TP (NL) – E1
ITEM
General Comment
CELL
NUMBER(S)
N/A
DEFINITION
EXAMPLE
N/A
N/A
[Column item]
Columns “A”
Line of Business for to “M”
non-life obligations
The lines of business (LoB) required for
non-life obligations as defined in L2 EC
proposal (IM 13 - Annex I) and CEIOPS
ADVICE (former CP27-DOC 22/09).
Accident insurance,
Sickness, …
[Column item]
Line of business for
accepted nonproportional
reinsurance
The Lines of business (LoB) required for
the accepted non-proportional
reinsurance as defined in L2 EC proposal
(IM 13 - Annex I) and CEIOPS ADVICE
(former CP27-DOC 22/09).
Columns “N”
to “P”.
PURPOSE
This template shows the Non-Life Technical
provisions split into:
1) a ‘best estimate’ and a ‘risk margin’ and, in the
case of hedgeable-risk (liabilities that can be valued
using market prices), a ‘TP calculated as a whole’;
2) the different lines of business (LoB);
3) gross and net of reinsurance with further details
(only as total) of intra-group reinsurance (both
accepted and ceded).
This templates contains also additional information
related to other Level 1 text or CEIOPS Advice
requirements (further LoB segmentation, etc).
Understand TP by major LoB and comply with:
- The Level 1 text (art. 80);
- L2 EC proposal (IM 13 - Annex I) and CEIOPS
ADVICE (former CP27-DOC 22/09).
Casualty, marine,
Understand TP by major LoB and comply with:
aviation and transport, - The Level 1 text (art. 80);
property
1
- L2 EC proposal (IM 13 - Annex I) and CEIOPS
ADVICE (former CP27-DOC 22/09). According to this
last documents:
- with regard to accepted proportional reinsurance
business, non-life obligations shall be
segmented as a minimum according to the
segmentation for non-life insurance obligations;
- With regard to accepted non-proportional
reinsurance business, non-life obligations shall be
segmented as a minimum into:
- Property, Casualty and Marine, aviation and
TP (NL) – E1
transport business.
[Column item]
Total Non-Life
obligation (other
than Non-SLT
Health)
Columns “Q”
to “S”.
[Column item]
Non-SLT Health
Columns “T”
to “V”.
[Column item]
Total Non-SLT
Health
[Row item]
Technical provision
calculated as a
whole (REPL.)
[Row item]
Technical provision
calculated as a
sum of a best
estimate and a risk
margin (NONREPL.)
Column “W”
A1-W1
A7/A21 –
W7/W21
Total (formula) of all Non-Life Obligation,
other than Non-SLT Health (Health
insurance obligations pursued on a
similar technical basis to that of non-life
Insurance), with details of intra-group
reinsurance (both accepted and ceded).
Health insurance obligations pursued on
a similar technical basis to that of nonlife insurance (Non-SLT Health, “Similar
to non-Life Techniques”).
Total (formula) Non-SLT Health with
details of intra-group reinsurance (both
accepted and ceded).
This section is referred to the case (art.
77.4 Level 1 text), if any, of non-life
liabilities that can be valued using market
prices.
This section is referred to the general
rule set out in
the Level 1 text (art. 77.1) for wich “The
value of technical provisions shall be
equal to the sum of a best estimate and a
risk margin”, with details of:
- best estimate and risk margin;
Understand TP by major LoB and comply with:
- The Level 1 text (art. 80);
- L2 EC proposal (IM 13 - Annex I) and CEIOPS
ADVICE (former CP27-DOC 22/09). According to
those last documents:
- health insurance obligations shall be segmented
into: SLT Health and Non-SLT Health;
- Non-SLT health obligations
must be segmented into Accident, Sickness or
Workers’ compensation lines of business.
N/A
N/A
2
Understand TP in the case of it is not required a
separate calculation of BE and RM (so called
hedgeable risk or replicating portfolio).
TP (NL) – E1
[Row item]
Technical provision
calculated as a
sum of a best
estimate and a risk
margin: best
estimate of
premium provision
[Row item]
Technical provision
calculated as a
A7/A12 –
W7/W12
- with regards to best estimate: its
required a separate calculation in respect
of:
 premium provisions and claims
provisions;
 gross/net of reinsurance
The valuation of the best estimate
should be calculated separately in
respect of premium provisions and
claims provisions. This section deals with
best estimate of premium provision; in
particular there are information on:
1) gross: direct business (A7-W7)
2) accepted reinsurance, with further
details for :
(a) accepted proportional for wich is
required the same segmentation of nonlife insurance obligations (A8-W8)
(b) accepted non-proportional (N9-W9):
3) recoverable from reinsurance, SPV and
finite Reinsurance before and after the
adjustment for expected losses due to
the default of the counterparty.
Moreover recoverable before the
adjustment for expected losses due to
counterparty default are split into:
reinsurance (A10.1-W10.1), SPV (A10.2W10.2) and Finite Reinsurance (A10.3W10.3).
Same information of the previous row
but referred to claims provisions
Assess TP separately for gross liabilities and
reinsurance/SPV recoveries (before and after the
adjustment for expected losses due to counterparty
default) and separately for claims and premium
provisions.
3
TP (NL) – E1
sum of a best
estimate and a risk
margin: best
estimate of claims
provision
[Row item]
Technical provision
calculated as a
sum of a best
estimate and a risk
margin: risk margin
[Row item]
Technical
provisions - total
A21-W21
CEIOPS Advice requires that the risk
margin has to be calculated for each LoB.
A22/A24 –
W22/W24
This section is the sum (formula) of the:
A) Technical provision calculated as a
whole and
B) Technical provision calculated as a
sum of a best estimate and a risk margin
with details of gross/net of reinsurance.
Amount of gross best estimate calculated
with risk free interest rate adjusted to
illiquidity premium, as defined in the
Task Force Report on the Liquidity
premium (March 2010).
Amount is separated according to the
three possible buckets (50 %, 75 %, 100
%)
Level 1 text requires that (re) insurance
undertakings should further segment
prescribed lines of business into more
homogenous risk groups according to
nature of the risks underlying the
contract rather than the legal form of the
Amount of gross
BE calculated using
illiquidity premium
(50 % / 75 % /
100 % buckets)
A25/A27 W25/W27
[Row item]
Additional
information:
Line of Business
(LoB): further
segmentation
A28/A29 –
V28/V29
To Have an immediate and total amount of the total
GROSS/NET TP TP (reconciliation with BS-C1 for
total).
Understand share of BE calculated using different
method of discounting from risk-free rate, with use
of liquidity premium (related to ability to cash in the
policy or not)
Since the Solvency II LoBs represent minimum
segmentation, it’s important undertaking reports
possible further split in order to have an immediate
picture of the all assumptions used for the
calculation of TP.
4
TP (NL) – E1
(Homogeneous
Risk Groups - HRG)
[Row item]
Additional
information: Best
estimate of
premium
provisions
A30/A34 –
W30/W34
[Row item]
Use of simplified
methods and
techniques to
calculate
technical
provisions
A35/A37 –
V35/V37
[Row item]
Gross Best
estimate for
different countries
A38/A49 –
W38/W49
contract (substance over form form).
For this reason it was required to
indicate for each LoB if:
- undertakings split or not TP into
homogeneous risk group (A25-V25);
- if yes, undertaking has to specify total
number of homogenious risk groups
(A26-V26).
To determine the best estimate CEIOPS
Advice (DOC-33/09) requires the
following non-exhaustive list of cash
in/out-flows:
cash in-flows: Future premiums and
Receivables for salvage and subrogation;
cash out-flows: benefits, expenses and
other gross cash-flow items.
Specification of :
1) use or not of simplified methods/
techniques to calculate technical
provisions (A32-V32); if yew
2.1) related items (A33-V33) [eg: Risk
margin, Non-Life, Health, Best Estimate];
2.2) amount of TP calculated using
simplified method and techniques (A34W34)
Amount of gross BE by country
(depending on location of risk) ;
application of a materiality threshold (5
% of a given LoB, or 1% of all Life TP),
with rest in “other-EEA” or “other-non
EEA”
To have information on cash in/out flow type split
by LoB
Simplified methods (S)
for Risk margin
calculation
Know if undertaking used simplified methods and
techniques to calculate
technical provisions (in line with the proportionality
principle) and the related item/amount.
Know best estimate split by significant countries
subject to the proportionality principle.
5