syndicate return - lloyd's

Solvency II: Pillar 3 Returns

(ASR/QSR/AAD/QAD) instructions

March 2013

SolvencyTechnical

Provisions under solvency II Detailed

Guidance

March 2011 update

Contents

Pages

Section 1: Introduction 3

Section 2: General Instructions 5

Section 3: Form Instructions for Annual

Solvency Return (ASR)

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Section 4: Form Instructions for Quarterly Solvency Return

(QSR) 45

Section 5: Form Instructions for Quarterly Asset Data/Annual

Asset Data (QAD/AAD) 51

Appendices

1. EIOPA Complementary Identification Code (CIC) Table

2. Mapping of SII Balance Sheet to QMA002

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Section 1: Introduction

The additional information that Lloyd’s needs to collect from syndicates in order to be able to complete the Solvency II Pillar 3 Solvency & Financial Condition Report, Regular Supervisory Report and Quantitative Reporting Templates for the ‘association of underwriters known as Lloyd’s’ will be collected in the Annual Solvency Return (ASR), Quarterly Solvency Return (QSR), Annual Asset Data (AAD) and Quarterly Asset Data (QAD). These will form part of the Core Market Returns (CMR) system. In addition the syndicate investment information reported in the QAD/AAD will be input into the Lloyd’s Internal Model (LIM) in order to calculate the market risk capital requirements under Solvency II. At this time it is envisaged that the QMC, collected in order to be able to determine a Solvency II result by reporting year of account for the purpose of Lloyd’s capital setting process, shall be collected separately.

This document provides instructions to managing agents in respect of completion of these returns which have been developed in the CMR. The forms specifications have also been uploaded onto the respective sections of the CMR.

The forms, instructions and reporting timetable set out in these documents are based on Lloyd’s interpretation on the Solvency II Pillar 3 requirements as they are currently known. The specification is based on EIOPA’s Pillar 3 final report published in July 2012. EIOPA has indicated that these forms are stable, however, they could still change considering that they are not yet final. In particular, the reporting deadlines will not be finalised until the Level 2 measures are finalised, which is unlikely to be before late 2013.

Accordingly, this material is draft and will be reviewed and revised in 2014 following further clarification of final requirements from EIOPA. However, neither the reporting timetable nor the reporting requirements are expected to change materially from current expectations. Thus managing agents are advised to use this material to assist them with their detailed preparations for meeting Solvency II reporting requirements.

The reporting deadlines set out therein are illustrative and are based on what would be expected to apply if Solvency II was to come fully into force at 1 January 2014. The deadlines for managing agents are ‘Year 1’ timings reflecting the phasing in of reporting deadlines to the supervisor as envisaged in the draft Level 2 text. However, as previously advised to managing agents, full implementation as at 1 January 2014

is unlikely to be achieved although no new timetable has been proposed by the European

Commission (EC) at this stage. In the absence of any further clarity on timelines, the Prudential Regulation Authority (PRA) has set the end of 2015 as a realistic interim planning period. Lloyd’s plans therefore assume a 1 January 2016 implementation date but agents should note that this is a planning assumption only and is subject to change as further clarification from the EC emerges.

Agents should also note that EIOPA are expected to propose some ‘interim measures’, including information needed ‘for applying a prospective and risk based supervisory approach’. This may require the reporting

of some Pillar 3 information before 2016. These proposals shall be published for consultation in the Spring in 2013 and Lloyd’s shall keep agents informed of developments.

In addition these instructions also apply to the QAD dry run as at 31 December 2012 and first ‘live

filing’ as at 30 September 2013 (see 2.2.1 below for deadlines).

Any queries on these instructions or the ASR/QSR/AAD/QAD templates should be sent to one of the following:

[email protected]

George Maina ([email protected])

Paul Appleton ([email protected])

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mailto:[email protected]



Section 2: General instructions

The following instructions are common to the Pillar 3 returns, ASR, QSR, AAD and QAD.

2.1 Pillar 3 returns (ASR/QSR/AAD/QAD)

2.1.1 The Pillar 3 returns provide the information needed to enable Lloyd's to, among other things:

Produce the Lloyd’s Solvency II Returns for the PRA, i.e. the Regular Supervisory Report (RSR), Solvency & Financial Condition Report (SFCR) and quantitative reporting templates (QRTs) for the ‘association of underwriters known as Lloyd’s’ in aggregate.

Input of the syndicates’ investment information reported in the QAD/AAD into the Lloyd’s Internal Model (LIM) in order to calculate market risk capital requirement under Solvency II.

2.1.2 These returns are prepared based on the Solvency II reporting templates issued by EIOPA in July 2012, but tailored where necessary to meet the requirements for Lloyd’s syndicates.

2.1.3 The ASR and QSR includes all the relevant Solvency II reporting templates issued by EIOPA apart from the assets templates which are included in the AAD and QAD.

2.1.4 The ASR and QSR will be a synchronous return, similar to QMA, while AAD and QAD will be an asynchronous return due to the high volume of data required.

Synchronous

This has been the standard approach used for returns with relatively low volume of data, for example, QMA. Below are some of the features:

data can be input to Core Market Returns (CMR) either through the user interface or in csv format

data submitted in csv format can be edited via the user interface

validations are done as and when the data is input

all data can be printed

Asynchronous

This approach has been used for returns with high volume of data, for example, PMD/GQD/TPD returns. Below are some of the features:

data is input to Core Market Returns as a series of zipped csv files

edits to the data are made by updating the csv and re-uploading it

validations are done when the data is uploaded

prior to submission, a validation tool is provided to pre-process the data for format compliance

summary data can be printed

2.2 Reporting Timetable: QAD Dry Run and Full Pillar 3

2.2.1 QAD Dry Run Timetable: The following table provides the 2013 reporting deadlines for the QAD returns submissions, as required by the Lloyd’s Internal Model (LIM). The electronic version of the completed QAD submissions are required to be submitted by the managing agent to the Core Market Returns Site by 2pm on the relevant submission date.

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Quarter Submission date Audited? Type of submission Required Forms

Q4 2012 Thursday 13 June 2013 No Electronic only QAD 230, 233 and 236

Q3 2013 Friday 01 November 2013 No Electronic only QAD 230, 233 and 236

The Q4 2012 submission is a dry run and is required on a best efforts basis only. No sign-off is required.

The Q3 2013 submission is a ‘live filing’ and a sign-off must be provided.

2.2.2 Pillar 3 Timetable: The following table provides the reporting deadlines for the Pillar 3 returns submissions if Solvency II were to apply in full from 1 January 2014. The electronic version of the completed Pillar 3 returns submissions are required to be submitted by the managing agent to the Core Market Returns Site by 2pm on the relevant submission date. In practice these dates are

illustrative only, see comments on reporting deadlines in Introduction, page 7.

Quarter Submission date Audited? Type of submission

Q1 2014 Tuesday 06 May 2014 No Electronic only

Q2 2014 Monday 04 August 2014 No Electronic only

Q3 2014 Tuesday 04 November 2014 No Electronic only

Q4 2014 Thursday 05 February 2015 No Electronic only

Annual – 2014* Thursday 26 March 2015 Yes Electronic & hard copy managing agent’s and auditors' report

(*NB: This is the annual submission for the 2014 year end. Where there is a material difference between the amounts included in the Q4 2014 return and the annual return, reconciliation and a note should be included in form 990 explaining this.)

2.2.3 Late Submissions: Failure to submit the return by the due deadline will be considered a breach of the Underwriting Byelaw (No. 2 of 2003) as amended at quarters 1, 2, 3 and 4, and a breach of the Solvency and Reporting Byelaw (No.5 of 2007), as amended for annual reporting. A resubmission of the return after the deadline date will be considered a late submission.

Managing Agents will be subject to disciplinary action and fines will be imposed if the return is submitted after the due deadline, in accordance with the following schedule:

Per return per syndicate – flat fine £5,000

Per return per syndicate – additional fine per working day late £1,000

Persistent delays will lead to further disciplinary action.

A return that requires a resubmission after the deadline date will be treated as a late return and fines will be imposed.

In 2013, these requirements shall only apply in practice for the submissions of the QAD.

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We would appreciate advance notification when managing agents become aware of specific instances that may impact their ability to meet the submission deadlines.

2.3 Key contacts

2.3.1 Any queries about the completion of the Pillar 3 returns should be directed by e-mail to Market Finance at [email protected]. All queries will be responded to by the end of the following working day. Please contact Paul Appleton ([email protected]) via email if a response remains outstanding at that time.

2.3.2 Please include the relevant form number(s) and a reference to the issue raised in the email header.

2.3.3 The Key contacts within the Corporation of Lloyd’s in relation to the Pillar 3 returns are:

John Parry Head of Market Finance

Paul Appleton Senior Manager, Accounting Policy

George Maina Project Manager, Accounting Policy

Jane Tusar Project Executive, Accounting Policy

Debbie Sallas Manager, Investment Analysis & Operations, Treasury & Investment Management

2.4 Overview of return

2.4.1 Parallel corporate syndicates must complete and submit separate Pillar 3 returns.

2.4.2 The return must be completed in respect of all open years of account and all run-off years of account, in order to reflect the total insurance business transacted by underwriting members of Lloyd’s.

2.4.3 When setting up a return, the system will generate the forms to be completed, and establish the validation rules to be adhered to, as appropriate to that syndicate’s circumstances.

2.5 Basis of preparation

2.5.1 The returns must be prepared in accordance with these instructions. Where additional clarification is required this will be issued via Frequently Asked Questions posted on the Core Market Returns website. This will clearly set out whether the update is a change to the instructions or for guidance purposes only.

2.5.2 The return must be prepared in accordance with the Solvency II Directive, Level 2 Implementing Measures and Level 3 Technical Guidance as issued by EIOPA, except where an alternative treatment is specifically required in the instructions.

2.5.3 The instructions in respect of each form state the level at which the forms should be completed. Each form must be completed at one of the following levels:

Whole syndicate (all reporting years combined)

Reporting year

Pure/Underwriting year

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2.5.4 Whole syndicate or all reporting years combined means all of the transactions or assets and liabilities as appropriate for the syndicate as a whole.

2.5.5 Reporting year means the calendar year that is being reported, for example, when reporting for the year end 2014, the reporting year will be 2014.

2.5.6 Pure/Underwriting year relates to the year in which the business was originally written and to which the original premiums and all subsequent transactions are signed. The pure original year may still be open, or subsequently reinsured to close into another year of account. For general (non-life) business the pure original year may be from the 1993 to the 2014 year of account, all liabilities in respect of 1992 and prior years having been reinsured into Equitas effective at 31 December 1995. When reporting on the transactions for a pure original year, only the transactions relating specifically to that pure year must be reported.

2.6 Exchange rates

2.6.1 All figures are to be provided in GBP. A market bulletin will be issued on the next working day following each quarter end providing suggested, but not mandatory, average and closing rates.

2.6.2 For the profit and loss account, all conversions will normally be made using exchange rates at the dates of the transactions (or at average rate for the period when this is a reasonable approximation) as defined under IAS 21, The Effects of Changes in Foreign Exchange Rates. Lloyd’s will not prescribe the actual rates to be used.

2.6.3 For the balance sheet, conversions must be made using closing rates of exchange in accordance with IFRS. Non-monetary items (if any) should be treated in the ASR/QSR as per IAS 21. IAS 21 requires the following at the end of each reporting period:

Foreign currency monetary items should be translated using the closing rate

Non-monetary items that are measured in terms of historical cost in a foreign currency should be translated using the exchange rate at the date of the transaction

Non-monetary items that are measured at fair value in a foreign currency should be translated using the exchange rates at the date when the fair value was measured

2.6.4 Solvency II requires that all assets and liabilities should be measured at fair value, hence all foreign currency assets and liabilities should be translated at closing rate.

2.7 Lines of business

2.7.1 Lines of business referred to in these instructions apart from ASR430 and ASR431 are the Solvency II lines of business as reported in QIS5 and detailed in the draft Level 2 implementing measures.

Non-life lines of business – Direct and proportional reinsurance

Medical expenses

Income protection

Workers’ compensation

Motor vehicle liability

Other motor

Marine, aviation and transport

Fire and other damage to property

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General liability

Credit and suretyship

Legal expenses

Assistance

Miscellaneous financial loss

Non-life lines of business – Non-proportional reinsurance

Health

Casualty

Marine, aviation and transport

Property

Life lines of business

Insurance with profit participation

Index-linked and unit linked insurance

Other life insurance

Annuities stemming from non-life insurance contracts and relating to health insurance obligations

Annuities stemming from non-life insurance contracts and relating to insurance obligations other than health insurance

Life reinsurance

Health insurance

Health reinsurance

2.7.2 Classes of business required in ASR430 (non-life) and ASR431 (life) are those set out in Article 159 of the Framework Directive, Annexes V and II respectively. The following is a list of classes of business that are applicable to Lloyd’s

Classes of non- life insurance (Annex V) – ASR430

Accident and sickness

Motor (excluding carrier’s liability)

Fire and other damage to property

Aviation, marine and transport

General liability

Credit and suretyship

Other classes

Classes of life insurance (Annex II) – ASR431

Life insurance

Permanent health insurance

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2.8 Reporting configuration

2.8.1 All forms are to be completed in currency units, not 000's, unless specified on the form. Generally, all values must be entered as positive numbers unless otherwise stipulated on the forms and instructions

2.9 Completion of forms

2.9.1 All amounts on each form must be completed as indicated on the form. Additional guidance is provided in respect of each form in these instructions.

2.9.2 Certain figures disclosed on some forms in the return must agree or relate to figures on other forms.

2.10 ‘Analysis’ cells

2.10.1 Certain cells require analysis of material amounts to be provided in the analysis section (i.e. a description and details of the material amount must be disclosed). For such items, the system will generate a sequentially numbered continuation sheet. Where we have identified common reasons for an ‘other’ entry, use the suggested description in the analysis section where appropriate.

2.10.2 Any amount greater than £1m must be given a description that is sufficient for the reader to understand its nature. General terms such as “other,” “miscellaneous,” etc. should not be used for amounts greater than £1m. Descriptions given to amounts below £1m will be at the discretion of the agent and auditor given the circumstances of the syndicate and the nature of the analysis figure.

2.11 Equitas

2.11.1 The Pillar 3 returns must be prepared on a basis of recognising the reinsurance to close of all 1992 and prior non-life business into Equitas, effective as at 31 December 1995. In particular, only transactions, assets and liabilities relating to 1993 and post non-life business (and ALL life business) must be reported in the return. Any transactions occurring in the current year relating to 1992 and prior non-life business must NOT be reported in this return.

2.12 Exclusions

2.12.1 Variation analysis forms have not been developed in the CMR system at this time and hence have been excluded from these instructions. These forms have been excluded because the final format is uncertain, and it is expected that they will not be required until the second year following implementation of Solvency II. For example, if Solvency II was implemented in 2016, it is anticipated that they would be required for the first time in 2018 i.e. for the year ended 31 December 2017. These forms will be developed once Lloyd’s considers these to be stable and instructions for completing will be included in the subsequent issues of the instructions.

2.12.2 Solvency Capital Requirement – Non-life catastrophe risk form has also not been developed in the CMR system and hence has been excluded from these instructions. This form has been excluded because it is expected to change. The form will be developed once Lloyd’s considers it to be stable and instructions for completing will be included in the subsequent issues of the instructions.

2.12.3 Reinsurance forms have also not been developed in the CMR system and hence have been excluded from these instructions. The main reason why these forms have not been developed is because the analysis and review of the forms is still on-going. Lloyd’s is currently assessing the possibility of integrating the Solvency II reinsurance reporting requirements into the existing syndicate reinsurance programme return (SRP), ensuring consistency as well as non-duplication of the reinsurance information reporting to Lloyd’s. Further information will be provided later in 2013.

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2.12.4 The managing agent’s report (910), auditor’s report (930) and comments form (990) are excluded from these instructions. The extent of any audit requirements is yet to be determined by EIOPA, but is likely to cover a subset of the annual forms, and not the quarterly forms at all.

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Section 3: form instructions for ASR

3.1 ASR010: Control page

Purpose of form: This form collects/confirms basic information regarding the syndicate, including the

syndicate number, managing agent, reporting years of account and their status (open/closed/run-off) and

pure years comprising each reporting year.

The software will generate the forms required to be completed in accordance with the data in the matrix. It is important that you check that the matrix is populated correctly.

When you set up a return, you are required to enter a person as the contact for the return. Any queries on the return will be addressed to this person together with the person who clicks the action “sign off” prior to submission of the return.

Each syndicate will have a return Administrator. The Administrator is responsible for adding/amending contact details for the return. Please ensure that all contact details are correct. Details can be updated via the ‘Admin’ link on the Core Market Returns menu.

We do recognise, however, that persons signing off the return may not necessarily be those to whom queries should be sent to. If this is the case, please email Market Finance via [email protected], with details of an alternative contact, who shall be included on the queries distribution list relating to the syndicate.

3.2 ASR 025: Country (EEA Member State) Selection

Purpose of form: This form presents a list of EEA countries required for ASR430 and ASR431.

This form provides a list of European Economic Area (EEA) countries (excluding UK) that are required for ASR430 and ASR431. Syndicates should make appropriate selection i.e. all EEA countries where syndicates write business should be selected in this form. There is no materiality threshold, hence all EEA countries where syndicates carry out business should be selected and the selected countries will be presented on ASR430 and ASR431.

3.3 ASR 026: Additional Material Currency Selection

Purpose of form: This form allows syndicates to select additional material currencies required on ASR260.

This form allows syndicates to select additional currencies required in ASR260 i.e. other than the 6 currencies (USD, GBP, EUR, CAD, AUD and JPY) already presented in ASR260. Syndicates are required to report separately any additional currencies that represent 20% or more of both assets and liabilities.

3.4 ASR 027: Technical Provisions Non-Life: Line of Business and Currency Selection

Purpose of form: This form allows syndicates to select lines of business and currencies required on the non-

life technical provisions forms.

This form allows syndicates to select the lines of business and currencies that are required to be reported on the non-life technical provisions forms. The lines of business selected on this form are presented on the following technical provisions forms; ASR245, 246, 247, 248, 249, 250 and 252. The currencies selected on this form are presented on the following technical provisions forms; ASR245, 246, 247 and 248.

Syndicates should select all currencies and lines of business that they write irrespective of materiality to the syndicate. Where a syndicate has been given dispensation with respect to currency reporting for the technical provisions data return (TPD), this is also acceptable in the preparation of this form. Hence the currencies selected in this form should be the same as those reported in the TPD.

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3.5 ASR 002: Overall Balance Sheet

Purpose of form: This form presents an overall view of the balance sheet of the syndicate under Solvency II

valuation rules, compared with UK GAAP.

This form is required for all reporting years combined.

The amounts in Column A will be valued based on Solvency II valuation principles while those in Column B will be on a UK GAAP basis. Please see Appendix 2 for the mapping of Solvency II balance sheet to QMA002,

Column B must agree to the disclosure in the syndicate annual accounts and QMA002, Column C or, where fewer lines/different names are used in the accounts/QMA, it should be possible to agree the figures in total.

Assets

Line A2 – Deferred acquisition costs: There are no deferred acquisition costs under Solvency II as all acquisition costs not received by the reporting date are included in the calculation of technical provisions. Hence, no amount is expected within A2.

Line A3 – Intangible assets: These are intangible assets other than goodwill. They should be valued at nil under Solvency II valuation principles, unless they can be sold separately and the syndicate can demonstrate that there is a market value for the same or similar assets that has been derived in accordance with Level 2 implementing measures.

Line A7 - Property (other than for own use): This is investment property and Lloyd’s would not be expecting any amount to be reported within this line. Where a syndicate has investment in funds investing in real estates, this should be reported within line A21, real estate funds.

Line A12 – Government Bonds: These are bonds issued by public authorities, whether by central government, supra-national government institutions, regional governments or municipal governments.

Line A13 – Corporate Bonds: These are bonds issued by corporations including those issued by government agencies, for example, Federal National Mortgage Association (Fannie Mae) and Federal Home Loan Mortgage Corporation (Freddie Mac).

Line A14 – Structured notes: These are hybrid securities, combining a fixed income instrument with a series of derivative components. Excluded from this category are fixed income securities that have been issued by sovereign governments. These are all securities that have embedded all categories of derivatives, including Credit Default Swaps (CDS), Constant Maturity Swaps (CMS) and Credit Default Options (CDO).

Line A15 – Collateralised securities: These are securities whose value and payments are derived from a portfolio of underlying assets. These include Asset Backed securities (ABS), Mortgage Backed securities (MBS), Commercial Mortgage Backed securities (CMBS), Collateralised Debt Obligations (CDO), Collateralised Loan Obligations (CLO) and Collateralised Mortgage Obligations (CMO).

Lines A17 - A25 – Investment funds: These should include all the funds (including money market funds) that are held by the syndicate.

Line A27 – Derivatives: Only derivative assets should be included on this line i.e. those with positive values. These should be derivative assets that are directly held by the syndicate and hence do not include those that are held indirectly through investments funds or structured notes.

Line A28 - Deposits other than cash and cash equivalents: These are deposits other than transferable deposits. These means that they cannot be used to make payments at any time and that they are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty. These are deposits with CIC codes, 73, 74 and 79.

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Line A29 – Other investments: This cell is an analysis cell. All material amounts included in this cell must be separately listed in the analysis table (see section 2.10 ‘analysis cell’ above for details of materiality).

Line A31 – Assets held for unit-linked & index-linked funds: These are assets held for insurance products where policyholder bears the risk (unit-linked). Lloyd’s would not expect any amount reported within this line.

Line A35 – Loans on policies: These are loans to policyholders collateralised on policies. We do not expect syndicates to have this type of asset.

Lines 36-42 – Reinsurance recoverables: Reinsurers’ share of technical provisions should be reported within the appropriate lines.

Line A50 – Cash and cash equivalents: These are notes and coins in circulation that are commonly used to make payments, and deposits exchangeable for currency on demand at par and which are directly usable for making payments by cheque, draft, giro order, direct debit/credit, or other direct payment facility, without penalty or restriction. These are amounts classified with CIC codes, 71 and 72.

Line A51 – Any other assets, not elsewhere shown: This cell is an analysis cell. All material amounts included in this cell must be separately listed in the analysis table (see section 2.10 ‘analysis cell’ above for details of materiality).

Liabilities

Technical Provisions calculated as a whole: Separate calculation of the best estimate and risk margin are not required where the future cash-flows associated with insurance obligations can be replicated using financial instruments for which a market value is directly observable. The portfolio must be replicable/hedgeable. Lloyd’s does not expect syndicates to calculate Solvency II technical provisions as a whole.

The ‘Solvency II value of the technical provisions’ should be reported in the respective line, i.e. risk margin and best estimate while the UK GAAP statutory accounts value should be reported on the “Technical Provisions calculated as a whole” line.

Valuation of technical provisions: Managing agents should note, when preparing their Solvency II technical provisions, that Lloyd’s does not expect the impact of the release of reserve margins in the UK GAAP technical provisions to be greater than the amount of the reserve margin reported in the Statement of Actuarial Opinion (SAO).

Line 74 – Contingent liabilities: These are liabilities that are contingent, therefore off-balance sheet according to IAS 37, Provisions, Contingent Liabilities and Contingent Assets. The standard defines a contingent liability as:

(a) A possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non-occurrence of one or more uncertain future events not wholly within the control of the entity; or

(b) A present obligation that arises from past events but is not recognised because:

(i) it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or

(ii) the amount of the obligation cannot be measured with sufficient reliability.

These are neither related to insurance, nor financing nor lease; they are, for example, related to legal expenses (with an expected probability of less than 50%).

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Other areas

Future cash flows transferred from (re)insurance receivables/payables to technical provisions

Solvency II requires transfer of future cash flows from (re)insurance receivables/payables to technical provisions. Amounts included in (re)insurance receivables/payables that are not “over-due” should be transferred to technical provisions as future cash flows. Agents should ensure that adjustments made to (re)insurance receivables/payables in relation to future cash flows agree to respective amounts included in the calculation of the technical provisions and reported in the technical provision data return (TPD). We would not expect any adjustments against reinsurance receivables in respect of recoverable on paid claims as these amounts should be left as debtors in the balance sheet.

LCA balances

LCA balances are future cash flows and hence should be included in the Technical Provisions. However, any amount included in the LCA balances where the contractual settlement due date has passed by the period end date but which at the period end date have not been received should reported as debtors in ASR002. LCA balances are net of acquisition costs, so these must be grossed up and allocated accordingly between premiums and expenses.

From a premium stand point the agent needs to consider what has been received. If the agent is notified of a premium signing which has not yet been settled and has a due date after the balance sheet date then this is a future cash flow and should be reported in technical provisions. This remains as a future cash flow in technical provisions until the cash is received by the syndicate.

From a claims standpoint, the managing agent will know when a claim has been paid and can deem the cash flow as having occurred. If it is reported in LCA balances once paid at the balance sheet date then it should left in creditors on the balance sheet i.e. should not be considered a future cash flow in technical provisions.

In summary, managing agents need to think about the cash flow between the syndicate and LCA and decide if it is a future cash flow from the syndicate's perspective.

Reinsurance recoveries

The key defining characteristic is when the reinsurance recoveries in question are booked as "paid" (i.e. the moment they would appear in the QMA/financial statements as "debtors arising out of reinsurance operations/reinsurance receivables” in the balance sheet and “reinsurers’ share of paid claims" in the P&L account). If, for any reason, the processing of reinsurance recoveries results in a mis-match to the gross payment (e.g. there is a delay in calculating and processing outwards amounts to "paid") then the unprocessed expected reinsurance recoveries would remain as outstanding (unsettled) reinsurance claims for a period of time. As with the current treatment, these recoveries would remain within technical provisions for Solvency II until this is processed as paid (and collection notices issued). For most agents, this would be the same as the current financial reporting/accounting basis. For the avoidance of doubt, any uncollected reinsurance recoveries in respect of reinsurance items booked as "paid" are not reported as technical provisions but as debtors. Hence, on ASR002, we would not expect any adjustments (relating to claims paid) within line 46 ‘Reinsurance receivables’ to technical provisions. The same principles would apply to any associated reinstatement or outwards adjustment premiums.

This is consistent with the principle of correspondence in that technical provisions only include the expected reinsurance cash flows that relate to the expected (unsettled) gross claims on current obligations but recognising that, in practice, some reinsurance recoveries will see a lag between the gross and reinsurance claims being calculated and/or processed.

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Other assets and other liabilities

These should be valued at fair value by discounting expected cash flows using a risk free rate. However, book value as per UK GAAP may be used as a proxy to the fair value for Solvency II balance sheet purposes where the impact of discounting is not material because the balances are due/payable within one year or amounts due/payable in more than one year are not material. Materiality should be determined in accordance with International Accounting Standards (IAS1) i.e. “Omissions or misstatements of items are material if they could, individually or collectively, influence the economic decisions that users make on the basis of the financial information. Materiality depends on the size and nature of the omission or misstatement judged in the surrounding circumstances.”

Profit commission

Where the profit under Solvency II would be different to that under UK GAAP, agents should recalculate the profit commission to reflect the change in the profit. Hence, the profit commission recognised in the Solvency II column should be based on the Solvency II profit.

However, where the syndicate year is closing, there is no recalculation of the profit commission in respect of the closing year as distribution will be based on the QMA (UK GAAP result). However, the effect of Solvency II valuation differences on the liabilities accepted by the reinsuring year of account, either for the same or another syndicate, should be taken into account when calculating the notional Solvency II profit commission for the reinsuring syndicate year.

Funds in syndicate (FIS)

Where a syndicate holds FIS, this should be reported within the respective investments lines i.e. ASR002, lines 7-29. The amount reported within these lines should agree with the respective amounts reported in the AAD230.

3.6 ASR210: Off-balance sheet items

Purpose of form: This form presents an overall view of the off-balance sheet items, which could impact the

financial position of the syndicate, if realised.

This form is required for all reporting years combined and will be required on an annual basis.

All guarantees received, for example, letters of credit (LoCs) received from reinsurers should be reported under the guarantees received section.

Collateral received from reinsurers, but which has not been reported in the balance sheet, should be reported under the collateral held section.

The contingent liabilities included in this form is the amount that was not included in the contingent liabilities amount in the balance sheet because of being immaterial. If possible, they should be valued at their maximum possible value, regardless of their probability (i.e. future cash flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk-free rate term structure).

Details relating to letters of credit and bank guarantees provided as funds at Lloyd’s (FAL) should not be reported on this form.

3.7 ASR220: Own Funds

Purpose of form: This form provides a detailed overview of the syndicate’s own funds.


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The syndicate should report funds in syndicate (FIS) in this form but funds at Lloyd’s (FAL) should be excluded. All items of own funds should be reported in Tier 1. If the managing agent considers that this is not appropriate, it should contact Lloyd’s,

Line 1 – Members’ contributions: This is the amount of capital contributed by and held by syndicates. Only FIS should be reported on this line.

Line 2 – Reconciliation reserve: The reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. foreseeable distributions). It also reconciles differences between the accounting valuation and Solvency II valuation. In the case of syndicates, the value on this line will equal members’ balances, less foreseeable distributions and FIS (if applicable).

Line 12 – Foreseeable distributions: This is the amount of distribution that has been approved by the managing agent’s Board but has not been made by the reporting date. Hence at the end of Q4, profit from the closing year should be reported within this line. For example, assuming that the reporting date is 31 December 2016 and the syndicate has 2014, 2015 and 2016 years of account, the expected distribution for 2014 should be reported within this line. The same treatment should be applied on the expected open year profit release, i.e. on the 2015 and 2016 reporting years.

Open/run-off years

Open/run-off year profit release should be based on the lower of the syndicate UK GAAP solvency result as per QMA005, line 7 and Solvency II net balance i.e. QMC002 column C line 55 to 62 for the relevant reporting year of account. Where the UK GAAP solvency result has been improved by a positive adjustment to reflect exchange differences on technical provisions for solvency in respect of non-monetary items (QMA005 line 2) then this element of the result is not available for release.

The lower amount determined as per above should be reported within line 6, foreseeable distributions.

Closed year

Closed year profit release should be based on the syndicate’s UK GAAP result as per QMA360, A5, but adjusted for “three year funded adjustments” as per QMA102, D54. This amount should be reported within line 6, foreseeable distributions.

Line 15 & 16 – Expected profits included in future premium (EPIFP) – Life/non-life: These are the expected profits included in future premiums and that are recognised in technical provisions. Only one line is expected to be completed i.e. either line 15 or line 16 for life and non-life respectively. However, where a non-life syndicate has annuities stemming from non-life insurance contracts, line 15 should also be completed with EPIFP from these insurance contracts.

Line 24 – Difference in the valuation of assets: Solvency II requires that all assets are valued at fair value while under GAAP some assets could be valued at cost or amortised cost. For example, under GAAP receivables are valued at recoverable amount, but Solvency II requires that the expected recoverable amount should be discounted. Hence this would lead to a difference in valuation. The amount reported within this line is automatically calculated from the amounts reported in the balance sheet (ASR002).

Line 25 – Difference in the valuation of technical provisions: Valuation of technical provisions is different under Solvency II compared to GAAP. Solvency II requires that technical provisions should be on a best estimate. Also under Solvency II, technical provision is based on a legal obligation basis i.e. unincepted contracts are included in the valuation of the best estimate. These are some of the differences, however for further details on Solvency II technical provisions, refer to Lloyd’s Solvency II guidance titled “Technical Provisions under Solvency II Detailed Guidance (March 2011 update)”. These instructions can be accessed

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through the following link: Solvency II Technical Provisions Guidance. The amount reported within this line is automatically calculated from the amounts reported in the balance sheet (ASR002).

Line 26 – Difference in the valuation of other liabilities: Similar to assets, liabilities should be valued at fair value. Differences between valuation of other liabilities (excluding technical provisions) should be reported within this line. The amount reported within this line is automatically calculated from the amounts reported in the balance sheet (ASR002).

Line 27 – Total of reserves and retained earnings from financial statements: This is the members’ balances as reported in the QMA002, C32 and financial statements. Where the members’ balances is a surplus (balance due to members), this should be reported as a positive amount but if it is a deficit (balance due from members), it should be reported as a negative amount.

Line 28 – Other: This is an analysis cell, hence all material amounts included in this cell must be separately listed in the analysis table (see section 2.10 ‘analysis cells’ above for details of materiality). The syndicate should report within this line any amount making up the excess of assets over liabilities that is not reported in lines 24-27. Lloyd’s does not expect any amount to be reported within this line. Hence where an amount is reported within this line, details of the amount should be provided on form 990.

Line 30 - Excess of assets over liabilities attributable to basic own fund items (excluding the reconciliation reserve): This is basic own funds making up the excess of assets of liabilities other than retained earnings and valuation differences. In the case of syndicates with FIS, this will be the value of FIS, otherwise it will be nil for those syndicates with no FIS.

3.8 ASR240: Non-life Technical Provisions (By line of business – Part A)

Purpose of form: This form reports an overview of the non-life technical provisions by Solvency II line of

business and split into main components; best estimate (gross and net), reinsurance recoverable,

claims/premiums provisions and risk margin.

This form is required for all reporting years combined. Calculation of the best estimate should be in accordance with Solvency II principles and as detailed in the Lloyd’s Solvency II guidance titled “Technical Provisions under Solvency II Detailed Guidance (March 2011 update)”. These instructions can be accessed through the following link: Solvency II Technical Provisions Guidance.

Technical provisions calculated as whole: This is the amount of technical provisions in the case of replicable or hedgeable (re)insurance obligations, as defined in Article 77.4 of the Framework Directive. The best estimate and risk margin are calculated together where future cash flows associated with the (re)insurance obligations can be replicated reliably using financial instruments for which a reliable market value is observable. In this case, the value of technical provisions should be determined on the basis of the market value of those financial instruments. Lloyd’s does not expect syndicates to calculate technical provisions as a whole.

The valuation of the best estimate should be calculated separately in respect of premium provisions and claims provisions.

Classification of business as direct business should be based on the insured i.e. insurance contracts issued to policyholder either directly by the syndicate or through an intermediary should be classified as “direct” business.

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http://www.lloyds.com/~/media/Files/The%20Market/Operating%20at%20Lloyds/Solvency%20II/2011%20Guidance/Solvency%20II%20%20Lloyds%20Technical%20Provisions%20March2011.pdf

http://www.lloyds.com/~/media/Files/The%20Market/Operating%20at%20Lloyds/Solvency%20II/2011%20Guidance/Solvency%20II%20%20Lloyds%20Technical%20Provisions%20March2011.pdf

3.9 ASR241: Non-life Technical Provisions (By line of business – Part B)

Purpose of form: This form reports an overview of the premium and claims provisions cash out-flows and in-

flows and details of the number of homogeneous risk groups, by Solvency II line of business.


Article 80 of the Solvency II Directive requires that, “(re)insurance undertakings shall segment their insurance and reinsurance obligations into homogeneous risk groups and as a minimum by lines of business, when calculating their technical provisions”. Hence, where syndicates have segmented their business in homogeneous risks groups other than Solvency II lines of business, they are required to report on this form, the number of homogeneous risk groups per Solvency II line of business.

The form also requires a split of cash flows used in the calculation of claims and premium provision. The cash in-flows should include future premiums and receivables for salvage and subrogation while the cash out-flows should include claims, benefits and expenses.

3.10 ASR242: Non-life Technical Provisions (By Country)

Purpose of form: This form reports the split of gross best estimate for direct business (excluding accepted

reinsurance) by material countries.


Gross best estimate for different countries: Only the gross best estimate relating to direct business should be reported here i.e. excluding reinsurance accepted. Information is required by localisation of risk for medical expenses, income protection, workers’ compensation, fire and other damage to property and credit suretyship lines of business. For all other lines of business, information is required by country of underwriting. 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 either localisation of risk or country of underwriting for the following countries: United Kingdom, France, Germany, Italy, Other EEA, USA, Australia, Bermuda, Canada, Japan, New Zealand and Other non-EEA, irrespective of materiality to the syndicate.

3.11 ASR244: Projection of future cash flows (Best Estimate – Non-life)

Purpose of form: This form provides an overview of the timing of the future cash flows expected to be

required to settle the insurance obligations.


This form only applies to best estimates and the syndicate must take into account all the cash flows in different currencies and convert them to GBP using the year end closing rate.

Other cash in-flows: This includes recoverables from salvages and subrogations (cash in-flows) but does not include investment returns, which are not cash in-flows for best estimate calculation purposes.

Total recoverable from reinsurance (after adjustment): Amounts recoverable from reinsurers in respect of both premiums provisions and claims provisions, adjusted for expected losses due to counterparty default.

3.12 ASR245: Non-life insurance claims information- Gross claims paid (non-cumulative)

Purpose of form: This form reports, for each line of business and material currency, development triangles for

claims paid by pure underwriting year.

This form is required for all reporting years combined. A split of gross amount, amount recoverable from reinsurance and net amount is required.

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The default length of run-off triangle is 15+1 years for all lines of business (i.e. the 15 most recent pure years reported separately and all the earlier pure years reported in aggregate). The information will either be required on underwriting/accident year but a final decision is yet to be made on this. However, Lloyd’s expects that reporting by syndicates will be on underwriting year basis and the managing agent should plan on this basis. Historical data, starting from the first time application of Solvency II is required. Hence, assuming that 2014 will be the first year of Solvency II application, the first pure year required to be reported separately will be 2000. Where a syndicate has liabilities relating to earlier pure years, the oldest year on the form should be taken to mean “prior years” i.e. where first year is 2014, the oldest year on the form would be shown as 1999 and this should be interpreted as “1999 and prior years”. Historical information should not be re-translated at the current exchange rates i.e. should be left at the previous translated amounts.

In the case of RITC to/from another syndicate (both inwards and outwards), the ceding syndicate should only report claims paid up to the date of the RITC while the reinsuring syndicate should provide paid claims information from that date plus the historical information relating to underwriting years accepted through the RITC (as previously reported by the ceding syndicate). The ceding syndicate should restate the historical data submitted in the first reporting date after the RITC so as to eliminate paid claims related to underwriting years now RITC’ed into another syndicate. For example, in the case of RITC as at 31 December 2014 into another syndicate, the ceding syndicate should submit full claims paid information for the reporting year 2014. However, when making the submission for the following reporting year (2015), the historical data should be adjusted to remove the paid claims amount relating to underwriting years transferred through the RITC as at 31 December 2014. This historical information will be required to be reported by the reinsuring syndicate from 31 December 2015 onwards.

Line of business: This form should be reported for each Solvency II line of business, but direct and accepted proportional reinsurance should be reported together. Hence there will a maximum of 16 lines of business (12 direct & proportional reinsurance and 4 non-proportional reinsurance lines of business).

Currency: There is a materiality threshold applicable in determining the number of currencies required to be reported. However, this materiality applies at the Lloyd’s level and hence the following ‘six plus one’ currencies have been determined; USD, GBP, EUR, CAD, AUD, JPY and OTHER which must be reported irrespective of materiality to the syndicate. Reporting is required based on the original currencies but converted to GBP using the year end closing rate.

Where a syndicate has been given dispensation with respect to currency reporting for the technical provisions data return (TPD), this is also acceptable in the preparation of this form. Hence the currencies reported in this form should be the same as those reported in the TPD.

Gross claims paid (undiscounted): This is the non-cumulative i.e. claims paid in the respective calendar year, undiscounted amount and net of salvage and subrogation.

3.13 ASR246: Non-life insurance claims information - Gross undiscounted best estimate

claims provisions


best estimate (undiscounted) claims provision by pure underwriting year.

This form is required for all reporting years combined. A split of gross amount and recoverable from reinsurance should be provided.

The default length of run-off triangle is 15+1 years for all lines of business (i.e. the 15 most recent pure years reported separately and all the earlier pure years reported in aggregate). The information will either be required on underwriting/accident year but a final decision is yet to be made on this. However, Lloyd’s expects that reporting by syndicates will be on underwriting year basis and the managing agent should plan

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on this basis. Historical data, relating to year ends before the application of Solvency II is not required, but the number of underwriting years must ultimately extend yearly to 15+1 years. Historical information should not be re-translated at the current exchange rates i.e. should be left at the previous translated amounts.

In the case of RITC (both inwards and outwards), the ceding syndicate should only report gross undiscounted best estimate claims provisions up to the date of the RITC while the reinsuring syndicate should provide the gross undiscounted best estimate claims provisions from that date plus the historical information relating to underwriting years accepted through the RITC (as previously reported by the ceding syndicate). The ceding syndicate should restate the historical data submitted in the first reporting date after the RITC so as to eliminate undiscounted best estimate claims provisions related to underwriting years RITC’ed. For example, in the case of RITC as at 31 December 2014, the ceding syndicate should submit full claims information (best estimate claims provisions) for the reporting year 2014. However, when making the submission for the following reporting year (2015), the historical data should be adjusted to remove the best estimate of claims provisions amount relating to underwriting years transferred through the RITC as at 31 December 2014. This historical information will be required to be reported by the reinsuring syndicate in the respective underwriting years.

Line of business: This form should be completed for the same lines of business as ASR245.

Currency: This form should be completed for the same currencies as ASR245.

Gross Undiscounted Best Estimate Claims Provisions: This is the best estimate for claims provision relating to claims events that occurred before or at the valuation date irrespective of whether the claims arising from these events have been reported or not. The amounts included in the triangles should be undiscounted and the amount reported in the last diagonal will be automatically reflected in the “Year end (undiscounted)” column. The discount by underwriting year is reported in the “Discounting” column.

3.14 ASR247: Non-life insurance claims information - Gross reported but not settled

(RBNS)


claims reported but not settled (RBNS) claims.

This form is required for all reporting years combined. A split of gross claims, amounts recoverable from reinsurance and net claims should be provided.

RBNS: These are provisions in respect of claim events that have happened and been reported to the insurer, but have not yet been settled, excluding IBNR (incurred but not reported claims). These may be case-by-case reserves estimated by claim handlers and do not need to be on a best estimate Solvency II basis.

The default length of run-off triangle is 15+1 years for all lines of business (i.e. the 15 most recent pure years reported separately and all the earlier pure years reported in aggregate). The information will either be required on underwriting/accident year but a final decision is yet to be made on this. However, Lloyd’s expects that reporting by syndicates will be on underwriting year basis and managing agents should plan on this basis. Historical data, starting from the first time application of Solvency II is required. Hence, assuming that 2014 will be the first year of Solvency II application, the first pure year required to be reported separately will be 2000. Where a syndicate has liabilities relating to earlier pure years, the oldest year on the form should be taken to mean “prior years” i.e. where first year is 2014, the oldest year on the form would be shown as 1999 and this should be interpreted as “1999 and prior years”. Historical information should not be re-translated at the current exchange rates i.e. should be left at the previous translated amounts.

In the case of RITC (both inwards and outwards), the ceding syndicate should only report RBNS claims amount up to the date of the RITC while the reinsuring syndicate should provide the RBNS claims information from that date plus the historical information relating to underwriting years accepted through the RITC (as

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previously reported by the ceding syndicate). The ceding syndicate should restate the historical data submitted in the first reporting date after the RITC so as to eliminate RBNS claims information related to underwriting years RITC’ed. For example, in the case of RITC as at 31 December 2014, the ceding syndicate should submit full claims information (RBNS) for the reporting year 2014. However, when making the submission for the following reporting year (2015), the historical data should be adjusted to remove the RBNS claims amount relating to underwriting years transferred through the RITC as at 31 December 2014. This historical information will be required to be reported by the reinsuring syndicate in the respective underwriting years.

Line of business: This form should be completed for the same lines of business as ASR245.

Currency: This form should be completed for the same currencies as ASR245.

3.15 ASR248: Non-life insurance claims information – Inflation rates

Purpose of form: This form reports additional information on inflation rates where a syndicate has used

methods that take into account inflation to adjust data.

This form is required for all reporting years combined. Historical information will be required for 15 years i.e. current year and the past 14 years. The information will either be required on underwriting/accident year but a final decision is yet to be made on this. However, Lloyd’s expects that reporting by syndicates will be on underwriting year basis and the managing agent should plan on this basis.

Historical data, starting from the first time application of Solvency II is required. Hence, assuming that 2014 will be the first year of Solvency II application, the first pure year required to be reported separately will be 2000.

Additional information- Inflation rates: Where a syndicate has used run-off techniques that explicitly take into account inflation in order to adjust data, it should disclose:

historic inflation rate used to adjusted historical paid losses triangles

future (expected) inflation rate used to increase the projected paid losses

For both historic/expected inflation rates, if used, the syndicate should indicate separately the estimate of:

external inflation, which is the “economic” or “general” inflation, i.e. the increase of the price of goods and services in a specific economy (e.g. Consumer Price Index, Producer Price Index, etc.) and

endogenous inflation, which is an increase of claim costs specific of the line of business under consideration.

3.16 ASR249: Movement of reported but not settled (RBNS) claims

Purpose of form: This form reports information for each line of business and material currency, run-

off/movement of non-life claims portfolios, in terms of both claims paid and RBNS claims.

This form is required for all reporting years combined. In the case of number of years to be reported, the same reporting requirement applied on ASR 247 should be applied i.e. historical data for the 15+1 years will be required. The information will either be required on underwriting/accident year but a final decision is yet to be made on this. However, Lloyd’s expects that reporting by syndicates will be on underwriting year basis and managing agents should plan on this basis.

Historical data, starting from the first time application of Solvency II is required. Hence, assuming that 2014 will be the first year of Solvency II application, the first pure year required to be reported separately will be 2000. Where a syndicate has liabilities relating to earlier pure years, the oldest year on the form should be taken to mean “prior years” i.e. where the first year is 2014, the oldest year on the form would be shown as

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1999 and this should be interpreted as “1999 and prior years”. Historical information should not be re-translated at the current exchange rates i.e. should be left at the previous translated amounts.

This form must be reported by each Solvency II line of business (LoB) consistent with those reported on ASR247 (Non-life insurance claims information – Gross reported but not settled (RBNS)). As for ASR247, direct and proportional accepted reinsurance lines of business should be reported together and accepted non-proportional reinsurance lines of business should be reported separately. Hence a maximum of 16 lines of business should be reported.

In case of RBNS denominated in different currencies, the total amount should be reported in reporting currency (GBP). The RBNS claims amount at the beginning of the year should be the GBP amount reported at the end of the prior period (i.e. should not be re-translated using this year end exchange rates), while RBNS claims amount at the end of the year should be the GBP equivalent amount (i.e. RBNS at the end of the year denominated in other currencies should be converted to GBP at the rate of exchange ruling at the end of the reporting year).

For the purpose of reporting details on reopened claims during the year, only those claims that were reopened due to issues relating to the actual claim should be considered. Hence any claims that were reopened so as to settle outstanding fees should not considered as reopened claims for reporting on this form.

Number of claims making up the RBNS amount at the end of the reporting year: this is required to be reported by pure underwriting year. In the case of claims that are currently reported as a block, for example, binders, these should be reported on a look-through basis i.e. the underlying number of claims should be reported.

Reopened claims: Only claims that had been closed in a previous reporting period and reopened during the current reporting period should be reported within the “reopened claims during the year” section. Hence claims that are either included in the “open claims at the beginning of the year” or “claims reported during the year” sections that were closed and reopened during the year should not be reported within “reopened claims” section. These should continue to be reported within the respective sections i.e. “open claims at the beginning of the year” and “claims reported during the year” sections.

Line of business: This form should be reported for each Solvency II line of business, but direct and accepted proportional reinsurance should be reported together. Hence there will a maximum of 16 lines of business (12 direct & proportional reinsurance and 4 non-proportional reinsurance lines of business).

3.17 ASR250: Loss distribution profile - non-life

Purpose of form: This form reports the development of the distribution of the claims incurred per underwriting

year at the end of the financial year.


This form should be completed for direct business only, hence there will be the 12 direct Solvency II lines of business.

Start and End claims incurred: Claims must be analysed by financial value (in GBP equivalent) as set out in this column. This is based on set loss distribution brackets and these have been determined at the Lloyd’s level based on expected syndicates’ loss distribution. It shows the syndicate’s loss distribution profile.

Number of claims: These are the number of claims attributed to the underwriting year, whose claims incurred at the end of the current financial year falls within the start amount and end amount of the applicable bracket. The number of claims is the sum of the number of open claims at the end of the period plus the number of closed claims ended with payments and must be in line with ASR249. In the case of claims that

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are currently reported as a block, for example, binders, these should be reported on a look-through basis i.e. underlying number of claims should be reported.

Claims incurred: This is the sum of gross claims paid and gross outstanding amounts (RBNS) on a case by case basis for each claim, open and closed, which belongs to a specific pure underwriting year. The syndicate should report only its share of claims incurred.

Historical data is not required, however the number of underwriting years must ultimately extend yearly to 15 years to be in line with the length of the run-off triangles in ASR245 - ASR247.

3.18 ASR251: Underwriting Risks Non-Life (Peak Risks)

Purpose of form: This form reports, for each direct Solvency II line of business, the risk profile of the

underwriting risks and any corresponding net retentions that are irregular in terms of nature and size.


This form should be completed for direct business only. This form shows the twenty biggest underwriting risks, based on net retention, across all lines of business and the two biggest underwriting risks for any lines of business not covered through this methodology. These are syndicate specific, hence syndicates will be required to determine their respective selection.

Net retention of the underwriting risk means the maximum possible liability of the syndicate after the recoverables from reinsurers (including SPV and finite reinsurance) and the original deductible of the policyholder has been taken into account. In case the net retention is equal for too many risks the sum insured should be used and the last option would be to select randomly.

Risk identification code: This code is a unique identifying number assigned by the syndicate that identifies the risk within the line of business; so this code cannot be reused for other risks in the same line of business and remains unchanged for subsequent ASRs.

Insured (policy number): This is the name of insured party (legal or physical) to whom the risk relates. Where the insured is a private person the policy number must be mentioned.

Description risk: This provides details on the risk, for example, chemical factory.

Line of business: This should be the 12 direct Solvency II lines of business, as listed in the instructions for ASR240.

Description risk category covered: This provides additional information on the underwriting risk, for example;

Fire & other damage: building, content and/or business interruption

General liability insurance: product and/or directors and officers

Other motor insurance: Personal cars and trucks

Currency: This is the reporting currency, hence in the case of syndicates this should be GBP

Sum insured: This is the highest amount that the syndicate can be obliged to pay out without taking into account the original deductible of the policyholder. The insured sum relates to the underwriting risk. A facultative cover comprising a number of risks should therefore be broken down. If the risk has been accepted on a co-insurance basis, the insured sum indicates the maximum liability of the syndicate. In case of a joint several liability, the part belonging to a defaulting co-insurer should be included as well. Example: 60% co-insurance on the original sum insured of GBP500,000 is GBP300,000. In addition, syndicate should report their line share of the slip i.e. where a syndicate has 20% participation on a risk with a GBP400,000 sum insured, GBP80,000 should be reported.

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Original deductible policyholder: This is the part of the sum insured which is retained by the policyholder.

Type of underwriting model (SI, MPL, PML, EML or Other): This is the type of underwriting model which is used to estimate the exposure of the underwriting risk and the need for reinsurance protection and the various types are defined below:

Sum Insured (SI) – This is the highest amount that the insurer can be obliged to pay out according to the original policy. SI must also be completed when type of underwriting model is not applicable

Maximum Possible Loss (MPL) - This may occur when the most unfavourable circumstances being more or less exceptionally combined, the peril is only stopped by impassable obstacles or lack of substance

Probable Maximum Loss (PML) – This is the estimate of the largest loss from a single fire or peril to be expected, assuming the worst single impairment of primary private fire protection systems but with secondary protection systems or organisations (such as emergency organisations and private and/or public fire department response) functioning as intended. Catastrophic conditions like explosions resulting from massive release of flammable gases, which might involve large areas of the plant, detonation of massive explosives, seismic disturbances, tidal waves or flood, falling aircraft, and arson committed in more than one area are excluded in this estimate

Estimated Maximum Loss (EML) – This could reasonably be sustained from the contingencies under consideration, as a result of a single incident considered to be within the realms of probability taking into account all factors likely to increase or lessen the extent of the loss, but excluding such coincidences and catastrophes which may be possible but remain unlikely

Other (OTH) – This is other possible underwriting models used. The type of "other" underwriting model applied must be explained in the narrative report, risk profile section under “type of risk underwriting risk”

Amount underwriting model: This is the maximum loss amount which is the result of the underwriting model applied. Where no specific type of underwriting model is used the amount must be equal to the sum insured minus the original deductible of the policyholder.

Amount share sum insured facultative reinsurers: This is the part of the sum insured that the syndicate has reinsured on a facultative basis (by treaty and/or by individual cover) with reinsurers.

Amount share sum insured other reinsurers: This is the part of the sum insured that the syndicate has reinsured on another basis (including SPV and finite reinsurance) than facultative reinsurance.

Net retention of the insurer: This is the net amount for which the syndicate acts as risk carrier, i.e. the part of the sum insured that exceeds the original deductible of the policyholder and is not reinsured.

3.19 ASR252: Underwriting Risks Non-Life (Mass Risks)

Purpose of form: This form reports, for each direct Solvency II line of business, the risk profile of the

underwriting risks and any corresponding net retentions that are irregular in terms of nature and size.

This form is required for all reporting years combined. It should be completed for direct business only.

The sum insured relates to each individual underwriting risk, only looking at the main coverage of the policy per line of business, and means the highest amount that the insurer can be obliged to pay out before taking into account the original deductible of the policyholder. This means:

For instance, if the sum insured of the additional cover for theft is lower than the sum insured of the main cover for fire and other damage (both belonging to the same line of business), the highest sum insured must be taken

A policy cover comprising a number of buildings must be broken down

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An overall cover which can’t be seen as a single underwriting risk must be broken down

If the risk has been accepted on a co-insurance basis, the insured sum indicates the maximum liability of the syndicate

In case of joint liability through co-insurance, the part belonging to a defaulting co-insurer must be included in the sum insured as well

Line of business: These are based on Solvency II lines of business, however not all lines are required to be reported and details of the reporting requirements are detailed below:

Lines of business that are compulsory

o Other motor insurance

o Marine, aviation and transport insurance

o Fire & other damage

o Credit & suretyship insurance

Lines of business that are required at the discretion of the PRA

o Motor vehicle liability insurance

o General liability insurance

o Medical expenses insurance

o Income protection insurance

o Worker’s compensation insurance

o Miscellaneous financial loss

Lines of business where the underwriting risk profile analysis is not applicable

o Legal expenses insurance

o Assistance

Start and End sum insured: Risks must be analysed by sum insured (in GBP equivalent) and placed within the bands set out in columns A and B. These are based on set brackets and these have been determined at the Lloyd’s level based on expected syndicates’ sum insured.

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. In the case of underwriting risks that are currently reported as a block, for example binders, these should be reported on a look-through basis i.e. underlying number of underwriting risks should be reported.

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. The syndicate should report its line share of the slip i.e. where a syndicate has 10% participation on a risk with a GBP10,000,000 sum insured, GBP1,000,000 should be reported.

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.

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3.20 ASR260: Assets and liabilities by currency

Purpose of form: This form analyses assets and liabilities by currency.


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. All these currencies should be reported even where a syndicate has been given dispensation in the reporting of the Technical Provisions Data return (TPD). The data based on the original currency should be converted into reporting currency (GBP) using the rate of exchange ruling at the end of the year and should be included in the appropriate/correct currency bucket. 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 and 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 on ASR026.

The amounts reported in this form in column H should agree with that reported in the balance sheet (ASR002) as per the mapping provided below:

Assets

Assets and liability by currency (ASR260) Balance Sheet (ASR002)

Investments (other than assets held for index-linked and unit-linked funds)

A30

Other assets within scope of QAD230 (other than index-linked and unit linked funds)

A6+A34+A35+A50

Assets held for index-linked and unit-linked funds A31

Reinsurance recoverables A43

Deposits to cedants and insurance and reinsurance receivables

A44+A45+A46

Any other assets A3+A4+A5+A47+A48+A49+A51

Total assets A52

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Liabilities

Assets and liability by currency (ASR260) Balance Sheet (ASR002)

Technical provisions (excluding index-linked and unit-linked funds)

A56+A60+A6+4A68

Technical provisions – index- linked and unit-linked funds A72

Deposits from reinsurers and insurance and reinsurance payables

A77+A82+A83

Derivatives A79

Financial liabilities A80+A81

Contingent liabilities A74

Any other liabilities A75+A76+A78+A84+A85+A86+A87

Total liabilities A88

3.21 ASR280: Life Technical Provisions

Purpose of form: This form reports an overview of life technical provisions (TP) by Solvency II line of

business.

This form is required for all reporting years combined. The form should be completed by both non-life and life syndicates. Where applicable, the non-life syndicates will be required to complete column C only, “annuities stemming from non-life insurance contracts and relating to insurance obligations other than health insurance obligations” and the life syndicate will be required to complete all other relevant columns/lines of business.

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.

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.

3.22 ASR281: Life Gross Best Estimate by Country

Purpose of form: This form reports an overview of life gross best estimate by country.

This form is required for all reporting years combined. The form should be completed by both non-life and life syndicates. Where applicable, the non-life syndicates will be required to complete column C only, “annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations” and the life syndicate will be required to complete all other relevant columns/lines of business.

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

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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, irrespective of materiality to the syndicate.

3.23 ASR283: Health SLT Technical Provisions

Purpose of form: This form reports an overview of health SLT technical provisions (TP) by Solvency II line of

business.

This form is required for all reporting years combined. The form should be completed by both non-life and life syndicates. Where applicable, the non-life syndicates will be required to complete column C only, “annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations” and the life syndicate will be required to complete all other relevant columns/lines of business.

SLT means: Similar to life techniques.


Cash flows (out and in): These are discounted cash flows.

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.

3.24 ASR284: Health SLT Gross Best Estimate by Country

Purpose of form: This form reports an overview of health SLT gross best estimate by country.

This form is required for all reporting years combined. The form should be completed by both non-life and life syndicates. Where applicable, the non-life syndicates will be required to complete column C only, “annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations” and a life syndicate will be required to complete all other relevant columns/lines of business.

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, irrespective of materiality to the syndicate.

3.25 ASR286: Projection of future cash flows (Best Estimate – Life)

Purpose of form: This form provides an overview of the duration of liabilities used in the calculation of the best

estimate.

This form is required for all reporting years combined. The form should be completed by both non-life and life syndicates. Where applicable, non-life syndicates will be required to complete the “annuities stemming from non-life insurance contracts” column. Life syndicates will be required to complete the other columns.

The cash flows are gross of reinsurance and are undiscounted.

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Annuities stemming from non-life contracts: These are lines of business for annuities stemming from non-life insurance contracts and relating to other than health insurance contracts.

Future expenses and other cash out-flows: As defined in article 78(1) of the Directive, these are all expenses that will be incurred in servicing insurance and reinsurance obligations. Cash out-flows from non-life insurance contracts that will change to annuities should be reported in ASR286 rather than ASR244.

Other cash in-flows: These do not include investment returns which are not cash in-flows for best estimate calculation purposes.

Total recoverable from reinsurance (after the adjustment): This is the total amount recoverable from reinsurance and special purpose vehicles and should be reported net of adjustment for counterparty default risk.

3.26 ASR287: Projection of future cash flows (Reinsurers’ share of Best Estimate – Life)

Purpose of form: This form provides an overview of the reinsurers’ share of the future cash flows used in the

calculation of the best estimate.

This form is required for all reporting years combined. The form should be completed by both life and non-life syndicates (where there are gross cash-flows reported in respect of annuities stemming from non-life contracts).

Total recoverable from reinsurance (after the adjustment): This is the total amount recoverable from reinsurance and special purpose vehicles and should be reported net of adjustment for counterparty default risk.

3.27 ASR288: Life obligation analysis

Purpose of form: This form analyses life business by product type.

This form is required for all reporting years combined. The form includes information about life insurance contracts as well as annuities stemming from non-life contracts, hence, it should be completed by both non-life and life syndicates. Non-life syndicates will only be required to complete this form in respect of annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations.

Product denomination: This is the commercial name of the product and it is syndicate specific. If a given product has changed its commercial name, but kept the same characteristics, the old name should be included between brackets and the period in which it was used.

ID code: This is the internal ID code used by the syndicate to identify the product, if available.

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”. However, if a given line represents several HRG, numbers should be higher than 1.

Are HRG common to other products? (Y/N): This clarifies whether the HRG(s) identified in column D also includes other products (or same product with other characteristics) included in different lines.

Product still commercialised? Y/N: This specifies if product is still for sale or if it is just in run-off.

Type of product: This is the general qualitative description of the product type (a closed list may be developed by EIOPA in the future to harmonise this on a European level).

Product classification ID: This is a harmonised code where:

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First letter is the major line of business - with-profit (P), unit-linked (U), other life (O), non-life annuities (A) and Health (H))

Second letter is the type of contract – single life (S), Joint life (J), collective (C), pension funds (P), hybrid (H), Other (O)

Type of premium: This can be split as follows:

Regular premium (R) - premiums that policyholders have to pay at pre-determined dates and pre-determined or variable 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 and 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

Country: This is the country where the risk is underwritten. There is a materiality threshold (10% of the technical provisions or written premiums for a given product) allowed in respect of reporting a separate line per country. However, this materiality threshold applies at Lloyd’s level, hence syndicates should report a separate line for each applicable country irrespective of materiality to the syndicate. ISO code should be used, for example, GB, US, ES etc.

Total amount of premiums written during the year: These are amounts signed during the financial year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to a later financial year. For single premiums, only the actual amount paid should be recognised.

Capital-at-risk: Total amount of insured capital that can be paid out reduced by provision for insurance liabilities.

Surrender value: This is surrender value, as mentioned in article 185 (3) (f) of the Framework Directive, net of taxes. This is the amount to be paid to the policyholder in case of early termination of the contract (i.e. before it becomes payable by maturity or occurrence of the insured event, such as death), net of charges and policy loans. This does not concern contracts without options, given that surrender value is an option.

Annualised guaranteed rate (over average duration of guarantee): This is the average guaranteed rate to the policyholder over the lifetime of the contract, for example, 3 % during first year and 0 % during second and third year will lead to an annualised technical rate of around 1 % over 3 years.

Use of financial instrument for replication? (Y/N): This is whether the product is considered replicable by a financial instrument (i.e. hedgeable) and hence technical provisions (TP) calculated as a whole. Lloyd’s does not expect syndicates to have hedgeable products, hence the expected selection is “N”.

3.28 ASR289: Information on annuities stemming from non-life insurance obligations

Purpose of form: This form reports an overview of non-life annuities stemming from non-life insurance

obligations at a line of business level.


This form should be completed for direct business only (i.e. the template is not applicable to accepted reinsurance lines of business) and it also excludes life business. This form requires information on annuity

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claims provisions for the current reporting year but split by pure underwriting year for the 15 most recent years with the rest reported as “prior”.

The sum of provisions in this form and ASR246 for non-life line of business represents the total claims reserves originating from this line of business.

Obligations are reported on ASR289 instead of ASR245/246, when both of the conditions below are met:

the obligation has a high degree of certainty that it will be settled as an annuity; and

an amount can be established using life techniques for the reported but not settled (RBNS) required for the annuity. In the unlikely event the obligation subsequently ends up being settled via a lump sum, the lump sum would be recorded as a payment in this form not on ASR245.

Prior to the point of transfer, the incurred but not reported (IBNR) provision in the best estimate in ASR246 should contain reserves for possible future annuities.

The related non-life line of business: This is the name of the Solvency II line of business where the liability originated from, for example medical expense, income protection, workers' compensation, motor liability etc.

Currency: This is the original currency of the liabilities. Syndicates should report the following ‘six plus one’ major currencies (GBP, USD, EUR, CAD, AUD, JPY and OTHER). However, amounts reported under each of these currencies should be the GBP equivalent and the exchange rate used to convert the respective currencies to the GBP equivalent should be the year end closing rate.

Number of annuities obligations at the end of year N: This is the number of non-life insurance policies (contract) with an annuity obligation attached to it.

The average technical rate in year N: This is the rate used for pricing (applicable for the reporting year only).

The average duration of the obligations: This is the average duration in years on total portfolio basis.

The weighted average age of the beneficiaries: The weight should be the best estimate at the end of the current reporting (year N). This is the age of beneficiaries calculated on a weighted average for total portfolio. The beneficiary is the person to whom the payments are reverting to, following the occurrence of a claim (that affects the insured person) which originates this type of payment.

3.29 ASR430/430s (Non-life) and ASR431/431s (Life): Activity by country

Purpose of form: These forms describe activity carried out abroad, as required in Article 159 of the

Framework Directive, to provide an overview of geographical repartition of activity (i.e. premiums written,

claims incurred and commission), also covering material non-EEA jurisdictions (operating under branch).

The forms are required for all reporting years combined.

Information should be reported by country; the localisation of business by country should follow the criteria set out in Article 159 i.e. should depend on where the business is underwritten.

Article 159 states, in its current version:

“Every insurance undertaking shall inform the competent supervisory authority of its home Member State, separately in respect of transactions carried out under the right of establishment and those carried out under the freedom to provide services, of the amount of the premiums, claims and commissions, without deduction of reinsurance, by Member State and as follows:

(a) for non-life insurance, by group of classes as set out in Annex V

(b) for life insurance, by each of classes I to IX, as set out in Annex II.

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As regards class 10 in Part A of Annex I, not including carrier's liability, the undertaking concerned shall also inform that supervisory authority of the frequency and average cost of claims.”

Information by country (EEA member state): Information provided for business carried out in each EEA member state, as prescribed in Article 159. There is no materiality threshold, so all business carried out in an EEA member state must be reported.

Other than the United Kingdom, i.e. the home country, there are 29 EEA member states.

Branch: Information provided for business carried out in each EEA member state by branch (freedom of establishment (FoE)). Article 145 of the Solvency II Directive requires that, any permanent presence of an undertaking in the territory of a member state shall be treated in the same way as a branch, even where that presence does not take the form of a branch, but consists merely of an office managed by undertaking’s own staff or by a person who is independent but has permanent authority to act for the undertaking as an agency would. At Lloyd’s, a permanent presence in another EEA member state is created by having local coverholders with full binding authority agreements and a local Lloyd’s General Representative. A full binding authority agreement is one where the coverholder may enter into contracts of insurance without first consulting the syndicate. Freedom of establishment business is that underwritten under a full binding authority where the coverholder and the risk are located in the same EEA member state outside the United Kingdom.

FPS: Freedom to Provide Services. This is where the insurance contract is made not in the home country or under freedom of establishment. It covers open market business (with or without involvement of a local intermediary), business written under a full binding authority where the coverholder is located in a different member state from where the risk is located and business that is written under a prior submit binding authority agreement (a prior submit authority agreement is one where the coverholder does not have authority to enter into contracts of insurance without first consulting the syndicate that granted the binding authority). Syndicates should report under FPS all business from territories where Lloyd’s holds a freedom of services authorisation, including open market business (with or without involvement of a local intermediary) and also business written through binders where the Lloyd’s coverholders have to consult Lloyd’s managing agents before making underwriting decisions or where the Lloyd’s coverholder is located in an EU member state which is different from the member state where the risk is located.

Information by country (not an EEA member state): This is information required for all material business carried out in non-EEA jurisdictions but EIOPA has not provided the materiality threshold. Lloyd’s has determined non-EEA countries required to be reported so as to cover at least 90% of premium written/technical provisions. In order to ensure that 90% of business written is covered, syndicates will need to report all non-life business written in the following four non-EEA countries; USA, Canada, Australia and Japan. In the case of life business written, syndicates will need to report information for USA and Japan. In both cases this applies irrespective of materiality to the syndicate. For completeness, all the rest of the business should be included in the “OTHER” category. All the amounts reported should be converted into GBP.

Application of different scenarios – business written in EEA

Business written in territories where Lloyd’s holds establishment authorisation and has representative agents, through binders where coverholders have full authority to make underwriting decisions, should be treated as FoE

Business written in territories where Lloyd’s has freedom to provide services authorisation, through binders where coverholders have full binding authority, should be treated as FPS

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Business written under any binding authority where the local Lloyd’s coverholder does not have authority to enter into contracts of insurance without first consulting the Lloyd’s managing agent that granted the binding authority should be treated as having been written in the United Kingdom because the underwriting decisions are made in the United Kingdom. This is regardless of whether Lloyd’s holds authority of establishment or services in the territory where this coverholder is located

Business written under any binding authority where the local Lloyd’s coverholder has authority to enter into contracts of insurance without first consulting the Lloyd’s managing agent that granted the binding authority, but the coverholder is located in an EEA member state which is different from the member state where the risk is located, should be treated as FPS and reported under the country where the coverholder is located

All open market business written in EEA should be treated as FPS and reported under United Kingdom.

Application of different scenarios – business written in non-EEA

Lloyd’s is reviewing how business written in non-EEA territories will be reported and further details will be provided once an agreement has been reached with the PRA.

Class: Information should be provided for each class, as defined in Article 159, Annexes II & V for life and non-life insurance respectively.

Premium written: All amounts due during the reporting year in respect of insurance contracts regardless of the fact that such amounts may relate in whole or in part to insurance or reinsurance cover provided in a different reporting year. Hence this would include premiums due on unincepted contracts written during the current reporting year

Claims incurred: This is the claims incurred in the reporting period, net of salvage and subrogation. The gross claims incurred means the sum of the gross claims paid during the reporting year and the change in the gross outstanding amounts between 1 January and 31 December of the reporting year. The change in the outstanding amount should be based on the gross reported but not settled claims (RBNS) meaning the provisions in respect of claims events that have happened and reported to the syndicate, but have not yet been settled plus incurred but not reported claims (IBNR). The RBNS amount used to calculate the change must be in line with that reported on the RBNS claims triangle (ASR247).

Commissions: Costs arising from the acquisition of insurance contracts. These are amounts paid to brokers or agents for the acquisition of the insurance contracts.

Frequency of claims for Motor Vehicle Liability (except carrier’s liability): This is the number of claims incurred and reported in the reporting period with regard to class 10 (motor vehicle liability) in Part A of Annex I (except carrier’s liability), over the average insured vehicles in the reporting period. The average insured vehicles correspond to the mean between the number of insured vehicles at the end of the reporting year and the number of insured vehicles at the end of the previous reporting year. Nil claims should not be taken into account.

Average cost of claims for Motor Vehicle Liability (except carrier’s liability): This is the average claims paid with regard to class 10 (motor vehicle liability) in Part A of Annex I (except carrier’s liability), measured by the ratio claims incurred and reported in the reporting period / number of claims incurred and reported in the reporting period. Nil claims should not be taken into account.

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3.30 ASR440: Premiums, claims and expenses (by line of business)

Purpose of form: This form reports written premiums, premiums earned, claims and expenses incurred by

Solvency II lines of business.


Classification of business as direct business should be based on the insured i.e. insurance contracts issued to policyholders either directly by the syndicate or through an intermediary should be classified as “direct” business.

Premiums written and claims incurred: Definition of these is as set out above (see ASR430/430s).

Premiums earned: Earned premiums in any 12 month period shall correspond to that part of the written premiums relating to the relevant risk exposure of policies in that period.

Expenses incurred: These are all expenses incurred by the syndicate during the reporting period.

Administrative expenses: Administrative expenses are expenses which are connected with policy administration including expenses in respect of reinsurance contracts and special purpose vehicles. Some administrative expenses relate directly to insurance contract activity (e.g. maintenance cost) such as cost of premium billing, cost of sending regular information to policyholders and cost of handling policy changes (e.g. conversions and reinstatements). Other administrative expenses relate directly to insurance contracts or contract activity but are a result of activities that cover more than one policy such as salaries of staff responsible for policy administration.

Investment management expenses: Investment management expenses are usually not allocated on a policy by policy basis but at the level of a portfolio of insurance contracts. Investment management expenses could include expenses of record keeping of the investments’ portfolio, salaries of staff responsible for investment, remunerations of external advisers, expenses connected with investment trading activity (i.e. buying and selling of the portfolio securities) and in some cases also remuneration for custodial services.

Claims management expenses: Claims management expenses are expenses that will be incurred in processing and resolving claims, including legal and adjuster’s fees and internal costs of processing claims payments. Some of these expenses could be assignable to individual claim (e.g. legal and adjuster’s fees), others are a result of activities that cover more than one claim (e.g. salaries of staff of claims handling department). The syndicate should ensure there is no double counting, hence allocated loss adjustment expenses (ALAE) already included in paid claims and RBNS should be excluded from the claims management expenses amount.

Acquisition expenses: Acquisition expenses include expenses which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued.

Overhead expenses: Overhead expenses include salaries to general managers, auditing costs and regular day-to-day costs i.e. electricity bill, office rent, IT costs. These overhead expenses also include expenses related to the development of new insurance and reinsurance business, advertising insurance products, improvement of the internal processes such as investment in system required to support insurance and reinsurance business (e.g. buying new IT system and developing new software). In the case of syndicates, this will be recharges for these types of costs incurred by the managing agent.

Other expenses: Other expenses not covered by above mentioned expenses and not split by lines of business. Such expenses could be for example recharge by managing agent for staff pension scheme deficits.

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Line 33 - Other expenses: This cell is an analysis cell. All material amounts included in this cell must be separately listed in the analysis table (see section 2.10 ‘analysis cells’ above for details of materiality).

3.31 ASR441: Premiums, claims and expenses (by country)

Purpose of form: This form reports written premiums, premiums earned and claims incurred by major country

where either the risk is localised or underwritten.


Information is required to be provided by country, for 5 major countries by amount of gross premium written or until 90% of written premiums is covered. The criterion for country selection is as follows:

Localisation of risk for the following lines of business: medical expense, income protection, workers’ compensation, fire and other damage to property and credit and suretyship

Country of underwriting for all other lines of business

The above materiality is applicable at Lloyd’s level and syndicates will be required to report information by the following countries: USA, United Kingdom, Canada, Australia, Japan (irrespective of materiality to the syndicate) and the balance reported within “worldwide excluding US, GB, CA, AU & JP”.


Line 13 – Total expenses: Total amount of expenses reported within line 13 (sum of top 5 countries and other countries) should agree to the total expenses reported in ASR440, line 34.

3.32 ASR450: Life premiums, claims and expenses (by line of business)




This is a life form, however this is also applicable for those non-life syndicates with annuities stemming from non-life insurance contracts. In the case of non-life syndicates with annuities stemming from non-life contracts, only the two annuities columns will require to be completed i.e. annuities stemming from non-life insurance contracts and relating to health insurance obligations and annuities stemming from non-life insurance contracts and relating to insurance obligations other than health insurance obligations.

The line requirements are the same as those on ASR440, hence refer above for definitions of the terms.

3.33 ASR451: Life premiums, claims and expenses (by country)



This form is required for all reporting years combined. This is a life form, however this is also applicable for those non-life syndicates with annuities stemming from non-life insurance contracts.

Information is required to be provided by country, for 5 major countries by amount of gross premium written or until 90% of written premiums is covered. This materiality is applicable at Lloyd’s level and syndicates will be required to report information by the following countries: United Kingdom, USA, Norway, Japan, Italy (irrespective of materiality to the syndicate) and “worldwide excluding GB, US, NO, JP and IT”. The criterion for country depends on localisation of risk.

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Line 13 – Total expenses: Total amount of expenses reported within line 10 (sum of top 5 countries and other countries) should agree to the total expenses reported in ASR450, line 26.

3.34 ASR510: Minimum Capital Requirement – Non-life

Purpose of form: This form provides details of the input and output of the minimum capital requirement (MCR)

calculation.

This form required for all reporting years combined.

The calculation of the MCR combines a linear formula with a floor of 25% and a cap of 45% of the SCR. The MCR is subject to an absolute floor, expressed in euro, depending on the nature of the undertaking (as defined in Article 129 (1) (d) of the Solvency II Directive). However, these will not apply at syndicate level and the reported MCR reported on this form will be the result of applying set factors to the net technical provisions (excluding risk margin) and net written premiums.

The written premiums should be for the preceding 12 months to the reporting date and should be net of reinsurance premiums ceded which corresponds to these premiums. The net written premiums should agree to the amount reported in ASR440, line 4.The technical provisions should be net of reinsurance recoverables and should be without the risk margin (i.e. the best estimate technical provision should be used). Where a syndicate does not have technical provisions calculated as a whole, the net technical provisions reported on this form should agree to the amount reported in ASR240, line 24.

3.35 ASR511: Minimum Capital Requirement – Life


calculation.

This form required for all reporting years combined. The technical provisions should be net of reinsurance recoverables and should be without the risk margin (i.e. the best estimate technical provision should be used). Where a syndicate does not have technical provisions calculated as a whole, the net technical provisions reported on this form should agree to the amount reported in ASR280, line 11.

3.36 ASR520: Solvency Capital Requirement – for syndicates on standard formula or

partial internal models

Purpose of form: This form reports the output of the SCR calculation for syndicates on standard formula or

partial internal models.

This form must be completed by a syndicate in respect of which the SCR is set either using the standard formula or a partial internal model. The form is required with respect to the prospective reporting year, for example, when reporting for the year end 2014, the reporting year to be indicated on the form should be 2015 as the SCR being reported would relate to business due to be written in 2015..

Most of the values in this form are generated from other forms and they will be automatically populated.

Line 6 – Diversification: This is the diversification effect between basic SCR net and gross components.

Line 9 - Diversification effects (between standard formula and partial internal model components): This is an adjustment for the diversification effect between risk modules calculated under the standard formula and components calculated using partial internal models.

Line 18 – Capital add-ons already set: This is the amount of capital add-on that had been set at the date of the report i.e. 31 December. It will not include capital add-ons set between that date and the submission of the data to Lloyd’s, or any set after the submission of the data.

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3.37 ASR521: Solvency Capital Requirement – for syndicates on partial internal models

Purpose of form: This form reports the output of the SCR calculated using a partial internal model.

This form is required with respect to the prospective reporting year, for example, when reporting for the year end 2014, the reporting year to be indicated on the form should be 2015 as the SCR being reported would relate to business due to be written in 2015.

This form only covers those risks that are calculated using the partial internal model. The risk components listed in the form are similar to those required in the Lloyd’s Capital Return (LCR).

Line 6 – Diversification net and gross: This is the total of the diversification within net/gross components calculated using the partial internal model.

Line 11 – Loss-absorbing capacity of technical provisions: This is the overall adjustment for loss absorbing capacity of technical provisions. This figure will be nil if adjustments are modelled within risk components. Syndicates will be expected to report nil adjustment.

Line 12 – Loss absorbing capacity of deferred taxes: This figure will be nil if adjustments are modelled within components. Lloyd’s expect that this would be nil for all syndicates considering that tax does not apply at syndicate level.

3.38 ASR522: Solvency Capital Requirement – for syndicates on full internal models

Purpose of form: This form reports the calculation of SCR using a full internal model.


The risk components listed in the form are similar to those required in the Lloyd’s Capital Return (LCR). Hence the amount reported in this form should agree to the amount reported in the LCR.

Line 8 – Diversification: This is the total of the diversification within components calculated using the full internal model.

Line 16 – Capital add-ons: This is the amount of capital add-ons that had been set at the date of the report i.e. at 31 December. It will not include capital add-ons set between that date and the submission of the data to Lloyd’s.

3.39 ASR523: Solvency Capital Requirement – Market Risk

Purpose of form: This form reports the capital requirement for the market risk component of the SCR only

where this has been calculated using the standard formula.


This form should only be completed where the syndicate is using the standard formula to calculate the market risk component of the SCR.

The capital requirement for market risk is determined as the impact of a specified scenario on the net asset value of the syndicate (NAV). The net assets value is defined as the difference between assets and liabilities.

The liabilities to be reported in this form should exclude the risk margin as part of technical provisions.

The form captures the assets and liabilities driving each risk in requiring a reporting of those assets and liabilities exposed to a shock. Thus, it is not expected that the sum of all assets and liabilities adds up to

39

100% of the total of the syndicate’s assets and liabilities. Where assets or liabilities are not exposed to a specific market risk sub-module at all, a zero value can be reported. In cases that all assets and liabilities are explicitly or implicitly affected by a shock, the total amount of all assets and liabilities should be reported.

3.40 ASR524: Solvency Capital Requirement – Counterparty Default Risk

Purpose of form: This form reports the capital requirement for the counterparty risk component of the SCR

only where this has been calculated using the standard formula.


This form should only be completed where the syndicate is using the standard formula to calculate the counterparty risk component of the SCR.

The counterparty default risk module should reflect possible losses due to unexpected default, or deterioration in the credit standing, of the counterparties and debtors of the syndicate over the forthcoming twelve months. The scope of the counterparty default risk module includes risk-mitigating contracts, such as reinsurance arrangements, securitisations and derivatives, and receivables from intermediaries, as well as any other credit exposures which are not covered in the spread risk sub-module. Counterparty risk has been split into type 1 exposures and type 2 exposures.

Type 1 exposures covers the exposures which may not be diversified and where the counterparty is likely to be rated; for example, reinsurance arrangements, securitisations and derivatives, any other risk mitigating contracts and cash at bank.

Type 2 exposures covers the exposures which are usually diversified and where the counterparty is likely to be unrated, for example, receivables from intermediaries and policyholder debtors.

3.41 ASR525: Solvency Capital Requirement – Life Underwriting Risk

Purpose of form: This form reports how the life underwriting risk element of the SCR has been calculated,

only where the syndicate is using the standard formula.


This form should only be completed where the syndicate is using the standard formula to calculate the life underwriting risk component of the SCR.

This form captures the risk arising from life insurance obligations. Non-life annuities are considered to be life obligations, hence they should also be included in this template. The capital requirement for life underwriting risk is determined as the impact of a number of specified scenarios on the basic own funds. The liabilities to be reported in this form should exclude the risk margin as part of technical provisions.

The capital requirement for life underwriting risk is then derived by combining the capital requirements for the life risk sub-modules (mortality risk, longevity risk, disability - morbidity risk, lapse risk, expense risk, revision risk, catastrophe risk) using a correlation matrix as defined in the Level 2 measures. The form captures the assets and liabilities driving each risk in requiring a reporting of those assets and liabilities exposed to a shock. Thus, it is not expected that the sum of all assets and liabilities adds up to 100% of the total of assets and liabilities. Where assets are not exposed to a specific life underwriting risk sub-module, a zero value can be reported. In cases that all liabilities are explicitly or implicitly affected by a shock, the total amount of all liabilities should be reported.

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Mortality risk: Mortality risk is associated with insurance obligations (such as term assurance or endowment policies) where an insurance undertaking guarantees to make a single or recurring series of payments in the event of the death of the policyholder during the policy term. It is applicable for insurance obligations contingent on mortality risk, i.e. where the amount currently payable on death exceeds the technical provisions held and, as a result, an increase in mortality rates leads to an increase in technical provisions.

The capital requirement for mortality risk should equal to the loss of basic own funds of the syndicate that would result from an instantaneous permanent increase in mortality rates used for the calculation of technical provisions.

Longevity risk: Longevity risk is associated with insurance obligations (such as annuities) where a syndicate guarantees to make a recurring series of payments until the death of the policyholder and where a decrease in mortality rates leads to an increase in the technical provisions, or with insurance obligations (such as pure endowments) where a syndicate guarantees to make a single payment in the event of the survival of the policyholder for the duration of the policy. It is applicable to insurance obligations contingent on longevity risk, i.e. where there is no death benefit or the amount currently payable on death is less than the technical provisions held and, as a result, a decrease in mortality rates is likely to lead to an increase in the technical provisions.

The capital requirement for longevity risk is equal to the loss in basic own funds of the syndicate that would result from instantaneous permanent decrease in mortality rates used for the calculation of technical provisions.

Disability/Morbidity risk: Disability or morbidity risk is the risk of loss, or of adverse change in the value of insurance liabilities, resulting from changes in the level, trend or volatility of disability or morbidity. It is applicable to insurance obligations exposed to the risk of changes in disability rates. However, the risks associated with health insurance obligations are not included in the life underwriting risk module but in the health underwriting risk module.

The capital requirement for disability risk shall equal to the loss in basic own funds of the syndicate that would result from a prescribed combination of changes applied to each policy where the payment of benefits is contingent on disability - morbidity risk.

Lapse risk: Lapse risk is the risk of loss or adverse change in insurance liabilities due to a change in the expected rates of policy lapses, terminations, renewals and surrenders.

The capital requirement for lapse risk is calculated as the higher of a capital requirement for the risk of a permanent increase in lapse rates, a capital requirement for the risk of a permanent decrease in lapse rates and a capital requirement for the risk of a mass lapse risk.

Life expense risk: Expense risk arises from the variation in the expenses incurred in servicing insurance and reinsurance contracts. The capital requirement for life -expense risk shall be equal to the loss in basic own fund of the syndicate resulting from a shock prescribed in the standard formula.

Revision risk: Revision risk is the risk of loss, or adverse change in the value of insurance liabilities, resulting from fluctuations in the level, trend, or volatility of revision rates applied to annuities, due to changes in the legal environment or in the state of health of the person insured.

The capital requirement for revision risk shall be equal to the loss in basic own funds of the syndicate that would result from % increase (as prescribed in the standard formula) in the amount of annuity benefits taken into account in the calculation of technical provisions.

Life catastrophe risk: The life catastrophe sub-module is restricted to insurance obligations which are exposed to the risk of an increase in mortality rates, i.e. where an increase in mortality leads to an increase in

41

technical provisions. Catastrophe risk stems from extreme or irregular events whose effects are not sufficiently captured in other life underwriting risk sub – modules, for example, a pandemic event.

The life catastrophe capital requirement shall be equal to the loss in basic own funds of the syndicate that would result from an instantaneous increase of percentage points (given in the standard formula) to the mortality rates (expressed as a percentage) which are used in the calculation of technical provisions to reflect the mortality experience in the following 12 months.

3.42 ASR526: Solvency Capital Requirement – Health Underwriting Risk

Purpose of form: This form reports the capital requirement for the health underwriting risk component of the

SCR only where this has been calculated using the standard formula.


This form should only be completed where the syndicate is using the standard formula to calculate the health underwriting risk component of the SCR.

For SLT health underwriting risk, the template captures the assets and liabilities driving each risk in requiring reporting of those assets and liabilities exposed to a shock. Thus, it is not expected that the sum of all assets and liabilities adds up to 100% of the total of assets and liabilities. Furthermore, no artificial split of assets into the SLT health underwriting risk categories is required. Where assets are not exposed to a specific SLT health underwriting risk sub-module, a zero value can be reported. A reporting of assets exposed to a shock is in particular relevant with regard to reinsurance recoverables and in case where the value of assets is linked to underwriting assumptions (e.g. catastrophe bonds).

In addition, no artificial split is required for the liabilities. Where liabilities are not exposed to a specific SLT health underwriting risk sub-module at all, a zero value can be reported. In cases that all liabilities are explicitly or implicitly affected by a shock, the total amount of all liabilities should be reported.

SLT Health mortality risk: The SLT Health mortality risk covers the risk of loss, or adverse change in the value of insurance liabilities, resulting from changes in the level, trend, or volatility of mortality rates, where an increase in the mortality rate leads to an increase in the value of technical provisions.

The capital requirement for mortality risk is calculated as the change in net asset value following a permanent increase of 15% in mortality rates used for the calculation of technical provisions.

Health longevity risk: The SLT health longevity risk covers the risk of loss, or of adverse change in the value of insurance liabilities, resulting from the changes in the level, trend, or volatility of mortality rates, where a decrease in the mortality rate leads to an increase in the value of technical provisions.

The capital requirement for longevity risk is calculated as the change in net asset value following a permanent decrease of 20% in mortality rates used for the calculation of technical provisions

Health disability/morbidity risk: The capital requirement for disability/morbidity risk is calculated as the sum of:

the capital requirement for medical expense disability/morbidity risk; and

the capital requirement for income protection disability and morbidity.

The scenario underlying the calculation for medical expense disability/morbidity risk applies only to medical expense (re)insurance obligations where the underlying business is pursued on a similar technical basis to that of life insurance.

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The scenario underlying the calculation for income protection disability/morbidity risk applies only to income protection (re)insurance obligations where the underlying business is pursued on a similar technical basis to that of life insurance.

SLT Health lapse risk: The SLT Health lapse risk covers the risk of loss, or of adverse change in the value of (re)insurance liabilities, resulting from changes in the level or volatility of the rates of policy lapses, terminations, renewals and surrenders.

The capital requirement for lapse risk is calculated as the higher of the capital requirement for the risk of a permanent increase of lapse rates, the capital requirement for the risk of a permanent decrease of the lapse rates and the capital requirement for the risk of a mass lapse event.

Health expense risk: The SLT Health expense risk covers the risk of loss, or of adverse change in the value of (re)insurance liabilities, resulting from changes in the level, trend, or volatility of the expenses incurred in servicing (re)insurance contracts. Expense risk arises if the expenses anticipated when pricing a guarantee are insufficient to cover the actual costs accruing in the following year. All expenses incurred have to be taken into account.

The capital requirement for expense risk is calculated as a loss in basic own funds following a shock as prescribed.

Health revision risk: The SLT Health revision risk covers the risk of loss, or adverse change in the value of insurance liabilities, resulting from fluctuations in the level, trend, or volatility of revision rates applied to annuities, due to changes in the legal environment or in the state of health of the person insured.

The capital requirement for health revision shall be equal to the loss in basic own funds that would result from an instantaneous permanent % increase (as prescribed) in the annual benefit taken into account in the calculation of technical provisions.

Non-SLT Health underwriting risk: Non–SLT (NSLT) Health underwriting risk arises from the underwriting of health (re)insurance obligations, not pursued on a similar technical basis of that of life insurance, following from both the perils covered and processes used in the conduct of business. NSLT Health underwriting risk also includes the risk resulting from uncertainty included in assumptions about exercise of policyholder options like renewal or termination options.

The NSLT health underwriting risk sub-module consists of the following sub-modules:

the NSLT health premium and reserve risk sub-module

the NSLT health lapse risk sub-module

NSLT Health premium and reserve risk: Premium risk results from fluctuations in the timing, frequency and severity of insured events. Premium risk relates to premiums to be earned including unexpired risks on existing contracts. Premium risk also includes the risk resulting from the volatility of expense payments. Reserve risk results from fluctuations in the timing and amount of claims settlement.

NSLT Health lapse risk: The NSLT health insurance contracts can include policyholder options which significantly influence the obligations arising from them (e.g. an option to terminate the contract before the end of previously agreed period or an option to renew contracts according to previously agreed conditions). Where such policyholder options are included in a non–life insurance contract, the calculation of premium provisions is based on assumptions about the exercise rates of these options.

Lapse risk is the risk that these assumptions turn out to be wrong or need to be changed.

Health catastrophe risk: The health catastrophe risk capital requirement covers the risk of loss, or of adverse change in the value of insurance liabilities, resulting from the significant uncertainty of pricing and

43

provisioning assumptions related to outbreaks of major epidemics, as well as the unusual accumulation of risks under such extreme circumstances.

The health catastrophe capital requirement is calculated as the square root of the sum of the squared:

capital requirement of the mass accident risk sub-module, plus

capital requirement of the accident concentration risk sub-module, plus

capital requirement of the pandemic risk sub-module.

3.43 ASR527: Solvency Capital Requirement – Non-life Underwriting Risk

Purpose of form: This form reports the capital requirement for the non-life underwriting risk component of the

SCR only where this has been calculated using the standard formula.


This form should only be completed where the syndicate is using the standard formula to calculate the non-life underwriting risk component of the SCR

The volume measure for premium risk for each line of business should be determined as the higher of an estimate of premiums to be earned during the following 12 months and the premiums earned during last 12 months, plus expected present value of premiums to be earned after the following 12 months for existing contracts plus expected present value of premiums to be earned after the following 12 months for contracts where the initial recognition date falls in the following 12 months.

The volume measure for reserve risk for each line of business is equal to the best estimate for the provisions for claims outstanding for the segment, after deduction of the amount recoverable from reinsurance contracts and special purpose vehicles.

3.44 ASR529: Solvency Capital Requirement – Operational Risk

Purpose of form: This form reports the capital requirement for the operational risk component of the SCR only

where this has been calculated using the standard formula.


This form should only be completed where the syndicate is using the standard formula to calculate the operational risk component of the SCR.

Technical provisions reported in this form should not include the risk margin, and should be before deduction of recoverables from reinsurance contracts and special purpose vehicles.

The earned premium is the written premium for a policy which is spread over the term of the policy in order to appropriately reflect the spread of risk over the term of the policy. This may be determined through a simple pro-rating of the written premium over the term of the policy on a time apportionment basis, but if there is marked unevenness of the incidence of risk over the period, then an alternative basis better reflecting this pattern should be adopted.

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SEction 4: form instructions for QSR

4.1 QSR010: Control page


syndicate number, managing agent, reporting years of account and their status (open/closed/run-off) and

pure years comprising each reporting year.

The software will generate the forms required to be completed in accordance with the data in the matrix. It is important that you check that the matrix is populated correctly.



We do recognise, however, that persons signing off the return may not necessarily be those to whom queries should be sent to. If this is the case, please email Market Finance via [email protected], with details of an alternative contact, who shall be included on the queries distribution list relating to the syndicate.

4.2 QSR002: Overall Balance Sheet

Purpose of form: This form presents an overall view of the financial and solvency condition of the syndicate

under Solvency II valuation rules.

This form is required for all reporting years combined. For the quarterly balance sheet, only the Solvency II amount will be required.

Solvency II allows the use of estimates in the quarterly reporting, hence, some of the figures reported in the Q4 balance sheet, for example, technical provisions, could be different from the amounts reported in the annual balance sheet (ASR002). However where the amounts reported in the quarterly balance sheet are materially different from the amounts subsequently in the annual balance sheet, details and an explanation of the difference should be included in the comments form, ASR990.

4.3 QSR221: Own funds

Purpose of form: This form provides a detailed overview of the syndicate’s own funds.


The syndicate should report funds in syndicates (FIS) in this form but funds at Lloyd’s (FAL) should be excluded. All items of own funds should be reported in Tier 1. If the managing agent considers that this is not appropriate, it should contact Lloyd’s .

Line 1 – Initial funds, members’ contributions (Funds in syndicate – FIS): This is the amount of capital contributed by and held by syndicates. Only FIS should be reported on this line.

Line 2 – Reconciliation reserve: The reconciliation reserve represents reserves (e.g. retained earnings), net of adjustments (e.g. for ring fenced funds). It also reconciles differences between the accounting valuation

45


and Solvency II valuation. In the case of syndicates, the value on this line will equal members’ balances, less foreseeable distributions and FIS (if applicable).

Line 6 – Foreseeable distributions: This is the amount of distribution that has been approved by the managing agent’s Board but has not been made by the reporting date. Hence at the end of Q4, profit from the closing year should be reported within this year. For example, assuming that the reporting date is 31 December 2016 and the syndicate has 2014, 2015 and 2016 years of account, the expected distribution for 2014 should be reported within this line. The same treatment should be applied on the expected open year profit release, i.e. on the 2015 and 2016 reporting years.

Open/run-off year

Open/run-off year profit release should be based on the lower of the syndicate UK GAAP solvency result as per QMA005 line 7 and Solvency II net balance i.e. QMC002 column C line 55 to 62 for the relevant reporting year of account. Where the UK GAAP solvency result has been improved by a positive adjustment to reflect exchange differences on technical provisions for solvency in respect of non-monetary items (QMA005 line 2) then this element of the result is not available for release.

The lower amount determined as per above should be reported within line 6, foreseeable distributions.

Closed year

Closed year profit release should be based on the syndicate’s UK GAAP result as per QMA360, A5 (plus any three year funded adjustments as reported in QMA102, D54). This amount should be reported within line 6, foreseeable distributions.

Line 9 & 10 – Expected profits included in future premium (EPIFP) – Life/non-life: These are the expected profits included in future premiums and that are recognised in technical provisions.

4.4 QSR240: Non-life Technical Provisions (by line of business)

Purpose of form: This form reports an overview of the non-life technical provisions by Solvency II line of

business and split into main components; best estimate (gross and net), reinsurance recoverable,

claims/premiums provisions and risk margin.


Technical provisions calculated as whole: This is the amount of technical provisions in the case of replicable or hedgeable (re)insurance obligations, as defined in Article 77.4 of the Framework Directive. The best estimate and risk margin are calculated together where future cash flows associated with the (re)insurance obligations can be replicated reliably using financial instruments for which a reliable market value is observable. In this case, the value of technical provisions should be determined on the basis of the market value of those financial instruments. Lloyd’s does not expect syndicates to calculate technical provisions as a whole.

The valuation of the best estimate should be calculated separately in respect of premium provisions and claims provisions.

Line of business: These are the Solvency II lines of business as detailed in Annex 1 of the Level 2 measures. Technical provisions from direct business should be aggregated with the amount from the accepted proportional reinsurance and reported together while the non-proportional reinsurance technical provisions should be reported separately.

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4.5 QSR280: Life Technical Provisions

Purpose of form: This form reports an overview of life technical provisions (TP) by Solvency II line of

business.

This form is required for all reporting years combined. The form should be completed in GBP, by both non-life and life syndicates. Where applicable, the non-life syndicates will be required to complete column C only, “annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations” and the life syndicate will be required to complete all other relevant columns/lines of business.


4.6 QSR283: Health SLT Technical Provisions

Purpose of form: This form reports an overview of health SLT technical provisions (TP) by Solvency II line of

business.

This form is required for all reporting years combined. The form should be completed in GBP, by both non-life and life syndicates. Where applicable, the non-life syndicates will be required to complete column C only, “annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance obligations” and the life syndicate will be required to complete all other relevant columns/lines of business.

SLT means: Similar to life techniques.


4.7 QSR440: Premiums, claims and expenses (by line of business)

Purpose of form: This form reports written premiums, claims and expenses incurred by Solvency II lines of

business.


Information required for quarterly reporting covers the latest quarter (and not year to date).


Line 13 - Other expenses: This cell is an analysis cell. All material amounts included in this cell must be separately listed in the analysis table (see section 2.10 ‘analysis cell’ above for details of materiality).

For further information on definitions of the terms used in the form, refer to ASR440 instructions.

4.8 QSR441: Premiums, claims and expenses (by country)

Purpose of form: This form reports written premiums, claims and expenses incurred by Solvency II lines of

business.


Information is required to be provided by country, for 5 major countries by amount of gross premium written or until 90% of written premiums is covered. The criterion for country selection is as follows:

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Localisation of risk for the following lines of business: medical expense, income protection, workers’ compensation, fire and other damage to property and credit and suretyship

Country of underwriting for all other lines of business

The above materiality is applicable at Lloyd’s level and syndicates will be required to report information by the following countries: USA, United Kingdom, Canada, Australia, Japan (disregarding materiality at syndicate level) and the balance reported within “worldwide excluding US, GB, CA, AU & JP”.


Line 9 – Total expenses: Total amount of expenses reported within line 9 should agree to the total expenses reported in QSR440, line 14.

4.9 QSR450: Life premiums, claims and expenses (by line of business)




This is a life form, however this is also applicable for those non-life syndicates with annuities stemming from non-life insurance contracts. In the case of non-life syndicates with annuities stemming from non-life contracts, only columns D and E will require to be completed i.e. annuities stemming from non-life insurance contracts and relating to health insurance obligations and annuities stemming from non-life insurance contracts and relating to insurance obligations other than health insurance obligations.

The line requirements are the same as those on QSR440, hence refer above for information on definitions of the terms.

4.10 QSR451: Life premiums, claims and expenses (by country)



This form is required for all reporting years combined. This is a life form, however this is also applicable for those non-life syndicates with annuities stemming from non-life insurance contracts.

Information is required to be provided by country, for 5 major countries by amount of gross premium written or until 90% of written premiums is covered. This materiality is applicable at Lloyd’s level and syndicates will be required to report information by the following countries: United Kingdom, USA, Norway, Japan, Italy (irrespective of materiality at syndicate level) and “worldwide excluding GB, US, NO, JP and IT”. The criterion for country depends on localisation of risk.

Line 7 – Total expenses: Total amount of expenses reported within line 7 should agree to the total expenses reported in QSR450, line 11.

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4.11 QSR510: Minimum Capital Requirement - Non-life


calculation.


The calculation of the MCR combines a linear formula with a floor of 25% and a cap of 45% of the SCR. The MCR is subject to an absolute floor, expressed in euro, depending on the nature of the undertaking (as defined in Article 129 (1) (d) of the Solvency II Directive). However, these will not apply at syndicate level and the reported MCR reported on this form will be the result of applying set factors to the technical provisions and written premiums.

The written premiums should be for the preceding 12 months to the reporting date and should be net of reinsurance premiums ceded which corresponds to these premiums. The Q4 net written premiums should agree to the amount reported in Q4, QSR440, line 4.The technical provisions should be net of reinsurance recoverables and should be excluding the risk margin (i.e. the best estimate technical provision should be used). Where a syndicate does not have technical provisions calculated as a whole, the net technical provisions reported on this form should agree to the amount reported in QSR240, line 9.

If a syndicate has accepted an RITC from another syndicate during the period, the written premiums should reflect the net written premiums for the preceding 12 months to the reporting date, from the ceding syndicate in respect of the years of account accepted.

4.12 QSR511: Minimum Capital Requirement - Life


calculation.


The technical provisions should be net of reinsurance recoverables and should be without the risk margin (i.e. the best estimate technical provision should be used). Where a syndicate does not have technical provisions calculated as a whole, the net technical provisions reported on this form should agree to the amount reported in QSR280, line 5 minus line 6.

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Section 5: form instructions for QAD/AAD

5.1 QAD/AAD010: Control page


syndicate number and managing agent.



We do recognise, however, that persons signing off the return may not necessarily be those to whom queries should be sent to. If this is the case, please email Market Finance via [email protected], with details of an alternative contact who will be included on the queries distribution list relating to the syndicate.

Due to the volume of data being reported in the Quarterly Asset Data (QAD) and Annual Asset Data (AAD), these returns are asynchronous returns. Hence syndicates will not be able to view the forms as they appear on the specifications, but will get playback summaries of the information loaded into CMR.

Where the AAD is materially different from the QAD as at Q4, for similar forms, explanation should be provided for the cause of the differences in the QAD990.

5.2 QAD/AAD230: Investment Data – Portfolio List

Purpose of form: This form collects a detailed list of investments and it provides a full vision of the risks in the

investment portfolio.

This form is required for all years combined and is required on a quarterly and annual basis.

All types of investments (including bank deposits and deposits relating to reinsurance accepted) should be reported in this form. However, derivatives are not included in this form because they are required to be completed in specific forms i.e. QAD/AAD233 and QAD/AAD234 for open and closed derivatives respectively. In the case of investment funds, these should be included in this form at a total level and not on a look-through basis, as this is reported on QAD/AAD236.

All investments, other than the ones listed below, should be reported individually, per ID code. However, in the case of following assets:

Cash and deposits (CIC ##71, ##72, ##73, ##74 & ##79), only one line per pair (bank and currency) should be reported

Deposits to cedants (CIC ##75), only one line per counterparty should be reported

Mortgage and loans (CIC ##8#); for mortgages & loans to individuals, including loans on policies, there should be only two lines, one line regarding loans to senior management and another regarding loans to other individuals without distinction between individuals

This form will be used for collecting information required for Lloyd’s Internal Model (LIM) as well as for reporting to the PRA. To ensure that adequate information for LIM is available, the original EIOPA template has been tailored to include fields to collect information on funds in syndicate (FIS). The two fields that have been added are market value (Non-FIS) and market value (FIS).

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Lloyd’s managed and cash sweep investment funds

Lloyd’s are proposing (subject to agreement with the PRA) that Lloyd’s Treasury & Investment Management (LTIM) Funds (ASL, Overseas Trust Funds and PTF Commingled Funds) and the primary sweep accounts will be reported as investment funds in QAD/AAD 230 with full look-through information provided by Lloyd’s in QAD/AAD236.

Please use the Lloyd’s managed investment fund (LMIF) ID Codes as per the below tables.

Additional Securities Limited (ASL)

LMIF Investment Fund Name

ASLAU0001 ASL – Australia

ASLBS0001 ASL – Bahamas

ASLBR0001 ASL – Brazil

ASLKY0001 ASL - Cayman Islands

ASLGD0001 ASL – Grenada

ASLHK0001 ASL - Hong Kong

ASLNA0001 ASL – Namibia

ASLPG0001 ASL - Papua New Guinea

ASLSG0001 ASL – Singapore

ASLVC0001 ASL - St Vincent & Grenadines

ASLCH0001 ASL – Switzerland

ASLTT0001 ASL – Trinidad

Overseas Securities Trust Funds (OSTF)


AJATF2001 Australian JATF(2)

ATF000001 Australian Trust Fund

CMF000001 Canadian Margin Fund

ITF000001 Illinois Trust Fund

JATFRE001 JATF Reinsurance

JATFSL001 JATF Surplus Lines

KJATF0001 Kentucky JATF

KTF000001 Kentucky Trust Funds

SATTF0001 South Africa Transitional Fund

SATF00001 South Africa Trust Fund

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PTF Commingled Funds


PTFCA0001 Canadian PTF Commingled Account

LCBACA001 LCBA CAD Commingled Account

LCBAUS001 LCBA USD Commingled Account

LDTF00001 LDTF Commingled Account

PTFEU0001 PTF EURO Commingled Account

PTFGBP001 PTF Sterling Commingled Account

Cash Sweep Investment Funds


UBSCAD001 UBS Canadian Dollar Short Term Blended Investment Account (RBC Sweep)

UBSUSD001 UBS US Dollar Short Term Blended Investment Account (RBC Sweep)

WALF00001 Western Asset (US Dollar) Liquidity Fund (WALF) previously Citi Institutional Liquidity Fund (CILF)

WAICR0001 Western Asset Institutional Cash Reserves (WAICR) previously Citi Institutional Cash Reserve (CICR)

Bonds issued by government agencies or issued with a government guarantee

The definition provided by EIOPA on government bonds includes “bonds issued by public authorities, whether by central governments, supra-national government institutions, regional governments or municipal governments”. This definition does not include agency and government guaranteed bonds, therefore Lloyd’s expects these assets to be classified as corporate bonds (CIC ##2#) and reported as such until further clarification is received from EIOPA/PRA.

Lloyd’s require these assets to be identified for modelling purposes. Therefore, please complete the Issue Type field for agency and government guaranteed instruments as per the below table.

Asset Type Issue Type

Agency AGENCY

Government Guaranteed GOVTGTD

Other NA

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Supra-national bonds

These are bonds issued by public institutions established by a commitment between national states, e.g. issued by a multilateral development bank as listed in Annex VI, Part 1, Number 4 of the Capital Requirements Directive (2006/48/EC) or issued by an international organisation listed in Annex VI, Part 1, Number 5 of the Capital Requirements Directive (2006/48/EC). These are:

Multilateral banks

International Bank for Reconstruction and Development

International Finance Corporation

Inter-American Development Bank

Asian Development Bank

African Development Bank

Council of Europe Development Bank

Nordic Investment Bank

Caribbean Development Bank

European Bank for Reconstruction and Development

European Investment Bank

European Investment Fund

Multilateral Investment Guarantee Agency.

International organisations

European Community

International Monetary Fund

Bank for International Settlements.

ID code: This should be ISIN if available, other recognised code (CUSIP, CINS, Sedol, Bloomberg ticker etc.) or the syndicate’s specific code if nothing else is available (e.g: property). In the case of investment funds, the ID code reported in this form should be the investment fund code (A LMIF code if the fund is a Lloyd’s Treasury & Investment Management (LTIM) fund or a cash sweep investment fund) and, for the same investment fund, this code should be the same as that reported in QAD/AAD236.

ID code type: Type of ID Code used for the “ID Code” item, for example, ISIN, CUSIP, CINS, Bloomberg, LMIF, undertaking specific etc. This is presented in the CMR as a closed list and one selection has to be made.

Assets pledged as collateral: This identifies assets in the balance sheet that have been pledged as collateral, i.e. collateral pledged (CP), collateral for reinsurance accepted (CR), collateral for securities borrowed (CB), repos (R) and not applicable (NA). For partially pledged assets two lines for each asset may be reported, one for the pledged amount and other for the remaining part.

Security title: This is the name of the security and it is not applicable for mortgages and loans on individuals within CIC category 8 (Mortgages and Loans) as these are not required to be reported individually, and for Plants and equipment (CIC ##95).

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Issuer name: An issuer is defined as the entity that offers securities representing parts of its capital, debt, derivatives etc., for sale to investors. For investment funds, the issuer name is the name of the funds manager. This is not applicable for mortgages and loans on individuals within CIC category ##8# (Mortgages and Loans), as these are not required to be reported individually, and for Property (CIC category ##9#).

Issuer sector: This is the economic sector of the issuer of the security and NACE code may be used. NACE code is a common statistical classification of economic activities in the European Community as set by EC Regulation No 1893/2006. For example, NACE code for investment funds would be 6712.

Issuer group (code): This is the ultimate parent undertaking of the issuer. For investment funds the group relation is relative to the funds manager. If no codes are available, full name of the ultimate parent company should be provided.

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 (ISO code): 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. When classifying an asset using the CIC table, syndicates should take into consideration the most representative risk to which the asset is exposed. The code should comprise of four characters, for example, ES15 denoting, treasury bonds listed in Spain.

Participation: This is defined in article 13(20) of the Solvency II Directive as “ownership, direct or by way of control, of 20% or more of the voting rights or capital of an undertaking”. These are the five different criteria for classifying participation:

the asset is not a participation (N)

it is a participation but not consolidated at group level and not strategic (YNGNS)

it is a participation not consolidated at group level but strategic (YNGS)

it is a participation, consolidated at group level and not strategic (YGNS)

it is a participation, it is consolidated at group level and is strategic (YGS)

External rating: This is the rating given by an external rating agency and is only applicable to CIC categories ##1#, ##2#, ##5# and ##6#. The syndicate must report the external rating (only the rating symbol, without any outlook) that in their perspective is best representative and used internally for SCR calculations. This field must always be populated, therefore where a security is not rated, “NR” should be reported.

Rating agency: This is the rating agency giving the external rating and should be selected from a closed list. Similar to the external rating, where a security is not rated, “NR” should be reported.

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#, ##42 (when applicable, e.g. for investment funds mainly invested in bonds), ##5# and ##6#.

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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). This is not applicable for CIC categories ##7#, ##8# and ##9#.

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 and should be reported as a ratio of market value to par value. This is not applicable for CIC categories ##7#, ##8# and ##9#.

Valuation method Solvency II: Identify the valuation method used when valuing assets. This should either be one of the five options below:

Quoted market price in active markets for the same assets (QMP)

Quoted market price in active markets for similar assets (QMPS)

Alternative valuation methods (AVM)

Adjusted equity methods (applicable for the valuation of participations) (AEM)

IFRS equity methods (IEM) (applicable for the valuation of participations)

Syndicates will not be expected to report either of the last two methods i.e. AEM and IEM.

Acquisition price: This is the acquisition price of each asset. Where there are different acquisition prices due to acquisitions made at different dates, an average acquisition price must be used and consequently only one line is completed for one 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 Solvency II value of the investments and it corresponds to the multiplication of “Quantity” by “Unit SII price” plus accrued interest for the following CIC categories; ##1#, ##2#, ##3#, ##4#, ##5# and ##6#.

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. The date should be reported in ISO date format i.e. YYYY/MM/DD and for perpetual securities, the date should be reported as 9999/12/31. This date should be greater than the reporting end date.

Accrued interest: This is the amount of interest that is to be received in future from each asset and it forms part of Total Solvency II amount.

Market value (Non-FIS): This is the market value (clean value) of the securities held in the premium trust funds.

Market value (FIS): This is the market value (clean value) of the securities held as funds in syndicates (FIS).

Where securities are commingled i.e. held for FIS and Non-FIS, only one entry per security should be reported with the amounts presented in the appropriate columns.

Issue type: This is the means of identifying agency and government guaranteed bonds for modelling purposes. Please use the appropriate code as listed on page 54.

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5.3 AAD232: 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 is required on an annual basis.

This form is required for structured products comprising investments reported in ASR, A30 and it applies to assets with CIC security categories ##5# (structured notes) and ##6# (collateralised securities). The requirement to report this information only applies if structured products represent more than 10% of the total investments. However this threshold applies at Lloyd’s level so all syndicates will be required to complete this form regardless of materiality to the syndicate.

ID code: This is similar to the code reported on AAD230.

Type of structured product: This identifies the type of structure product and must be reported as per the following closed list.

CDS (credit default swaps) – This is a security or deposit with an embedded derivative transaction in which two parties enter into an agreement, whereby one party pays the other a fixed periodic coupon for the specified life of the agreement

CLN (credit linked notes and deposits) – This is a security or deposit with an embedded credit default swap allowing the issuer to transfer a specific credit risk to credit investors

CMS (constant maturity swaps) – This is a security with an embedded interest rate swap, where the floating interest portion is reset periodically according to a fixed maturity market rate

CDOp (credit default options) – This is a security with an embedded option to buy or sell protection as a credit default swap on a specific reference credit with a specific maturity

ABS (asset backed securities) – This is a security that has an asset as collateral

MBS (mortgage backed securities) – This is a security that has real estate as collateral

CMBS (commercial mortgage backed securities) – This is a security that has real estate as collateral such as retail properties, office properties, industrial properties, multifamily housing and hotels

CDO (collateralised debt obligations) – This is a structured debt security backed by a portfolio consisting of secured or unsecured bonds issued by corporate or sovereign obligators, or secured or unsecured loans made to corporate commercial and industrial loan costumers of lending banks

CLO (collateralised loan obligations) – This is a security that has underlying a trust of a portfolio of loans where the cash-flows from the security are derived from the portfolio

CMO (collateralised mortgage obligations) - This is an investment-grade security backed by a pool of bonds, loans and other assets

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)

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(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 (##1#), corporate bonds (##2#), equity (##3#), investment funds (##4#), structured notes (##5#), cash and deposits (##7#), property (##9#), etc. When more than one category of collateral exists for one structured note, the most representative one should be reported.

Underlying security/index/portfolio: This describes the type of underlying security using the following closed list:

EF - 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)

Callable or Putable: This provides details of whether the product has a call (C) or put (P) features or both (B).Where none of these three options are applicable, syndicates should select “NA”.

Synthetic structured product (Y/N): 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 (Y/N): 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 cease to affect the structured note, if applicable.

5.4 QAD/AAD233: 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 includes all derivatives contracts that existed during the reporting period and were not closed prior to the end of the reporting period. Derivatives to be reported in this form are the ones directly held and so don’t include the ones held indirectly through investment funds or structured products. The value of the open contracts at the end of the reporting year should agree to QSR/ASR002, lines A27 and A79.

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ID code: This should be ISIN if available, other recognised code (CUSIP, Sedol, Bloomberg ticker etc.) or syndicate’s specific if nothing else is available (e.g.: property).

ID code type: Type of ID Code used for the “ID Code” item, for example, ISIN, CUSIP, Bloomberg, undertaking specific etc. This is presented in the CMR as a closed list and one selection has to be made.

Counterparty ID: This is the identification of the counterparty of the derivative contract (derivative exchange or the counterparty for OTC derivatives).

External rating: This is the rating of the counterparty given by external rating agency and is only applicable to OTC or bespoken derivatives. The syndicate must report the external rating (only the rating symbol, without any outlook) that in their perspective is best representative and used internally for SCR calculations. This field must always be filled in, hence where a security is not rated, “NR” should be reported.

Rating agency: This is the rating agency giving the external rating and should be selected from a closed list. Similar to the external rating, where a security is not rated, “NR” should be reported.

Counterparty group (code): This is the parent company of the counterparty. If no codes are available, full name of the parent company should be provided.

Contract name: This is the name of the derivative contract.

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.

Currency (ISO code): This is the currency of the derivative i.e. currency of the notional amount of the derivative and should be presented as the ISO currency code, for example, CAD for Canadian Dollar. For derivatives that have more than a pair of currencies, it should be split into the pair components and reported in different lines.

Foreign exchange contracts should be populated as two entries; a long (buy) leg and a short (sell) leg.

CIC: This refers to Complementary Identification Code (CIC) and it is the EIOPA Code used to classify securities. Please see Appendix 1 for the CIC table. When classifying an asset using the CIC table, syndicates should take into consideration the most representative risk to which the asset is exposed to. The code should comprise of four characters, for example, FIC3 denoting, put option on currency listed in Finland.

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 financial instrument, forecasted transaction or liability. Macro hedge refers to derivatives covering a set of financial instruments, forecasted transactions or liabilities.

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: 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

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derivative contract. For derivatives that have more than a pair of currencies, the syndicates should report both the long (or buy) side of the derivative contract and the short (or sell) side in different lines.

The long and short position for swaps is defined relatively to the notional amount. For interest rate swaps (CIC categories ##D1 and ##D3) the syndicate has to report one of the following: "FX-FL (fixed-for-floating)", "FX-FX (fixed-for-fixed)", “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 period.

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 (CIC category ##A#) and options (CIC categories ##B# and ##C#).

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

N - novation i.e. the act of replacing an obligation under the derivative with a new obligation or replacing a party of the derivative with a new party

M - multiple events or a combination of events

O - other events.

Maximum loss under unwinding event: This is the maximum amount of loss if an unwinding event occurs and it should be reported as negative value. 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. It is only applicable to CIC category ##D#.

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. It is only applicable to CIC category ##D#.

Swap delivered currency: This is the currency of the swap price and it should be in form of ISO currency code. This is only applicable for currency swaps (CIC ##D2) and interest rate and currency swaps (CIC ##D3).

Swap received currency: This is the currency of the swap notional amount and it should be in form of ISO currency code. This is only applicable for currency swaps (CIC ##D2) and interest rate and currency swaps (CIC ##D3).

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Trade date: This is the date of the trade of the derivative contract. When various trades occur for the same derivative, only the first trade date of the derivative and only one line for each derivative (no different lines for each trade) should be reported. The date should be reported in ISO date format (YYYY/MM/DD).

Maturity date: This is the contractually defined date of close of the derivative contract, whether at maturity date, expiring date for options (European or American), etc. The date should be reported in ISO date format (YYYY/MM/DD). The maturity date is expected to be greater than the reporting end date.

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.

Valuation method SII: This is the valuation method used when valuing assets and this is mark to market or mark to model.

Total Solvency II amount (Non-FIS): This is the market value of the derivatives held in the premium trust funds and can be positive, negative or zero. Derivative assets should be reported as positive while liabilities as negative values.

Total Solvency II amount (FIS): This is the market value of the derivatives held as funds in syndicates (FIS) and can be positive, negative or zero. Derivative assets should be reported as positive while liabilities as negative values.

Where derivatives are commingled i.e. held for FIS and Non-FIS, only one entry per derivative should be reported with the amounts presented in the appropriate columns.

Total Solvency II amount: This is the market 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.

5.5 QAD/AAD234: Derivatives Data - Historical Derivatives Trades

Purpose of form: This form reports information on all derivatives which existed during the reporting period, but

were closed prior to the reporting date. It provides information on risks and risk mitigating strategies followed

through the use of derivatives.


All derivatives which existed during the reporting period, but were closed prior to the reporting date should be reported in this form. Similar to QAD/AAD 233, derivatives to be reported in this form are the ones directly held and so don’t include the ones held indirectly through investment funds or structured products.

Most of the fields are a duplicate of those reflected in QAD/AAD233 and hence the syndicate should refer to explanations provided above under QAD/AAD233 in order to complete this form.

Profit and loss to date: This is the amount of profit and loss arising from the derivative since inception, realised at the closing/maturing date.

5.6 QAD/AAD235: Return on Investment Assets (by asset category)

Purpose of form: This form provides information about assets’ profitability.


This information reported on this form should be by asset category and not asset by asset.

Asset category: The syndicate should report assets categories as defined in the CIC table i.e. 1 to 9 (government bonds, corporate bonds, equity etc.) and A to F (property, futures, call options etc.).

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Dividends: This is the amount of dividends received during the year plus accrued dividends at the end of the year. The dividends amount received during the year should exclude prior years’ accrued dividends. This is applicable to dividend paying assets such as equity and investment funds.

Interest: This is the amount of interest received in the year plus the accrued amount at the end of the year. The interest amount received during the year should exclude prior years’ accrued interest. This is applicable to interest paying securities, such as bonds.

Net gains and losses: These are net gains and losses resulting from assets sold during the year and it is also applicable to derivatives. These gains and losses are calculated as the difference between selling value and Solvency II value at the end of the prior reporting period (or, in case of investments acquired during the period, the acquisition value).

5.7 QAD/AAD236: Investment Funds (look-through approach)

Purpose of form: This form reports information for each investment fund at a security by security level.


Information reported on this form should relate to investment funds reported in the balance sheet (QSR/ASR002, A26) and QAD/AAD230. All the investment funds reported in the balance sheet and QAD/AAD230 should be reported in this form. The syndicate should ensure that reconciliation between this form, QAD/AAD230 and the balance sheet is carried out at a fund level as well as in aggregate. The level of look-through on investment funds should ensure that all material risks are captured. Solvency II requires this form to be reported at asset category level. However since this form is required for LIM purposes, additional fields (similar to those required in QAD/AAD230) have been added and the form will be required to be completed at security level. Look-through should be performed based on the following three options:

Standard (S): This is the security level look-through. Where there are a number of iterations of the look-through approach (for example, where an investment fund is invested in other investment funds), the number of iterations should be sufficient to ensure that all material market risks are captured

Mandate (M): This option is acceptable where a full security level look-through is not possible. For collective investment schemes that are not sufficiently transparent, the investment mandate/fund’s prospectus guidelines should be used as a reference. It should be assumed that the scheme invests in accordance with its mandate in such a manner as to produce the maximum overall capital requirement

Other (O): Where security level and mandate look-through options are not possible, funds should be treated as equity and classified as “Other”. This assumes a high level of investment risk and will have a CIC of XL39. We also request that the option of “Other” is used when reporting those investments in Lloyd’s Treasury & Investment Management (LTIM) Funds (ASL, Overseas Trust Funds and PTF Commingled Funds) and the primary sweep accounts (as listed above previously). Lloyd’s will then apply the full “Standard” look-through on behalf of the syndicate.

Considering that this information is also being collected for LIM purposes, where possible, syndicates are required to use a security level look-through for investment funds and to refer to the investment mandate/prospectus if this is not possible.

Investment fund code: This should be ISIN if available, other recognised code (CUSIP, Sedol, Bloomberg ticker etc.) or syndicate’s specific if nothing else is available (e.g.: property). LMIF code should be used if the fund is a Lloyd’s Treasury & Investment Management (LTIM) fund or a cash sweep investment fund. This should be the same as the ID code reported in QAD/AAD230.

Investment fund code type: Type of ID Code used for the “Investment fund Code” item, for example, ISIN, CUSIP, Bloomberg, LMIF, undertaking specific etc. This is presented in the CMR as a closed list.

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CIC: This refers to Complementary Identification Code (CIC) and it is the EIOPA Code used to classify securities. Please see Appendix 1 for the CIC table. When classifying an asset using the CIC table, syndicates should take into consideration the most representative risk to which the asset is exposed. The requirement to provide “look-through” data to underlying exposures of mutual funds and investment funds means that the “investment funds” (CIC category ##4#) may not be used.

Underlying asset category: This identifies the securities categories present in the investment fund and these categories should be as defined in the CIC table. This should be the third character of the CIC. For example, government bonds should be reported as “1” and Structured notes as “5”. However, for equity, CIC category must be split between listed (3L) and non-listed (3NL). The investment fund’s liabilities should also be identified with (L).

Geographical zone of issue: This should show a breakdown of asset category by issuer geographical zone. This is to identify the geographical zone of the security category, using the following closed list of geographical zones:

EEA

OECD (non-EEA)

RoW (rest of the world)

Total Solvency II amount (Non-FIS): This is the market value of the securities held in the premium trust funds.

Total Solvency II amount (FIS): This is the market value of the securities held as funds in syndicates (FIS).

Where securities are commingled i.e. held for FIS and Non-FIS, only one entry per security should be reported with the amounts presented in the appropriate columns.

Level of look-through: This indicates the level of look-through performed and selection should be as follows:

Standard(S) – look-through is performed at security by security level

Mandate (M) – where investment funds are not sufficiently transparent, investment mandates should be used

Other (O) – If the above is not achievable, the funds should be reported as “equity other”.

Depending on the level of look-through, some of the fields will not be required to be reported. Below is a table showing what fields are required to be completed under each level of look-through:

Column

Ref #

Fields Standard Mandate “Other”

A Investment Fund Code

B Investment Fund Code Type

C ID Code × ×

D ID Code type × ×

E Security Title × ×

F Issuer Group (Code) × ×

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Column

Ref #

Fields Standard Mandate “Other”

G External Rating ×

H Rating Agency ×

I Duration ×

J CIC

K Underlying Asset Category

L Geographical Zone of Issue

M Currency (ISO Code)

N Total Solvency II Amount (Non-FIS)

O Total Solvency II Amount (FIS)

P Total Solvency II Amount

Q Level of Look-through

- Field is required

× - Field is not required

Total Solvency II amount: The “Total Solvency II amount” for each investment fund code/investment fund code type reported on QAD/AAD236 should agree to the “Total Solvency II amount” for the corresponding ID code/ID code type reported on QAD/AAD230. Hence the sum of “Total Solvency II amount” for all entries on QAD/AAD236 should equal the sum of “Total Solvency II amount” for all investment fund entries on QAD/AAD230 (i.e. where the third character of the CIC on QAD/AAD230 is “4”).

All other fields: These are similar to those required in QAD/AAD230, hence please refer to explanations provided above under QAD/AAD230.

5.8 QAD/AAD237:Securities Lending and Repos

Purpose of form: This form reports information on the syndicate’s exposures to repurchase agreements

(repos) and securities lending operations.


There should one line by security lending or repo contract with a distinction, for each contract, by asset category (and not by asset being concerned). This should include all contracts in the reporting period and not only the ones still open at the reporting date. However, for contracts which are part of a roll-over strategy, where they substantially are the same transaction, only open positions should be included in the form. All contracts that are on the balance sheet or off balance sheet should be reported.

Asset category: This identifies the securities categories present in the portfolio and these categories should be as defined in the CIC table. This should be the third character of the CIC, for example, government bonds should be reported as “1” and Structured notes as “5”. Where the asset category is equity, this is should be reported as “3L” (listed) or “3NL” (non-listed).

Type of repo/securities lending: This identifies whether a contract is a repurchase agreement or securities lending. A repo (repurchase agreement) is defined as the sale of securities together with an agreement for

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the seller to buy back the securities at a later date while securities lending is defined as the lending of securities by one party to another, which requires that the borrower provides the lender with collateral.

Buyer or Seller/Lender or Borrower: This identifies whether the syndicate is a buyer or seller in the repo or a lender or borrower in the securities lending.

Counterparty ID: This is the identification of the counterparty of the contract.

Collateral type: This identifies the most significant security category present that is collateral to the repo/securities lending contract. Categories defined in the CIC table should be used and this should be the third character of the CIC, for example, corporate bonds should be reported as “2” and equity as “3L” (listed) or “3NL” (non-listed).

Collateral type: This should be reported by asset category as defined in the CIC table i.e. 1, 2, 3, A, B…etc.

Near leg amount: This is the amount received or ceded at the contract inception.

Far leg amount: This is the amount received or ceded at the contract maturity.

Start date: This identifies the start of the contract and it refers to the date of inception of the contract. The date should be reported in ISO date format i.e. YYYY/MM/DD.

Maturity date: This is the contract closing date. Even if the contract is on an open call basis, there is normally a date when the contract expires. In these cases this date must be reported, if no call occurs before. An agreement is considered closed when it has matured, a call occurs or the agreement is cancelled. The date should be reported in ISO date format i.e. YYYY/MM/DD. For contracts with no defined maturity date, syndicates should report the maturity date as 9999/12/31.

Total Solvency II Amount: This is the market value of the repo or securities lending contract.

5.9 AAD238:Assets held as Collateral

Purpose of form: This form reports information on assets that are off-balance sheet and are held as collateral.

This form is required for all years combined and is required on an annual basis.

Issuer name: An issuer is defined as the entity that offers securities representing part of its capital, part of its debt, derivatives, etc., for sale to investors. This is not applicable to CIC categories 8 – Mortgages and Loans and 9 – Property. For investment funds, the issuer name is the name of the funds manager.

Issuer sector: This is the economic sector of the issuer of the security and NACE code may be used. NACE code is a common statistical classification of economic activities in the European Community as set by EC Regulation No 1893/2006.

Issuer group (code): This is the ultimate parent undertaking of the issuer. For investment funds the group relation is relative to the funds manager.

Valuation method SII: This identifies the valuation method used when valuing assets. This will be based on two methods i.e. Mark to Market (MktMk) and Mark to Model (MktMd) and will be presented in the CMR as a closed list.

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. The date should be reported in ISO date format i.e. YYYY/MM/DD and for perpetual securities, the date should be reported as 9999/12/31.

Type of asset: This identifies the type of asset for which the collateral is held. Categories in the balance sheet (QSR/ASR002) should be used, for example, reinsurance recoverable from non-life excluding health.

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Name of debtor pledging the collateral: This identifies the name of the counterparty that is pledging the collateral.

Group of debtor pledging the collateral (code): This identifies the economic group of the counterparty pledging the collateral.

All other fields: For all other fields, these are the same as those required in QAD/AAD230, hence refer to the definition provided under the QAD/AAD230.

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appendices

Appendix 1Complementary Identification Code (CIC) table (as issued by EIOPA)

1 2 3 4 5 6 7 8 9 A B C D E FGovernment

bondsCorporate

bondsEquity Investment

funds Structured

notes Collateralised

securitiesCash and deposits

Mortgages and loans

Property Futures Call Options Put Options Swaps Forwards Credit derivatives

1 1 1 1 1 1 1 1 1 1 1 1 1 1 1

Central Government

bonds

Common bonds Common equity Equity funds Equity risk Equity risk Cash Uncollateralized

loans made

Property (office and commercial)

Equity and index futures

Equity and index options

Equity and index options

Interest rate swaps

Forward interest rate agreement

Credit default swap

2 2 2 2 2 2 2 2 2 2 2 2 2 2 2

Supra-national bonds

Convertible bonds Equity of real estate related

corporation

Debt funds Interest rate risk Interest rate risk Transferable deposits (cash equivalents)

Loans made collateralized with

securities

Property (residential)

Interest rate futures

Bond options Bond options Currency swaps Forward exchange rate agreement

Credit spread option

3 3 3 3 3 3 3 3 3 3 3 3 3

Regional government

bonds

Commercial paper Equity rights Money market funds

Currency risk Currency risk Other deposits short term (less than one year)

Property (for own use)

Currency futures Currency options Currency options Interest rate and currency swaps

Credit spread swap

4 4 4 4 4 4 4 4 4 4 4 4

Municipal government

bonds

Money market instruments

Preferred equity Asset allocation funds

Credit risk Credit risk Other deposits with term longer

than one year

Mortgages Property (under construction)

Warrants Warrants Total return swap

5 5 5 5 5 5 5 5 5 5 5 5

Treasury bonds Hybrid bonds Real estate funds Real estate risk Real estate risk Deposits to cedants

Other collateralized loans made

Plant and equipment (for

own use)

Commodity futures

Commodity options

Commodity options

Security swaps

6 6 6 6 6 6 6

Covered bond Common covered bonds

Alternative funds Commodity risk Commodity risk Swaptions Swaptions

7 7 7 7 7 7 7 7 7

Covered bonds subject to specific

law

Private equity funds

Catastrophe and Weather risk







8 8 8 8 8 8 8 8 8

Subordinated bonds

Infrastructure funds

Mortality risk Mortality risk Mortality risk Mortality risk Mortality risk Mortality risk Mortality risk

9 9 9 9 9 9 9 9 9 9 9 9 9 9 9

Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other

ISO 3166-1-alpha-2 country code or XL (for not listed) or XT (for not exchange tradable)

Third position

Category

Fourth position

Sub-category or

main risk

First 2 positions

Asset listed in

Definition of CIC (as issued by EIOPA)

DefinitionCountry ISO 3166-1-alpha-2 country code Identify the country ISO code where the asset is listed in. An asset is considered as being listed if it is negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/CE. If the asset is listed in more than one country, the country should be the one used as the reference for

valuation purposesXL Assets that are not listed in a stock exchange Identify assets that are not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/CE

XT Assets that are not exchange tradable Identify assets that by their nature are not subject to be negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2004/39/CE. This includes assets categories 7, 8 and 9

Definition1 Government bonds Bonds issued by public authorities, whether by central governments supra-national government institutions, regional governments or municipal governments

11 Central Government bonds Bonds issued by central governments

12 Supra-national bonds Bonds issued by public institutions established by a commitment between national states, e.g. issued by a multilateral development bank as listed in Annex VI, Part 1, Number 4 of the Capital Requirements Directive (2006/48/EC) or issued by an international organisation listed in Annex VI, Part 1, Number 5 of the Capital Requirements Directive (2006/48/EC)

13 Regional government bonds Regional government or autonomous communities debt instruments offered to the public in a public offering on the capital market

14 Municipal government bonds Bonds issued by municipalities, including cities, provinces, districts and other municipal authorities

15 Treasury bonds Short term government bonds, issued by central governments (issued with a maturity term up to 1 year)

16 Covered bonds Government bonds which have a pool of assets that secures or "covers" the bond if the originator becomes insolvent. The cover assets are restricted to cash flows from mortgages or public sector loans and those assets remain on the issuer balance sheet

19 Other Other government bonds, not classified under the above categories

2 Corporate bonds Bonds issued by corporations

21 Common bonds Bonds issued by corporations, that don't fall into the categories identified below

22 Convertible bonds Corporate bonds that the holder can convert into shares of common stock in the issuing company or cash of equal value, having debt and equity-like features

23 Commercial paper Corporate bonds classifiable as money market securities, with original maturity lesser than 270 days

24 Money market instruments Short term debt securities (original maturity lesser than 1 year), e.g. certificate of deposit, bankers' acceptances and other highly liquid instruments

25 Hybrid bonds Corporate bonds that have debt and equity-like features, but are not convertible.

26 Common covered bonds Corporate bonds which have a pool of assets that secures or "covers" the bond if the originator becomes insolvent. The cover assets are restricted to cash flows from mortgages or public sector loans and those assets remain on the issuer balance sheet

27 Covered bonds subject to specific law Corporate bonds which have a pool of assets that secures or "covers" the bond if the originator becomes insolvent and are subject by law to special public supervision designed to protect bond-holders. On example of this category is Pfandbrief: "Covered bonds which are issued on the basis of the Pfandbrief Act. They are used to refinance loans for which collateral is furnished in the form of loans secured by real estate liens (Mortgage Pfandbriefe), public-sector loans (Public Pfandbriefe), ship mortgages (Ship Pfandbriefe) or aircraft mortgages (Aircraft Pfandbriefe). Thus, the distinction made between these Pfandbrief types refers to the cover pool created for each type of Pfandbrief."

28 Subordinated bonds Corporate bonds which have a lower priority than other bonds of the issuer in case of liquidation.

29 Other Other corporate bonds, not classified under the above categories

3 Equity Shares representing corporations' capital, i.e., representing ownership in a corporation

31 Common equity Equity that represent basic property rights on corporations

32 Equity of real estate related corporation Equity representing capital from real estate related corporations

33 Equity rights Rights to subscribe to additional shares of equity at a set price

34 Preferred equity Equity security that is senior to common equity, having a higher claim on the assets and earnings than common equity, but are subordinate to bonds

39 Other Other equity, not classified under the above categories

4 Investment funds Undertakings the sole purpose of which is the collective investment in transferrable securities and/or in other financial assets

41 Equity funds Investment funds mainly invested in equity

42 Debt funds Investment funds mainly invested in bonds

43 Money market funds Investment funds mainly invested in money market instruments

44 Asset allocation funds Fund which invests its assets pursuing a specific asset allocation objective, e.g. primarily investing in the securities of companies in countries with nascent stock markets or small economies, specific sectors or group of sectors, specific countries of other specific investment objective

45 Real estate funds Investment funds mainly invested in real estate

46 Alternative funds Funds whose investment strategies include such as hedging, event driven, fixed income directional and relative value, managed futures, comodities etc.

47 Private equity funds Investment funds used for making investments in equity securities following strategies associated with private equity.

48 Infrastructure funds Funds that invest in utilities such as toll roads, bridges, tunnels, ports and airports, oil and gas distribution, electricity distribution and social infrastructure such as healthcare and educational facilities

49 Other Other investment funds, not classified under the above categories

5 Structured notes Hybrid securities, combining a fixed income instrument with a series of derivative components. Excluded from this category are fixed income securities that are issued by sovereign governments. Concerns to securities that have embedded all categories of derivatives, including Credit Default Swaps (CDS), Constant Maturity Swaps (CMS), Credit Default Options (CDO). Assets under this category are not subject to unbundling

51 Equity risk Structured notes mainly exposed to equity risk

52 Interest rate risk Structured notes mainly exposed to interest rate risk

53 Currency risk Structured notes mainly exposed to currency risk

54 Credit risk Structured notes mainly exposed to credit risk

55 Real estate risk Structured notes mainly exposed to real estate risk

56 Commodity risk Structured notes mainly exposed to commodity risk

57 Catastrophe and Weather risk Structured notes mainly exposed to catastrophe or weather risk

58 Mortality risk Structured notes mainly exposed to mortality risk

59 Other Other structured notes, not classified under the above categories

6 Collateralised securities Securities whose value and payments are derived from a portfolio of underlying assets. Includes Asset Backed Securities (ABS), Mortgage Backed securities (MBS), Commercial Mortgage Backed securities (CMBS), Collateralised Debt Obligations (CDO), Collateralised Loan Obligations (CLO) , Collateralised Mortgage Obligations (CMO). Assets under this category are not subject to unbundling

61 Equity risk Collateralised securities mainly exposed to equity risk

62 Interest rate risk Collateralised securities mainly exposed to interest rate risk

63 Currency risk Collateralised securities mainly exposed to currency risk

64 Credit risk Collateralised securities mainly exposed to credit risk

65 Real estate risk Collateralised securities mainly exposed to real estate risk

66 Commodity risk Collateralised securities mainly exposed to commodity risk

67 Catastrophe and Weather risk Collateralised securities mainly exposed to catastrophe or weather risk

68 Mortality risk Collateralised securities mainly exposed to mortality risk

69 Other Other collateralised securities, not classified under the above categories

Category

Assets listed in

Definition7 Cash and deposits Money in the physical form, bank deposits and other money deposits

71 Cash Notes and coins in circulation that are commonly used to make payments

72 Transferable deposits (cash equivalents) Deposits exchangeable for currency on demand at par and which are directly usable for making payments by cheque, draft, giro order, direct debit/credit, or other direct payment facility, without penalty or restriction

73 Other deposits short term (less than one year) Deposits other than transferable deposits, with remaining maturity inferior to 1 year, that cannot be used to make payments at any time and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty

74 Other deposits with term longer than one year Deposits other than transferable deposits, with remaining maturity superior to 1 year, that cannot be used to make payments at any time and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty

75 Deposits to cedants Deposits relating to reinsurance accepted

79 Other Other cash and equivalents, not classified under the above categories

8 Mortgages and loans Financial assets created when creditors lend funds to debtors, with collateral or not, including cash pools. Doesn't include loans on policies.

81 Uncollateralized loans made Loans made without collateral

82 Loans made collateralized with securities Loans made with collateral in the form of financial securities

84 Mortgages Loans made with collateral in the form real estate

85 Other collateralized loans made Loans made with collateral in any other form

89 Other Other mortgages and loans, not classified under the above categories

9 Property Buildings, land, other constructions that are immovable and equipment

91 Property (office and commercial) Office and commercial building used for investment

92 Property (residential) Residential buildings used for investment

93 Property (for own use) Real estate for the own use of the undertaking

94 Property (under construction) Real estate that is under construction, for future own usage or future usage as investment

95 Equipment (for own use) Equipment for the own use of the undertaking

99 Other Other real estate, not classified under the above categories

A Futures Standardised contract between two parties to buy or sell a specified asset of standardised quantity and quality at a specified future date at a price agreed today

A1 Equity and index futures Futures with equity or stock exchange indices as underlying

A2 Interest rate futures Futures with bonds or other interest rate dependent security as underlying

A3 Currency futures Futures with currencies or other currencies dependent security as underlying

A5 Commodity futures Futures with commodities or other commodities dependent security as underlying

A7 Catastrophe and Weather risk Futures mainly exposed to catastrophe or weather risk

A8 Mortality risk Futures mainly exposed to mortality risk

A9 Other Other futures, not classified under the above categories

B Call Options Contract between two parties concerning the buying of an asset at a reference price during a specified time frame, where the buyer of the call option gains the right, but not the obligation, to buy the underlying asset

B1 Equity and index options Call options with equity or stock exchange indices as underlying

B2 Bond options Call options with bonds or other interest rate dependent security as underlying

B3 Currency options Call options with currencies or other currencies dependent security as underlying

B4 Warrants Call options that entitles the holder to buy stock of the issuing company at a specified price

B5 Commodity options Call options with commodities or other commodities dependent security as underlying

B6 Swaptions Call options granting its owner the right but not the obligation to enter into a long position in an underlying swap, i.e., enter into a swap where the owner pays the fixed leg and receive the floating leg

B7 Catastrophe and Weather risk Call options mainly exposed to catastrophe or weather risk

B8 Mortality risk Call options mainly exposed to mortality risk

B9 Other Other call options, not classified under the above categories

C Put Options Contract between two parties concerning the selling of an asset at a reference price during a specified time frame, where the buyer of the put option gains the right, but not the obligation, to sell the underlying asset

C1 Equity and index options Put options with equity or stock exchange indices as underlying

C2 Bond options Put options with bonds or other interest rate dependent security as underlying

C3 Currency options Put options with currencies or other currencies dependent security as underlying

C4 Warrants Put options that entitles the holder to sell stock of the issuing company at a specified price

C5 Commodity options Put options with commodities or other commodities dependent security as underlying

C6 Swaptions Put options granting its owner the right but not the obligation to enter into a short position in an underlying swap, i.e., enter into a swap in which the owner will receive the fixed leg, and pay the floating leg

C7 Catastrophe and Weather risk Put options mainly exposed to catastrophe or weather risk

C8 Mortality risk Put options mainly exposed to mortality risk

C9 Other Other put options, not classified under the above categories

D Swaps Contract in which counterparties exchange certain benefits of one party's financial instrument for those of the other party's financial instrument, and the benefits in question depend on the type of financial instruments involved

D1 Interest rate swaps Swap that exchange interest flows

D2 Currency swaps Swap that exchange currency

D3 Interest rate and currency swaps Swap that exchange interest and currency flows

D5 Security swaps Swap that exchange securities

D7 Catastrophe and Weather risk Swaps mainly exposed to catastrophe or weather risk

D8 Mortality risk Swaps mainly exposed to mortality risk

D9 Other Other swaps, not classified under the above categories

E Forwards Non-standardised contract between two parties to buy or sell an asset at a specified future time at a price agreed today

E1 Forward interest rate agreement Forward contract in which one party pays a fixed interest rate, and receives a floating interest rate equal to a underlying rate, at the predefined forward date

E2 Forward exchange rate agreement Forward contract in which one party pays an amount in one currency, and receives an equivalent amount in a different currency resulting from the conversion using the contractual exchange rate, at the predefined forward date

E7 Catastrophe and Weather risk Forwards mainly exposed to catastrophe or weather risk

E8 Mortality risk Forwards mainly exposed to mortality risk

E9 Other Other forwards, not classified under the above categories

F Credit derivatives Derivative whose value is derived from the credit risk on an underlying bond, loan or any other financial asset

F1 Credit default swap Credit derivative transaction in which two parties enter into an agreement whereby one party pays the other a fixed periodic coupon for the specified life on the agreement and the other party makes no payments unless a credit event relating to a predetermined reference asset occurs

F2 Credit spread option Credit derivative that will generate cash flows if a given credit spread between two specific assets or benchmarks changes from its current level

F3 Credit spread swap A swap in which one party makes a fixed payment to the other on the swap's settlement date and the second party pays the first an amount based on the actual credit spread

F4 Total return swap A swap in which the non-floating rate side is based on the total return of an equity or fixed income instrument with the life longer that the swap

F9 Other Other credit derivatives, not classified under the above categories

Category

Appendix 2Syndicate - Agent ASR ???? Edition X

002 - Overall Balance sheet

Period: All Years of Account CombinedMapping of Statutory

Accounts to QMA2

(Column C) Solvency II value Statutory Accounts valuation basis

A B Assets

1 Goodwill N/A +2 Deferred acquisition costs 28 +3 Intangible assets N/A + +4 Deferred tax assets N/A + +5 Pension benefit surplus N/A + +6 Property, plant & equipment held for own use 22 + +

Investments (other than assets held for index-linked and unit-linked funds)7 Property (other than for own use) 7 + +8 Participations N/A + +

Equities9 Equities - listed 1, 6, 24 + +

10 Equities - unlisted 1, 6, 24 + +11 Sub-total (9 to 10) A9+A10 B9+B10

Bonds12 Government Bonds 2, 6, 24 + +13 Corporate Bonds 2, 6, 24 + +14 Structured notes 2, 6, 7, 24 + +15 Collateralised securities 2, 6, 7, 24 + +16 Sub-total (12 to 15) A12+A13+A14+A15 B12+B13+B14+B15

Investment funds17 Equity funds 1, 3, 6 & 24 + +18 Debt funds 1, 3, 6 & 24 + +19 Money market funds 1, 3, 6 & 24 + +20 Asset allocation funds 1, 3, 6 & 24 + +21 Real estate funds 1, 3, 6 & 24 + +22 Alternative funds 1, 3, 6 & 24 + +23 Private equity funds 1, 3, 6 & 24 + +24 Infrastructure funds 1, 3, 6 & 24 + +25 Other 1, 3, 6 & 24 Analysis cell Analysis cell

26 Sub-total (17 to 25)A17+A18+A19+A20+A21+A22+A23+A24+A2

5B17+B18+B19+B20+B21+B22+B23+B24+B2

527 Derivatives 7 + +28 Deposits other than cash equivalents 5 + +29 Other investments 7 Analysis cell Analysis cell

30Sub-total of investments (other than assets held for index-linked and unit-linked funds) (7 to 8 +11+16+26+27+28+29) A7+A8+A11+A16+A26+A27+A28+A29 B7+B8+B11+B16+B26+B27+B28+B29

31 Assets held for index-linked and unit-linked funds N/A + + Loans & mortgages (except loans on policies)

32 Loans & Mortgages to individuals 4 + +33 Other Loans & Mortgages 4 + +34 Sub-total (32 to 33) A32+A33 B32+B3335 Loans on policies N/A + +

Reinsurance recoverables Non-life and health similar to non-life

36 Non-life excluding health 13 + +37 Health similar to non-life 13 + +38 Sub-total (36 to 37) A36+A37 B36+B37

Life and health similar to life, excluding health and index-linked and unit-linked39 Health similar to life 13 + +40 Life excluding health and index-linked and unit-linked 13 + +41 Sub-total (39 to 40) A39+A40 B39+B4042 Life index-linked and unit-linked N/A + +43 Sub-total Reinsurance recoverables (38+41+42) A38+A41+A42 B38+B41+B4244 Deposits to cedants 9 + +45 Insurance & intermediaries receivables 14 & 18 + +46 Reinsurance receivables 15 & 19 + +47 Receivables (trade, not insurance) 16 & 20 + +48 Own shares N/A + +

49 Amounts due in respect of own fund items or initial fund called up but not yet paid in N/A + +

50 Cash and cash equivalents 5, 23 & 24 + +51 Any other assets, not elsewhere shown 25, 27 & 29 Analysis cell Analysis cell

52 Total assets (1 to 6 +30+31+34+35+ 43 to 51) 31A3+A4+A5+A6+A30+A31+A34+A35+A43+A

44+A45+A46+A47+A48+A49+A50+A51

B1+B2+B3+B4+B5+B6+B30+B31+B34+B35+B43+B44+B45+B46+B47+B48+B49+B50+B

51 Liabilities

Technical provisions – non-life (excluding health)53 TP calculated as a whole 33 & 34 + +54 Best Estimate N/A +55 Risk margin N/A +56 Sub-total (53 to 55) A53+A54+A55 B53

Technical provisions - health (similar to non-life) 57 TP calculated as a whole 33 & 34 + +58 Best Estimate N/A +59 Risk margin N/A +60 Sub-total (57 to 59) A57+A58+A59 B57

Technical provisions - health (similar to life) 61 TP calculated as a whole 33 & 34 + +62 Best Estimate N/A +63 Risk margin N/A +64 Sub-total (61 to 63) A61+A62+A63 B61

Technical provisions – life (excluding health and index-linked and unit-linked)65 TP calculated as a whole 33 & 34 + +66 Best Estimate N/A +67 Risk margin N/A +68 Sub-total (65 to 67) A65+A66+A67 B65

Technical provisions – index-linked and unit-linked 69 TP calculated as a whole N/A + +70 Best Estimate N/A +71 Risk margin N/A +72 Sub-total (69 to 71) A69+A70+A71 B6973 Other technical provisions 35 +74 Contingent liabilities N/A +75 Provisions other than technical provisions 37 + +76 Pension benefit obligations N/A + +77 Deposits from reinsurers 38 + +78 Deferred tax liabilities N/A + +79 Derivatives 43 & 49 + +80 Debts owed to credit institutions 42 & 48 + +81 Financial liabilities other than debts owed to credit institutions 41 & 47 + +82 Insurance & intermediaries payables 39 & 45 + +83 Reinsurance payables 40 & 46 + +84 Payables (trade, not insurance) 43 & 49 + +85 Subordinated liabilities not in BOF N/A + +86 Subordinated liabilities in BOF N/A + +87 Any other liabilities, not elsewhere shown 51 Analysis cell Analysis cell

88 Total liabilities (56+60+64+68+72 to 87) 32 & 52

A56+A60+A64+A68+A72+A74+A75+A76+A77+A78+A79+A80+A81+A82+A83+A84+A85+A86+A87

B56+B60+B64+B68+B72+B73+B75+B76+B77+B78+B79+B80+B81+B82+B83+B84+B85+B86+B87

89 Excess of assets over liabilities 32 A52-A88 B52-B88

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syndicate return - lloyd's

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