Solvency II
Solvency II
The SII Engine standard solution can be implemented for one or more of the Solvency II pillars. Since automatic dataflow between the pillars is a key feature of the SII Engine, our clients choose to use the solution for all 3 pillars.
You can tailor the desired level of support
Our SII Engine team offers professional Solvency II and IT assistance – from basic support to full business process outsourcing. The installation can be hosted either by you or by the Actuo team.
The platform gives you
- A fully Solvency II compliant platform with auditability and traceability
- Formula and data history storage, including system roll back/forward functionality
- Flexible data formats, incl. spreadsheet uploads and database integrations
- Automation scripts to perform manual steps
- Customizable dashboard and workflows
- Comprehensive data sourcing guidelines and model descriptions
- No control gaps and full data lineage (is this more like history than ‘automatic data transfer’ from Pillar I to Pillar III and XBRL
Installation
The SII Engine installation is completed in one day as a cloud hosted service or installed on-premises in your company’s own infrastructure.
Implementation
We define the data your company must deliver to the SII Engine for Solvency II compliance by creating a company-specific Input Adapter, delivered as SII Engine templates with detailed sourcing guidelines.
Integration (Optional)
You can source data automatically by integrating the SII Engine into your various data sources. The integration is an iterative process of end-to- end testing with all relevant back-end systems.
Pillar I
In addition to calculation of SCR, MCR, and own funds, the Pillar I solution includes setups for:
- Business Group calculations
- Calculation and aggregation of sub portfolios (e.g., ring-fenced funds, index/unit-linked, risk/contribution groups, composite business)
- Calculation of effects from volatility adjustment and transitional measures
- Support for partial and full internal models
- National specific models, e.g., tax and LAC DT calculations
The data requirements are optimized by the following principles:
- Single-point of entry principle: This principle ensures consistency through all calculations. E.g., only one input for technical provisions, allocated to underwriting reserve risk, currency risk, interest rate risk, operational risk, risk margin, balance sheet, own funds, and Pillar III. Overrides are also available so that this feature does not compromise flexibility.
- Market and counterparty risk allocation of assets based on CIC and country codes
- Multiple standard input formats, including the S.06.02 format and the TPT format for assets
- Automatic fetch of yield curves, volatility adjustments and symmetric adjustments from EIOPAs website
With a single click, the Pillar I SCR is calculated with full transparency to all underlying formulas and intermediate results.
Pillar II and ORSA
The Scenario Analysis Tool is the key element of our out-of-the-box Pillar II solution.
The tool can perform:
- Quantitative scenario analysis of the impact of adverse events
- Economic events, business events and catastrophes
- 42 built-in scenarios
- Composite scenarios
- Can accommodate company specific scenarios
- Reverse stress test on key numbers, like SCR ratios
- 27 built-in scenarios
- Forward Looking Solvency Position (forecasting)
- Return on investments from assets
- Profit and business growth
- Taxes and dividends
- Option to test additional scenarios
The model and the SCR QRTs are audit certified by Deloitte.
The SII Engine also offers a separate module for calculating risk indicators.
For the system of governance part of Pillar II, the SII Engine has:
- Full formula traceability through all the three pillars
- Audit summary report for all results (Pillar I, Pillar II scenarios and forecasting, Pillar III,) that can be generated, out-of-the-box, with a single click.
- Support for user approval and the “4 eyes principle”
- Comparison of input history, calculations, results, and QRTs
Besides our out-of-the-box solutions, we can provide services for your Pillar II and ORSA processes. We also provide support in setting up a system of governance, maintaining internal controls and policies, and assisting you in developing the narrative for your own risk assessments.
Additional risk frameworks, outside of Solvency II, can also be developed in partnership with us. We have previously assisted clients in setting up Risk Appetite, Risk management reports, and strategies for future business and capital planning.
Pillar III incl. XBRL
Our Pillar III solution ensures consistent reporting by automatically sourcing data from Pillar I and reusing and aggregating it across QRTs, enabling auto-pass completion of many EIOPA validations.
Our pillar III solution covers:
- Quarterly, annual and RFF/MA reports, including XBRL and validations
- Add-ons for ECB, Financial Stability, Group, and Financial Stability Group
- Public Disclosure reports for SFCR in 12 different languages
- A selection of national specific reports
- A re-reporting feature
- Additional validations and reconciliation reports
- Support for company specific adjustments and reconciliation