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. a. Business, External Environment and performance
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
A) Business, External Environment and performance
B) System of Governance
C) Risk profile
Business and external environment
Underwriting Performance
Investment Performance
Performance from other activities
Governance Arrangements
Fit and Proper
Risk Management & ORSA
Internal Control
Internal Audit
Actuarial
Outsourcing
Any other disclosures
Following risks
Underwriting Risk
Market
Credit
Liquidity
Operational
Other material Risk Exposures

7. Contents of SFCR and RSR
D) Valuation for Solvency Purposes
E) Capital Management
Assets
Technical Provisions
Other Liabilities
Other Disclosures
Own Funds - Structure, Amount & Quality
MCR and SCR
Use of duration based equity risk sub-module
SCR differences if standard formula or internal model used
Non-compliance with SCR/MCR

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 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
Balance sheet
Assets (incl. detailed list)
Technical provisions
(Life & Non-Life)
Reinsurance
Capital requirements (SCR / MCR) & Own funds
Variation analysis
Harmonised elements +
National specificities
Specific regulations or activities
Received in a harmonised format, capable of being shared automatically with EIOPA and/or other supervisory authorities
Received in locally-defined format and not automatically shared

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
SFCR
RSR
Quantitative Forms
Frequency
Annual
1) “Full” report at least every 3 years or when required by Supervisors
2) Material Updates Annually
Quarterly and Annual
Submission Date - Solo*
14** weeks after year end
14**weeks after year end
Quarterly 5** weeks after end.
Annual 14** weeks after year end
* 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
SFCR
RSR
Quantitative Forms
Format
Common Template as developed by EIOPA
Sign off -internal – administrative or management body
Yes
Sign off – external auditing or verification No
To be determined

25. Reporting required on other occasions?
12 April 2017
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
A common misconception

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