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User Guide for Input Spreadsheet Long-Term - eiopa
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1. Non Life Ring fenced funds information Marker JEE KEE EE 8 GE ty default underw Health risk underw ae net risks notional SCR and OF restrictions risk ost ott Gs SCH restriction lt Main ring fenced fund gt lt 2nd ring fenced fund gt lt 3rd gt lt 4 gt lt 5 gt lt 6 gt lt 7 gt All others RFF sum HF HF HF HF Section IV Details of the Standard Formula Participants are requested to provide the following inputs e Default pre stress values for scenario based stresses for assets and liabilities e Gross and Net SCR for counterparty default risk of type 1 and 2 14 25 EIOPA 2013 5 26 5 27 e Split of TP based risk component by life obligations total including unit linked life obligations unit linked and non life obligations IV Details of std formula Scen 1 y Default pre strss values for scenario based stresses Exposure Diversif Gross risk gt oe Netrisk Jeck lr ld d dee Risk Module level values Pre stress assets W 0 F 50 0 F Pre stress liabilities A param Interest rate risk Equity risk Property risk Spread risk Currency risk KLS 9 9 mm me mm SS TY FF FT TY YY YY Concentration risk E E e 6 6 co ee oO oO o oO Oo oO Olio 0 0 0 0 0 0 0 0 Counter cyclical premium risk C
2. t Adjustments for participations The table containing the major results of the Standard Formula capital requirements calculations need three user inputs e Two relating to the Adjustments for loss absorbency Adj i Post stress net deferred taxes ii Requirement for op in accordance with Art 4 of Directive 2003 41 EC transitional e One relating to the diversification impact of ring fenced funds based on Notional SCR Main results of the capital requirements according to the standard formula defined in the LTGA technical specifications Part 1 Exposure Diversif Gross risk Net risk Adjustments for loss absorbency Adj Risk module Ei Total adjustment for loss absorbency Basic Solvency Capital Requirement BSCR F Adjustment for loss absorbency AdjTP Magnitude of the DT shock Intangible asset risk Market risk Post stress net deferred taxes F Deferred taxes adjustment AdjDT Counterparty default risk Life underwriting risk Health risk Non Life underwriting risk E G a a k i a a a a YT Requirement for op in accordance with Art 4 of Directive 2003 41 EC transitional Operational risk le EE Slo E Oo So EE Stee e e e e e o Ring fenced funds based on Notional SCR Furthermore participants with ring fenced funds RFFs are required to provide details for the 7 main RFFs plus all other RFFs
3. D EUROPEAN INSURANCE AND OCCUPATIONAL PENSIONS AUTHORITY 25 January 2013 User Guide for Input Spreadsheet Long Term Guarantees Assessment This user guide is not part of the formal LTGA documentation as issued It is not intended to and does not replace the LTGA technical specifications part I and II https eiopa europa eu EIOPA 2013 Contents 1 2 3 4 5 7 8 9 Ipttog DEI eegen 3 Overview of the main input spreadeheet 4 Participant information sosse ocase orrera neee aeaea E aches vaandeeed aE Aa a Ea aaeain 6 CUPFENE ERIM seiren esae o ae eaae e aa eea eae E a aE EE e s Et 7 Scenario outcomes Information ccceeceeesseeeesceceeececeeeeessaeeeeaceceeacessaneecaaececaaeseeaeeesaeeeeaaeseeaaetsaes 8 5 1 Shared parts among scenarios cssssccccccessesesseseeececesseseaeaeceeecesseeuaeseceescesseeeaeeeeeessessessaaeess 8 5 2 Scenario ENEE 10 Section SCENATIO SOEN Ee EENEG ENEE Eed 10 SEHON I SENSIE E riras rar ar Ehe ee OOA O N AOOO 13 Section Il Copitolreguiremente EE Kee eneee eieaa eiae iane ee paein aest 13 Section IV Details of the Standard Formule 14 Section IV 1 Market risks details AANEREN 15 Section IV 2 Life underwriting risks detail 16 Section IV 3 Health risks details 16 Section 1V 4 NOn life risks details 17 Secon VMR visas cect tis ccvie sash EE AO ub eee shine Sea ey abened shneteesavad cckesy tates EOE 18 Section VI Int
4. no IM results Full full IM used and Partial partial IM used 12 25 EIOPA 2013 5 19 5 20 5 21 5 22 Meeting of capital requirements Capital requirements standard formula Overall Surplus Shortfall Coverage ratio Q Kind of internal model information used Capital requirements internal model Overall Surplus Shortfall Coverage ratio Section Il Sensitivities Section II is only relevant for scenarios 1 and 6 Details on the sensitivities are provided in Section 5 of the LTGA Technical Specifications Part II For scenario 1 only sensitivities a e are relevant For scenario 6 all sensitivities i e a i are relevant Participants are requested to provide high level estimates of the relative impact on TP SCR and OF when changing a specific condition of the scenario e g for sensitivity a it is assumed that no CCP applies while all other conditions stay unchanged Il Sensitivities e F lt GN S S SCH On net CCP On Please provide an estimation of the relative impact on your financial position OnTP On TP gt gt MA OnSCR risk Own Funds a If there was no CCP gA b If the CCP application would be restricted to liabilities with a duration gt 7 years c If the classic MA was subject to alternative conditions d If assets under the extended MA are invested in an hypothetical portfolio e Netting shortfalls and surpluses for the extended MA ap
5. 1 Country 2 Country 3 Country 4 Country 5 Country 6 Country 7 Country 8 Country 9 ee top 10 exposures SE Nominal Nominal Nominal Nominal Nominal Nominal Nominal Nominal Nominal Nominal Year cash flows cash flows cash flows cash flows cash flows cash flows cash flows cash flows cash flows cash flows 1 2 3 4 5 it quality sthit quality stlit quality sthit quality st Credit quality step gt 3 Financials Value Value Value Value Value Nominal Nominal Nominal Nominal Nominal E VE KEE Year cash flows cash flows cash flows cash flows cash flows EU E GH downerade downgrade downerade 1 g 3 4 By 7 1 The Overview sheet gives an overview of the main outcomes in the thirteen scenarios a condensed version of the Solvency II balance sheet Own Funds OF the Solvency Capital Requirement SCR Minimum Capital Requirement MCR and a summary of the Technical Provisions TP 8 Qualitative questions Please see qualitative questionnaire for references to the spreadsheet 9 Updates Not yet relevant 25 25 EIOPA 2013
6. Specifications Part II separately for Scenario 6 vs all other scenarios e Liability inflows and outflows for all future years separately for Scenario 6 vs all other scenarios Five separate table requires the input of e Government bond cash flows for the 10 largest country exposures e Financial corporate bond cash flows by credit quality step e Industrial corporate bond cash flows by credit quality step 24 25 EIOPA 2013 e Other corporate bond cash flows by credit quality step e Other eligible asset cash flows by credit quality step 7 Overview Scenario 6 specific information on application ratio Best estimate with BRFR end 2011 end 2009 end 2004 Best estimate with BRFR end 2011 A of liabilities A of liabilities under stressed assumptions B of cash flow shortfalls B of cash flow shortfalls Mismatch ratio B A Mismatch ratio B A Liabilities jotals assetpovernement Corporate beer assets Scenario 6 Liabilities Value Value Value Value Net g Nominal Nominal Nominal Nominal Net d Year el liabilities mios endore cash flows cash flows cash flows cash flows liabilities fue DUU 1 af o J of of of 0 r o 2 O 0 Er of of of 0 r 0 3 af 0 AJ of of of 0 ii 0 4 O 0 d of of of 0 r 0 Government bonds Country
7. insurance obligations or Neither e Annual effective rate to obtain asset value when using it for discounting asset cash flows e Annual effective rate to the best estimate of liabilities Basic Risk Free Rate e Weighted Average Fundamental Spread applied across the sub portfolio e Discounted cash flow shortfall over best estimate of liabilities materiality criteria used to assess the mismatch not relevant for the Extended alternative MA e Best estimate used in the balance sheet l Valuation In scenarios 1 2 3 Annual effective rate Spread of Discounted z S d MA used in BEin Form of p S investment Fundament cash flow S Assets value 3 to obtain to obtain balance balance Name of the sub portfolio adjustment return over alspread shortfall end 2011 assets value Brea sheet sheet RFR BE lt name 1 gt Classic ar r lt name 2 gt Extended F T lt name 3 gt Extended spli F T lt name 4 gt Neither i i F e lt name 5 gt l lt name 6 gt Ja r F Je F lt name 7 gt l F r lt name 8 gt l F F lt name 9 gt l lt name10 gt RR i r Section Il Spread Risk Furthermore gross and net spread risk values should be given for each sub portfolio in each scenario Details on the impact of the Matching Adjustment on Spread Risk Charge are provided in the LTGA Technical Specifications Part II in Section 4 11 Il Sprea
8. risk N I Standard formula used Ring fenced funds N I Standard formula used Art 4 of Directive 2003 41 EC N I S Standard formula used CCP risk in market risk NI Standard formula used Spread risk in market risk N I Standard formula used Participants are requested to provide up to 90 years of liability cash flows split by e Lines of business in the first table e Long Term Guarantee bucket measure vu Liability cash flows Scen 1 By lines of business Total Non Life Health NL health SLT Life WP Life UL FDB Value reported in the balance sheet 3 Year Total Non Life Health NL health SLT Life WP Life UL FDB 2 F 3 F 4 F 5 F 6 Total Other CCP MA MA Ext Transitional Value reported in the balance sheet Ol Year Total Other CCP MA MA Ext Total Paid in Future Total Paid in Future 1 oj 2 oj z 3 oj 4 oj 5 oje 6 oja Section VIII Specific segmentation 20 25 EIOPA 2013 5 37 For scenario 0 participants are requested to provide the segmentation of their portfolio of insurance liability valued using the Scenario 0 parameters but segmented according to the split made in Scenario 1 and 8 Value in scenario 0 of obligations segmented according t
9. should provide insights on the type of obligations contained in the sub portfolio l Sub portfolio information Name of undertaking Name of sub portfolio Type of portfolio Types of risk covered Information reported in the LTG spreadsheet in slot 1 to 10 1 Information on assets and limits Information reported in the LTG Annual Ges DS Saves ai Fundame Zong MA used BE Im ES 3 R Form of to obtain investme d cash Eligible Of which MA on spreadsheet and information on asset E to obtain ntal in balance balance ae adjustment assets nt return flow assets caQs3 CcaQs3 limits applied BE errr spread sheet sheet value over RFR shortfall In scenarios 1 2 3 5 In scenario 5 In scenario 4 In scenario 6 In scenario 7 In scenarios 8 9 In scenario 10 In scenario 11 is ey Le BE bn a Gor E In scenario 12 Furthermore a summary table is provided containing information regarding the use of Matching Adjustment for this portfolio in the different scenarios Section Il Asset structure 23 25 EIOPA 2013 6 9 6 10 6 11 6 12 For each of the sub portfolios participants need to provide a breakdown of the eligible assets for the Matching Adjustment e Government bonds split by home country other EEA and other Non EEA e Corporate bonds split by financial industrial utility and other e Cash liquid overnight assets e Ot
10. 8 in case you are providing internal model results Participants are requested to provide the following inputs in this section Diversification with standard formula SCR calculated with the PIM SCR calculated with the standard formula Indication of which SF risks are covered in the IM and the respective Gross and Net risk values where applicable please also pick one of the three comparability options Listing of all other risks covered in the IM and the respective Gross and Net risk values Risk margin according to the internal model Aggregation of PIM risks based on linear correlation yes no 19 25 EIOPA 2013 5 36 VI Internal model Scen 1 SCR Diversification with standard formula SCR calculated with the PIM SCR calculated with the standard formula Risk margin according to the internal model Agregation of PIM risks based on linear correlation Other risk 1 Other risk 2 Other risk 3 Section VII Liability Cash Flows Risks value Risk covered Covered Gross Net Comparability of IM risk components with standard formula Intangible asset risk NI Standard formula used Market risk N I S Standard formula used Counterparty default risk N I Standard formula used Life underwriting risk HE e Standard formula used Health risk s Standard formula used Non Life underwriting risk NI Standard formula used Operational
11. apital requirement for Intangible asset risk Exposure Diversif Gross risk Adj Net risk Risk Module level value f 0 of of o i 0 Risk Module level values r 0 SCR for counterparty default risk of type 1 er 0 SCR for counterparty default risk of type 2 Risk Module level value 0 of o r 0 Risk Module level values Premium based risk component a T of 0 r 0 Stress on Mortality TP based risk component 0 if of 0 if 0 Stress on Longevity Tech Prov for life obligations T of D i O Stress on Disability Tech Prov for life obligations UL of 0 i 0 Lapse Tech Prov for non life obligations of 0 i 0 Expenses Annual expenses for UL 12 months of 0 i 0 Revision Of VO If o caT Risk Module level value 0 of ao i 0 Risk Module level values Premium amp Reserve risk T of o I O Health NSLT Lapse risk mass schock 0 e 0 if O Health SLT CAT of o f 0 Health CAT Section IV 1 Market risks details Participants are requested to provide the following inputs for all market risks apart from concentration risk e Pre stress values for assets and liabilities e The same without the Loss Absorbing Capacity LAC of technical provisions e Stress values for assets and liabilities including the LAC of technical provisions In order to allow using the template with multiple currencies exposures For a given currency the stressed values without and with LAC should be the same as the pre stress values wh
12. cations Throughout the input spreadsheet references to the technical 3 1 Scenarios assu specifications are included next to 5ten0 Open Scenario 0 No LTG measure the input cell It refers to the section of the technical specifications where that output variable is defined This section can be accessed from the input spreadsheet by following the Open link next to the reference The references and links to the technical specifications in the first two columns can be shown by clicking the plus button in the top left corner of the spreadsheet and hidden by clicking the minus button Ae Caer 2 A B 1 11 1 7 10 Open The hyperlink only works if the correct location of the word version of the two parts of the technical specifications is specified at the bottom of the P Index sheet The links should work correctly by default if the provided word versions of the technical specifications and the addendum are placed in the same folder as the spreadsheet Participant information Participants should start with filling in the Participant sheet The sheet requests information on 6 25 EIOPA 2013 3 2 3 3 4 4 1 4 2 4 3 4 4 e The re insurance undertaking for which the spreadsheet is being completed including information on the legal form e The reporting accounting basis type of business currency unit and year 2011 for this exercise used to complete the input spreadsheets e Country of
13. d risk Spread risk on the asset portfolio gross Name of the sub portfolio Scenario 0 Scenario 1 Scenario 4 Scenario 6 Scenario 7 Scenario 8 Scenario 10 Scenario 11 Scenario 12 F lt name 1 gt F lt name 2 gt F lt name 3 gt F lt name 4 gt F lt name 5 gt F lt name 6 gt F lt name 7 gt F lt name 8 gt F lt name 9 gt F lt name10 gt HoH t t t e e e e e t Spread risk on the asset po rtfolio net Name of the sub portfolio Scenario 0 Scenario 1 Scenario 4 Scenario 6 Scenario 7 Scenario 8 Scenario 10 Scenario 11 Scenario 12 F lt name 1 gt F lt name 2 gt 22 25 EIOPA 2013 6 2 MA details in the dedicated MA input sheet 6 6 6 7 6 8 The spreadsheet contains individual information for each sub portfolio stated in the ALM sheet of the main input spreadsheet A separate sheet is included for each of the 10 largest sub portfolios in this dedicated MA input spreadsheet Section Sub portfolio information Participants are requested to input in each of the sheets i e for each sub portfolio individually e Name of the undertaking e Name of the sub portfolio this should be aligned with the name used in the ALM sheet in the main input sheet e Type of portfolio ring fenced ring fencible separately managed or separately manageable e Types of risk covered
14. d risk e Concentration risk e Counterparty default risk e Catastrophe risk 9 25 EIOPA 2013 5 6 5 7 The content of sheets Shared 2004 and Shared 2009 is in line with the one described above for Shared 2011 It should be noted that the balance sheet should be kept constant using the year end 2011 composition but revaluing certain asset and liability items as described in the supporting LTGA document and spreadsheet contained in Simplification 1 for Calculation of Historical Balance Sheets zip Again those sheets should be filled before filling the respective scenarios sheets i e Shared 2009 before Scen 10 sheet and Shared 2004 before Scen 11 and Scen 12 sheets 5 2 Scenario sheets 5 8 5 9 5 10 5 11 After completing the shared scenario sheet e g the Shared 2011 sheet the time has come to start filling the specific scenario sheets named Scen y e g Scen 0 Participants are recommended to start with the scenarios 0 and 1 Base scenario The scenarios 2 9 usually differ from the Base scenario 1 with respect to only one option apart from scenarios 8 and 9 which differ by two options as extended Matching Adjustment and Transitional measure cannot be applied at the same time Also see Table 1 in section 2 1 of the LTGA Technical Specifications Part II for an overview of how the different scenarios vary from the Base scenario 1 In many cases the calculations perf
15. e These are contained in the sheets named Shared 20xx Participants should start filling sheet Shared 2011 Sheet Shared 2011 contains the elements of the year end 2011 Solvency II balance sheet which are shared across scenarios 0 9 with the common reference date of year end 2011 This sheet should be completed first before starting to complete the scenario specific sheets for scenarios 0 9 The following information needs to be filled It is acknowledged that the actual Solvency I margins of the historical reference dates cannot be directly linked to the re valued historical balance sheets for YE04 and YEO9 used for this exercise based on the simplifications proposed by EIOPA 8 25 EIOPA 2013 e Section 1 Partial Solvency II Balance Sheet including i All assets apart from Deferred Tax Assets and Reinsurance Recoverables which will vary by scenario ii All liabilities apart from Technical Provisions and Deferred Tax liabilities which will vary by scenario 1 Partial balance sheet under Solvency Il valuation principle and end 2011 market conditions Assets 2011 2011 Liabilities Intangible assets 0 Technical provisions non life excluding health 7 Deferred tax assets TP calculated as a whole Pension benefit surplus Best Estimate Property plant amp equipement held for own use Risk margin P Dn D o id Investments neither unit linked nor index linked D 0 Technical provisions health non similar
16. en the downward stress is not the most onerous on a net basis Participants are requested to provide the following inputs for concentration risk e Gross and next scenarios based stress values 15 25 EIOPA 2013 SCH 18 SCR 2 4 Open Open Pre stress values Without LAC Scenario based stressed values With LAC Stress scenario Assets Liabilities Assets Liabilities Gross risk Adj Net risk Assets Liabilities Interest rates risk values 0 r 0 0 i Scenario used for CorrMkt determination Down Interest rates altered upward 0 T 0 ji 0 Interest rates altered downward 4 r 0 r of 0 Equity risk values 0 fi 0 i 0 Equity risk under article 304 0 i 0 0 Stress on the equity Type 1 D T of D Stress on the equity Type 2 D r 0 j D Equity risk on other assets and liabilities 0 If 0 T 0 Stress on the equity Type 1 0 T 0 0 Stress on the equity Type 2 el 0 r of 0 Property stress and risk values af of of 0 Spread risk values 0 T 0 if 0 Spread on bonds and loans 0 T 0 i 0 Spread on repackaged loans 0 r of 0 Spread on credit derivatives 0 i 0 0 Scenario kept for credit derivatives Down Upward shock on credit derivatives 0 T 0 E 0 Downward shock on credit derivatives 0 r of 0 Currency risk values 0 r 0 r of Currency stress upward sum over currencies 0 T 0 r 0 Currency stress downward sum al SE S f 0 if of 0 r Concen
17. ernal Model Results 19 Section VII Liability Cash How 20 Matching assets and Iabilties 21 6 1 MA details in the main input spreadsheet cccsssccccecessesecsececeeecessesesneseeeeecesseseneeaeeeeeens 21 Section I Valuation iraina eege EEN dE ENEE ENEE ENEE 21 S ction Il Spre dd RISK E 22 6 2 MA details in the dedicated MA input heet 23 Section Sub portfolio information cccccccccccccccssscecsessececsssseeecseaeeecsesseeecsesseeecsesaeeecsesaeeeeseaeeeeseaaes 23 Section ll Asset EE 23 Section II Cash FLOWS cccccsessccccceescescsaececccecesenauaecesecssessesesaeeesecuseceesasaeeeeecusseseaaeaecesecussusnaeaeeeesens 24 OW GIVI Wi ee eege deeg eege Eege eege 25 Q alitative E Oe EE 25 WP EE 25 2 25 EIOPA 2013 1 1 i 1 2 1 3 Introduction Participating re insurance undertakings are requested to complete the Long Term Guarantees Assessment LTGA based on EIOPA s Revised Technical Specifications for the Solvency II valuation and Solvency Capital Requirements calculations Part I of 25 January 2013 please note the published errata if you are using an earlier version and EIOPA s Technical Specifications on the Long Term Guarantee Assessment Part II of 25 January 2013 In addition participants in the LTGA exercise are asked to complete the qualitative questionnaire text document that was prepared by EIOPA in agreement with the Commission An essential item o
18. ested to provide any relevant details in the reconciliation columns similarly as it was requested for former QIS exercises Sheet SI The actual Solvency I required and available Solvency Margins as reported for year end 2004 2009 and 2011 are to be inserted 7 25 EIOPA 2013 5 5 1 5 2 here Composites should state the margins separately for life and non life business Scenario outcomes information Participating re insurance undertakings are asked to evaluate thirteen scenarios numbered 0 12 containing different options for the valuation of liabilities The outcomes for the balance sheet valued under these options the capital requirements and the summarised underlying liability cash flows should be entered in the scenario sheets The scenarios include e Scenario 0 Scenario without LTG Package e Scenario 1 BASE scenario with LTG Package e Scenarios 2 3 CCP scenarios e Scenario 4 Classic MA scenario e Scenario 5 Extrapolation scenario e Scenarios 6 7 Extended MA scenarios e Scenarios 8 9 Transitional scenarios e Scenarios 10 YEO9 scenario e Scenarios 11 12 YE04 scenarios Details on these scenarios are provided in section 2 1 of the LTGA Technical Specifications Part II 5 1 Shared parts among scenarios 5 3 5 4 5 5 Many items on the balance sheet will remain constant throughout several scenarios with a common reference dat
19. f the LTGA package published on the EIOPA website is the input spreadsheet also called reporting template The main objective of the spreadsheet is to collect the output from the calculations and partially also the answers to part of the qualitative questions After completing the LTGA exercise participants are expected to return to their national supervisory authority by 31 March 2013 the following outputs e Output 1 The completed main input spreadsheet e Output 2 The completed dedicated Matching Adjustment spreadsheet including requested details e g cash flows for sub portfolios applying Matching Adjustment in any of the LTGA scenarios please note that the spreadsheet focusses on the 10 largest sub portfolios used e Output 3 The completed Word document provided by EIOPA containing the responses to the questions in the qualitative questionnaire e Output 4 if applicable The completed internal model questionnaire in case this is relevant Please note that Internal Model results may be provided in addition to Standard Formula SF results however SF results must be provided by all participants e Output 5 if applicable Explanations approximations simplifications applied during the course of the exercise which deviate from the suggested approximations simplifications LTGA Qualitative Questionnaire 25 January 2013 3 25 EIOPA 2013 1 4 1 5 1 6 2 2 1 2 2 2 3 contained in the Technica
20. g the GoTo link behind Explanations on the structure and content of this spreadsheet in the top rows of the table of contents or in the sheet P Readme Sections The input spreadsheet contains five sections as will be clear from the index sheet 1 Participant information This sheet not only requests participant information and contact details but also the reporting currency unit 4 25 EIOPA 2013 2 4 and year used in completing the spreadsheet See section 3 for further details Current regime information This sheet asks participants to provide balance sheet information and capital requirements in line with the existing national prudential regime See section 4 for further details Scenario outcome information In this section re insurance undertakings are requested to report the outcomes of evaluating the 12 scenarios of options to be tested in the LTGA See section 5 for further details Matching assets and liabilities In this section contains an overview of the key Matching Adjustment outputs for the 10 largest subsets of the insurance portfolio where a Matching Adjustment has been applied in any of the scenarios Please note that a separate spreadsheet Output 1b is supplementing the information provided in this section See section 6 for further details Overview of results This sheet provides an automatic summary of the results by comparing the prudential balance sheet and capital requirements in
21. her eligible e Other eligible Scenario 6 only e Other non eligible Scenario 6 only All eligible assets need to be further split out by credit quality step A mapping of credit quality steps is provided in Appendix MA1 of the LTGA Technical Specifications Part II And the average duration needs to be provided by participants as well Il Asset structure end 2004 end 2009 end 2011 Breakdown by credit quality step at end 2011 7 ENE Other not Duration Assets of the assigned portfolio a value value value 0 1 2 3 4 SE relevant in years Sovereign bonds 0 0 0 0 0 0 0 0 0 0 Home country own currency 0 Other EEA own currency 0 Other sovereign 0 Total corporate bonds 0 of 0 0 0 0 0 0 0 0 Of which financial 0 Of which industrial 0 Of which utility 0 Of which others 0 Liquid overnight assets 0 end 2011 Breakdown by credit quality step at end 2011 T Avg i ifici i value o 1 2 3 4 5or Other not Duration Scenario 6 specific information relevant in years Other eligible assets 0 Other non eligible assets 0 Section lll Cash flows For each of the sub portfolios participants need to provide the following cash flow details e The two components required to determine the degree of mismatch i e discounted cash flow shortfalls over BE of liabilities see MA Step 3 in Section 4 of the LTGA Technical
22. iii Workers compensation insurance e Gross and net risk values for CAT health split by i Mass accident net of mitigation ii Concentration scenario net of mitigation iii Pandemic scenario net of risk mitigation IV 3 Health risk Scen 1 Capital requirement for non SLT health risk Exposure Diversif Gross risk Adj Netrisk WAZ AS _ SubRisk Module level value 0 of of of 0 SubRisk Module level values TP medical expense insurance of of 0 Stress on Mortality TP income protection insurance of of 0 Stress on Longevity TP workers compensation insurance of of 0 Stress on Disability Premiums medical expense insuranc of of 0 Lapse option Premiums income protection insuran of of 0 Expenses Premiums workers compensation ins of of 0 Revision Exposure Diversif Gross risk Adj Net risk Health CAT 0 0 0 0 SubRisk Module level values Mass accident net of mitigation Concentration scenario net of mitigation KRASS EE ja KM Pandemic scenario net of risk mitigation 5 30 Furthermore participants are requested to provide the following inputs for all life underwriting risks relating to Health Similar to Life SLT components e Pre stress values for assets and liabilities without Loss Absorbing Capacity LAC e Stress values for assets and liabilities with LAC Pre stress values Without LAC Scenario based stressed values W
23. ilar to non life Health similar to life Life with profit sharing Life without profit sharing Index linked and unit linked Assets held for unit linked Deferred tax assets Other assets Total balance sheet value EON GE t Ht Ht H H Scenario balance sheet liabilities As a whole Excess of assets over liabilities Non life Health non life Health similar to life Life with profit sharing Life w out profit sharing Index Unit linked Technical provisions Deferred tax liabilities The adjusted basic risk free interest rate curves and inflation curves that participants will need for the valuation of the Solvency II balance sheet in the different scenarios are provided in a separate excel sheet included in the LTGA package Appendix DC5 to the LTGA Technical Specifications Part II Please also note that TP and Discounting helper tabs have been made available as well as examples for the calculation of the Matching Adjustment Additional information on the balance sheet is requested as well including future discretionary benefits and the related reinsurance share plus the modified duration of assets and liabilities Additional ez on the balance sheet Reinsurance share of FDB Total future discretionary benefits FDB Modified duration of assets in years eme ees Modified duration of liabilities in years Besides the balance sheet information a su
24. incorporation in case a branch of a non EEA legal entity participates name of first level EEA Supervisor and local registration number The name of the participant type of business the potential reporting of internal model data and the reporting currency unit and year will be displayed in the header of the sheets in the input spreadsheets throughout the file The date of submission can of course not be completed until the end of the exercise Please do not forget to complete the contact information at the bottom of the sheet in order for the national supervisor to be able to ask follow up questions Current regime The outcomes for the different scenarios will be compared with the balance sheet and capital requirement s under the current prudential regime Therefore participants are requested to provide this information regarding the existing regime in the current regime sheets as specified below Sheet BS This includes the accounting balance sheet as of year end 2011 in the form it was reported The sheet also includes the regulatory Solvency I balance sheet as of year end 2011 If undertakings have stated in the Participant sheet that the accounting balance sheet is used for regulatory reporting then the balance sheet items will be automatically filled from the BS sheet Sheet BS SI Scen 0 The reconciliation between the Solvency I balance sheet and the Solvency II balance sheet under scenario 0 Participants are requ
25. ith LAC Stress scenario Stress on Mortality Stress on Longevity Stress on Disability Morbidity Medical expenses Assets Liabilities Assets Liabilities Gross risk Adj Net risk Assets Liabilities F F 0 W F F 7 ojojo oe KR oleje e hj Scenario kept for medical expenses Down Medical expense up Medical expense down Income protection Stress on lapse mass RSR RES E KARGER EAR Expenses So ojojo elje o S Ee Revision Section IV 4 Non life risks details 5 31 Participants are requested to provide the following inputs for lines of business LOBs e Volume measure DIV apart from non prop reinsurance and credit suretyship LoBs 17 25 EIOPA 2013 e Volume measure PCO V Res Premium amp Reserve risk T 0 Volume measure r 0 Combined standard deviation r 0 0 Combined standard dev x Volume meas 0 Standard deviation Volume measure Overall Vs Segment x Overall o Ce ER ee Sa ie Reserve Premium EE DIVlob deg Heb eg Overall o Le Motor vehicle liability Ol 0 0 0 0 9 5 0 50 0 Motor other classes Ol 0 0 0 0 10 0 0 Marine aviation transport MAT Ol 0 0 0 0 14 0 D Fire and other property damage Ol 0 0 0 0 11 0 0 Third party liability Ol 0 0 0 0 11 0 0 Credit and suretyship Ol 0 0 0 0 19 0 0 100 0 Legal expense
26. l Specifications or in the two dedicated documents provided by EIOPA for the LTGA on Historical Balance Sheets and SCR simplifications The main input spreadsheet Output 1 and the Matching Adjustment spreadsheet Output 2 also serves some other purposes e They provide structure to the different steps re insurance undertakings have to undertake in doing the LTGA e They perform some simple calculations such as aggregating individual capital charges e They provide an overview of the outcomes after completing the LTGA This user guide is intended to assist participants in completing the two input spreadsheets Output 1 amp 2 The qualitative questionnaires Output 3 amp 4 should be self explaining and for Output 5 there is no template provided Any open questions relating to the input spreadsheets or other LTGA documents should be directed to the respective national Q amp A contact email address stated on EIOPA s webpage using the also published Q amp A template https eiopa europa eu consultations gis insurance long term guarantees assessment index html Overview of the main input spreadsheet The first sheet P Index provides an overview of the contents of the spreadsheet The various sheets in the spreadsheet can be easily reached by clicking the relevant GoTo link Other sheets in the spreadsheet contain a goto index link to return to the index sheet This guide can also be accessed from the index sheet by followin
27. mmary of the different LTG elements and the amount of TP using each of the elements needs to be given It should be noted that following the prioritisation for the different measures provided in section 2 2 of the LTGA Technical Specifications Part 11 25 EIOPA 2013 5 16 5 17 5 18 II only for scenarios 0 11 and 12 the None value in the last row should be different from zero as in all other scenarios CCP applies which covers all insurance obligations and has priority versus not applying any LTG measure Ventilation of TP without risk margin by LTG applied MA Classic MA Extendec Transitional CCP None For scenarios that apply the transitional measure information is required on the weighted average transitional discount curve applied and on the modified duration of the liabilities that the transitional curve is applied to ee Modified duration The own funds table is filled automatically and requires no user input available el eligible Elig IM Total to meet MCR Ol of which Tier 1 unrestricted Oe of which Tier 1 restricted Ol of which Tier 2 Ol of which Tier 2 SCR not MCR Ol of which Tier 3 SCR not MCR Ol Total to meet SCR Ol 0 0 0 0 0 The overview table on the meeting of capital requirements has one input cell where participants need to indicate whether they are providing Internal Model results alongside the Standard Formula results Input options are None
28. o the segmentation used in Scenario 1 MA Classic MA Extended CCP Value in scenario 0 of obligations segmented according to the segmentation used in Scenario 8 MA Classic Transitional CCP 6 Matching assets and liabilities 6 1 Participants are requested to provide specific information for the subportfolios that apply Matching Adjustments under any of the different scenarios tested A high level summary of the information is requested in the main input spreadsheet However given the importance and complexity of the Matching Adjustment measure participants should also provide further information in a dedicated Matching Adjustment spreadsheet 6 1 MA details in the main input spreadsheet Section Valuation 6 2 The sheet ALM contains high level details for the 10 largest sub portfolios measured by asset value Different tables are to be filled for the different scenarios e For scenarios 1 2 and 3 the table is combined e For scenarios 8 and 9 the table is combined e All other scenarios have individual tables to be filled 6 3 In the first table for scenario 1 the names of the sub portfolios should be stated These are then automatically filled in the further tables 6 4 The respective details required to be input for each sub portfolio include 21 25 EIOPA 2013 6 5 e Asset value at YE11 e Form of MA Classic Extended Extended split this refers to the application of the split option for
29. ormed for the Base scenario 1 can be re used for other scenarios Section Scenario summary Generally all participants are requested to fill all 13 scenarios on a best efforts basis However not all sets of options will be relevant for all participants e g participants might not have suitable business to fulfil conditions for certain types of Matching Adjustments tested e g in scenario 4 l Scenario summary Scen 1 Status of this scenario sheet N A If a specific scenario is not applicable participants can indicate this in the top left corner of the scenario sheets by setting the sheet status to N A This makes it clear that an option included in a specific scenario does not lead to any changes compared to the benchmark scenario The same drop 10 25 EIOPA 2013 5 12 5 13 5 14 5 15 down menu should also be used to assign the filled status to the sheet if all cells are completed A scenario sheet with a filled status will automatically appear in the Overview sheet Status of this scenario sheet As a first step in completing a scenario sheet participants should value the moving parts of the Solvency II balance sheet These are e Best estimate of technical provisions e Risk margin e Deferred tax liabilities and deferred tax assets e Reinsurance SPV recoverables Scenario balance sheet assets Reinsurance SPV recoverables Non life excluding health Health sim
30. plication ratio calculation f If a strict cash flow requirement was to be applied to the extended alternative MA g If a fixed cash flow requirement was to be applied to the extended alternative MA h If a credit quality limit was to be applied to the extended alternative MA i If the extended alternative MA was done with the extended MA conditions for MA level If for instance in sensitivity a the impact on TP of removing the CCP would be an increase by 10 the cell in the On TP column should be filled with 10 The column On TP gt gt MA should be filled with the relative amount that the portion of TP applying Matching Adjustment increases due to the change of conditions for applying the Matching Adjustment This column is therefore only relevant for sensitivities d i Section Ill Capital requirements In the details of available own funds participants are requested to fill the adjustments for participations for Tier 1 unrestricted Tier 1 restricted and Tier 2 All other cells are filled automatically 13 25 EIOPA 2013 5 23 5 24 5 25 Ill Capital requirements Scen 1 Total Basic own funds Ancillary own funds Tier 1 r Details of available own funds Tier 1 Un Part shared accross scenarios Excess of assets over liabilities 0 Net deferred taxes asset Ring fencing restrictions 0 Basic own funds before adjustments
31. s Ol 0 0 0 0 9 0 0 Assistance Ol 0 0 0 0 11 0 0 Miscellaneous oje 0 0 0 0 15 0 0 Non prop reinsurance casualty Ol 0 0 0 0 20 0 0 100 0 Non prop reinsurance MAT Ol 0 0 0 0 20 0 0 100 0 Non prop reinsurance property Ol 0 0 0 0 20 0 0 100 0 Pre stress values Post stress values Assets Liabilities Assets Liabilities Non life mass lapse risk T Ol r 5 32 Furthermore post stress asset and liability values should be provided for non life mass lapse risk Section V MCR 5 33 Participants are requested to provide the following inputs e Absolute floor of MCR including national life and notional non life e Net of reinsurance best estimate provisions for all non life LoBs and all types of life obligations please provide separate data for composite as indicated in the spreadsheet e Net of reinsurance capital at risk 18 25 EIOPA 2013 5 34 5 35 V MCR Scen 1 Minimum Capital Requirement MCR standard formula MCR Internal model Notional Notional MCR final calculations calculations Non Life Life Composite Non Life Life Linear MCR SE a SCR or notional SCR standard formula l MCR combined standard formula SCR or notional SCR Internal model MCR combined internal model Absolute floor of MCR MCR or Notional MCR Standard formula MCR or Notional MCR Internal model Section VI Internal Model Results Please take note of paragraph 3 2 and 5 1
32. the 13 scenarios with those under the current regime See section 7 for further details Excel based parts of qualitative questionnaire In this section participants are asked to provide their responses to parts of the qualitative questionnaire and the matching adjustment addendum The open questions in the questionnaire and the addendum should be answered in the two separate word documents See section 8 for further details Colour codes Throughout the input spreadsheet the following colour codes are employed to denote the different types of cells Data is shared across scenarios linked to Shared 20xx sheet Input cell to be filled in by the participant Cell using a formula Cell with important result using a formula a Empty cell because it is not relevant for the scenario under consideration 5 25 EIOPA 2013 2 5 2 6 2 7 2 8 2 9 3 3 1 HE Empty cell All cell types are unlocked which means that participants can override the formulas if necessary Most of the cells are prefilled with a minus sign whose meaning is not filled to allow a differentiation between missing values and nil values 0 Participants should not add or delete any cells rows or columns in the input spreadsheets as the National Supervisory Authority will otherwise not be able to efficiently process the data submitted Names of the sheets should not also not be modified Links to technical specifi
33. to life TP calculated as a whole Best Estimate Property other than for own use Participations mm mmm ae te e Section 2 Own funds information including ancillary own funds apart from Excess of assets over liabilities and Net Deferred Tax Assets which will vary by scenario 2 Own Funds information Basic Own Fund before adjustment and net DTA Restricted Tier 1 Ordinary Share Capital and related Share Premium Initial Funds Members Contributions or equivalent Surplus funds Subordinated mutual member accounts Unrestricted Tier 1 e Section 3 Solvency II capital requirements including information used for i Capital requirement for Intangible asset risk ii Capital requirement for Operational risk iii Capital requirement for non life risks iv Capital requirement for health non similar to life v Minimum capital requirement information for non life 3 Capital requirements Capital requirement for Intangible asset risk Risk Module level value 0 Capital requirement for Operational risk Premium based risk component 0 The different Solvency II item calculations for the input data into this sheet should follow the LTGA Technical Specifications Part I Please note that a set of helper tabs has been provided by EIOPA for the LTGA exercise optional use unless otherwise stated by respective NSA covering e Discounting e Technical Provision simplification e Risk Margin e Sprea
34. tration risk values ar 0 CCP risk of of o Section IV 2 Life underwriting risks details 5 28 Participants are requested to provide the following inputs for all life underwriting risks e Pre stress values for assets and liabilities without Loss Absorbing Capacity LAC e Stress values for assets and liabilities with LAC IV 2 Life underwriting risk Scen 1 Life underwriting risk compoents Pre stress values Without LAC Scenario based stressed values With LAC Stress scenario Assets Liabilities Assets Liabilities Gross risk Adj Net risk Assets Liabilities F F F PF Stress on Mortality 3 D 0 0 F L F F F Stress on Longevity z S D 0 0 F L F F F Stress on Disability Morbidity 0 0 0 F F Stress on lapse 0 0 0 Scenario retained for lapse risk Down F F Lapse risk lapse up D 0 0 S F L F F F Lapse risk lapse down G 0 0 0 F P F F Lapse risk mass S 0 0 0 gt F r F F Expenses S 3 D 0 0 Revision af ot S A of of 0 F F F F F CAT 3 H 0 0 0 Section IV 3 Health risks details 5 29 Participants are requested to provide the following inputs for all life underwriting risks apart from concentration risk e Technical provisions for 16 25 EIOPA 2013 i Medical expense insurance ii Income protection insurance
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