Date (Arial 16pt)

bold)Subtitle for event – (Arial 28pt)Giles FairheadHead of Department, Retail Life

Life Insurance Division

Solvency II regulatory reporting

Agenda

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1. Solvency II reporting and submissions timetable

2. The PRA’s expectations in the preparatory phase

3. The PRA’s data collection system, firm testing and on-boarding plan

4. Asset data reporting expectations

5. Current ‘hot topics’ from industry engagement

Three-pillar approach

Pillar 2 Pillar 3

Reporting and disclosure is integral to Solvency II

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Pillar 1

Quantitative requirements

• Own Funds (including balance sheet)

• Minimum capital requirement (MCR)

• Solvency Capital Requirement (SCR)

Pillar 2

Qualitative requirements and

supervisory review • Governance, risk

management and required functions

• Own risk and solvency assessment

Pillar 3

Reporting, disclosure and market discipline• Supervisory Process• Disclosure• Transparency• Support of risk-based

supervision through market mechanisms

• Market-consistent valuation of balance sheet

• Risk Based requirements

• Business governance• Risk-based

supervision

• Disclosure• Transparent markets

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The Solvency II reporting requirements include qualitative and quantitative reports

Quantitative reporting templates Narrative reports

Sections covered

• Balance Sheet• Premium claims and expenses• Own funds• Variation analysis• SCR and MCR• Assets• Technical provisions• Reinsurance• Group reporting

• Business and performance• System of governance• Risk profile• Valuation for solvency purposes• Capital management

• The Solvency II regime will place new reporting requirements on firms covering both quantitative and qualitative aspects

• The Solvency and Financial Condition Report (SFCR) and the Report to Supervisors (RSR) contain both qualitative and quantitative reports

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Audience Public Private

Narrative Reports

Type Qualitative Qualitative

Frequency Annual • Annual summary• In full every 3 years

Quantitative Reporting Templates

Type Quantitative Quantitative

Frequency Annual Annual & Quarterly

National Specific Templates

Frequency N/A Annually

Other Major developments affecting relevance of SFCR will require an updated SFCR

PRA ad-hoc reporting will continue

Pillar 3 will require firms and groups to make certain reports and templates publically available

• The Pillar 3 reporting requirements under Solvency II focus on two main reports, the Solvency and Financial Condition Report (SFCR) and the Regular Supervision Report (RSR)

• A limited number of quantitative templates and qualitative data are required to be made publically available in the SFCR

• All quantitative templates and a detailed set of qualitative data is required to be reported privately to the regulator in the RSR

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1 January 2016SII Implementation

31 March 2015SII Transposition

October 2014ITS 1 Publication

Dec 2014 –Mar 2015

ITS 2 Public Consultation

June 2015ITS 2 Publication

Jun – Sep 2014Guidelines 1 Public Consultation

Dec 2014 – Mar 2015Guidelines 2 Public Consultation

February 2015Guidelines 1 Publication

July 2015Guidelines 2 Publication

December 2014Draft SII taxonomy

2014 2015 2016

SII Directive

Guidelines

Implementing Technical Standards

Taxonomy

Solvency II reporting policy timetable

July 2014Final taxonomy for preparatory phase

April 2015Candidate Final SII taxonomy

July 2015Final SII taxonomy

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The PRA will continue to publish consultation papers on Solvency II to gain industry feedback. Supervisory statements will be published ahead of transposition at 31 March 2015

• The PRA proposed 11 NST templates issued as part of CP16/14.

• Remaining NST templates are expected to be issued for consultation before the end of the year.

• The PRA expects to issue further information, as required, on materiality levels, exemptions and the application of proportionality later this year or early 2015.

Number Template Name

NS.01 With-profits value of bonus

NS.02 With-profits assets and liabilities

NS.03 Pools

NS.04 Assessable mutuals

NS.05 Revenue account (Life)

NS.06 Business model analysis (Life)

NS.07 Business model analysis (Non-Life)

NS.08 Business model analysis – financial guarantee insurers

NS.09 Best-estimate assumptions for life insurance risks

NS.10 Projection of future cash flows (best-estimate – non-life: sub-classes)

NS.11 Non-life insurance claims information (general liability sub-classes)

The PRA is seeking industry feedback on a range of topics

Firms with non-December year end should speak to supervisors for their submission timetable

2015 2016 2017

Solvency II Submissions

Solvency I Submissions

Solos

Groups

Preparatory phase returnsCat 1-3 firms only

SII returns

March 2016Last Solvency I submission

26 May 25 Aug 25 Nov

Q1 Q2 Q3

25 Feb 19 May

Q4 Annual + NST

1 Jul 25 Nov

Annual Qrtly

20 May

One off

Day 1 returns

7 Jul 6 Oct 6 Jan

Q1 Q2 Q3

7 Apr 30 Jun

Q4 Annual

15 Jul 6 Jan 2016

Annual Qrtly

20 May

One off

Current timetable for submission of returns for firms and groups with 31 December year end

All directive firms and groups

NB: Details dependent on final text.

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NB: Please be aware that the date of Day 1 returns was changed to 20 May 2016 for both solos and groups in the Delegated Act. This change was made

on the table above after the PRA Solvency II Conference on 17 October 2014 .

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The PRA’s expectations of firms participating in the preparatory phase

A significant increase in the

extent and depth of insurance data shared between

firms and the PRA

Expectations of firms were set in December 2013 when the PRA published Supervisory Statement 4/13 on applying EIOPA’s preparatory guidelines

The preparatory phase should be used by firms to prepare for Solvency II implementation and returns should be of a high standard and quality

Firms and groups will need to be on-boarded onto the BoE PRA Data Collection system in Q1/2 2015. Training will also be made available

All quantitative firm returns are expected to be in XBRL format with qualitative returns in PDF

Category 1-3 firms and groups required to report. All firms and groups in scope of preparatory reporting should have been notified in January 2014

NSTs not expected for interim reporting

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Collections system

XBRL processor

Secure Web Portal

PlausibilityValidation

EIOPAPRA

Supervision

QRTs

NSTs

Qualitative returns

• The PRA will use a new system to support data collection and XBRL processing, which firms will be able to access via a web portal

• All returns must be provided in the following formats:• QRTs – in XBRL • Qualitative returns – in PDF • NSTs – in Excel (initially, may move to XBRL in the future)

Firm submits

Firms will submit returns via a new reporting system

• Feedback provided to firms on validation and plausibility

• Re-submissions may be required or further explanation requested

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• The PRA intends to implement and start testing the data collection system and the XBRL processor in Q4 2014

• Data collection system testing with firms is planned in two stages;

1. Industry testing for Cat 1-3 firms – Cat 1-3 firms will be expected to test the PRA external web portal prior to June 2015 including logging in, setting up their return and submitting test data

2. Industry testing for non Cat 1-3 firms – from Q3 2015 all other firms will be provided the opportunity to also test the Portal, to trial logging in, setting up returns and uploading files

• Firms will be expected to on-board, with those participating in the preparatory phase prioritised

Q4

2014

PRA XBRL testing

Industry testing (Cat 1-3)

On-boarding (Cat 1-3)

Industry testing (all other firms)

Q1 Q2 Q3 Q4

2015

Q1

2016

The PRA will be conducting industry testing and on-boarding firms throughout 2015

On-boarding (all other firms)

Solvency II returns will require the submission of detailed asset data for the first time. As a result, the volume of data submitted is expected to significantly increase.

This will include line by line asset data which must include a range of detailed information about the asset including items such as NACE codes and geography.

Given this increase in granularity the PRA expects firms to need to have:

• Early engagement with the organisations who manage their assets to prepare for the requirements that will be placed upon them as a result of the asset data submissions

• Early engagement with other stakeholders (e.g. IT providers, information providers)

The PRA would expect cat 1-3 firms to be well advanced in this regard as some of this granular information will be required in the preparatory reporting.

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Solvency II reporting increases the amount of detailed information reported

• The PRA Solvency II regulatory reporting industry working group acts as a forum for the PRA and industry representatives to discuss technical and practical implementation challenges.

• Three key areas where firms are seeking further clarity have been highlighted.

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Current ‘hot topics’ from the industry engagement

Asset Look through Materiality

threshold

Audit and assurance of regulatory returns

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If firms have questions regarding Solvency II regulatory reporting requirements and interpretation, they should :

1. Check the published PRA Q&As on the BoE PRA website http://www.bankofengland.co.uk/pra/Pages/solvency2/preparing.aspx

2. Submit questions to EIOPA’s question and answer process if the questions have not already been answered

https://eiopa.europa.eu/publications/eiopa-guidelines/qa-on-guidelines/index.html

3. Help the PRA track questions submitted to EIOPA by notifying PRASIIregulatoryreporting@bankofengland.co.uk

Addressing firm questions

The PRA will continue to publish answers to questions received from firms in the run up to implementation

• The PRA is building a new data collection system and will be ready to receive the submission of information in the preparatory phase from June 2015

• The PRA is consulting on NSTs in CP16/14, final templates will be published in a policy statement ahead of transposition. Further consultation papers will be published on reporting including Lloyd’s NST and firm exemptions from Solvency II reporting

• Reporting policy is increasingly stable, there are some outstanding issues that the PRA is aware of through its work with the regulatory reporting industry working group

• Testing of the new system is expected to start in Q1 2015 and will be phased in the run up to implementation. Firms will be expected to on-board to the system from Q2 2015. Cat 1-3 firms participating in the preparatory phase will be prioritised for both testing and on-boarding

Key messages – regulatory reporting

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Firms with a 31 December year end should be aware of when they will be involved in PRA testing, on-boarding and when they need to submit their first returns

Next steps for firms

Cat 1-3 firms All other firms

Testing • February 2015 for selected subset of firms. (participating firms have already been notified)

• Q2 2015 for all other Cat 1-3 firms

• Starting Q3 2015

On-boarding

• Starting Q1 2015 • Starting Q4 2015

First preparatory phase returns

• Solos - 1 July 2015 , Annual submission

• Groups - 15 July 2015, Annual submission

• No reports due during preparatory phase

First Solvency II returns due

• Solos – 20 May 2016, Day 1 submission

• Groups – 20 May 2016, Day 1 submission

• Solos – 20 May 2016 , Day 1 submission

• Groups – 20 May 2016, Day 1 submission

NB: Please be aware that the date of Day 1 returns was changed to 20 May 2016 for both solos and groups in the Delegated Act. This change was made

on the table above after the PRA Solvency II Conference on 17 October 2014 .