KPMG Solvency 2 Vantage Analytics Report

Solvency I
Vantage
Analytics
www.kpmg.com/uk/vantage-analytics
Q1 2016
Please note that this is a sample report prepared by KPMG for illustrative
purposes. The final graphical presentation of the metrics may vary.
1
About this il ustrative report
The charts contained within this document are for

illustrative purposes only. They demonstrate
Solvencythecapital
type of information that will be included in the
requirement
quarterly or annual reports. The charts have been
produced using illustrative data and do not reflect
the position of an actual insurer. The report may
include more detailed or different information and
£95m
benchmarks. To illustrate the service, the charts in
this report apply to different types of entities and
submissions. For example: some of the charts in
this sample report would only be included
Surplusincapital
an
annual report, some are relevant only to groups,
and some only to entities using the standard
formula, etc.
© 2016 KPMG LLP, a UK limited liability partnership and a member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative
(“KPMG International”), a Swiss entity. All rights reserved.
Contents
Key metrics Own funds
Headlines
3 Basic own funds: composition 19
Key trends
4 Basic own funds: tiering breakdown 20
Key metrics
5 Ancillary own funds: composition 21
Balance sheet Ancillary own funds: tiering breakdown 22
Composition
6 Own funds of OFS: composition 23
Currency mix
7 Own funds of OFS: tiering breakdown 24
Assets Expenses
Investment assets portfolio composition 8 Not included in this illustrative report n/a
Collective investment undertakings 9 Not included in this illustrative report n/a
Country risk exposure 10 Not included in this illustrative report n/a
Currency risk exposure 10 Not included in this illustrative report n/a
Sector risk exposure 11 Not included in this illustrative report n/a
Counterparty exposure 12 Reinsurance
Fixed income assets quality 13 Not included in this illustrative report n/a
Fixed income assets maturity profile 14 Not included in this illustrative report n/a
Technical provisions Not included in this illustrative report n/a
Risk margin to best estimate of the liability 15
Technical provisions by line of business 16
Solvency Capital Requirement
SCR risk modules before diversification 17
SCR calculation 18
3
Headlines
£385m
Eligible own
£325m
Excess of assets
funds over liabilities
Q4 20X5: £360m Q4 20X5: £310m
£290m
Solvency Capital
£95m
Surplus capital
Requirement
Q4 20X5: £273m Q4 20X5: £87m
133%
Coverage ratio
166%
Benchmark
coverage ratio
Q4 20X5: 141% Q4 20X5: 155%
4
Key trends
Changes to QX 20X5
£385m Own funds

+7% +6% for the benchmark
£290m Solvency Capital

Requirement +6% +9% for the benchmark
£95m Surplus capital

£985m Total assets

60% Loss ratio

-3% -4% for the benchmark
15% Proportion of reinsurance

to technical provisions +7% +5% for the benchmark
Life: proportion of
4% expected profits in future
premiums to own funds
Non-life: proportion of
3%
Coverage expected profits in future
ratio
premiums to own funds
Q4 20X5: 141%
5
Key metrics
These charts provide an overall picture of the solvency and quality of

capital
Solvency cover
Company A
£m
400
350 Ancillary own funds,

80.00
300
Ancillary own funds,
67.00
250
200
Basic own funds,
150
300.00 Basic own funds, 250
100 240 190.00
50
0
OWN FUNDS Q4 20X5 SOLVENCY CAPITAL Q4 20X5
REQUIREMENT
Own funds composition
Company A Benchmark
100%
Tier 3, 9% Tier 3, 12% Tier 3, 11% Tier 3, 12%
90%
80% Tier 2, 23% Tier 2, 16% Tier 2, 15%
70% Tier 2, 25%
60%
50%
40%
Tier 1, 68% Tier 1, 73% Tier 1, 70%
30% Tier 1, 53%
20%
10%
0%
OWN FUNDS Q4 20X5 OWN FUNDS Q4 20X5
6
Balance Sheet
Balance sheet composition

These charts provide a view of how the balance sheet is made up
100%
Any other assets, 7%
Deposits and Any other assets, 15%
90%
receivables , 10%
80%
Other assets, 15% Deposits and
receivables , 20%
70%
Reinsurance Other assets, 5%

60%
Recoverables, 18%
50% Reinsurance
Recoverables, 25%
40%
30%
Investments 50%
20%
Investments 35%
10%
0%
Assets
Assets
Company A Benchmark
Benchmark
Company A
100%
Any other liabilities, Any other liabilities, 10%
90% 15%
Contingent liabilities, Contingent liabilities,
80%
15% 20%
70%
Financial liabilities, 5% Financial liabilities, 5%
60% Derivatives, 10% Derivatives, 5%
Deposits and payables, 5% Deposits and payables, 10%
50%
40%
30%
Technical provisions, Technical provisions,
20%
50% 50%
10%
0%
Liabilities
Liabilities
Company A Benchmark
Company A Benchmark
7
Balance Sheet
Solvency II balance sheet currency mix

This chart provide an indication of how closely matched assets are to
liabilities from a currency perspective
Currency mix - assets and liabilities

100% 3% 3%
5% 5%
5% 5%
5% 5%
90%
10% 10%
80% 24% 24%
70%
60%
50%
40% 80% 80%

68% 68%
30%
20%
10%
0%
LIABILITIES ASSETS LIABILITIES ASSETS
COMPANY A BENCHMARK
Company A Benchmark
GBP EUR USD Other
8
Assets
Investment assets portfolio composition

This chart presents the investments portfolio analysed by asset type
Corporate Bonds
Company A 10%
Government bonds Equity

32% 11%
Collective
Company A investment 40% of investment assets are
undertakings backing unit-linked and index-
19% linked funds
Other Structured notes
investments…
6%
Collateralised
Property…
Securities % of total investment assets
3%
Mortgages and
Cash and Deposits
loans
2%
4%
Benchmark
Corporate
Bonds
Equity
7%
9%
Government
bonds
22%
Collective
investment
undertakings 53% of investment assets are
Other 13%
investments
backing unit-linked and index-
3%
Benchmark linked funds
Structured
notes
Property
5%
7%
Collateralised
Mortgages Securities
and loans Cash and 10%
12% Deposits
% of total investment assets
12%
9
Assets
Company A
Investment asset portfolio composition Collective investment undertakings

Collateralised Cash and Mortgages and Other
Securities, Deposits, 2.3% loans, 4.3% investments,
Property, 9.0% Property, Government
3.3% 10.0% bonds,
Other 5.0%
Structured 20.5%
notes, 6.3% investments,
4.0%
Mortgages
and loans,
6.0%
Corporate
Equity, Company A Bonds,
Collective
11.3% 16.0%
investment Cash and
Company A undertakings, Deposits,
18.3% 15.0%
Collateralised
Corporate Securities,
Bonds, 6.5%
10.3% Collective Equity, 9.0%
Government investment
Structured
bonds, 31.3% undertakings,
notes, 2.0%
10.0%
This chart presents the underlying investments held in collective investment undertakings
Benchmark
Investment asset portfolio composition Collective investment undertakings

Collateralised Cash and
Securities, 3% Deposits, 2%
Structured notes,
5% Other investments, 6%
Mortgages and loans, 3%
Property, 10% Government bonds,
Property, 7% 12%
Equity, 9%
Other
investments, 3% Corporate Bonds,
10%
Mortgages and
loans, 6%
Corporate Bonds, Benchmark
18% Benchmark
Equity, 18%
Cash and Deposits,
12%
Collective
investment
Collateralised Structured notes, undertakings, 6%
Securities, 8% 12%
Collective
Government
investment
bonds, 35%
undertakings, 15%
This chart presents the underlying investments held in collective investment undertakings for
benchmarked entities
10
Assets
Country risk exposure

This chart presents the geographical market exposure of assets
United States 30%

20%
France 20%
15%
United Kingdom 15%

12%
Switzerland 10%
20%
Spain 10%
12%
Germany 7%
10%
Other 8%
11%
0% 5% 10% 15% 20% 25% 30% 35%
Currency exposure
This chart presents the currency exposure of assets
EUR 25%
28%
CHF 12%
16%
CAD 10%
7%
GBP 10%
14%
NOK 9%
6%
Other 8%
5%
0% 5% 10% 15% 20% 25% 30%
Company A Benchmark
11
Assets
Sector exposure
This chart presents the sector exposure of assets
40% 37%
35%
30%
25% 25%
25%
20% 18%
15% 12% 12%

10% 9% 9%
10% 8% 7%
6%
5%
0%
K64 - Financial service L68 - Real estate J61 - G47 - Retail trade, D35 - Electricity, gas, C26 - Manufacture of
activities, except activities Telecommunications except of motor steam and air computer, electronic
insurance and pension vehicles and conditioning supply and optical products
funding motorcycles
Company A Benchmark
Company A Benchmark
12
Assets
Exposure to top five counterparties

This chart presents the key asset counterparties
Company A
UK Government 5.00%
Bank A 2.00%
Bank B 1.00%
Republic of Ireland 0.40%
Bank C 0.20%
0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00%
Counterparty exposure concentration

This chart presents the cumulative counterparty exposure concentration
Company A Benchmark
90.00% 89.00% 85.20%
80.00%
70.00% 65.00%
61.00%
60.00% 57.30%
52.00%
50.00%
40.00% 35.60%
31.50%
30.00%
20.00%
10.00%
0.00%
Top 5 counterparties Top 10 counterparties Top 30 counterparties Top 50 counterparties
13
Assets
Fixed income asset quality

This chart presents the credit quality of fixed income asset exposures
AS A % OF FIXED INCOME ASSETS PORTFOLIO
30%
26%
25%
0.22
20%
20% 19%
0.18
0.15 0.15
15% 0.13
10% 10% 0.1 0.1
10%
0.07
5%
5%
0%
Credit Quality Credit Quality Credit Quality Credit Quality Credit Quality Credit Quality Unrated
Step 1 Step 2 Step 3 Step 4 Step 5 Step 6
Investment grade Speculative grade
Company A Benchmark
Credit quality steps were jointly designed by the Joint Committee of European Supervisory Authorities to align the different
scales used by credit rating institutions.
Credit Quality AAA – to AA‐ ; Aaa to Aa3 Credit Quality BB+ to BB‐ ; Ba1 to Ba3
Step 1 Step 4
Credit Quality A+ to A‐ ; A1 to A3 Credit Quality B+ to B‐ ; B1 to B3
Step 2 Step 5
Credit Quality BBB+ to BBB‐ ; Baa1 to Baa3 Credit Quality CCC+ ; Caa1 and below
Step 3 Step 6
14
Assets
Fixed income maturity profile
This chart presents the maturity profile of fixed income assets

Company A Benchmark
35%
AS % OF FIXED INCOME ASSETS PORTFOLIO
30% 30%
30%
25%
20% 20% 20% 20%
20%
15%
15%
10% 10% 10% 10%
10%
5%
5%
0%
UNDER A YEAR 1‐5 YEARS 6‐10 YEARS 11‐25 YEARS 25+ YEARS PERPETUITY
Company A Benchmark
15
Technical provisions
Risk margin to best estimate liability ratio

Life (excl. health): risk margin to BEL Non-life (exc. health): risk margin
1% ratio 2% to BEL ratio
5% 10%
Risk
margin
99% 98% 95% 90%

Best
Estimate
Company A Benchmark Company A Benchmark
Health (similar to life): risk margin Health (similar to non-life): risk margin
to BEL ratio to BEL ratio
4% 5%
30% 25%
96% 95%
70% 75%
Company A Benchmark Company A Benchmark
Index-linked/unit-linked: risk margin to
BEL ratio
2%
10%
98%
90%
Company A Benchmark
16
Technical provisions
Solvency II technical provisions: life

This chart presents the life technical provisions by line of business
Company
C O M P AA
NY A 30% 23% 12% 10% 7%
Benchmark
BENCHMARK 15% 12% 20% 12% 10%
Index-linked and unit-linked insurance

Insurance with profit participation
Accepted reinsurance
Life insurance (non-linked)
Annuities stemming from non-life insurance contracts and relating to insurance obligation other than health insurance
Other
Solvency II technical provisions: non-life

This chart presents the non-life technical provisions by line of business
Company
C O M P AA
NY A 20% 18% 6% 21% 5% 30%
Benchmark
BENCHMARK 15% 13% 19% 15% 11% 27%
Medical expense insurance Income protection

insurance
Workers' compensation insurance Motor vehicle liability insurance
Other motor insurance Marine, aviation and transport insurance
17
Basic SCR risk modules before diversification

This chart presents the exposure to each risk module of the standard
formula SCR
Company A
Intangible asset
risk Market risk
10% 14%
Counterparty
default risk
Operational risk 10%
10%
Life
underwriting
risk
17%
Company A
Intangible asset
Non-life risk
underwriting 6% Market risk
risk 19%
16%
Counterparty
Health
default risk
underwriting
5%
risk
Operational risk
23%
14%
Benchmark
Life
underwriting
risk
Non-life 14%
underwriting
risk
22%
Health
underwriting
risk
20%
Benchmark
18
SCR calculation
Company A
Company A
140%
120%
30%
100%
10% 15% 20%
80% 15% 10%
60% 120%
100%
40%
20%
0%
Basic SCR Diversification Adjustment for Loss-absorbing Loss-absorbing Pensions Capital add-on Solvency capital
RFF diversification capacity of capacity of adjustment* already set requirement
technical deferred taxes
provisions
Benchmark
Benchmark
160%
140%
120% 55%
35%
100%
60%
80% 45%
145%
60%
35% 100%
40% 90% 90% 25%
65%
55%
20%
30% 30%
0%
Basic SCR Diversification Adjustment for Loss-absorbing Loss-absorbing Pensions Capital add-on Solvency capital
RFF diversification capacity of capacity of adjustment* already set requirement
technical deferred taxes
provisions
*Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC
19
Own funds
Basic own funds: composition

This chart presents the relative weight of each type of basic own funds
100%
6% 5%
90% 4% 10%
5%
4% 5%
80%
11% 7%
70% 8%
5%
5% 6%
60%
5%
12%
50% 7%
7% 7%
40% 4% 2%
30% 10% 14%
20%
27% 24%
10%
0%
Company A A
Company Benchmark
Benchmark
Minority interests (if not reported as part of a specific own fund item)
An amount equal to the value of net deferred tax assets
Other own fund items approved by the supervisory authority as basic own funds not specified above
Subordinated liabilities
Share premium account related to preference shares
Preference shares
Subordinated mutual member accounts
Initial funds, members' contributions or the equivalent basic own - fund item for mutual and mutual-type undertakings
Share premium account related to ordinary share capital
Ordinary share capital (gross of own shares)
Reconciliation reserve
Surplus funds
20
Own funds
Basic own funds: tiering breakdown

This chart presents the tiering breakdown of each type of basic own
funds
Company A Benchmark
75% 25% Ordinary share capital (OSC) 81% 19%
85% 15% Share premium related to OSC 82% 18%
Initial funds, members’ contributions or

70% 30% the equivalent BOF item for mutual type 63% 37%
undertakings
70% 30% Subordinated mutual member accounts 90% 10%
75% 20% 5% Preference shares 28% 50% 22%
Share premium related to preference

65% 30% 5% 33% 45% 22%
shares
83% 15% 2% Subordinated liabilities 18% 60% 22%
Other own fund items approved by the

76% 12%10%2% supervisory authority as basic own funds 13% 65% 22%
not specified above
0% 50% 100% 0% 50% 100%
Tier 1 – Unrestricted Tier 1 – restricted Tier 2 Tier 3
21
Own funds
Ancillary own funds: composition

This chart presents the relative weight of each type of ancillary own
funds
100%
5%
10%
90%
4%
19%
80%
70%
60%
55%
41%
50%
40%
30% 6%
3%
20%
28% 29%
10%
0%
Company A Benchmark
Company A Benchmark
Unpaid and uncalled preference shares callable on demand
Supplementary members calls - other than under first subparagraph of Article 96(3) of the Directive
2009/138/EC
Other ancillary own funds
Letters of credit and guarantees other than under Article 96(2) of the Directive 2009/138/EC
A legally binding commitment to subscribe and pay for subordinated liabilities on demand
22
Own funds
Ancillary own funds: tiering breakdown

This chart presents the tiering breakdown of each type of ancillary own
funds
Company A Benchmark
Benchmark
Unpaid and uncalled

preference shares callable 67% 33% 12% 88%
on demand
Supplementary members
39% 61% 22% 78%
calls
Other ancillary own

45% 55% 34% 66%
funds
Letters of credit and

12% 88% 3% 97%
guarantees
A legal binding
commitment to subscribe
25% 75% 12% 88%
and pay for subordinated
liabilities on demand
0% 50% 100% 0% 50% 100%
23
Own funds
Own funds of other financial sector entities: composition

This chart presents the relative weight of each type of own funds of other
financial sectors
120%
100%
17%
24%
80% 5%
6%
60%
40% 78%
70%
20%
0%
Company A Benchmark
Institutions for occupational retirement provision

Non regulated entities carrying out financial activities
Credit Institutions, investment firms, financial insitutions, alternative investment fund manager, financial institutions
24
Own funds
Own funds of other financial sector entities: tiering

breakdown
This chart presents the tiering breakdown of each type of own funds of
other financial sectors
Total own funds of other
financial sectors
Company A Benchmark
Institutions for occupational

retirement provision
67% 17% 12% 4% 72% 10%12% 6%
Non-regulated entities carrying

out financial activities 70% 15% 15% 68% 16% 16%
Credit institutions, investment firms,

financial institutions, alternative 75% 20% 5% 70% 5% 25%
investment fund managers
0% 50% 100% 0% 50% 100%
Contact us:
Please contact us at:

VantageAnalytics@kpmg.co.uk.
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 endeavour 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.
© 2016 KPMG LLP, a UK limited liability partnership and a member firm of the KPMG network of
independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a
Swiss entity. All rights reserved.
KPMG LLP is multi-disciplinary practice authorised and regulated by the Solicitors Regulation Authority.
For full details of our professional regulation please refer to ‘Regulatory Information’ at
www.kpmg.com/uk
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Solvency I

About this il ustrative report

The charts contained within this document are for

Balance sheet Ancillary own funds: tiering breakdown 22

Collective investment undertakings 9 Not included in this illustrative report n/a

Country risk exposure 10 Not included in this illustrative report n/a

Currency risk exposure 10 Not included in this illustrative report n/a

Sector risk exposure 11 Not included in this illustrative report n/a

Counterparty exposure 12 Reinsurance

Technical provisions Not included in this illustrative report n/a

Risk margin to best estimate of the liability 15

Technical provisions by line of business 16

Solvency Capital Requirement

SCR risk modules before diversification 17

Q4 20X5: £273m Q4 20X5: £87m

Q4 20X5: 141% Q4 20X5: 155%

£385m Own funds

£290m Solvency Capital

£95m Surplus capital

£985m Total assets

60% Loss ratio

15% Proportion of reinsurance

These charts provide an overall picture of the solvency and quality of

350 Ancillary own funds,

Own funds composition

Balance sheet composition

Reinsurance Other assets, 5%

Solvency II balance sheet currency mix

Currency mix - assets and liabilities

40% 80% 80%

GBP EUR USD Other

Investment assets portfolio composition

Government bonds Equity

Other Structured notes

Investment asset portfolio composition Collective investment undertakings

Investment asset portfolio composition Collective investment undertakings

Country risk exposure

United States 30%

United Kingdom 15%

0% 5% 10% 15% 20% 25% 30% 35%

0% 5% 10% 15% 20% 25% 30%

15% 12% 12%

Exposure to top five counterparties

0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00%

Counterparty exposure concentration

Fixed income asset quality

Fixed income maturity profile

This chart presents the maturity profile of fixed income assets

Risk margin to best estimate liability ratio

99% 98% 95% 90%

Company A Benchmark Company A Benchmark

Company A Benchmark Company A Benchmark

Index-linked/unit-linked: risk margin to

Solvency II technical provisions: life

Index-linked and unit-linked insurance

Solvency II technical provisions: non-life

Medical expense insurance Income protection

Other motor insurance Marine, aviation and transport insurance

Solvency Capital Requirement

Basic SCR risk modules before diversification

Solvency Capital Requirement

Basic own funds: composition

30% 10% 14%