Solvency II - Lloyd's

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protection”, “enhanced returns within an investment”, “credit risk arising from the structured product, if not mitigated by other instruments”, “lack of liquidity”, etc. Synthetic structured product: This identifies structured products without transfer of any assets (e.g. products that will not give rise to any delivery of assets if an adverse / favourable event occurs). Prepayment structured product: This identifies structured products which have the possibility of prepayment, considered as an early unscheduled return of principal. Loss given default: This is the contractually defined percentage of the invested amount that will not be recovered following default, if applicable. Attachment point: This is the contractually defined loss percentage above which the losses affect the structured note, if applicable. Detachment point: This is the contractually defined loss percentage above which the losses seize to affect the structured note, if applicable. 3.4 QAD233: Derivatives data – open positions Purpose of form: This form reports information on all derivatives held by the syndicate. It provides information on risks and risks mitigating strategies followed through the use of derivatives. This form is required for all years combined and will be required on a quarterly and annual basis. This includes all derivatives contracts that existed during the reporting period and were not closed prior to the end of the reporting year. The value of the open contracts at the end of the reporting year should agree to QMC002, lines A22 and A70. ID Code: This is the same as the code reported on QAD230. Counterparty ID: This is the identification of the counterparty of the derivative contract. Counterparty group (code): This is the parent company of the counterparty. Assets underlying the derivative contract: This item is to be provided for derivatives that have a single underlying instrument or index. Asset or liability underlying the derivative: This is the asset or liability underlying the derivative contract. This should be reported in the form of the ID code and it should be provided for derivatives that have a single underlying instrument in the syndicate’s portfolio. Use of derivatives: This describes the use of derivative i.e. micro / macro hedge (MI/MA), efficient portfolio management (EPM). Micro hedge refers to derivatives covering a single asset while macro hedge refers to derivatives covering a set of assets. Delta: This measures the rate of change of option value with respect to changes in the underlying asset's price. This is only applicable to CIC categories B and C (Call and put options). Notional amount: This is the amount covered or exposed to the derivative. For futures and options, this corresponds to the contract size multiplied by the number of contracts; and for swaps and forwards, this corresponds to the contract amount. The nominal amount refers to the amount that is being hedged / invested (when not covering risks). If several trades occur, this should be the net amount at the reporting date. Long or short position: This only applies for futures and options, swaps and credit derivatives contracts (currency, credit and securities swaps). The long and short position for swaps is defined relatively to the notional amount. A holder of a long position owns the security or notional amount at the contract inception, while a holder of a short position will own the security or the nominal amount at the end of the derivative 36
contract. For interest rate swaps, these should be reported as: "FX-FL (fixed-for-floating)", "FX-FX (fixed-forfixed)", “FL-FX (floating-for-fixed)” or "FL-FL (floating-for-floating)". Premium paid/received to date: This is the amount received (if sold) or paid (if bought), for options and also up-front and periodical amounts paid / received for swaps, since inception. If the cost is zero, report “0”. Number of contracts: These are the number of derivative contracts in the portfolio and it should be the number of contracts entered into. The number of contracts should be the ones outstanding at the end of the quarter/year. Contract dimension: These are the number of underlying assets in the contract (e.g. for equity futures, it is the number of equities to be delivered per derivative contract at maturity, for bond futures it is the reference amount underlying each contract). This only applies to futures and options. Trigger value: This is the reference price for futures, strike price for options, currency exchange rate or interest rate for forwards, etc. This is not applicable to interest rate and currency swaps. In the case of more than one trigger over time, report the trigger value during the reporting period. Unwind trigger of contract: This is to identify the event that causes the unwinding of the contract. Possible options are: (B)bankruptcy of the underlying or reference entity, (F)adverse fall in value of the underlying reference asset, (R)adverse change in credit rating of the underlying assets or entity, (O)other events. Maximum loss under unwinding event: This is the maximum amount of loss if an unwinding event occurs and it is only applicable to CIC category F. Swap outflow amount: This is the amount delivered under the swap contract, during the reporting period. It corresponds to the interest paid for interest rate swap (IRS) and amounts delivered for currency swaps, credit swaps, total return swaps and other swaps. Swap inflow amount: This is the amount received under the swap contract, during the reporting period. It corresponds to interest received for IRS and amounts received for currency swaps, credit swaps, total return swaps and other swaps. Swap delivered currency: This is the currency of the swap price and it should be in form of ISO code. This is only applicable for currency swaps and interest rate and currency swaps. Swap received currency: This is the currency of the swap notional amount and it is only applicable for currency swaps and interest rate and currency swaps. Trade date: This is the date of the trade of the derivative contract. If trades occur at different dates, a line should be reported for each trade and for rolled contracts the initial trade date should be used. Maturity date: This is the date of close of the derivative contract, whether at maturity date, expiring date for options (European or American), etc. Duration: This is the residual modified duration, in years, for derivatives for which a duration measure is applicable. This is calculated as the net duration between in and out flows from the derivative, when applicable. Solvency II Value: This is the Solvency II value of the derivative as of the reporting date and can be positive, negative or zero. Derivative assets should be reported as positive values while derivative liabilities as negative values. Valuation method SII: This is the valuation method used when valuing assets and this is mark to market or mark to model. 37
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 36 and 37: Issuer country: This is the country
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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