Solvency II. PwC. *connected thinking. Solvency II GAP-analysis: practical experience (life and non-life business)

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1 Solvency II Solvency II GAP-analysis: practical experience (life and non-life business) *connected thinking PwC

2 Decide ambition level for Solvency II Business use Standard model, Total eller partiel Optimizing reinsurance Capital allokation Asset & Liability management Investment optimization Dynamic strategies Risk limits Risk based P/L and performance Product development and pricing Link to the ORSA and business strategy test/scenarios Discussions with rating agencies Only examples Standard model All risks Whole company Life risk Non-life risk Health risk Marked risk Default risk Operational risk Full intern model Partial intern model Legal entities Business lines Products Territory Slide 2

3 Preliminary time plan Phase 1 Full scoping exercise Phase 2 Review Phase 3 Report / Presentation September October Week 36 Aug 31 Sep 4 Week 37 Sep 7 Sep 11 Week 38 Sep 14 Sep 18 Week 39 Sep 21 Sep 25 Week 40 Sep 28 Oct 2 Week 41 Oct 5 Oct 9 Week 42 Oct 12 Oct 16 Week 43 Oct 19 Oct 23 A one day workshop with all key stakeholders Agreement on areas of detailed review - Technical requirements - Internal capital model - Governance and Risk management framework - Technology and reporting A half day resource planning and scoping exercise Interviews Review of documentation Review of models and methods Benchmarking and analysis Based on agreed scope Confirm findings with key stakeholders Issue final report including recommendations Presentation Page 3

4 Our approach Phase 1 Scoping Phase 1 Scoping Approach Day 1 PwC presents an overview of the Solvency II regulation as well as opportunities and challenges. PwC presents the project plan to all key stakeholders The company to present an overview of its business as well as risk management and governance frameworks. Day 2 Decision regarding the scope, priorities and time plan for the gap analysis. Designation of key people, documentation, IT systems, models and other items that will be included in the review. Results Phase 1 Decision on the review areas by territory (documents, IT-systems, models, etc.) Definition of what will be a successful project Understand the areas the company already would like to improve on. Confirm project structure and roles the company/ PwC Identification of people to be interviewed as well as a confirmed interview schedule. Method Day 1 A one day workshop Day 2 A half day planning meeting Resources and Time Scale The Company The company to allocate one person to support the interviewing process and gathering the necessary documentation. Day 1 All key internal stakeholders including e.g. Risk Management, Actuarial, Finance, Asset Management and IT Day2 Resource responsible for areas mentioned above. PwC Core team Time scale Day 1 Beginning of September for example week 36 Day 2 Approximately one week later. Page 4

5 Our approach Phase 1 Scoping Phase 1 Scoping Proposed Review area I. Technical requirements (excl internal capital model) The following details may be reviewed: Technical provisions Valuation of assets and other liabilities (non-insurance) MCR SCR Own funds Data requirements and methodologies II. Internal capital model Scope of model (countries, risks, portfolios etc) III. Governance and Risk management framework IV. Technology and reporting IT infrastructure Model structure Model assumptions Validation process Calculations and reasonability of results Model documentation Back testing of the model Sign-off processes Risk ranking powers of the model Link to core business processes e.g. business plan, risk register and MI Risk policies Risk reporting Risk strategy Own risk and solvency assessment (ORSA) Organization Senior management responsibilities Terms of reference for committees Fit and proper requirements Outsourcing Operational procedures and internal control framework Data management Systems security and controls System integration between territories Management reporting Internal reporting External reporting Page 5

6 Our approach Phase 2 Review Phase 2 Review Approach Conduct the review as per agreed scope Identify areas for improvement in order to comply with Solvency II Our approach will take into account: PwC Solvency II gap analysis will be based on the Solvency II Directive, QIS Information, CEIOPS Consultation papers and feedback from organizations such as CEA, Group Consultatif and the CRO Forum. Lessons learned from previous gap analysis in Scandinavia and Europe. Moreover, we can reference to experience with ICAS in the UK, Solvency 1,5 in Denmark as well as previous Basel II experience. Results Phase 2 Assessment of the completeness and accuracy of current documentation such as policies, model descriptions, functional descriptions. Check whether it is in line with current market best practices. Assessment of risk management and governance framework. Benchmark modeling of all relevant risk types according to market best practice. Assess how the calculation of the SCR, Best Estimate and market valuation of assets complies with the requirements according to the Solvency II regulation. Assessment of the capital base. Overall assessment of the appropriateness of the IT architecture from a Solvency II perspective. Method Use of PwC s internally developed gap analysis tool Interviews - before each interview an agenda is sent out al least 24 hours before the interview. Interviews are documented and reviewed by the person that was interviewed. Review of available documentation Review of models and methods Benchmarking against best practice Resources and timescale The Company Interviews with CEO, CFO, Chief Actuary, Risk Management, Compliance, Asset Management, IT, business internal audit. 1,5 hour per interview. Short meetings or telephone/ contact to confirm findings with interviewed staff Weekly status meetings with the company s contact person. PwC Two PwC team members participate in the interviews. Time scale 4 weeks (week 38 to week 41) Page 6

7 Our approach Phase 2 Examples Phase 2 Review Interviews (indicative list) CEO CFO Chief actuary / actuaries Chief Risk Officer Risk analysts Chief Investment Officer /IT staff Head of business units Head of Compliance Chief Investment Officer Product managers Legal Counsel Reinsurance responsible Internal audit Documentation (indicative list) Legal structure Functional descriptions Job descriptions Policies and instructions - Investment policy, reinsurance policy, risk policies, etc. Documentation of provisioning techniques Minutes from different committees such as risk, ALM, investment as well as board minutes. Documentation of the IT system Public reports - Solvency reporting, financial statements Risk reporting to CRO. CFO, CEO and board. Documentation of internal models (if available) Page 7

8 Our approach Phase 3 Reporting Step 3 Reporting Approach Summary and reporting of: - Identified areas that do not comply with the upcoming regulation - Recommendations including quick wins - Prioritization of activities - Suggested high level activities and responsibilities for continued work with Solvency II. Results Phase 3 Final report with conclusions and recommendations Presentation before the company s project sponsor and key staff Method Confirm findings and recommendations with relevant persons within the company Highlight areas that will need to be improved for Solvency II compliancy. Highlight areas where the future Solvency II program can realize benefits within the business Prioritize findings Develop recommendations for activities Propose high level activities for Nordea Solvency II program set up Produce final report and recommendations Second opinion on final report and presentation by European pool of Insurance and Solvency II experts. Resources and time scale The Company 3 hour review together with PwC PwC Core team Time scale End of October (week 42 and 43) Page 8

9 Our approach - Gap analysis tool example reports The requirements of Solvency II have been catalogued and transformed into a questionnaire and database software: the Solvency II Gap analysis tool. This is used by our consultants during the analysis process. The Gap analysis tool can help with: Systematic identification of gaps and needs for action Production of configurable result reports Creating a structured framework for identifying issues which must be addressed to decision makers in a timely manner The tool is very flexible, and can be adapted to our specific requirements. PwC has also developed a reporting package that is tailored to the gap analysis tool and ensures that the deliverables are uniform and consistent.. Page 9

10 Benefits of using the Gap analysis tool The Gap analysis tool can deliver a number of core benefits which include: Early identification of any potential gaps in relation to the Solvency II Directive A structured approach and a logical flow through the Directive Ensuring the right questions are asked and that the review is comprehensive and complete Remove duplication Prioritisation of issues, to allow efficient allocation of resources Intelligent navigation through dependencies Central administration - quality assurance with regard to content/functionality - uniform firm-wide approach of Solvency II projects Flexibility in application across businesses Page 10

11 Impact of findings on key areas of the business [Illustrative] Page 11

12 Overview of learning points from previous Solvency II projects 7 October 2007 Slide 12

13 Key considerations (1/2) Effect on the balance sheet How will the new valuation principles affect our balance sheet and solvency situation? Do we need more capital? Risk assessment Are all material risks covered in our internal risk assessment? Can we manage and continuously report risks on an individual and aggregated level? Ambition level for SCR Do we want to use our internal model to calculate SCR? Which risks do we want to calculate? All business lines? 7 October 2007 Slide 13

14 Key considerations (2/2) Information to senior management and board What result did we get in the latest QIS? In which areas should we bring up our views? Effect on the strategy and organisation Will Solvency II affect our business strategy, both within and outside EU? Will Solvency II affect our operational structure and organisation? Do we have the proper resources and expertise? Solvency II project How much is the implementation of Solvency II going to cost? How can we manage these costs in an effective way? When should we establish a project group? 7 October 2007 Slide 14

15 Challenges Integration of capital management with business and risk management IT and data Lack of management and board buy-in Lack of qualified resources - Actuarial - Risk management - General Solvency II expertise Effective implementation of Solvency II Realisation of valuable synergies between Solvency II and IFRS Phase II 7 October 2007 Slide 15

16 Key success factors when deciding ambition level for SCR Business case for internal model Understanding why an internal model approach is chosen or not Identifying challenges with the chosen set-up Senior management understanding and buy-in 7 October 2007 Slide 16

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