Solvency II - Lloyd's

Start and End sum insured: The start sum insured is the start amount of the interval which the sum insured
of the individual underwriting risk belongs and need to be aggregated. The end sum insured is the end
amount of the interval within which the sum insured of the individual underwriting risk belongs and needs to
be aggregated. This is based on set brackets and these have been determined at the Lloyd’s level based on
expected syndicates’ sum insured. The underwriting risk profile is the distribution, in (predefined) brackets, of
the sum insured of all the underwriting risks which have been accepted by the undertaking (i.e. mass risks).
This means that syndicate will be required to group sum insured for all business written during the year into
these predefined brackets.
Number of underwriting risks: This is the number of underwriting risks whose sum insured falls within the
start amount and end amount of the applicable bracket.
Total sum insured: This is the aggregated amount of the sum insured of all the individual underwriting risks,
whose sum insured falls within the start amount and end amount of the applicable bracket.
Total annual premium: This is the aggregation of the annual premium amounts that correspond to each
individual underwriting risk falling within the applicable bracket. The gross annual premium should be
reported.
2.15 QMC260: Assets and liabilities by currency
Purpose of form: This form analyses assets and liabilities by currency.
This form is required for all reporting years combined and will be required on an annual basis.
The required materiality threshold for reporting this information for the insurer is that all currencies
representing in aggregate up to 90% of both assets and liabilities (in Solvency II value) should be reported
separately.
Materiality has been determined at Lloyd’s level and there are 6+1 currencies that syndicates will be required
to complete. These are: GBP, USD, EUR, CAD, AUD, JPY and OTHER. The syndicate must provide
information for all these currencies, regardless of whether the currency is material for them or not. Data
based on the original currency should be included in the appropriate/correct currency bucket and all other
currencies (outside the 6 currencies listed above) should be converted to GBP and included as “OTHER”.
Please note that these currencies are based on the original currency rather than settlement currencies. The
amounts should be reported in GBP.
Where a syndicate has assets and liabilities in currencies other than the 6 listed currencies and these are
material to them i.e. represent 20% or more of both assets and liabilities, these should be reported
separately. Syndicates should not delete the 6+1 currencies already listed on the form and any additional
currencies required should be selected from the drop down list provided on the form.
2.16 QMC280/281: Life and health SLT technical provisions (Annual/Quarterly)
Purpose of form: This form reports an overview of technical provisions (TP) by Solvency II line of business.
These forms are required for all reporting years combined. QMC280 will be required on an annual basis and
QMC 281 on a quarterly basis.
SLT means: Similar to life techniques.
The segmentation required on this form should reflect the nature of the risks underlying the contract
(substance), rather than the legal form of the contract (form).
Cash flows (out and in): These are discounted cash flows.
20