and other damage to property General liability Credit and suretyship Legal expenses Assistance Miscellaneous financial loss Health Casualty C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0120 C0130 C0140 C0150 C0160 C0200 Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers share R Net R Premiums earned Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers share R Net R Claims incurred Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers share R Net R Changes in other technical provisions Gross - Direct Business R Gross - Proportional re accepted R Gross - Non- proportional re accepted R Reinsurers share R Net R Expenses incurred R Administrative expenses Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers share R Net R Investment management expenses Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers share R Net R Claims management expenses Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers share R Net R Acquisition expenses Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers share R Net R Overhead expenses Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers share R Net R Other expenses R Total expenses R Marine, aviation, transport Property Quantitave reporting templates Loyalis Schade NV 5

6 S Life Premiums written Health Insurance with profit participation Line of Business for: life obligations Life re obligations Total Index-linked and unit-linked Other life Annuities stemming from non-life contracts and relating to health obligations Annuities stemming from non-life contracts and relating to obligations other than health obligations Health re Life re C0210 C0220 C0230 C0240 C0250 C0260 C0270 C0280 C0300 Gross R Reinsurers' share R Net R Premiums earned Gross R Reinsurers' share R Net R Claims incurred Gross R Reinsurers' share R Net R Changes in other technical provisions Gross R Reinsurers' share R Net R Expenses incurred R Administrative expenses Gross R Reinsurers' share R Net R Investment management expenses Gross R Reinsurers' share R Net R Claims management expenses Gross R Reinsurers' share R Net R Acquisition expenses Gross R Reinsurers' share R Net R Overhead expenses Gross R Reinsurers' share R Net R Other expenses R2500 Total expenses R Total amount of surrenders R2700 Quantitave reporting templates Loyalis Schade NV 6

7 S Home Country - non-life obligations Premiums written Home country C0080 Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers' share R Net R Premiums earned Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers' share R Net R Claims incurred Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers' share R Net R Changes in other technical provisions Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers' share R Net R Expenses incurred R Other expenses Total expenses R1200 R1300 Quantitave reporting templates Loyalis Schade NV 7

8 S Total Top 5 and home country - non-life obligations Premiums written Total Top 5 and home country C0140 Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers' share R Net R Premiums earned Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers' share R Net R Claims incurred Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers' share R Net R Changes in other technical provisions Gross - Direct Business R Gross - Proportional re accepted R Gross - Non-proportional re accepted R Reinsurers' share R Net R Expenses incurred R Other expenses R Total expenses R Quantitave reporting templates Loyalis Schade NV 8

9 S Home Country - life obligations Premiums written Home country C0220 Gross R Reinsurers' share R Net R Premiums earned Gross R Reinsurers' share R Net R Claims incurred Gross R Reinsurers' share R Net R Changes in other technical provisions Gross R Reinsurers' share R Net R Expenses incurred R Other expenses Total expenses R2500 R2600 Quantitave reporting templates Loyalis Schade NV 9

10 S Life and Health SLT Technical Provisions Technical provisions calculated as a whole Total Recoverables from re/spv and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole Technical provisions calculated as a sum of BE and RM Best Estimate Gross Best Estimate Total recoverables from re/ SPV and Finite Re before the adjustment for expected losses due to counterparty default Recoverables from re (except SPV and Finite Re) before adjustment for expected losses Recoverables from SPV before adjustment for expected losses Recoverables from Finite Re before adjustment for expected losses Total Recoverables from re/ SPV and Finite Re after the adjustment for expected losses due to counterparty default Insurance with profit participation Index-linked and unit-linked Other life Annuities stemming from non-life contracts and relating to obligation other than health Contracts without options and Contracts with options or Contracts without options and Contracts with options or obligations Insurance with profit participation Accepted re Index-linked and unit-linked Other life Annuities stemming from non-life accepted contracts and relating to obligation other than health obligations Total (Life other than health, incl. Unit-Linked) Health (direct business) C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0120 C0130 C0140 C0150 C0160 C0170 C0180 C0190 C0200 C0210 R R0020 R R R R R R Contracts without options and Contracts with options or Annuities stemming from non-life contracts and relating to health obligations Health re (re accepted) Total (Health similar to life ) Quantitave reporting templates Loyalis Schade NV 10

11 S Life and Health SLT Technical Provisions Best estimate minus recoverables from re/spv and Finite Re Insurance with profit participation Index-linked and unit-linked Other life Annuities stemming from non-life contracts and relating to obligation other than health Contracts without options and Contracts with options or Contracts without options and Contracts with options or obligations Insurance with profit participation Accepted re Index-linked and unit-linked Other life Annuities stemming from non-life accepted contracts and relating to obligation other than health obligations Total (Life other than health, incl. Unit-Linked) Health (direct business) C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0120 C0130 C0140 C0150 C0160 C0170 C0180 C0190 C0200 C0210 R Risk Margin R Amount of the transitional on Technical Provisions Technical Provisions calculated as a whole Best estimate Risk margin Technical provisions - total Technical provisions minus recoverables from re/spv and Finite Re - total Best Estimate of products with a surrender option Gross BE for Cash flow Cash out-flows Future guaranteed and discretionary benefits Future guaranteed benefits Future discretionary benefits Future expenses and other cash out-flows Cash in-flows R0110 R0120 R0130 R R R R R R R Future premiums R Other cash inflows Percentage of gross Best Estimate calculated using approximations R R Surrender value R Contracts without options and Contracts with options or Annuities stemming from non-life contracts and relating to health obligations Health re (re accepted) Total (Health similar to life ) Quantitave reporting templates Loyalis Schade NV 11

12 S Life and Health SLT Technical Provisions Best estimate subject to transitional of the interest rate Technical provisions without transitional on interest rate Best estimate subject to volatility adjustment Technical provisions without volatility adjustment and without others transitional measures Best estimate subject to matching adjustment Technical provisions without matching adjustment and without all the others R0310 R0320 Insurance with profit participation Index-linked and unit-linked Other life Annuities stemming from non-life contracts and relating to obligation other than health Contracts without options and Contracts with options or Contracts without options and Contracts with options or obligations Insurance with profit participation Accepted re Index-linked and unit-linked Other life Annuities stemming from non-life accepted contracts and relating to obligation other than health obligations Total (Life other than health, incl. Unit-Linked) Health (direct business) C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0120 C0130 C0140 C0150 C0160 C0170 C0180 C0190 C0200 C0210 R R R0350 R0360 Contracts without options and Contracts with options or Annuities stemming from non-life contracts and relating to health obligations Health re (re accepted) Total (Health similar to life ) Quantitave reporting templates Loyalis Schade NV 12

13 S Non-Life Technical Provisions Medical expense Income protection Workers compensation Motor vehicle liability Direct business and accepted proportional re accepted non-proportional re Non-proportional Total Non-Life obligation Marine, aviation Fire and other Credit and Non-proportional marine, aviation Non-proportional Other motor and transport damage to property General liability suretyship Legal expenses Miscellaneous Non-proportional casualty and transport property Assistance financial loss health re re re re C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0120 C0130 C0140 C0150 C0160 C0170 C0180 Technical provisions calculated as a whole R Direct business R Accepted proportional re business R Accepted non-proportional re R Total Recoverables from re/spv and Finite Re after the adjustment for expected losses due to counterparty default associated to TP calculated as a whole Technical provisions calculated as a sum of BE and RM Best estimate Premium provisions R0050 Gross - Total R Gross - direct business R Gross - accepted proportional re business R Gross - accepted non-proportional re business Total recoverable from re/spv and Finite Re before the adjustment for expected losses due to counterparty default Recoverables from re (except SPV and Finite Re) before adjustment for expected losses Recoverables from SPV before adjustment for expected losses Recoverables from Finite Re before adjustment for expected losses Total recoverable from re/spv and Finite Re after the adjustment for expected losses due to counterparty default R R R R R R Net Best Estimate of Premium Provisions R Claims provisions Gross - Total R Gross - direct business R Gross - accepted proportional re business R Gross - accepted non-proportional re business Total recoverable from re/spv and Finite Re before the adjustment for expected losses due to counterparty default Recoverables from re (except SPV and Finite Re) before adjustment for expected losses Recoverables from SPV before adjustment for expected losses Recoverables from Finite Re before adjustment for expected losses Total recoverable from re/spv and Finite Re after the adjustment for expected losses due to counterparty default R R R R R R Net Best Estimate of Claims Provisions R Total Best estimate - gross R Total Best estimate - net R Risk margin R Quantitave reporting templates Loyalis Schade NV 13

14 S Non-Life Technical Provisions Amount of the transitional on Technical Provisions TP as a whole R0290 Best estimate R0300 Risk margin R0310 Technical provisions - total Medical expense Income protection Workers compensation Motor vehicle liability Direct business and accepted proportional re accepted non-proportional re Non-proportional Total Non-Life obligation Marine, aviation Fire and other Credit and Non-proportional marine, aviation Non-proportional Other motor and transport damage to property General liability suretyship Legal expenses Miscellaneous Non-proportional casualty and transport property Assistance financial loss health re re re re Technical provisions - total R Recoverable from re contract/spv and Finite Re after the adjustment for expected losses due to counterparty default - total Technical provisions minus recoverables from re/spv and Finite Re- total Line of Business: further segmentation (Homogeneous Risk Groups) Premium provisions - Total number of homogeneous risk groups Claims provisions - Total number of homogeneous risk groups Cash-flows of the Best estimate of Premium Provisions (Gross) Cash out-flows R R R R Future benefits and claims R Future expenses and other cash-out flows R Cash in-flows Future premiums R Other cash-in flows (incl. Recoverable from salvages and subrogations) Cash-flows of the Best estimate of Claims Provisions (Gross) Cash out-flows R Future benefits and claims R Future expenses and other cash-out flows R Cash in-flows Future premiums R Other cash-in flows (incl. Recoverable from salvages and subrogations) Percentage of gross Best Estimate calculated using approximations Best estimate subject to transitional of the interest rate Technical provisions without transitional on interest rate R R R0460 R0470 Best estimate subject to volatility adjustment R Technical provisions without volatility adjustment and without others transitional measures R Quantitave reporting templates Loyalis Schade NV 14

15 S (2) Gross Claims Paid (non-cumulative) Line of business Z0010 Income protection [direct business and accepted proportional re] {s2c_lb:x52} Accident year / Underwriting year Z0020 Currency Z0030 EUR {s2c_cu:eur} Underwriting year [UWY] {s2c_am:x88} Currency conversion Z0040 Expressed in currency of denomination (not converted to reporting currency) {s2c_ca:x1} - 1,00 2,00 3,00 4,00 5,00 6,00 7,00 8,00 9,00 10,00 11,00 12,00 13,00 14,00 15 & + C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 C0120 C0130 C0140 C0150 C0160 Prior R N-14 R N-13 R N-12 R N-11 R N-10 R N-9 R N-8 R N-7 R N-6 R N-5 R N-4 R N-3 R N-2 R N-1 R N R Quantitave reporting templates Loyalis Schade NV 15

16 S (2) Gross undiscounted Best Estimate Claims Provisions Line of business Z0010 Income protection [direct business and accepted proportional re] {s2c_lb:x52} Accident year / Underwriting year Z0020 Currency Z0030 EUR {s2c_cu:eur} Currency conversion Z0040 Underwriting year [UWY] {s2c_am:x88} Expressed in currency of denomination (not converted to reporting currency) {s2c_ca:x1} - 1,00 2,00 3,00 4,00 5,00 6,00 7,00 8,00 9,00 10,00 11,00 12,00 13,00 14,00 15 & + C0200 C0210 C0220 C0230 C0240 C0250 C0260 C0270 C0280 C0290 C0300 C0310 C0320 C0330 C0340 C0350 Prior R ,71 N-14 R N-13 R N-12 R N-11 R N-10 R N-9 R N-8 R N-7 R N-6 R N-5 R N-4 R N-3 R N-2 R N-1 R N R Quantitave reporting templates Loyalis Schade NV 16

17 S Impact of long term measures and transitionals Amount with Long Term Guarantee measures and transitionals Without transitional on technical provisions Impact of transitional on technical provisions Without transitional on interest rate Impact of the LTG measures and transitionals (Step-by-step approach) Impact of transitional on interest rate Without volatility adjustment and without other transitional measures Impact of volatility adjustment set to zero Without matching adjustment and without all the others Impact of matching adjustment set to zero Impact of all LTG measures and transitionals C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 Technical provisions R Basic own funds R Excess of assets over liabilities R Restricted own funds due to ringfencing and matching portfolio Eligible own funds to meet Solvency Capital Requirement R R Tier 1 R Tier 2 R Tier 3 R Solvency Capital Requirement R Eligible own funds to meet Minimum Capital Requirement R Minimum Capital Requirement R Quantitave reporting templates Loyalis Schade NV 17

18 S Own funds Basic own funds before deduction for participations in other financial sector as foreseen in article 68 of Delegated Regulation 2015/35 Total Tier 1 - unrestricted Tier 1 - restricted Tier 2 Tier 3 C0010 C0020 C0030 C0040 C0050 Ordinary share capital (gross of own shares) R Share premium account related to ordinary share capital R Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings R Subordinated mutual member accounts R Surplus funds R Preference shares R Share premium account related to preference shares R Reconciliation reserve R Subordinated liabilities R An amount equal to the value of net deferred tax assets R Other own fund items approved by the supervisory authority as basic own funds not specified above Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds Deductions R R Deductions for participations in financial and credit institutions R Total basic own funds after deductions R Ancillary own funds Unpaid and uncalled ordinary share capital callable on demand R Unpaid and uncalled initial funds, members' contributions or the equivalent basic own fund item for mutual and mutual - type undertakings, callable on demand R Unpaid and uncalled preference shares callable on demand R A legally binding commitment to subscribe and pay for subordinated liabilities on demand R Letters of credit and under Article 96(2) of the Directive 2009/138/EC R Letters of credit and other than under Article 96(2) of the Directive 2009/138/EC R Supplementary members calls under first subparagraph of Article 96(3) of the Directive 2009/138/ EC Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive 2009/138/EC R R Other ancillary own funds R Total ancillary own funds R Available and eligible own funds Total available own funds to meet the SCR R Total available own funds to meet the MCR R Total eligible own funds to meet the SCR R Total eligible own funds to meet the MCR R SCR R MCR R Ratio of Eligible own funds to SCR R % Ratio of Eligible own funds to MCR R % Quantitave reporting templates Loyalis Schade NV 18

19 S Reconciliation reserve Reconciliation reserve C0060 Excess of assets over liabilities R Own shares (held directly and indirectly) R Foreseeable dividends, distributions and charges R Other basic own fund items R Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring fenced funds R Reconciliation reserve R Expected profits Expected profits included in future premiums (EPIFP) - Life business R Expected profits included in future premiums (EPIFP) - Non-life business R Total Expected profits included in future premiums (EPIFP) R Quantitave reporting templates Loyalis Schade NV 19

20 S Basic Solvency Capital Requirement Article 112 Z0010 No {s2c_ao:x0} Net solvency capital requirement Gross solvency capital requirement Allocation from adjustments due to RFF and Matching adjustments portfolios C0030 C0040 C0050 Market risk R Counterparty default risk R Life underwriting risk R Health underwriting risk R Non-life underwriting risk R Diversification R Intangible asset risk R Basic Solvency Capital Requirement R Quantitave reporting templates Loyalis Schade NV 20

21 S Calculation of Solvency Capital Requirement Article 112 Z0010 No {s2c_ao:x0} Adjustment due to RFF/MAP nscr aggregation Value C0100 Operational risk R Loss-absorbing capacity of technical provisions R Loss-absorbing capacity of deferred taxes R Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC R0120 R Solvency Capital Requirement excluding capital add-on R Capital add-on already set R Solvency capital requirement R Other information on SCR Capital requirement for duration-based equity risk sub-module R0400 Total amount of Notional Solvency Capital Requirements for remaining part R Total amount of Notional Solvency Capital Requirements for ring fenced funds R Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios R0430 Diversification effects due to RFF nscr aggregation for article 304 R0440 Method used to calculate the adjustment due to RFF/MAP nscr aggregation R0450 Net future discretionary benefits R Quantitave reporting templates Loyalis Schade NV 21

22 S Linear formula component for non-life and re obligations MCR components C0010 MCRNL Result R Quantitave reporting templates Loyalis Schade NV 22

23 S Linear formula component for life and re obligations C0040 MCRL Result R Quantitave reporting templates Loyalis Schade NV 23

24 S Total capital at risk for all life (re) obligations Net (of re/ SPV) best estimate and TP calculated as a whole C0050 Obligations with profit participation - guaranteed benefits R Obligations with profit participation - future discretionary benefits R Index-linked and unit-linked obligations R Other life (re) and health (re) obligations R Net (of re/ SPV) total capital at risk C0060 Total capital at risk for all life (re) obligations R Quantitave reporting templates Loyalis Schade NV 24

25 S Overall MCR calculation C0070 Linear MCR R SCR R MCR cap R MCR floor R Combined MCR R Absolute floor of the MCR R Minimum Capital Requirement R Quantitave reporting templates Loyalis Schade NV 25