Solvency Assessment and Management

1

Solvency Assessment and

Management

SA QIS3

Frequently Asked Questions (FAQ)

Version 1

Page 2 of 28

CONTACT DETAILS

Physical Address:

Riverwalk Office Park, Block B

41 Matroosberg Road (Corner Garsfontein and

Matroosberg Roads) Ashlea Gardens,

Extension 6

Menlo Park

Pretoria

South Africa

0081

Postal Address:

P.O. Box 35655

Menlo Park

0102

Switchboard: +27 12 428 8000

Facsimile: +27 12 347 0221

Email: [email protected] (for general queries)

[email protected] (for SA QIS3 related queries)

Website: www.fsb.co.za

mailto:[email protected]


http://www.fsb.co.za/

Page 3 of 28

Introduction

This Frequently Asked Questions (FAQ) document is aimed at all insurers participating in South Africa‟s

third Quantitative Impact Study (SA QIS3). Its purpose is to:

1. list and highlight how known errors in the SA QIS3 Technical Specification, Completion

Manual and Solo Return and NLUR Workbook spreadsheets have been addressed (see “2. Errata”)

and

2. provide additional guidance and clarity on the completion of the SA QIS3 submissions (see

“3. Frequently Asked Questions (FAQ)”)

3. provide non-life insurers with the code of the calculation macros embedded in the Non-Life

Underwriting Risk Workbooks (see “Appendix: NLUR Calculation Macros”)

The Errata section is based mostly on email queries received on the [email protected] inbox and

on subsequent testing performed by the FSB.

The FAQ section has been compiled from questions asked during the various SAM workshops held by

the FSB, as well as from questions asked by insurers directly to the FSB‟s SAM Team.

The NLUR Calculation Macros appendix provides the calculation (i.e. not customisation, importing or

correction etc.) macro code to enable insurers to follow the steps involved in deriving the results. It requires

knowledge of Microsoft Visual Basic for Applications (VBA).

This document is a “live” document and will be updated regularly as the need arises. Insurers are

requested to forward any questions they may have relating to SA QIS3 via e-mail to [email protected]

New versions of this document will be published on the FSB‟s website as well as on the SAM portal, and

will also be circulated to the SAM co-ordinators and public officers of all insurers. Insurers should regularly

check the FSB‟s website (www.fsb.co.za) or the SAM Portal (sam.fsb.co.za) for any updates to this

document. A version number on the front page of this document will identify the version of the document.

PLEASE NOTE:

Correction macros will be published on the FSB‟s website in due course to update the Solo Return and

Non-Life Underwriting Risk Workbook (Parts 1 and 2 of 2) spreadsheets originally published. These

correction macros will also be circulated to the SAM co-ordinators and public officers of all insurers. The

various errata outlined in this document are corrected by these macros and the data already entered by

insurers, if any, is imported into the updated spreadsheets.

Insurers should ensure that they have run the correction macros on the spreadsheets that were

originally published before submitting their SA QIS3 results.

The FSB wishes to thank all insurers for their participation in SA QIS3.

1. Introduction



http://www.fsb.co.za/

http://sam.fsb.co.za/

Page 4 of 28

Spreadsheet Errata

It is important to note that not all issues (especially those that are anticipated to be minor) have been included in this document. Insurers are encouraged to

continue reporting potential issues or errors encountered via e-mail to [email protected]

For Non-Life Insurers, an important change affecting the technical specification, completion manual and all spreadsheets to be completed by non-life

insurers which we would like to highlight is addressed in the table below:

Tab

Cells Issue Action

Potential Impact (will vary per insurer)

All input tabs requiring Line of Business

(LoB) information in

all spreadsheets, for Technical Provisions, SCR and

MCR

N/A

The line of business (LoB) segmentation

originally adopted for SA QIS3 is per the

current recommendation in Discussion Document 29.

After further industry

consultation, a decision was made to change the segmentation for all non-

life insurers and reinsurers as described

in the next column.

LoB 10: Liability

For LoB 10: Liability, the sub-LoB split is changed as follows:

OLD NEW

a. Liability – Motor a. Liability – Professional Indemnity

b. Liability – Aircraft b. Liability –General Third Party (including Public Liability)

c. Liability – Marine c. Liability - Employers‟ Liability

d. Liability – Rail d. Liability – Directors‟ & Officers

e. Liability – Transport e. Liability – Product

f. Liability – Engineering f. Liability – Fidelity Guarantee

g. Liability – Other g. Liability – Other

Liability business associated with the previous sub-LoBs a – f (which were mainly

expected to be non-stand-alone, third-party liability coverages) should be included in the relevant main LoBs: 2, 3, 4, 5, 6 and 8, respectively.

The exception is sub-LoB g., which should still be used to capture any other liability

business not catered for by the revised sub-LoBs.

All insurers must use the updated sub-LoB split by entering the info on this basis ignoring the sub-LoB labels specified in the Technical Specification and in the spreadsheets as if they were replaced by those specified in the table above.

High: The changes will

potentially change the capital requirements for

premium and reserve risk significantly.

2. Errata


Page 5 of 28

Tab

Cells Issue Action


Additional inputs will be required in NLUR Workbooks with respect to the Man-Made Catastrophe Risk sub-module‟s Liability peril to cater for the risk

associated with Sub-LoB‟s 10.f and 10.g.

Terrorism LoB

As a temporary measure, (re)insurers writing substantial amounts of terrorism business should contact the FSB directly on [email protected] to agree a

suitable reporting arrangement on an individual basis.

LoB 31: Non-Proportional Reinsurance

As a temporary measure, all (re)insurers are requested to use the “Inwards Reinsurance (Proportional - Non-Traditional and SPV)” category of business to report on their Non-Proportional Reinsurance business (Treaty, Facultative and Non-Traditional and SPV on a combined basis) at a LoB and Sub-LoB level (i.e.

using the same segmentation as for Direct business and Proportional Reinsurance).

The correction macros will prompt the user to confirm whether or not this is applicable to the (re)insurer in order to override the parameters in the spreadsheets.

Users will still be required to make the appropriate LoB selections in the “Company_Info” tab to ensure that the customisation macro does not hide the

necessary inputs cells.

(Re)insurers who are unable to report on this basis or who write material Proportional - Non-Traditional and SPV business should contact the FSB directly on

[email protected] to agree a suitable reporting arrangement.



Page 6 of 28

The tables in the rest of this section capture a collection of specific errors that have been addressed. Separate tables have been included for issues relating

to the SA QIS3:

Technical Specification

Solo Return

Non-Life Underwriting Risk Workbooks

Errata - Technical Specification

Page,

Tech Spec Ref.

Issue Action

p.24-25,

TP.4.2

The description of LoB37 in the final technical specification document is inconsistent with the tracked changes document

(Part 1) distributed together with the final technical specification.

It should read:

37. Other life insurance

Any remaining insurance contracts that could not be segmented using the above segmentation are to be classified into this segment as well as into guarantee and non-

guarantee business.

p.115,

SCR.1.10.2

p.117,

SCR.2.2

p.119,

SCR.2.10.1

p.268,

Footnote 38

Reference is made to SCR.14 which does not exist in the document.

Replace “14” with “2” throughout. E.g. SCR.14 should read SCR.2 and SCR.14.2 should read SCR2.2 etc.

The exception to this is the reference to SCR.14.6 in Footnote 38 on p.268 which should read SCR.13.6

p.177, “Risks derived from concentration in cash held at a bank are captured in the counterparty default risk module and are

It should read:

Page 7 of 28

Page,

Tech Spec Ref.

Issue Action

Footnote 31

therefore not subject to the spread risk sub-module.”

31 Risks derived from concentration in cash held at a bank are captured in the counterparty default risk module and are therefore not subject to the concentration risk sub-module.

p.187,

SCR.7.4.7 The numbering is incorrect.

It should read:

SCR.7.4.6 (b) iv (and appropriately indented to be in line with the other items in (b).

p.190,

SCR.7.4.29-30

Wording for simplification for disability risk should be as per SA QIS2 SCR.7.42. and SCR.7.43.

It should read:

SCR.7.4.29 The capital requirement for disability risk according to the simplified calculation is the sum of

the capital requirement for an increase of 35% in morbidity/ disability inception rates for the first year,

the capital requirement for an increase of morbidity/disability inception rates by 25% for all subsequent years and

the capital requirement in respect of the risk that the duration of claims is greater than expected, represented by a 20% decrease in the termination rates, where the individual elements are calculated as sketched below.

SCR.7.4.30. The individual elements sketched in the previous paragraphs should be calculated by using the following bases of calculation:

(a) For the increased morbidity/disability inception rates during the first year, 35% of the product of the following factors:

the total disability sum assured at risk (in year one) and

an insurer-specific expected average rate of transition from healthy to sick over the first year (weighted by the sum assured/ annual payment).

(b) For the increased morbidity/disability inception rates during all

subsequent years, 25% of the product of the following factors:

the total disability sum assured at risk in year two,

an insurer-specific expected average rate of transition from healthy to sick over the second year (weighted by the sum assured/annual payment),

the modified duration of the liability cash-flows (n) (subject to a minimum of one), less one and

the projected disability increase (1.1((n-2)/2)

), based on the

Page 8 of 28

Page,

Tech Spec Ref.

Issue Action

assumption that the average disability rate of the portfolio, due to age, increases over the period corresponding to the length of the duration with 10% a year.

(c) With respect to the risk that the duration of claims is greater than

expected, 20% of the product of the following factors:

technical provisions (best estimate) for contracts subject to disability claims,

an insurer-specific expected termination rate (i.e. average rate of transition from sick to healthy/dead over the next year),

the modified duration of the liability cash-flows n, subject to a minimum of 1, and

the projected disability increase (1.1((n-1)/2)

).

Errata - Solo Return

Tab

Cells Issue Action


SCR – SES Adjustment

Rows 196 to 199,

and 211 to 214

The rows concerned contain incorrect formulae – it appears as though the formulae from the preceding rows

were copied down incorrectly.

The rows will be corrected to reflect the correct formulae.

High: the error will cause the

SES adjustment and the SCR to be incorrect.

Balance Sheet H229 and

H231

Cell H229 is incorrect in that the deduction from Own Funds is not limited to zero. For example, if cell F228 is

positive and F229 is zero or blank, then cell H229 actually increases Own Funds. The same applies to cell H231.

The formulae in cells H229 and H231 will be corrected to ensure that the adjustments are

always negative.

High: the error will cause

Own Funds for many insurers to be overstated.

SCR – LUR Lapse Risk

Y14, AB14 and AE14

Cells Y14, AB14 and AE14 have incorrect formulae: reference is made to column U instead of column V.

The formulae will be corrected to reflect column V instead of column U.

Low: for life insurers, the

error will result in an incorrect liquidity

assessment. The results will however not affect the final

SCR figure.

Page 9 of 28

Tab

Cells Issue Action


Balance Sheet F24 and

F100

„Technical Provisions – Life‟!K99 is added twice in cell F24, and „Technical Provisions – Life‟!K108 has not been

included in the addition in Cell F24.

The incorrect linking will be amended. Further, cell F100 has similar errors and will also be corrected.

Medium: for life insurers

with the respective lines of business, the error will result

in an incorrect level of Technical Provisions and

Own Funds.


Column AG

The formulae in column AG appear to be incorrect.

The formula for row 14 (and subsequent rows appropriately) should read

=if($O$12>=$K$12,AE14,AB14) instead of =if($O$12>=$L$12,AE14,AB14) and will be

corrected.




SCR figure.


Column AI

The “Cashflowatrisk”-calculations in column AI look incorrect and returns unexpected results, distorting the overall liquidity results. Row 14 is also inconsistent with

other rows.

The formula for cell AI14 should be =if(Y14>0,(1-0.5*E14)*AG14,AG14). The formulae for column

AI will be corrected to reflect this.




SCR figure.

SA QIS3 Results

E43:I51 The links in the “Life Risk” section point to incorrect cells on other tabs. For example, the Longevity Risk cell links

to the Life CAT risk cell on the “SCR” tab.

Life Revision risk will be deleted, and the cells in the summary tab will be correctly linked to the

cells in rows 435 to 442 of the SCR tab.


numbers presented merely summarise what was

calculated in the other tabs. The overall SCR will still be

correct and insurers can look up correct values for the Life

SCR components in the SCR tab.


Columns G, K and

O The formulae in these cells appear to be incorrect.

We will correct by adding a negative sign in front of the Delta BOF, or alternatively by using

max(0,BOF(before)-BOF(after)) to determine the risk charge, as is the case of the SCR tab.

High: for life insurers, the

error will cause the SCR Life Lapse risk charge to be

incorrect.


Columns K and O

In columns K and O, in the formulae looks like “=IF(J14>=0,J14,MAX(I14,0))”. The first term in this

formula test if the user populated the simplification cells and, if this is the case, it is used. Maybe this should be changed from “>=” to just “>”? Otherwise the formula

would return zero if the simplification cells are left at 0.

The formulae will be corrected to use “>” instead of “>=”.


error will result in incorrect SCR Life Lapse risk

charges. Life insurers can temporarily avoid the error

by entering a very small

Page 10 of 28

Tab

Cells Issue Action


number under the simplification cells.

SCR Various There are some input cells where the data validation

prevents negative entries. However, negative entries are possible (e.g. overall negative liabilities).

The data validation will be checked and corrected to allow users to input negative values where

these are appropriate.

Medium: in such cases,

insurers will not be able to capture the respective

information and therefore not be able to calculate a correct SCR. Temporarily, insurers

may input values in the other cells in such a way that the SCR is calculated correctly.

Introduction D1:H1 I cannot find my company name in the list. The list will be updated to reflect the latest

database of insurer names.

Low: the input is only for

information purposes and will not affect subsequent calculations in the return.

Technical Provisions –

Non-Life

On the solo return, on the „Technical Provisions – Non-Life‟, under 1.B: SA QIS3 basis technical provisions: Is there a reason that for gross reserves, it asks for “Total Claims Provision” (column M-O) but for recoverables, it

asks for “IBNR” (column AA-AC).

The formula for total gross provisions (column R) is (H + O + Q), but Q is O + P so it is double counting the claims provision (column O) and premium provisions (column I) are not taken into account at all (R should rather be H + I + Q?); there is a similar error on the recoverables portion.

In the “SA QIS3 Solo Return” worksheet, in the “Technical Provisions - Non-Life” tab, column AH – risk margin

method used should be a drop down box but there is no list to choose from (line 132 down). Then further down the

same column in the summaries section (line 267) it appears that the method is being summed, yet it is a

qualitative entry not a quantitative entry.

There is a possible error in the SA QIS3 Solo Return workbook, "Technical Provisions - Non-Life" sheet. The

"Totals" calculation for the Techncial provisions seems to

There are several errors in the summation formulae on this tab.

The IBNR label is incorrect and should read “Total Claims Provision”.

The drop-down list should contain the various risk margin simplification methods.

The correction macro will address these errors.

In the interim, insurers are requested to continue populating the inputs as far as possible on this

tab.

High: the errors on this tab

will invalidate the results for Non-Life insurers.

Page 11 of 28

Tab

Cells Issue Action


be doubling counting. Note: Error is feeding through to "Balance Sheet" tab

From what I can see, on the technical provisions sheet in the solo return, premium provisions are not being added

into the total for technical provisions? Can this be checked out. It looks to me as if column I:I should be included in

the TP totals but it is not.

columns Z and AC twice, since they‟re already included in column AE SA QIS3 Solo Return – Technical Provisions -

Non-Life – values from column O twice, since column O is already

included in column Q

RFF – Cells C49:261 The blue cells requiring input from the NLUR WB Part 1 of

2 are locked The correction macro will address this error.

Medium: Insurers with RFF

will not be able to complete the Solo Return.

SCR N55 N55 refers to a blank cell (I478). I think it should be

referring to cell I420 rather. The correction macro will address this error.

Low: cell N55 does not have

dependent cells. The error will only cause potential

misinterpretation.

Liquidity Ratings

Column B to E

How do we complete the instrument if it is protected? The correction macro will address this error.

Low: this is purely a labeling

issue and has no impact on the results.

SCR SCR.6.3.9

Correlation matrix for the solo return to aggregate the Equity Price and Volatility in the SCR tab. The return uses a 50% correlation. Whereas the Technical Specifications (p.150) state that a correlation of 0.75% (see SCR.6.3.9) should be used. This means that the final SCR calculated by the return is out of line with the calculation prescribed

in the Technical specifications.

The 50% used is correct. None

Page 12 of 28

Tab

Cells Issue Action


Metadata

X37, X38, X40, Y36, Z36 and

AB36

The respective cells in the CorrMkt matrix refer to cell M57 in SCR tab, however cell M57 is blank.

The interest rate section in the SCR tab will be amended to reflect whether the upward or

downward stress bites, and the correlation matrix will be linked accordingly.

High: the error will cause the

SCR market risk charge to be incorrect.

Errata - Non-life Underwriting Risk Workbooks

Tab

Cells / Macro

Issue Action Potential Impact (will vary

per insurer)

Company_Info

(in Part 1 of 2)

Customise Macro

The embedded macro “Customise” does not work entirely correctly and may be hiding / not hiding some input cells (esp. related to lines of business) that are applicable to

the insurer.

The correction macro will address this issue.

In the interim, insurers are requested to continue completing the spreadsheet without customising

the workbook to ensure that no inputs required are omitted. To do so, please click on the “Show All”

button.

Low: the risk is that

rows/columns are hidden that need to be completed.

Output and Prem_Res_US

P

(in Part 1 of 2)

E15

I am following a “Line of Business” through this NLUR workbook to understand the implications for various

inputs and I have a query. Premium & Reserve risk: The Premium and Reserve risk (row 15 of the Outputs

worksheet) looks incorrect. There is no gross figure for Premium & Reserve risk, Even though I have completed the Prem_Res_USP worksheet? Is the cell E15 in the

Outputs worksheet correctly linked?

The cause of the problem is that the IFERROR function in the formulae of column AP, rows 20:244 of the “Prem_Res_USP” tab is not

programmed correctly to cater for your “fully reinsured” position.

The correction macro will be released in due course to address this issue. In particular, an

additional column of inputs for the gross volume measures will be added to cater for the possibility that 100% of the business is reinsured for a given

LoB.

Kindly proceed populating the inputs as far as possible in the meantime.

Medium: The error will affect

only the gross results of business which is fully

reinsured.

„Loss_M1_Nat_CAT_Net‟ (in

G15 The horizontal Nat Cat scenario is not being allowed for properly. The net Nat Cat capital requirement (Cell G15)

The correction macro will be released in due Medium: depends on the

significance of the horizontal

Page 13 of 28

Tab

Cells / Macro


per insurer)

Part 1 of 2) is set as the maximum across cells G16:G23 but these cells show the individual events within the horizontal scenario and not the total loss for the scenario (which

should be the sum across Events 1-4). This means that the horizontal scenario does not bite even if it should.

course to address this issue.


NatCat scenario to the insurer.

CP_CAT_RI

(in Part 1 of 2)

When you enter the percentage share per counterparty for each layer, the percentage share for the last

counterparty entered is not counted in the risk mitigation calculation. For example, if you have 5 counterparties, the 5th counterparty is not counted. If you want the risk mitigation for the 5th counterparty to be counted, you need to enter 6 as the number of counterparties in the

„Company_Info‟ tab.

The problem is caused by one of the “for” loops in the “CounterpartyDefault” macro that is referenced by the “DoCalculations” macro assigned to the red

Calculate button.

Effectively, it currently fails to remove and replace the last reinsurer in the list (by looping from 1 to N = the total number of counterparties, rather than

N+1) hence why you need to enter 7 rather than 6.

The correction macro will be released in due course to address this issue.


Medium: depends on the

significance of the last counterparty entered.

CP_General

(in Part 1 of 2)

Our insurance company uses reinsurers which have not been provided in the list of reinsurers in the CP_General tab found in the NLUR Workbook - Part 1. What should

we do in this case?

We are aware of this issue and will address it with the correction macro to be issued in due course.

In the meantime, what you can do is simply enter the relevant names in the Abbreviation field

leaving the Name field blank.



Output

(in Part 1 of 2)

In “SA QIS3 NLUR Workbook - Part 1 of 2 - Main” I have put in all the reinsurance information as I think it should

be put in […]. However, when I click calculate in the Output tab, the net CAT risk is more than the gross CAT risk for man-made

CAT and net = gross for nat CAT, and hence the risk mitigation effect is coming through as negative. It appears that the net amount is the sum of the gross exposures for each CAT RI program, whereas the gross amount is just

the maximum of the gross exposures over all CAT RI

There seems to be a bug with the “CounterpartyDefault” macro which is referenced by the “DoCalculations” macro which is run when you click the “Calculate” button on the “Output”

sheet. What happens is that the net results produced by the “NetCatCalculation” macro (also

referenced by the “DoCalculations” macro) are overwritten by the gross results without replacing

them again after all reinsurers are allowed for.

Medium: the impact depend

on the extent of the insurer‟s reinsurance programmes and should be material in

most cases.

Page 14 of 28

Tab

Cells / Macro


per insurer)

programs.

The correction macro will be released in due course to address this issue.


Running the “NetCatCalculation” macro (via the Developer menu in Excel) allows to see how the

reinsurance is applied. However, please note that in the debugging process we‟ve also picked up

that there seems to be a problem with the calculations in Section 2 of the

“Calculator_CAT_Net_Loss” sheet, relating to the horizontal scenario. We‟ll address this too in the

correction macro.

All input tabs

(in Part 2 of 2)

A17:J100015

The zones mapped to postal codes are not CRESTA zones.

This is correct. The 19 catastrophe zones defined in SA QIS3 are the same as in SA QIS2 and are

mapped to South African postal codes rather than CRESTA zones.

(Re)insurers who collect the exposure info on a CRESTA zone basis only can contact the FSB for

a mapping table.

None

SL_Other_RI

(in Part 1 of 2) Row 13 The label incorrectly refers to Catastrophe Risk.

It should read:

“Gross to Net Calculation Template (R'000)”

The correction macro will fix this.



Part 2 of 2 Labels This workbook incorrectly refers to “Business Segments”. Replace “Business Segment(s)” with “Reinsurance

Programme(s)”



Page 15 of 28

Frequently Asked Questions (FAQ)

General

The below are general questions that have been posed and are given here as a reminder:

What must be included in the SA QIS3 submission?

The Excel Validation & Submission Tool

a PDF scanned copy of the sign-off report

the Excel Qualitative Questionnaire

the Word Qualitative Questionnaire

and for non-life insurers both of the Non-life Workbooks (parts 1 and 2).

For insurance groups, each solo licenced entity within the group must submit the above, and in

addition the group must submit a completed SA QIS3 Group Return, sign-off form and Qualitative

Questionnaire.

By when must insurers submit their SA QIS3 return?

Solo insurers (including solo insurers within a group) must submit by 30 April 2014 and groups by

14 May 2014.

The tables in the rest of this section capture a collection of specific questions asked by industry during the

various FSB SAM workshops and directly to the SAM Team regarding SA QIS3.

3. Frequently Asked Questions (FAQ)

Page 16 of 28

Ref. #

Reference to


Question / Answer

1. SCR.7.3.10

We have assumed the longevity stress includes a decrease in AIDS related deaths as well as non-AIDS related deaths. Is this

correct?

Your assumption is correct – the longevity stress includes a decrease in AIDS related deaths as well as non-AIDS related deaths. The

longevity shock applies to the best estimate mortality rates, which includes best estimate rates for HIV/AIDS extra mortality.

2. SCR.8.2.18

Is it correct that the premium risk factor for Aircraft is 14.5% whereas the same parameter for Marine, Rail, Transport is 14.6% ?

Yes, the parameter is a correct. It differs due to a difference in the credibility-weighting applied in the calibration exercise performed by the

Non-Life Underwriting Risk Working Group.

3. OF.7

Further deductions from Basic Own Funds: should other interests such as longer term loans also be deducted?

This point especially for the cash balances at a bank within the same financial conglomerate was discussed at SAM Steering

Committee. It was identified that this matter was inserted due to a concern that banks may (where they have liquidity issues) put pressure on the insurers to hold all their cash and ST deposits with that bank. For this reason, cash deposits in OF.7.4 was extended to include short-term deposits – it was specifically decided to exclude longer term deposits as this would not shore up the liquidity of

the bank.

4. SCR.6.6.12

SCR.6.6.12 (...) A mapping table is attached as Annexure D to map national scale ratings to those specified.

However, Annexure D in the technical specification covers a reinsurance topic, but not a credit rating mapping.

This mapping table was emailed to public officers and SAM coordinators on 29 November 2013 and is available for download on the FSB

SAM website.

5. SCR.8.4.80 - 83 In the liability section, General public liability is used in the tech specs and General third party liability is used in the NLUR

workbook. Public liability is typically a subset of 3rd party liability but they have been used interchangeably. Are they in fact the same thing?

Page 17 of 28

Ref. #

Reference to


Question / Answer

The intended wording is “General Third Party (including Public Liability)” throughout.

Page 18 of 28

Part 1 of 2: Main

CounterpartyDefault

1. Sub CounterpartyDefault()

2. ' This macro calculates the net SCR charge and reinsurance recoverables when counterparties are

excluded one-by-one

3. Dim n_CP As Integer

4. Dim i As Integer

5.

6. 'On Error GoTo HandleError

7.

8. Application.ScreenUpdating = False

9.

10. 'Reads number of reinsurance counterparties from the workbook

11. n_CP = Sheets("Company_Info").Range("D20").Value

12.

13. 'Copy all CP data to UsedByMacros sheet

14. 'CP_Prem_NPAdj

15. Sheets("CP_Prem_NPAdj").Range("L20:AO127").Copy

16. Sheets("UsedByMacros").Activate

17. Sheets("UsedByMacros").Range("C16").Select

18. Selection.PasteSpecial Paste:=xlPasteValues, Operation:=xlNone, SkipBlanks _

19. :=False, Transpose:=False

20. Application.CutCopyMode = False

21.

22.

23. 'CP_CAT_RI

24. 'A.Prop RI

25. Sheets("CP_CAT_RI").Range("D27:AG56").Copy


27. Sheets("UsedByMacros").Range("B133").Select




31.

32.

33. 'B.Non-Prop RI







40.

41.

42. 'C.Other RI




Appendix: NLUR Calculation Macros

Page 19 of 28




49.

50.

51.

52.

53. 'CP_SL_Other

54. 'SL RI

55. Sheets("CP_SL_Other").Range("D43:H72").Copy






61.

62.

63. 'Other RI

64. Sheets("CP_SL_Other").Range("D83:D112").Copy


66. Sheets("UsedByMacros").Range("I364").Select




70.

71.

72.

73. 'Prem_Res_USP

74. 'Prem Risk

75. Sheets("Prem_Res_USP").Range("K19:AN126").Copy






81.

82.

83. 'Res Risk

84. Sheets("Prem_Res_USP").Range("K137:AN244").Copy






90.

91.

92.

93.

94.

95. Sheets("CP_Default").Range("D25:D54").ClearContents

96.

97. 'Remove and put back counterparties one-by-one

98. For i = 1 To n_CP + 1

99. Sheets("CP_Prem_NPAdj").Range("L20:L127").Offset(0, i - 1).ClearContents

100. Sheets("CP_CAT_RI").Range("D27:AG27").Offset(i - 1, 0).ClearContents



Page 20 of 28





107. Sheets("CP_SL_Other").Range("D43:H43").Offset(i - 1, 0).ClearContents

108. Sheets("CP_SL_Other").Range("D83").Offset(i - 1, 0).ClearContents

109. Sheets("Prem_Res_USP").Range("K19:K126").Offset(0, i - 1).ClearContents

110. Sheets("Prem_Res_USP").Range("K137:K244").Offset(0, i - 1).ClearContents

111.

112. NetCatCalculation

113.

114. Sheets("CP_Default").Range("d25").Offset(i - 1, 0).Value =

Sheets("CP_Default").Range("c15").Value

115.

116. 'Copy all CP data back from UsedByMacros sheet

117. 'CP_Prem_NPAdj

118. Sheets("UsedByMacros").Range("C16:AF123").Copy

119. Sheets("CP_Prem_NPAdj").Activate

120. Sheets("CP_Prem_NPAdj").Range("L20").Select




124.

125.

126. 'CP_CAT_RI

127. 'A.Prop RI

128. Sheets("UsedByMacros").Range("B133:AE162").Copy

129. Sheets("CP_CAT_RI").Activate

130. Sheets("CP_CAT_RI").Range("D27").Select




134.

135. 'B.Non-Prop RI







142.

143. 'C.Other RI







150.

151. 'CP_SL_Other

152. 'SL RI

153. Sheets("UsedByMacros").Range("B364:F393").Copy

154. Sheets("CP_SL_Other").Activate

155. Sheets("CP_SL_Other").Range("D43").Select




Page 21 of 28

159.

160. 'Other RI

161. Sheets("UsedByMacros").Range("I364:I393").Copy

162. Sheets("CP_SL_Other").Activate

163. Sheets("CP_SL_Other").Range("D83").Select




167.

168. 'Prem_Res_USP

169. 'Prem Risk


171. Sheets("Prem_Res_USP").Activate

172. Sheets("Prem_Res_USP").Range("K19").Select




176.

177. 'Res Risk


179. Sheets("Prem_Res_USP").Activate

180. Sheets("Prem_Res_USP").Range("K137").Select




184.

185. Next i

186.

187. Application.ScreenUpdating = True

188.

189. 'HandleError:

190. ' HandleErrors

191. End Sub

NatCatCalculation

1. Sub NetCatCalculation()

2.

3. ' On Error GoTo HandleError

4.


6.

7. 'NatCat M1 losses

8. Sheets("Loss_M1_Nat_CAT_Net").Range("f31:ak38").ClearContents

9. For r = 1 To 2

10. If Sheets("Loss_M1_Nat_CAT_Gross").Range("e17").Offset(r, 0).Value > 0 Then

11. Sheets("Loss_M1_Nat_CAT_Gross").Range("e17:AJ17").Offset(r, 0).Copy

12. Sheets("Calculator_CAT_Net_Loss").Activate

13. Range("D16").Select




17. Calculate

18. Sheets("Calculator_CAT_Net_Loss").Range("D39").Select

19. Range(Selection, Selection.End(xlToRight)).Copy

Page 22 of 28

20. Sheets("Loss_M1_Nat_CAT_Net").Activate

21. Range("f30").Offset(r, 0).Select




25. End If

26. Next r

27.

28. ' the horizontal NatCAT losses uses a seperate calculator

29.

30. Sheets("Loss_M1_Nat_CAT_Gross").Range("e20:AJ23").Copy






36. Calculate

37. Sheets("Calculator_CAT_Net_Loss").Range("D129:AI132").Copy


39. Range("f33").Select




43.

44. For r = 7 To 8

45. If Sheets("Loss_M1_Nat_CAT_Gross").Range("e17").Offset(r, 0).Value > 0 Then

46. Sheets("Loss_M1_Nat_CAT_Gross").Range("e17:AJ17").Offset(r, 0).Copy






52. Calculate




56. Range("f30").Offset(r, 0).Select




60. End If

61. Next r

62.

63. 'MM M1 Cat losses

64. 'fire

65. Sheets("Loss_M1_MM_CAT_Gross_Net").Range("J117:AO118").ClearContents

66. For r = 1 To 2

67. If Sheets("Loss_M1_MM_CAT_Gross_Net").Range("j30").Offset(r, 0).Value > 0 Then

68. Sheets("Loss_M1_MM_CAT_Gross_Net").Range("j30:AO30").Offset(r, 0).Copy






74. Calculate



Page 23 of 28

77. Sheets("Loss_M1_MM_CAT_Gross_Net").Activate

78. Range("j116").Offset(r, 0).Select




82. End If

83. Next r

84.

85. 'motor


87. For r = 1 To 2








95. Calculate








103. End If

104. Next r

105.

106. 'marine


108. For r = 1 To 3








116. Calculate








124. End If

125. Next r

126.

127. 'C&S


129. For r = 1 To 2





Page 24 of 28




137. Calculate








145. End If

146. Next r

147.


149. For r = 1 To 3








157. Calculate








165. End If

166. Next r

167.

168. 'Aviation


170. For r = 1 To 2








178. Calculate








186. End If

187. Next r

188.


190. For r = 1 To 1

Page 25 of 28








198. Calculate








206. End If

207. Next r

208.

209. 'Liability


211. For r = 1 To 5








219. Calculate








227. End If

228. Next r

229.

230. 'Terrorism


232. For r = 1 To 3








240. Calculate








Page 26 of 28

248. End If

249. Next r

250.

251. 'M2 Cat losses

252. Sheets("Loss_M2_CAT").Range("e272:AJ501").ClearContents

253. For r = 1 To 230

254. If Sheets("Loss_M2_CAT").Range("e34").Offset(r, 0).Value > 0 Then

255. Sheets("Loss_M2_CAT").Range("E34:AJ34").Offset(r, 0).Copy






261. Calculate



264. Sheets("Loss_M2_CAT").Activate

265. Range("e272").Offset(r, 0).Select




269. End If

270. Next r

271.


273.

274. 'HandleError:

275. ' HandleErrors

276. End Sub

GoalSeekMotor

1. Sub GoalSeekMotor()

2.

3. Sheets("MetaData").Range("f64").Value = 1

4. Sheets("MetaData").Range("f67").GoalSeek Goal:=0.0005,

ChangingCell:=Sheets("MetaData").Range("f64")

5.

6. End Sub

DoCalculations

1. Sub DoCalculations()

2.

3. ' On Error GoTo HandleError

4.


6.

7.

8. GoalSeekMotor

9. NetCatCalculation

10. CounterpartyDefault

Page 27 of 28

11.

12.


14.

15. 'ProtectAll

16.

17. Sheets("Output").Activate

18.


20.

21. MsgBox "The calculation has been completed", vbInformation, "Calculation Completed"

22.

23. Exit Sub

24.

25. 'HandleError:

26. ' HandleErrors

27. End Sub

Part 2 of 2: NatCAT

GenerateNatCatGrossLoss

1. Sub GenerateNatCatGrossLoss()

2. '

3. ' Generates the gross losses for natural catastrophes per Business Segment

4. '

5. Dim n As Integer

6. Dim num As Integer

7.


9.

10. num = Sheets("Customisation").Range("D19").Value

11.

12. Sheets("Output").Range("L18:S49").ClearContents

13.

14. For n = -1 To num

15. If n = 0 And Sheets("Customisation").Range("D20").Value = "Yes" Then

16. n = n + 1

17. End If

18. 'Set indicator to correct Business Segment

19. Sheets("Output").Range("B17").Value = n

20.

21. 'Copy results

22. Sheets("Output").Range("L52:S52").Copy

23. Sheets("Output").Range("L17").Offset(n + 2, 0).Select

24. Selection.PasteSpecial Paste:=xlPasteValues, Operation:=xlNone, SkipBlanks:=False,

Transpose:=False


26. Next n

27.

28. Sheets("Output").Activate

29.

Page 28 of 28


31.

32.

33.

34. MsgBox "The calculation has been completed", vbInformation, "Calculation Complete"

35. End Sub

Documents

Solvency Assessment and Management