Solvency II - Lloyd's

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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
Future expenses and other cash out- flows: As per Article 78(1) of the Directive, these are expenses that will be incurred in servicing insurance and reinsurance obligations, and other cash-flow items such as taxation payments which are, or are expected to be, charged to policyholders, or are required to settle the insurance or reinsurance obligations. Future premiums: These are cash-flows from future premiums and include reinsurance premiums. Other cash in-flows: This does not include investment returns, which are not other cash-in flows for best estimate calculation purposes. Gross best estimate for different countries: On an annual basis, information is required on all countries representing up to 90% of the best estimate with the rest reported in “other EEA” or “other non-EEA”. This materiality applies at Lloyd’s level and hence syndicates should report best estimate by localisation of risk for the following areas: (United Kingdom, Italy, Norway, Other EEA, USA, Japan and Other non-EEA). 2.17 QMC282: Projection of future cash flows (Best Estimate – Life) Purpose of form: This form reports the duration of liabilities used in the calculation of the best estimate. This form is required for all reporting years combined and will be required on an annual basis. The cash flows are gross of reinsurance and are undiscounted. Annuities stemming from non-life contracts: These are lines of business for both annuities stemming from non-life insurance contracts and relating to insurance obligations other than health insurance contracts and annuities stemming from non-life insurance contracts and relating to health insurance obligations. This is unlikely to apply for syndicates. 2.18 QMC283: Life obligation analysis Purpose of form: This form analyses life business by product type. This form is required for all reporting years combined and will be required on an annual basis. Product denomination: This is the commercial name of the product and it is syndicate specific. Number of HRG: HRG (Homogeneous Risk Group) is a set of (re)insurance obligations which are managed together and which have similar risk characteristics. Please refer to Article 80 of the Framework Directive. This should be the number of HRG corresponding to this product with a given set of characteristics. If a given line represents a HRG in itself or is a subset of a given HRG, number should be “1”. Type of premium: This can be split as follows: � regular premium (R) - premiums that policyholders have to pay at pre-determined dates and amounts in order to have the full effect of its guarantee, including those cases when contracts provide the right to policyholders of changing dates and amount of premiums � single premium (S) – premiums paid under a pre-determined schedule without pre-determined amounts, and with additional guarantee according to amount paid � single premium (NS) – premiums paid without any pre-determined schedule with additional guarantee according to amount paid � single premium (NF) – premiums paid without possibility to pay an additional premium in the future � other (O) - any other case not mentioned above 21
Page 1: Solvency II Returns (QMC & QAD) ins
Page 5: Introduction The additional informa
Page 8 and 9: Quarter Submission date Audited? Ty
Page 10 and 11: 1.6.3 For the balance sheet, conver
Page 12 and 13: eported in the return. Any transact
Page 14 and 15: Line A14 - Collateralised securitie
Page 16 and 17: claims/premiums provisions and risk
Page 18 and 19: 2.9 QMC245: Non-life insurance clai
Page 20 and 21: Insured (policy number): This is th
Page 24 and 25: Country: This is the country where
Page 26 and 27: EEA countries; USA, Canada, Austral
Page 28 and 29: This form is required with respect
Page 30 and 31: sub-module, a zero value can be rep
Page 32 and 33: Type of reinsurer: This should be r
Page 34 and 35: Reinsurance commission (flat or sli
Page 36 and 37: Issuer country: This is the country
Page 38 and 39: protection”, “enhanced returns
Page 40 and 41: 3.5 QAD234: Derivatives data - hist
Page 42 and 43: 3.9 QAD238:Assets held as collatera
Page 45 and 46: Definition of CIC (as issued by EIO

Solvency II - Lloyd's

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