Solvency I update. Gui Iglesias KPMG in the UK
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1 Solvency I update Gui Iglesias KPMG in the UK 23 June 2016
2 What is Solvency II?
3 Solvency II New EU Regulation effective 01/01/2016, designed to Provide greater protection to policyholders through an enhanced prudential regime Better align capital requirements to the firms asset and liability profiles and enhances the quality of capital Improve firms own risk management with the aim of reducing the probability of firm failure Reform the public disclosure about a firm s financial condition, to encourage effective exercise of market discipline PILLAR 1 Quantitative requirements Market-consistent valuation of assets and liabilities Best estimate liabilities plus risk margin Capital requirements Minimum (MCR) Solvency (SCR) Tiering of own funds Group capital requirement PILLAR 2 System of Governance Internal controls and risk management system Required functions Own risk and solvency assessment (ORSA) Supervisory review Capital add-ons PILLAR 3 Market discipline Transparency Disclosure Quantitative Reporting Templates Regular Supervisory Report (RSR) Solvency and financial condition report (SFCR) Solo/Group 2016 KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 3
4 Status of regulation
5 Status of regulation Solvency II Regulatory Framework Directive (Level 1) Implementing measures (Level 2) Implementing Technical Standards (Level 2.5) Guidelines (Level 3) Solvency II Timeline Solvency II in force 1 January 2016 First Solvency II reporting by companies May 2016 First Solvency II public disclosure May 2017 EIOPA to make a proposal for Solvency II review 2018 Source: EIOPA 2016 KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 5
6 How Solvency II is impacting the industry
7 Solvency II News headlines and market impact Fitch: Solvency II Ratios Move into the Spotlight Fitch Ratings 9 May 2016 UK fears that rules harm insurance competition Financial Times 7 February 2016 Offshore Captives Ideal For Longevity Swaps And Reinsurance Artemis.bm 28 October 2015 EU watchdog lauds insurer moves to adapt business models Reuters 23 May 2016 Axa chief calls for stability after Solvency II introduction Financial Times 25 February KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 7
8 Solvency II market disclosures
9 Extent of Solvency II voluntary disclosures All insurers in this sample provided a SII Cover ratio All but one provided Own Funds and SCR Few insurers presented reconciliation to IFRS and analysis of change AEGON Allianz Aviva AXA CNP Key metrics disclosed Delta Lloyd Generali Hannover Re L&G LBG Munich Re NN Group Old Mutual Phoenix Prudential SCOR Standard Life Solvency II cover ratio Own funds / SCR SCR by risk type SCR impact of diversification (a) (d) Sub group disclosures Reconciliation to IFRS (b) Analysis disclosed Reconciliations to MCEV n/a Sensitivities Analysis of change Quality of capital (c) (d) Note: (a) AEGON disclose diversification across entities only. (b) AEGON provide a qualitative commentary on the differences between IFRS and Solvency II but they have no numbers. (c) Allianz disclose the proportion of asset in various asset classes in their analyst presentation which implies the quality of capital however this is not disclosed in the Solvency II format (d) AXA disclose diversification benefits across risks and quality of capital, however these were part of their Q disclosure 2016 KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 9
10 Quality of capital Quality of capital by Solvency II Tier Note: (a) This is based on Q disclosure (b) L&G have a deductions line in the their disclosed quality of capital which has been ignored in the analysis. (In GBP) AEGON (d) AXA (a,d) CNP Delta Lloyd (d) Generali (d) L&G (b) Munich Re NN Group (c,d) Old Mutual Prudential Standard Life Total of exposure ( m) Tier 1 65% 68% 70% 50% 78% 81% 86% 70% 78% 78% 73% (unrestricted) Tier 1 (restricted) 15% 16% 15% 13% 11% 4% 4% 15% 5% 4% 16% Tier 2 10% 16% 15% 33% 11% 14% 8% 9% 17% 18% 11% Tier 3 10% 0% 4% 0% 0% 1% 6% 0% 0% 0% Total group SII 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% OF 100% 80% 60% 40% 20% (c) (d) NN group have a non-sii regulated entities line in their disclosed quality of capital which has also been ignored in the analysis Please note that the information presented here was disclosed in Euros and converted to GBP at the exchange rate as at 31 Dec 2015 A fewer subset of companies disclosed a breakdown of capital by tier Tier 1 is the highest quality of capital and most companies held between 80% and 90% Tier 3 is the lowest quality of capital and no insurer had more than 10% 0% AEGON AXA CNP Delta Lloyd Generali L&G Munich Re NN Group Old Mutual Prudential Standard Life Tier 1 (unrestricted) Source: Public information Tier 1 (restricted) Tier 2 Tier KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 10
11 Solvency II cover ratios and target ranges Solvency II cover ratios (Own funds over SCR) ranked by decreasing order, target ranges and credit ratings FY 2015 Solvency ratios and target ranges 300% 250% 302% 239% 221% 211% 205% 202% 200% 193% 192% Shareholder view Target range 200% 180% 169% 162% 160% 148% 150% 135% 130% 100% 131% Munich Re (a) AA- NN Group (a) A- Hannover Re (a,b) A- SCOR (b) AA- AXA (b) A- Generali (b) A- Allianz (b) AA Prudential AA CNP (b) A Aviva A+ L&G AA- Standard Life A- AEGON A- LBG BBB+ Old Mutual BBB+ Delta Lloyd (b) A- Phoenix AA+ Own funds (bn) SCR (bn) Surplus (bn) n/d n/d Note: (a) Economic Capital Q figure (b) Please note that the information presented here was disclosed in EUR and converted to GBP at the exchange rate as at 31 Dec KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 11
12 M&A Activities
13 M&A News headlines Solvency II rules set to spark M&A surge in insurance sector Financial Times 3 Jan 2016 Swiss Re acquires Guardian Financial Services for 1.6 billion Financial Times 7 February 2016 L&G picks up Aegon's remaining UK annuities business Reuters 23 May 2016 French insurer AXA sells last UK life and savings business Yahoo 27 May KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 13
14 A new reserving model
15 Solvency II Balance Sheet Surplus/Excess Own Funds Own funds (basic and ancillary) Solvency Capital Requirement (SCR) Minimum capital requirement (MCR) Risk margin Assets covering technical provisions and SCR Best estimate Technical provisions Assets Liabilities 2016 KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 15
16 Components of the technical provisions Technical Provisions = Best Estimate + Risk Margin Best estimate = Claims Provision + Premium Provision The best estimate of future cashflows also includes the IPT cashflows Earned exposure Unearned exposure Valuation date 2016 KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 16
17 Reporting challenges
18 Solvency II reporting challenges Solvency II reporting is required every quarter and annually The deadlines for reporting are challenging and get tighter each year during the transition period Q1 Q4 Q2 Q3 Annual The amount of information to be reported under Solvency II is a significant increase from before e.g.. Assets, intragroup transactions, capital requirement, own funds, technical provisions Increased reporting challenges Solvency and Financial Condition Report (SFCR) for the public Regular Supervisory Report (RSR) for the regulator 2016 KPMG International Cooperative ( KPMG International ), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no client services. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does 18
19 Thank you
20 kpmg.com/socialmedia kpmg.com/app 2016 KPMG International Cooperative ("KPMG International"), a Swiss entity. Member firms of the KPMG network of independent firms are affiliated with KPMG International. KPMG International provides no services to clients. No member firm has any authority to obligate or bind KPMG International or any other member firm vis-à-vis third parties, nor does The information contained herein is of a general nature and is not intended to address the circumstances of any particular individual or entity. Although we endeavor to provide accurate and timely information, there can be no guarantee that such information is accurate as of the date it is received or that it will continue to be accurate in the future. No one should act on such information without appropriate professional advice after a thorough examination of the particular situation. The KPMG name and logo are registered trademarks or trademarks of KPMG International.
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