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, the most common choice among our clients is to use the solution for all 3 pillars.

The platform gives you:

• A fully Solvency II compliant platform with audibility and traceability
• Historical formulas and data storage, including restore functionality
• Flexible data format, 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 from Pillar I to Pillar III and XBRL

 

Customized level of support

With the SII Engine team you can get professional Solvency II and IT assistance – from basic support to full business process outsourcing. The installation can be hosted by the client or by Actuo.

Pillar I

Beside calculation of SCR, MCR, and own funds, the Pillar I solution includes setups for:

• Group calculations
• Calculations 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 for e.g., tax and LAC DT calculations

The data requirements are optimized by the following principles:

• Single-point of entry principle 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. This principle insures consistency through all calculations. This feature does not compromise flexibility, as overrides also exists.
• Market and counterparty risk allocation of assets based on CIC and country codes
• Multiple standard input format, including both S.06.02 format and TPT format for assets
• Automatic fetch of yield curves, volatility adjustments and symmetric adjustments from EIOPAs homepage

By 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
  • Extensible with undertaking-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 growth of business
  • Tax, dividends
  • Optionally, added scenarios

The model and the SCR QRTs are audit certified by Deloitte.

The SII Engine also offers a separate module calculating risk indicators.

• For the system of governance part of Pillar II, the SII Engine has:
• Full formula traceability through all the pillars
• Audit summary report for all results (Pillar I, Pillar III, Pillar II scenarios and forecasting) that can be produced out-of-the-box by a single click
• Support for approval and the “4 eyes principle”
• Historical comparison of inputs, calculations, results, and QRTs

Beside our out-of-the-box solutions, we can provide services for your Pillar II and ORSA process. Setting up system of governance and maintaining internal controls and policies and supporting you in developing the narrative for your own risk assessments.

Additional risk frameworks outside of Solvency II can also be developed. Setting up Risk Appetite, Risk management reports, and strategies for future business and capital planning.

Pillar III incl. XBRL

Automatic data sourcing from Pillar I and reuse/aggregation of data among QRTs ensure consistency in your reporting and auto-pass 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
• Re-reporting feature
• Additional validations and reconciliation reports
• Support for company specific adjustments and reconciliation