JUNE 2015

Solvency Assessment and

Management (SAM)

2015 Update

CONTACT DETAILS

Physical Address:

Riverwalk Office Park, Block B

41 Matroosberg Road

Ashlea Gardens,

Extension 6

Menlo Park

Pretoria

South Africa

0081

Postal Address:

P.O. Box 35655

Menlo Park

0102

Switchboard: +27 12 428 8000

Facsimile: +27 12 347 0221

Email: info@fsb.co.za (for general queries)

SAM.2015Update@fsb.co.za (for SAM related queries)

Website: www.fsb.co.za

Introduction ........................................................................................................................... 4

Finalisation of legislation ....................................................................................................... 5

Implementation for Insurers ................................................................................................. 11

Implementation for the FSB................................................................................................. 16

IMAP ................................................................................................................................... 18

International developments ................................................................................................. 19

Conclusion .......................................................................................................................... 20

Annexure 1: List of discussion documents and position papers ........................................... 21

Contents

SAM 2015 Update 4

Almost six years ago the Financial Services Board (FSB) and the South African

insurance industry embarked on a journey to establish a risk-based regulatory

regime for the prudential regulation of both long-term and short-term insurers in

South Africa – namely the Solvency Assessment and Management (SAM)

project.

2015 marks a milestone in the SAM process; the hard work and interim

achievements of the last six years are culminating in the finalisation and

implementation of a robust prudential framework for the South African insurance

sector.

Since 2009 more than 117 discussion documents and position papers1 have

been published on the various components of the SAM Framework. These

papers have been backed up by:

Three Quantitative Impact Studies (QISs) to test Pillar I proposals;

A Pillar II readiness review plus a follow-up study;

An Economic Impact Study; and

A Reinsurance Regulatory Review.

These discussion papers, studies and reviews have all been developed in close

consultation with, and the cooperation of, the insurance industry and other

stakeholders. The FSB is now in the process of converting these proposals into

legislation, for further consultation.

With just over six months to go, the SAM Framework is close to finalisation and

the focus is squarely on implementation efforts to ensure that both the industry

and the FSB are ready for the SAM live date on 1 January 2016.

This fourth and final SAM Update outlines the process for finalising the legislative

framework and the implementation steps that will be required of the industry and

the FSB over the coming months.

______________________________

1 For ease of reference, a list of SAM position papers and discussion documents is provided in

Annexure 1.

Introduction

SAM 2015 Update 5

Introduction

Although the SAM Framework will be facilitated mainly through the enactment of

the Insurance Bill, supported by subordinate legislation, some components of the

SAM Framework have already been introduced through the issuing of

subordinate legislation under the current Insurance Acts.

Board Notice 158 titled “Governance and Risk Management Framework for

Insurers” prescribes the majority of the components of governance and risk

management framework for insurers and has been effective since 1 April 2015.

Board Notice 158 includes requirements pertaining to:

The composition and governance of the board of directors;

The roles and responsibilities of the board of directors, including the duties

of each director;

The structure of the board of directors, including the establishment of a risk

and remuneration committee;

The risk management system;

Policies supporting the overall risk management system, including policies

relating to fit and proper persons, asset-liability management and

underwriting;

The internal control system; and

The control functions and the roles and responsibilities of the heads of the

control functions.

Although Board Notice 158 introduces much of the governance and risk

management requirements that will be expected under the SAM Framework, it

should be noted that the final SAM Framework will include additional

requirements – in particular requirements related to risk appetite and the Own

Risk and Solvency Assessment (ORSA) process.

In addition, draft Board Notice 113 pertaining to “Fit and proper requirements”

that are proposed to apply to key persons and significant owners was released

on 29 May 2015 and is currently open for comment until 1 July 2015.

Finalisation of legislation

Subordinate

legislation

under the

Current

Insurance

Acts

SAM 2015 Update 6

On 15 April 2015 Cabinet approved the release of the Insurance Bill for public

consultation. The consultation period ended on 29 May 2015.

The Bill provides a consolidated legal framework for the prudential supervision of

the insurance sector that is consistent with international standards for insurance

regulation and supervision, giving effect to the SAM Framework.

The Bill deals with regulatory gaps identified by the IMF/World Bank’s Financial

Sector Assessment Program (FSAP) evaluation of South Africa, and seeks to

promote the maintenance of a fair, safe and stable insurance market by

establishing a legal framework for insurers that –

enhances financial soundness and oversight through higher prudential

standards, group supervision and stronger reinsurance arrangements;

increases access to insurance through a dedicated micro-insurance

framework;

strengthens the regulatory requirements in respect of governance, risk

management and internal controls for insurers; and

aligns with international standards and in accordance with South Africa’s G20

commitments.

The enhanced prudential framework for insurers forms part of the Twin Peaks

reforms, which seek to significantly enhance South Africa’s financial regulatory

and supervisory framework, by enabling a proactive, pre-emptive and risk-based

approach to regulating and supervising the financial sector.

The final SAM Framework proposals have been informed by a SAM Economic

Impact Study, which considered the potential economic impact of the

implementation of SAM. The study shows that the implementation of SAM is

broadly neutral to slightly positive in terms of the impact on GDP growth and

employment, with the clear benefit of significantly improving risk management by

insurers, which in turn is expected to lead to a safer insurance industry and

ultimately a more stable financial system given the highly inter-connected nature

of the South African financial sector. Although the implementation of SAM will

result in additional costs to the insurance industry, both in terms of up-front

implementation costs and somewhat higher on-going costs, this will be largely

offset over time in terms of various benefits arising from SAM, including

improved risk management and better risk-based pricing. Even if costs are

passed on to consumers in the short-term, these are likely to be small, and may

even be negligible given the challenges of quantifying counterbalancing benefits

and the fact that pricing may be influenced by many other factors. Ultimately,

policyholders will be better protected under the SAM framework given the

expected benefits of improved risk management and enhanced financial

soundness and stability. A summary of the SAM Economic Impact Study findings

has been published to support the release of the Insurance Bill.

Process for

the Insurance

Bill

SAM 2015 Update 7

Whereas the Insurance Bill provides the framework legislation that facilitates the

implementation of the SAM Framework, the subordinate legislation – in the form

of insurance prudential standards – will contain the detail of the various

components. The draft subordinate legislation will be released in tranches, to

allow for a phased consultation process in which industry and other stakeholders

will be able to focus on one component at a time. The tranches are expected to

be split broadly as follows:

Tranche 1: Pillar II – Governance and Risk Management;

Tranche 2: Pillar I – Financial Soundness requirements; and

Tranche 3: Pillar III – Reporting requirements2.

Although the draft subordinate legislation will be released in tranches to facilitate

the consultation process, it is envisaged that the full set of final subordinate

legislation will be released together to ensure that any interaction between the

various tranches are consistent.

The envisaged timelines for the release, consultation and publication of the

subordinate legislation are given in the figure below.

______________________________

2 The majority of the reporting requirements to the Registrar will be set out as information to be

submitted for supervisory purposes, rather than forming part of the subordinate legislation.

Nevertheless, the process to be followed in the finalisation of the reporting requirements is set out

in this section.

Process for

the

subordinate

legislation

SAM 2015 Update 8

Figure 1: Timelines for the publication of the subordinate legislation

Although a full set of the subordinate legislation has yet to be publicly released,

there has been extensive consultation on the various aspects that will be

covered by the subordinate legislation. This consultation has mainly been

conducted through the Discussion Documents and Position Papers3 as released

by the SAM Governance Structure, supported by further consultations,

quantitative impact studies and readiness reviews.

Further guidance on what may be expected in the various tranches is set out

below:

______________________________

3 A full list of the Discussion Documents and Position Papers is listed in Annexure 1

Production of draft for consultation

Comment period

Stakeholder engagement

Publication of final version

Production of draft for consultation

Comment period

Stakeholder engagement

Publication of final version

Production of draft for consultation

Comment period

Stakeholder engagement

Publication of final version

H2 2015

Tra

nche 1

Tra

nche 2

Tra

nche 3

H1 2015

SAM 2015 Update 9

Tranche 1: Governance and Risk Management

This will largely be based on Board Notice 158, but further supplemented in the

following areas:

ORSA requirements;

Risk appetite requirements;

Requirements for the Head of Actuarial Control;

Group governance and risk management requirements; and

Governance and risk management requirements applicable to branches

of foreign reinsurers and Lloyd’s.

Tranche 2: Financial Soundness requirements

The financial soundness requirements will be based on the third South African

Quantitative Impact Study (SA QIS3), as adjusted for in Annexure A of the

Comprehensive Parallel Run Technical Specifications.

Further adjustments will be included to allow for the latest versions of the

Discussion Documents and Position Papers released by the SAM Governance

Structure, as well as specific steer provided by the FSB for those areas on which

consensus has not been possible through the SAM Governance Structure.

These have previously been highlighted in the SAM Comprehensive Parallel Run

technical specifications and are included below:

The treatment of ring-fenced funds for cell captive insurers;

The calculation of operational risk for linked insurance;

Contract boundaries for reinsurers;

Credit risk parameters;

Non-life underwriting risk component of the Solvency Capital

Requirement;

The application of the reinsurance regulatory reforms;

The treatment of the Surrender Value Gap;

The valuation of insurance participations; and

Further clarification on aspects of the group solvency calculation.

Tranche 3: Reporting requirements

This tranche will mainly consist of templates for reporting, and forms to be used

for applications, notifications and exemptions under the Insurance Act. These

templates and forms will be set out as information to be submitted for

supervisory purposes as envisaged under the Insurance Act, rather than forming

part of the subordinate legislation.

SAM 2015 Update 10

The solo annual and quarterly reporting templates have been extensively

consulted on and are currently being tested through the Parallel Run. Given the

extensive consultation that has already taken place, it is expected that the only

changes to the reporting templates will be those arising from the testing

conducted in the parallel run process.

A draft proposal for the auditing requirements of the solo annual return has been

published and comments have been received on the proposals. Currently, the

FSB is working together with IRBA and the external auditors to finalise the

auditing requirements. The Comprehensive Parallel Run will also require

insurers to submit a questionnaire on the audit preparations that insurers are

making ahead of full implementation.

As with the solo reporting templates, the group reporting templates have also

been tested extensively, with the current version of the group templates similar to

that used within the QISs and the light parallel run. It is also expected that there

will not be major changes to the group reporting template.

Although the full set of reporting templates is close to final, a decision must still

be made on what components of the returns should be made publicly available.

A proposal for the qualitative returns is currently being considered within the

SAM Governance structure and is expected to be published by the end of June

2015. This proposal will then be tested through the Comprehensive Parallel Run

before being implemented with any necessary adjustments from 1 January 2016.

SAM 2015 Update 11

Leading up to the implementation of SAM from 1 January 2016, the industry has

been putting in a tremendous amount of effort to ready itself for SAM

implementation. Throughout the second half of 2014, insurers and insurance

groups completed the light parallel run. In 2015, the move to the Comprehensive

Parallel Run represents a significant step up in the level of preparation that is

expected of insurers and insurance groups.

The purpose of the Comprehensive Parallel Run is to allow insurers and the FSB

to establish and test resources, processes and systems ahead of the full SAM

implementation. In this phase, insurers will be required to produce most of

quarterly and annual quantitative, qualitative and group reporting, along with a

mock ORSA report. Specifically, insurers will be expected to calculate and report

on most of the quarterly and annual Pillar I calculations, and be expected to

report on these calculations using the developed quantitative reporting templates

(QRTs) along with the qualitative reporting requirements. There are certain areas

where full reporting may not be required.

The full specification for the SAM Comprehensive Parallel Run was published in

December last year, setting out the details of what will be required to be

submitted to the FSB during the SAM Comprehensive Parallel Run. The table

below lists the various components of the Comprehensive Parallel Run, along

with the timing and the sources and version of the templates that need to be

completed.

Implementation for Insurers

Comprehensive

Parallel Run

SAM 2015 Update 12

Table 1: Comprehensive Parallel Run Submission summary

Throughout the Comprehensive Parallel Run the process will be supported

through a dedicated e-mail address and a Q&A process. Any queries in this

regard should be submitted to SAM.ComprehensivePR@fsb.co.za.

Even though a lot of effort is being put into conducting the Comprehensive

Parallel Run and preparing for the SAM regime, it should be remembered that

the Long-term and Short-term Insurance Acts (“the Insurance Acts”) remain the

statutory basis that will apply in assessing the financial soundness of insurers

during this period. There will therefore be no exemption from the financial

soundness requirements for insurers under the Insurance Acts as at their 2015

year-end and continuously throughout the year. Similarly, the FSB must comply

with their requirements to report industry statistics based on the Insurance Acts

throughout 2015.

However, the FSB recognises that the focus of effort will be shifting from the

Insurance Acts to the new SAM Framework. From this point of view, it is sensible

28 Feb, 31 May,

31 Aug, 30 Nov

31 Mar, 30 Jun,

30 Sep, 31 Dec

31 Jan, 30 Apr,

31 Jul, 31 Oct

CPR Quarterly

Submissions

Q1 B CPR v1 31 January 2015 28 February 2015 31 March 2015

Q2 B v2 CPR v2

Q3 B v2 CPR v2

Q4 B v2 CPR v2

CPR Annual

Quantitative SubmissionC

CPR Annual

QRT v2CPR External Audit

SurveyF N/A

CPR Annual Qualitative

SubmissionE N/A

Mock ORSA

CPR Group Submissions

Small Insurance

GroupsD N/A

Large Insurance

GroupsD N/A

Year-End

One return to be submitted 3 months after year-end

Two returns, one 3 months after half-year end and

one 3 months after year-end

Submissions Due

31 August 2015

31 August 2015

Annexure of

CPR

specifications

Template

Version

Free Form

31 May 2015

31 August 2015

30 November 2015

Due Date

5 months after year end (year-ends from 31 Aug to

31 Dec need to submit by 31 May 2015)

Later of 31 August 2015 or when CPR Annual

Quantitative is due

Transition to

SAM

implementation

SAM 2015 Update 13

to reduce the reporting requirements under the current Insurance Acts, while

maintaining the returns under the SAM basis, as discussed below.

Reporting under the SAM basis

For those insurers whose year-ends fall between January and July, the transition

will be straight forward. The 2015 year-end will fall within the scope of the

Comprehensive Parallel Run, and the SAM requirements will be in place for the

2016 year-end.

For those insurers whose financial year-end falls between August and

December, the Comprehensive Parallel Run annual return will be based on the

2014 year-end data, and must be submitted to the FSB by 31 May 2015.

However, the first annual return that will be required under the SAM live

environment will be for the 2016 year-end date, resulting in a gap for the 2015

year-end date.

In order to avoid this gap, insurers will be required to produce a SAM annual

return for the 2015 year-end date, to be reported on within 5 months after the

year-end date. The specification for the return will be in line with the

requirements as set out in the Comprehensive Parallel Run. This will help

insurers to further prepare for the SAM reporting requirements, while giving the

FSB information to use in their forward-looking risk-based approach to

supervision.

For all insurers, quarterlies for the calendar quarter ending 31 December 2015

should be completed and submitted to the FSB by the end of February 2016.

Reporting under the Insurance Acts

For those insurers highlighted above with financial year-ends between August

and December that will be required to submit an additional annual return under

SAM, the statutory annual return as required under the Insurance Acts will be

reduced. The reduced annual return will be based on the quarterly report, but

enhanced in some areas, for example the addition of an analysis of surplus for

long-term insurers. The FSB will also determine what additional information will

be required to be completed to allow the FSB to fulfil its requirements for the

reporting of industry statistics.

Please note that even though these returns will be reduced, the same auditing

requirements will apply to those components that need to be submitted.

There will be no changes to the current reporting requirements for the quarterly

returns.

The changes highlighted above are summarised in Table 2 below.

SAM 2015 Update 14

Table 2: Transitional reporting arrangements

Other transitional considerations

In addition to transitional arrangements for reporting, further arrangements will

be required for the smooth transition from the Acts to the SAM Framework.

In the Insurance Bill, there are specific transitional provisions that have been

specified. One of these provisions allows for all insurers which are registered

under the current Acts to continue to exist as an insurer under the new Insurance

Act. A period of two years has been provided for the relicensing of all insurers

under the new Insurance Act. This transitional provision also states that the

Registrar must provide guidance on the process for relicensing.

Annual Quarterly Annual Quarterly

31-Jan-15Full reporting

31-May-15

CPR

30-Jun-15

28-Feb-15Full reporting

30-Jun-15

CPR

31-Jul-15

31-Mar-15Full reporting

31-Jul-15

CPR

31-Aug-15

30-Apr-15Full reporting

31-Aug-15

CPR

30-Sep-15

31-May-15Full reporting

30-Sep-15

CPR

31-Oct-15

30-Jun-15Full reporting

31-Oct-15

CPR

30-Nov-15

31-Jul-15Full reporting

30-Nov-15

CPR

31-Dec-15

31-Aug-15Reduced reporting

31-Dec-15

Additional CPR return

31-Jan-16

30-Sep-15Reduced reporting

31-Jan-16

Additional CPR return

29-Feb-16

31-Oct-15Reduced reporting

29-Feb-16

Additional CPR return

31-Mar-16

30-Nov-15Reduced reporting

31-Mar-16

Additional CPR return

30-Apr-16

31-Dec-15Reduced reporting

30-Apr-16

Additional CPR return

31-May-16

2016 No reporting No reporting

Full SAM reporting

Submission 4 months

after year-end

Full SAM reporting

Submission 1 month

after calendar quarter

end

Fin

an

cia

l

Ye

ar

En

d

Full reporting

Submission 1 month

after financial quarter

end

Current reporting SAM reporting

Transitional Reporting

As per CPR technical

specifications

Additional quarterly

as at 31-Dec-2015

Submission 2 months

after calendar quarter

end

SAM 2015 Update 15

There is also a specific transitional arrangement which deems key persons and

significant owners as meeting the fit and proper requirements up to the point

when the insurer is relicensed under the new Insurance Act.

In addition to the specific transitional arrangements mentioned, the Bill also

provides the Registrar with wider powers to exempt insurers or insurance groups

from specific provisions of the new Act, allowing the Registrar further flexibility in

applying transitional arrangements. This includes transitional arrangements with

respect to capital requirements.

As the effective date for SAM approaches, there will be continued

communication to stakeholders to ensure that everything is progressing as

planned. The FSB intends to use the following channels to communicate to

stakeholders:

There are two dedicated workshops planned for 2015 dealing with

subordinate legislation and SAM Comprehensive Parallel Run issues. It is

expected that these workshops will take place in Q3 and Q4 of 2015;

The FSB will continue to publish SAM newsletters to inform stakeholders

of the latest SAM developments; and

E-mails to SAM Co-ordinators and Public Officers will continue to be used

to disseminate information as and when required.

Where insurers have SAM specific issues, they are encouraged to make use of

their existing contacts with the FSB supervisory team to escalate these issues.

Communication

to stakeholders

SAM 2015 Update 16

Introduction

While there is a great deal of implementation activity that will be expected of

insurers, the FSB will also be undertaking extensive implementation measures

around the training, processes and systems that need to be put in place in order

for the FSB to regulate the insurance industry on a SAM basis in their business

as usual environment.

An internal training plan has been developed to leverage off the information that

will be submitted to the FSB as part of the Comprehensive Parallel Run.

Structured training on topics is combined with real information from insurers that

can be discussed in a workshop environment to simulate the supervisory

analysis that will need to be conducted in a SAM environment.

The Comprehensive Parallel Run will also assist the FSB to enhance the

information used to inform the ongoing risk-based supervisory process.

In February 2011 the Minister of Finance announced that South Africa would be

shifting to a “Twin Peaks” model of financial regulation, which will see a series of

wide-ranging reforms to improve the institutional structures that support financial

regulation in order to deal with system-wide macroprudential risks. This will be

achieved by separating the oversight of market conduct regulation (regulating

how firms conduct their business, design and price their products and treat their

customers) from prudential regulation (regulating financial institutions’ solvency

and liquidity). This will formally be structured as follows:

A Prudential Authority (PA) within the SARB, responsible for the oversight

of the safety and soundness of banks, insurers, financial conglomerates

and key financial market infrastructure.

A Financial Sector Conduct Authority (FSCA) to protect customers of

financial services firms, and to improve the way financial service

providers conduct their business. This Authority will also be responsible

for ensuring the integrity and efficiency of financial markets, and

promoting effective financial consumer education.

The exact date of Twin Peaks implementation has yet to be determined, but it is

expected that a revised version of the Financial Sector Regulation Bill, giving

effect to Twin Peaks, will be tabled in Parliament during the second half of 2015.

Depending on final decisions with respect to the enactment, this should allow the

Twin Peaks model to come into effect during 2016.

Implementation for the FSB

SARB, Twin

Peaks and a

consistent

Twin Peaks

SAM 2015 Update 17

Even though Twin Peaks is not formally in place, a Prudential Authority Implementation Working Group (PAIWG) has been established to consider how the Prudential Authority could be structured along with the processes to be used for the prudential supervision of banks, insurers, financial markets infrastructures and financial conglomerates.

The SAM implementation activity is being co-ordinated and aligned with the

wider implementation activity for the establishment of the prudential authority

conducted by the PAIWG.

SAM 2015 Update 18

Introduction

Under SAM, insurers will be able to calculate the SCR using their own full or

partial internal model as an alternative to the standard formula, subject to

approval by the FSB through an internal model approval process (IMAP)4.

The FSB will consider granting approval to use the regulatory capital amount

calculated using an approved internal model with immediate effect from the SAM

implementation date of 1 January 2016, on condition that the internal model has

been running throughout the Comprehensive Parallel Run, alongside the

standard formula, to the satisfaction of the FSB.

The FSB’s pre-application review of the internal models of insurers that have

already entered the IMAP process is ongoing. This has been a robust process

with continuous engagements between the insurers and the FSB. The FSB

released an IMAP Update in 2014 5 to share lessons learnt throughout the

engagements. The IMAP Update covers findings from both a process as well as

a technical point of view.

Any insurer contemplating entering the IMAP process is advised to engage the

FSB in open dialogue as early as possible. Such insurers are also advised to

consult the IMAP Update available on the FSB’s website.

______________________________

4 https://www.fsb.co.za/Departments/insurance/Documents/FSBIMAPGuide.pdf

5 http://www.fsb.co.za/Departments/insurance/Documents/SAM IMAP Update 2014.pdf

IMAP

SAM 2015 Update 19

A guiding principle of the SAM development process is that SAM should comply

with the criteria for Solvency II third-country equivalence, but should also

accommodate the unique requirements of the South African insurance industry.

The FSB has been in discussions with the European Insurance and

Occupational Pensions Authority (EIOPA) on the SAM developments in South

Africa. This has included the completion of a survey conducted by EIOPA to

understand the current and future regulatory framework for insurers in South

Africa. The Financial Services General Laws Amendment Act introduced in 2014

enhanced the professional secrecy provisions under which the FSB operates,

and the survey sent to EIOPA has been updated to reflect this. EIOPA has

provided its findings to the European Commission, and it is now up to the

European Commission to determine how to treat South Africa for Solvency II

purposes.

The IAIS has committed to developing an Insurance Capital Standard (ICS) for

Internationally Active Insurance Groups 6 by 2019. At the planned time of

implementation, it is expected that there may be some IAIGs either based in the

South African market, or with significant subsidiaries within the South African

market, depending on exchange rate fluctuations and growth rates.

If SAM is significantly different to the ICS, there may be an unlevel playing field

for South African IAIGs or subsidiaries of IAIGs operating in South Africa

compared to the rest of the South African insurance sector. It is thus in South

Africa’s best interest for SAM to align to the ICS. Given the potential impact that

such a standard may have on the South African market, the FSB has been

actively involved in the development of the ICS. The ICS is still at an early stage

of development, with the first field testing exercise conducted in 2014 and the

second exercise scheduled for 2015. Although the development is at an early

stage, it is encouraging to note that there are many similarities between SAM

and some of the aspects of the ICS.

______________________________

6 The IAIS has defined an IAIG to be an insurance group which:

Has insurance assets in excess of $50bn or gross premium in excess of $10bn; and

Premiums are written in at least 3 jurisdictions, and at least 10% of the premiums are

written outside the home jurisdiction

International developments

SII

equivalence

process

IAIS

developments

SAM 2015 Update 20

ntroduction

The FSB and all other stakeholders have invested substantial time and

resources over the last six years to develop the SAM Framework. The

commitment shown by all stakeholders involved in this project has been

tremendous, and much has been achieved. The SAM project is close to

conclusion, but a final push is required from everyone to ensure that the project

reaches its full implementation.

The introduction of SAM facilitates a forward-looking and risk-based approach to

insurance supervision. The SAM framework will also enhance risk management

within the insurance industry. The alignment of risk to capital and enhanced

management and supervision of risk is expected to lead to a more financially

stable insurance industry. This in turn is expected to lead to a more stable

financial sector due to the interconnectedness of the South African financial

sector, ultimately to the benefit of policyholders and overall economic

development.

The FSB would like to thank the industry and all stakeholders that have shown

commitment to the development and implementation of the SAM project. Without

their continued support, the implementation of the SAM Framework would not

have been possible.

Conclusion

SAM 2015 Update 21

Note:

Discussion Document 3 is available on the SAM website for further detail.

Final position papers (Final PP) are those that have been finalised and approved by

the SAM Steering Committee not to be published again.

Position papers (PP) have been approved by the SAM Steering Committee but are

still open for inputs before being declared final.

Discussion documents and final discussion documents (DD) are under

development and still in the process of being escalated through the SAM structures.

FINAL POSITION PAPERS

Doc number:

Current status

SAM Committee or Task Group allocation:

Pillar Document title: Version

No:

12 Final PP Reporting Pillar III High Level principles of information to be

received by the supervisory authority (v 4)

14 Final PP Reporting Pillar III Solvency and Financial Condition Report:

Undertakings using an approved internal model (v 3)

15 Final PP Reporting Pillar III Structure of the Regulatory Return (v 3)

16 Final PP Reporting Pillar III Single group wide Regulatory return (v 7)

17 Final PP Reporting Pillar III Report to Supervisors: Undertakings reporting

and disclosure policy (v 4)

19 Final PP Reporting Pillar III Level of harmonisation and quantum of data (v 4)

21 Final PP Reporting Pillar III Process of Reporting and Disclosure (v 5)

22 Final PP Reporting Pillar III Mandating an External Audit (v 3)

23 Final PP Reporting Pillar III Supervisory enquiries (v 3)

24 Final PP Reporting Pillar III Information on contracts and from external

experts (v 2)

25 Final PP Capital Resources Pillar I Own Funds – Supervisory Approval of Ancillary

Own Funds (v 4)

26 Final PP Capital Resources Pillar I Classification and Eligibility of own funds (v 11)

27 Final PP Insurance Groups Pillar I Group own funds (v 7)

Annexure 1: List of discussion documents and

position papers

SAM 2015 Update 22

28 Final PP Capital Resources Pillar I Treatment of Expected Profits Included in Future

Cash Flows as a Capital Resource (v 6)

30 Final PP Technical Provisions Pillar I Counterparty default adjustments to recoverable

from reinsurance contracts and SPV’s (v 5)

32 Final PP Technical Provisions Pillar I Methods and approaches to best estimate

liabilities (v 6)

33 Final PP Reporting Pillar III Regulatory Balance Sheet (Article 51 (1) (d))

Detailed content of SFCR and RTS (v 4)

34 Final PP ORSA Pillar II Own Risk and Solvency Assessment (v 7)

34a Final PP ORSA Pillar II Errata to Position paper 34 (v 7) (v 7)

35 Final PP ORSA Pillar II Use Test (v 6)

36 Final PP Reporting Pillar III Contents of SFCR and RSR: Capital

Management (v 7)

39 Final PP Assets Pillar I Assets and liabilities other than technical

provisions (v 8)

39a Final PP Assets Pillar I Errata to Position Paper 39 (v 8) titled “Assets and liabilities other than technical provisions”

(v 8)

41 Final PP Technical Provisions Pillar I Contract Boundaries (v 8)

42 Final PP Technical Provisions Pillar I Calculation of technical provisions as a whole (v 2)

43 Final PP Internal Models Pillar I Internal Models: Validation (v 2)

45 Final PP Capital Requirements Pillar I Currency Risk (v 3)

47 Final PP Capital Requirements Pillar I Equity Risk (v 4)

48 Final PP Capital Requirements Pillar I SCR Standard formula - Correlations (v 4)

49 Final PP Reporting Pillar III SFCR & RSR Executive summary, Business and

Performance (v 5)

51 Final PP Reporting Pillar III Detail contents of SFCR and RSR: System of

Governance (v 4)

52 Final PP Reporting Pillar III Solvency Financial Condition Report (SFCR) and Report to Supervisor (RSR) : Detailed

Requirements - Risk Profile (v 4)

54 Final PP Internal Models Pillar I Internal Models: Model Governance (v 4)

55 Final PP Internal Models Pillar I Internal Models: Statistical Quality and

Calibration (v 2)

56 Final PP Internal Models Pillar I Internal Models: Documentation and Data

Requirements (v 3)

57 Final PP Internal Models Pillar I Partial Internal Models (v 2)

SAM 2015 Update 23

59 Final PP Capital Requirements Pillar I Life SCR - Lapse Risk (v 4)

61 Final PP Capital Requirements Pillar I SCR Standard Formula: Operational Risk (v 5)

63 Final PP Capital Requirements Pillar I Life SCR – Expense Risk (v 3)

64 Final PP Capital Requirements Pillar I Life SCR – Longevity Risk (v 4)

65 Final PP Capital Requirements Pillar I Life SCR – Disability-Morbidity Risk (v 4)

66 Final PP Capital Requirements Pillar I Life SCR – Mortality Risk (v 4)

67 Final PP Capital Requirements Pillar I Life SCR – Revision Risk (v 2)

70 Final PP Capital Requirements Pillar I Property Risk (v 3)

71 Final PP Governance Pillar II System of Governance (v 7)

73 Final PP Capital Requirements Pillar I Treatment of new business in SCR (v 3)

74 Final PP Capital Requirements Pillar I Minimum Capital Requirement (MCR) (v 4)

75 Final PP Capital Requirements Pillar I Treatment of risk mitigation techniques in the

SCR (v 5)

77 Final PP Capital Requirements Pillar I Removal of Health SCR Module in SAM (v 3)

83 Final PP FSB Pillar II The Role of the Statutory Actuary (v 6)

85 Final PP Insurance Groups Pillar I

Treatment of insurance operations (in “non equivalent” jurisdictions) , under the final

measures to regulate the solvency of South African Insurance Groups ("Groups")

(v 9)

88 Final PP Stress Testing Pillar II Macro Prudential Stress Testing (v 4)

89 Final PP Capital Requirements Pillar I Calculation of SCR on total balance sheet (v 3)

92 Final PP Insurance Groups Pillar I Assessment of Group Solvency (v 10)

93 Final PP Insurance Groups Pillar I Group Governance (v 5)

94 Final PP Capital Requirements Pillar I Interest Rate Risk (v 4)

96 Final PP Stress Testing Pillar II General Stress Testing Guidance for Insurance

Companies (v 4)

97 Final PP Stress Testing Pillar II Group Consideration for Stress Testing (v 5)

102 Final PP Capital Requirements Pillar I Life SCR - Structure and Correlations (v 3)

SAM 2015 Update 24

103 Final PP Internal Models Pillar I The Treatment of New Business on Internal

Models under SAM (v 4)

105 Final PP Capital Requirements Pillar I Market Risk SCR – Structure & Correlations (v 3)

106 Final PP Capital Requirements Pillar I Implied Volatility risk (v 3)

107 Final PP ORSA Pillar II Own Risk and Solvency Assessment - Further

Guidance (v 6)

108 Final PP Capital Requirements Pillar I Life SCR - Retrenchment Risk (v 4)

112 Final PP Capital Requirements Pillar I Loss-absorbing capacity of deferred taxes (v 3)

114 Final PP Technical Provisions Pillar I Simplifications (v 2)

POSITION PAPERS

Doc number:

Current status

SAM Committee or Task Group allocation:

Pillar Document title: Current Version

No:

2 PP Steering Committee SC The inclusion of non represented insurance

companies (v 1)

6 PP Steering Committee Pillar I Interim measures relating to technical

provisions and capital requirements for short term insurers

(v 2)

9 PP Steering Committee Pillar III The Communications Strategy Proposal (v 3)

37 PP Technical Provisions Pillar I Risk Margin (v 6)

40 PP Technical Provisions Pillar I Risk Free Rate: Dashboard (v 3)

44 PP Capital

Requirements Pillar I Concentration Risk (v 3)

50 PP Reporting Pillar III

Detailed contents of SFCR & RSR: Quantitative, Qualitative and supplementary

internal model disclosure and reporting requirements.

(v 6)

62 PP Capital

Requirements Pillar I

Life SCR – Catastrophe Risk (for Mortality and Morbidity)

(v 5)

76 PP Capital

Requirements Pillar I

Loss Absorbing Capacity of Technical Provisions

(v 4)

87 PP Technical Provisions Pillar I Future Management Actions in Technical

Provisions (v 6)

109 PP Capital

Requirements Pillar I Solvency Capital Requirements Structure (v 3)

SAM 2015 Update 25

DISCUSSION DOCUMENTS

Doc number:

Current status

SAM Committee or Task Group allocation:

Pillar Document title: Current Version

No:

1 DD FSB Pillar I Interim measures for Insurance Groups (v 10)

3 DD SAM - SAM Discussion Document and Position Paper

Index. -

7 DD Insurance Groups Pillar I Background to Insurance Group Supervision (v 2)

8 DD Insurance Groups Pillar I Proposal for Insurance Groups (v 2)

10 DD Governance Pillar II Interim measures: The System of Governance (v 6)

11 DD Communication Pillar III

A comprehensive glossary based on Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking up and pursuit of the business of Insurance and

Reinsurance (Solvency II)

(v 2)

13 DD Reporting Pillar III Undertakings disclosure policy (v 2)

18 DD Reporting Pillar III Structure of the Report to Supervisors (v 3)

20 DD Reporting Pillar III Quantum of data (v 2)

29 DD FSB Pillar I Authorisation and reporting classes of business

under SAM (v 9)

30a DD Technical Provisions Pillar I Errata to PP 30 Draft

31 DD Technical Provisions Pillar I Illiquidity Premium (v 2.1)

38 DD Insurance Groups Pillar I Third country equivalence for Insurance Groups (v 1)

39b DD Assets Pillar I Second Errata to Position Paper 39 (v. 8) (v 8)

46 DD Capital Requirements Pillar I Illiquidity Premium Risk (v 2)

53 DD Capital Resources Pillar I Treatment of Participation in Financial and Credit

Institutions in Own Funds (v 10.2)

58 DD Capital Requirements Pillar I SCR Structure – Credit and Counterparty Default

Risk (v 3)

60 DD Technical Provisions Pillar I Segmentation (v 1.3)

64, 65, 66 a

DD Capital Requirements Pillar I Errata to Final Position Papers 64 (v 2) , 65 (v

2) and 66 (v 2) Allowance for Future management Actions in SCR Sinplifications

(v 1)

68 DD Capital Requirements Pillar I SCR – Simplifications for First Party Insurance

Structures (v 3)

SAM 2015 Update 26

69 DD Capital Requirements Pillar I Cancelled (v 1)

72 DD Capital Requirements Pillar I User Specific Parameters in the Standard

Formula for SCR calculation (v 2.4)

78 DD Capital Requirements Pillar I Non-Life Underwriting Risk: Structure and

Calibration (v 2.1)

79 DD Capital Requirements Pillar I Incorporated into DD 78 (v 3) -

80 DD Capital Requirements Pillar I Incorporated into DD 78 (v 3) -

81 DD Governance Pillar II Interim Requirements – Governance, Risk

Management, Internal Controls (v 2)

82 DD Insurance Groups Pillar I Final Measures for Insurance Groups (v 3)

84 DD Stress Testing Pillar II Incorporated into DD 88 -

86 DD Reporting Pillar III Regulatory Reporting Materiality (v 2)

90 DD Capital Requirements Pillar I Ring fenced funds (v 1)

91 DD Reporting Pillar III

Quantitative Reporting Templates (QRT’s) : Solvency Capital Requirement (SCR) and

Minimum Capital Requirement (MCR) - ASSETS templates

(v 3)

91 DD Reporting Pillar III

Quantitative Reporting Templates (QRT’s) : Solvency Capital Requirement (SCR) and

Minimum Capital Requirement (MCR) - Life Technical Provisions templates

(v 4)

91 DD Reporting Pillar III

Quantitative Reporting Templates (QRT’s) : Solvency Capital Requirement (SCR) and

Minimum Capital Requirement (MCR) - Non-Life Technical Provisions templates

(v 5)

91 DD Reporting Pillar III

Quantitative Reporting Templates (QRT’s) : Solvency Capital Requirement (SCR) and

Minimum Capital Requirement (MCR) - Own Funds, SCR, MCR and Non-Life Movement

Analysis Reporting templates

(v 6.1)

91 DD Reporting Pillar III

Qualitative Regulatory Return (executive summary and business performance; system of

governance; risk profile; regulatory balance sheet and capital management

Draft

95 DD Capital Requirements Pillar I Treatment of liquidity risk (including that arising from the expected profits included in future cash

flows (EPIFC)) (v 2)

98 DD Capital Requirements Pillar I Superseded by DD 53 -

99 DD Technical Provisions Pillar I Cancelled – relevant feedback incorporated into

DD 58 (v 3)

101 DD Capital Requirements Pillar I Dissolved and incorporated into other discussion

documents policyholder behaviour (v 1.2)

104 DD Capital Requirements Pillar I Treatment of pure linked insurance products Draft

105a DD Capital Requirements Pillar I Errata to Position Paper 105 (v 3) – Market

Risk Structure & Correlations (v 3)

SAM 2015 Update 27

110 DD Insurance Groups Pillar I Intragroup Transactions: Intra Group Support

Measures (v 1.5)

111 DD Capital Requirements Pillar I SCR Credit and Counterparty Default Risk (v 1)

113 DD Technical Provisions Pillar I The calculation of tax in technical provisions (v 2)

115 DD Reporting Pillar III Qualitative Regulatory Return (QRR) (v 1.2)

116 DD ORSA Pillar II Principles for the Mock ORSA – Further

Guidance (v 1.1)

117 DD Insurance Groups Pillar I A Comprehensive Glossary of SAM Terms (v 2)