Solvency II - Lloyd's

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Issuer country: This is the country where the legal seat of issuer is located. For investment funds, the country is relative to the funds manager. The legal seat, for this purpose, should be understood as the place where the issuer head office is officially registered, at a specific address, according to the commercial register (or equivalent). The International Organisation for Standardisation (ISO) alpha 2 codes should be used, i.e. two letter country codes. For example, “US” to denote United States. Country of custody: This is the ISO code of the country where undertaking assets are held in custody. For identifying international custodians (e.g. Euroclear), the country of custody will be the one corresponding to the legal establishment where the custody service was contractually defined. Currency: This is the currency of the issue and code should be the ISO code, for example, USD for US dollars. CIC: This refers to Complementary Identification Code (CIC) and it is the EIOPA Code used to classify securities. See Appendix 1 for the CIC table. This should comprise of four characters, for example, ES15 denoting, treasury bonds listed in Spain. External rating: This is the rating given by external rating agency and is only applicable to CIC categories 1, 2, 5 and 6. The syndicate must report the external rating that in their perspective is best representative. Rating agency: This is the rating agency giving the external rating and should be selected from the drop down list of agencies. Duration: This is the ‘residual modified duration’ in years. For assets without fixed maturity the first call date should be used. It only applies to CIC categories 1, 2, 4 (when applicable), 5 and 6. Quantity: This depends on the type of assets (e.g. number of shares for equity and investment funds, total valued in par amount for bonds). Unit Solvency II price: This depends on the type of assets (amount in GBP for shares, percentage of par value for bonds). For bonds this should be the clean price (consistent with IFRS) i.e. should not include accrued interest. This is not applicable for CIC categories 7, 8 and 9. Valuation method SII: Identify the valuation method used when valuing assets. This should either be mark to market or mark to model. Acquisition cost: This is the acquisition cost of each asset. Where there are different acquisition costs due to acquisitions made at different dates, an average acquisition cost must be used and consequently only one line is completed for any single asset, independently of having more than one acquisition. This is not applicable to CIC categories 7 and 8. Total Solvency II amount: This is a formula, corresponding to the multiplication of “Quantity” by “Unit SII price” plus accrued interest for bonds and other interest bearing security. Maturity date: This is only applicable for CIC categories 1, 2, 5, 6 and 8 and corresponds always to the maturity date, even for callable securities. 3.3 QAD232: Structured products data - portfolio list Purpose of form: This form reports specific detailed analysis of structured products, taking into account their specific characteristics. This form is required for all reporting years combined and will be required on an annual basis. This form applies to assets with CIC security categories 5 (structured notes) and 6 (collateralised securities). ID code: This is similar to the code reflected on QAD230. 34
Type of structured product: This identifies the type of structure product and must be reported as per the following closed list. � CLN - credit linked notes and deposits � CMS- constant maturity swaps � CDOp - credit default options � ABS - asset backed securities � MBS - mortgage backed securities � CMBS - commercial mortgage backed securities � CDO - collateralised debt obligations � CLO - collateralised loan obligations � CMO - collateralised mortgage obligations � IRLN - Interest rate-linked notes and deposits � ELN - Equity-linked and Equity Index Linked notes and deposits � FXCLN - FX and commodity-linked notes and deposits � HLN - Hybrid linked notes and deposits (includes real estate and equity securities) � MLN - Market-linked notes and deposits � ILN - Insurance linked Notes and deposits, including catastrophe and weather risk as well as mortality risk � O - Other Capital protection: Identify whether the product has capital protection (Yes, Partial, No). Collateral: This is the collateral value of the structured product. The total amount of collateral to the structured note should be reported. Collateral type: This identifies the type of collateral by using the security categories defined in the CIC table (government bonds, corporate bonds, equity, investment funds, structured notes, cash and deposits, property, other). Underlying security/index/portfolio: This describes the type of underlying security using the following closed list: � Equity and Funds (a selected group or basket of equities) � Cu - Currency (a selected group or basket of currencies) � IR - Interest rate and yields (bond indices, yield curves, differences in prevailing interest rates on shorter and longer-term maturities, credit spreads, inflation rates and other interest rate or yield benchmarks) � Co - Commodities (a selected basic good or group of goods) � In - Index (performance of a selected index) � O - Other (other economic indicators) � M - Multi (allowing for a combination of the possible types listed above) Risk factors: This identifies the risk factors in the structured product. Risk factors are the elements that may negatively affect the evolution of value or return of the structured product. This field complements the main risk driver identified by the CIC. This should be a brief description of the risk factor, for example, “principal 35
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 22 and 23: Start and End sum insured: The star
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 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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