RBC First Quantitative Impact Study General Business ...€¦ · difference between the gross and...

RBC First Quantitative Impact Study

General Business - Technical Specifications (as at 29/11/2017)

Date of receiptSection /

sheetPara. / Cell Questions Answers

15/9/2017 2 15., 16.

Our company operates branches outside of Hong Kong (e.g. Macau), and

incept insurance policies in overseas branches on direct basis.

Question 1: the related premiums and insurance liabilities from our overseas

branches shall be reported in QIS 1 template?

Question 2: if the answer to Question 1 is "yes", then these premiums and

insurance liabilities from our overseas branches should be categorized

under "Direct Insurance" in QIS 1 template? (which will be combined with

our direct premiums and insurance liabilities from local Hong Kong market)

- Q1: Yes, please include the onshore and offshore

business in the QIS 1 template.

- Q2: Yes, the premiums and insurance liabilities from

onshore and offshore business should be categorized

under "Direct Insurance" in QIS 1 template.U33

8/11/2017 3 15

We noted that the QIS Reporting should be carried out at the solo entity

level. We have some investments (properties, equity and debt securities,

etc) being held under HK and overseas investment subsidiaries, shall we

include those assets for the QIS Reporting purpose? If yes, shall we also

include liabilities under those investment subsidiaries.

- Please refer to paragraph 54III and 54VII of the tech

specs

- In QIS 1, look through is required for the real estate held

through a special purpose property holding company, while

the investment in subsidiary is presented as a single line

item using accounting value.





7/11/2017 6 57 & 67

Comparing some references about "Reinsurance Recoverable" in GL12 and

the Technical Specification:

GL12 (June 2017)

(e) “reinsurance recoverable” includes the reinsurer’s share of Unearned

Premium Reserve, the reinsurer’s share of mathematical reserve for long

term business and the reinsurer’s share of Claims and Claims Reserves,

together with other amounts due from the reinsurer in respect of

reinsurance contracts.

HKRBC Technical Specification for QIS1 (General Insurance)

SECTION 6 --- 57.

Reinsurance assets are the sum of (i) reinsurance recoverables and (ii)

reinsurers’ share of premium liabilities. For further guidance on these,

please refer to Section 8.

SECTION 8 --- 67.

II. Estimate of Reinsurance Recoverables: This is calculated as the

difference between the gross and net claims liabilities.

In sheet "P5_Credit Default Risk" , "1 Reinsurance Recoverables Credit

Default Risk", I followed QIS1 Tech Spec's definition (i.e. Reinsurance

Recoverables = Gross - Net Claims Liabilities).

My question is : for the second part of reinsurance assets "(ii) reinsurers’

share of premium liabilities", is it subject to any credit default risk charge? If

yes, where shall the balance goes into in the QIS 1 template?

- The reinsurers' share of premium liabilities is not tested

on credit default risk in QIS 1.

13/11/2017 7 58

We have accounting concession granted by IA, however, we still have to

prepare Part 9 under the current Cap.41 but modified to report onshore

business only. In this case, Part 9 data(onshore only) is not on the same

basis as HKFRS (onshore + offshore) and so not identical, please advise

what we should fill in for column G10 (S1_EBS Summary) of the General

Template.

- If you have the accounting concession granted, please

follow the branch accounting basis to report the Column G

in <S1>.





9/11/2017 8 68

The description "Premium liabilities is the maximum of the unearned

premium reserve (UPR) net of deferred acquisition costs, and the unexpired

risk reserves (inclusive of the risk margin)" is not consistent with the

calculation in the spreadsheet "L2_Premium Liabilities". In the spreadsheet,

Premium Liabilities is the maximum of the unearned premium reserve

(UPR) gross of deferred acquisition costs, and the unexpired risk reserves

(inclusive of the risk margin)

- Please refer to paragraph 71 of the technical specification

for the definition of Premium Liabilities. It is consistent with

the current Cap 41 basis that premium liabilities is not net

of DAC.

18/10/2017 8 79

We would like to confirm that the discounting of claims and premium

liabilities should be using the "spot" yield curve, not the "forward" curve

given in the Annex tab 1.1

- You can use either. If you use spot rate, please take the

correct year (power); if you use forward rate, please take

the product of the forward rate until the correct period.

9/10/2017 8 102

The most critical question is about "Contract Boundaries" and §102: If I

interpret it correctly, we have to take into account all policies of the renewal

2016->2017! Thus, if we had underwritten HKD 20m renewed or new

business, we have to add them for the UPR / URR estimates. Am I right or

wrong? As a consequence, this will boost the premium liabilities - in the

current practice for Hong Kong, there was a nil in the balance sheet as of

YE-2016 for these treaties.

-The interpretation is correct. Please follow the technical

specification in QIS 1. At this stage, IA would like to collect

the data for calibration purpose.

18/10/2017 8 102

Question on Contract Boundaries for reinsurance treaties. For example, if

we have a non-proportional treaty that has a policy duration between

01/04/2016 - 31/03/2017, when we report the financials as at 31 Dec 2016,

only 3 quarters of premium would have been booked as written premium.

Would the remaining one quarter of premium be treated as "bound but have

yet to incept" business and to be included as UPR/URR?

- Correct.





16/8/2017 16 219

For D2 and D3 it states that the incurred claims is the sum of paid claims

and outstanding claims liabilities. Does it mean that this should equal to

summation of Form 6 and Form 7 of the Annual Return of General

Business, Part 8?

D2 and D3 state that gross and net paid and incurred (the

sum of paid claims and case reserves) claims triangles will

be collected for each line of business. The QIS 1 is

collected data from on-shore and off-shore. It is not

consistent to the current Form, which only receive the on-

shore business.

31/8/2017 16 219We want to clarify that are gross claim payments net of recoveries from

others other than reinsurance?

No, the gross claim payments should not include the net of

recoveries from others other than reinsurance.

The gross claim payments should not reflect any

reinsurance or other adjustments; the net claim payments

should reflect all adjustments such as reinsurance.

7/11/2017 16 219

Please clarify if the "Paid" claim figures in the Cumulative Paid Claim

Triangles are also inclusive of that portion of the paid claims (i.e. all POA

claim payments paid) within the Cumulative Incurred Claims Triangles

(Given that : The incurred claims is defined as the sum of paid claims and

outstanding claims liabilities).

-The interpretation is correct. The definition of paid claim

should be the same in Form 6.

7/11/2017 16 219

The collected data for accident year "2002 and prior" - Please clarify how

many years data to be accumulated and provided by Insurers (Given that

Insurers may be established for more than 50 years) and why it is necessary

for the IA to obtain those old data.

- In term on how many years data, please follow the

current Form 6 and 8 in Cap 41.

5/9/2017 Appendix 1 Lob classification

Definition of property damage-engineering vs property damage -

nonengineering. Can further elaborate other than what is stated in the

Appendix 1. Definition of Pecuniarly Loss as well. Is that business

interruption cover? If we insure power generators and chemicals, where can

we classify them?

- The definition of "property damage - engineering" is same

as that in quarterly return. The classification should be

consistent with the current quarterly return. Please use the

current classification under Cap.41 as your starting point,

and map it to the QIS 1 classification.

- If part of the insurance cover for loss of profit or incurring

of unforeseen expenses including advance loss of profit

under CAR and EAR policies, please report that portion

under Pecuniary Loss Business.





30/8/2017Line of

Business104 & Appendix I

Currently item 5a (Special Trades) is not treated as Construction EC

contracts and therefore related claims and premiums are grouped under

Non-Construction EC in item 5a (Special Trades) for reporting purposes.

However, under the QIS, item 5a (Special Trades) is classified as

Construction EC contract. In this situation, can we classify and group those

claims and premiums under item 5a (Special Trades) under Non

Construction EC contract?

Please classify and group (special Trades) claims and

premium in construction EC contracts under QIS basis;

classify and group (special Trades) claims and premium in

non-construction EC contracts under Cap 41 basis.


General Business - QIS Template (as at 29/11/2017)



3/10/2017G3_Exchange

rateswhole tab

In Life Q&A section G3_Exchange rates on 8/9/2017, it mentioned that it is

not compulsory to use the exchange rate set in the worksheet. May I

confirm is it the same situation in General Template? So that we can use

our company rate (tied to audited report) to complete currency mismatch in

P1 worksheet in General Template.

- Yes, it is also situable for General Template. However,

please ensure the checks are OK on <S3_Data Validation>

tab.

- In addition, please submit a separate document of the

internal exchange rate along with submission template.

16/8/2017S1_EBS

Summary

10b Receivables from

Affiliates

11e Receivables from

p/h, intermediaries and

reinsurers

11g Any other assets

10b will be filled in with receivales from HO and other branches; 10e will be

filled in with net premium receivable from cedants; 11g will be filled in with

sundry debtors, utiltities deposits, amount due from long term business, tax

recoverable. The items are measured at amortised cost less impairment

which is approximates to market value and thus will be used as the

economic value. Pls advise if otherwise and if not, pls advise how to

measure the economic value for these items.

- HKFRS basis accounting values should be used for EBS

except for those items discussed in section 5 of Life

technical specifications.

- The item amount due from long term business should be

eliminated under solo entity basis.

- The accounting values for Receivables and Other

liabilities are considered to be a reasonable economic

value.

16/11/2017S1_EBS

SummaryCell I18,Cell I19

We have investments in Collective Investment Schemes which invest in

derivative. The market values of these investments (cell I18 of tab S1_EBS

Summary) include the value of derivative. The template also requires us to

fill the value of derivative in cell I19 of tab S1_EBS Summary. Therefore, it

seems that the market value of derivative will be double counted.

- The cell I19 <S1> is not included any derivative from CIS.

Please include the investments in CIS (derivative) in cell

I18 <S1>.

- For your information, please do not include any derivative

CIS in cell E11, E12 and Row 15+ in <A6>; moreover,

please look through the CIS for the base case and shock

scenarios.

7/11/2017S1_EBS

SummaryColumn G and I

1. We have letter of credit reported in Part 9 business return, which is an off

balance sheet item under HKFRS basis. Please advise whether we need to

include it in ICO and QIS valuation. If so, please advise which line item shall

we include in ICO and QIS valuation, respectively.

- Please input the letter of credit under item 25 in the

<S2_Capital Summary> tab.

- Please also fill up <Q13> and <Q13.2> accordingly.

6/10/2017S1_EBS

SummaryE29 DAC

As premium liabilities is defined as the higher of UPR net of DAC and URR,

the premium liabilities number (in row 42 or item 13b) already includes DAC.

As such, why do we still need to disclose the DAC in row 29? If required, will

that have to be net DAC since there is no DAC line in the liabilities section of

the same worksheet?

- DAC is treated as an asset on the Balance Sheet under

accounting treatment. Given the approach of UPR/URR

for measuring the premium liabilities, it is proposed to

capture DAC assets in EBS for QIS 1.

- Please report the "Gross" DAC in Row 29.





29/9/2017S1_EBS

SummaryHKICO Valuation

For liabilities side, if the ICO valuation shall be consistent with what we have

reported in Part 9 Statement of Assets and Liabilities, the total liabilities shall

also include "Relevant Amount", which the template do not show the item.

Please advise do we have to report the "Relevant Amount" in the template.

If so, please also advise which item to input.

- If it is operated in Hong Kong as a branch, and has

obtained accounting concession and relaxation of valuation

rule, the ICO valuation should be based on the branch

accounts.

"Relevant Amount" is not necessary to be reported in the

balance sheet.

29/9/2017S1_EBS

SummaryHKICO Valuation

For liabilities side, if the ICO valuation shall be consistent with what we have

reported in Part 9 Statement of Assets and Liabilities, the insurance liabilties

are reported on a net basis in Part 9 liabilities whereas the gross liabilities

are required in QIS template. Please advise whether we should report the

RI portion of Part 9 insurance liabilities as Reinsurance Assets in QIS ICO

valuation column, which will result in inconsistency of Total Assets and Total

Liabilities between QIS ICO vs. Part 9.

- If it is operated in Hong Kong as a branch, and has

obtained accounting concession and relaxation of valuation

rule, the ICO valuation should be based on the branch

accounts.

Please report in gross basis in the <S1_EBS Summary>

tab (i.e. RI portion as reinsurance assets), with valuation

consistent with ICO reporting.

19/10/2017S1_EBS

Summary

Item 11b - Deferred

Acquisition Cost

There's no guidance on the market value of Deferred Acquisition Cost

("DAC") and retroceded DAC in the Technical Specification. Shall we follow

HKFRS basis (i.e. cost less amortization and impairment) or HKICO

valuation (i.e. non-admissible) to determine the market value of DAC and

retroceded DAC?

- Please follow the HKFRS basis.

23/11/2017S1_EBS

Summary

Item 11b - Deferred

Acquisition Cost

Item 16c - Other

liabilities

Taking note of the Q&A sent to IA on 6/10/2017 and 19/10/2017 about DAC,

is it correct that we should report "retroceded DAC" in row 53 Other

Liabilities?

- Yes, please report the retroceded DAC in row 53 other

Liabilities.

29/9/2017S2_Capital

Summary

19a. Ordinary Share

Capital

Hong Kong Branch's capital is effectively the account balances with Head

Office and we do not have any issued shares as a branch. Please advise

which item (19a - 19e) to input the Head Office Account.

- In reporting your 'Head Office account', please input the

retained earnings portion in HKFRS basis in "19c. Retained

earnings (HKFRS basis)". It is also reminded that

valuation differences arising from HKFRS to EBS should

be separately reported in 19d.

- Furthermore, report the breakdown of the Head Office

account in Q12, Supp Q12 Paid Up and Supp Q12 Non-

paid up. Please input "N/A" if there is not applicable.

- Where applicable, for example, if the Head Office handles

the investment centrally, the balance should be split into

assets and liabilities and reported under <S1_EBS

Summary> tab under look-through principle..





18/10/2017S2_Capital

Summary

20. Surplus of assets

over liabilities

We have available-for-sale financial assets, subject to mark-to-market

revaluation. The fair value increase from these assets are currently

classified as “other reserves” in audited financial statements. Please advise

which item (19a - 19e) to input revaluation reserve.

- Please report it in 19c.

6/10/2017S2_Capital

SummaryG19a to G19e

There was previously some clarification over where to classify the "share

capital" of branches. We were advised to include in the fact of the EBS. Will

that reduce the "surplus of assets over liabilities" and potentially lower

solvency ratio?

- The main purpose is to collect data and information in

QIS1. More details on capital resources will be considered

in QIS2.

19/10/2017S2_Capital

SummaryItem 19

We are a composite reinsurer, where part of the capital was injected from

general business to our long term business. How can we reflect this

reduction in general business capital in item 19? Also, how to account for

other reserves such as available-for-sale investment revaluation reserve,

share based payment reserve, etc. in item 19?

- Please reflect the capital injection from general business

to long term business in item 19c - retained earning.

- Please report the revaluation reserve and share based

payment reserve in item 19c - retained earning.

16/8/2017

S2_Capital

Summary

Q13

Borrowing &

Source of

Fund

19. Analysis of surplus

of assets over liabilities

21. Contribution of

specific items to

surplus over liabilities

23. Borrowings (paid

up)

25. Committed sources

of future funding (non-

paid up)

We are a HK branch of a German reinsurance company. Our net assets, ie,

the so called "shareholders equity" only includes a Head Office account

which is composed of capital injection from HO, minus our surplus fund

transfer to HO, plus retained earnings. In S2_Capital Resources and Risks

Results Summary, should this Head Office account amount be filled in the

19c. Retained earnings (HKFRS basis)? In our case I find items 21, 23 &

25 in S2 are not relevant and so these will be left blank. Pls advise if

otherwise.

Since there is no borrowing from affiliates and third parties, the Q13, Q13.1

& Q13.2 need not be completed, right?

- In reporting your 'Head Office account', please input the

retained earnings portion in HKFRS basis in "19c. Retained

earnings (HKFRS basis)". It is also reminded that

valuation differences arising from HKFRS to EBS should

be separately reported in 19d.

- Furthermore, report the breakdown of the Head Office

account in Q12, Supp Q12 Paid Up and Supp Q12 Non-

paid up, where applicable.





14/9/2017

S2_Capital

Summary

Q13

Borrowing &

Source of

Fund

19. Analysis of surplus

of assets over liabilities

21. Contribution of

specific items to

surplus over liabilities

23. Borrowings (paid

up)

25. Committed sources

of future funding (non-

paid up)

With refer to your reply, we reported "head office account" in the S2_Capital

Summary 19c. It's all make up of Non-Paid Up, how shall we disclose in

column "G" & "H" and also Q13.1 & Q13.2 as the "head office account"

make up of "capital from head office" and "retained earnings". For example,

capital from head office is not an instrument from third party, hence no

maturity date or incentive to redeem or distributions etc in Q13.1, and also

dislosure in Q13.2 for retained earnings. Shall we input N/A instead?

- In reporting your "head office account", please input the

retained earning portion in "19c. Retained earnings" in

<S2_Capital Summary> tab.

- For the "capital from head office", please split it into

assets and liabilities, and then report to <S1_EBS

Summary> tab.

- When you fill in the Q13, Q13.1 and Q13.2 tabs, please

input N/A if there is not applicable.

24/11/2017S3_Data

ValidationCell L162

Some of our CIS investments comprise of Other receivables/payables and

therefore, we input the amount under Liabilities/debt in tab "A5_CIS".

However, an error in cell N162 under tab "S3_Data Validation" prompt up as

Cell L162 under tab "S3_Data Validation" do not include Liabilities/debt in

tab "A5_CIS". Please advise.

'- The total market value of CIS should include the

liabilities/debt in <A5>. IA will correct the formula of the

total market value of CIS in <A5> and <A3> after receiving

the results in December.

- Please report the value of Liabilities/Debt for CIS in

negative value in <A5> tab.

13/11/2017S3_Data

ValidationL162

Regarding the collective investment scheme (CIS) investments, when the

amount of Liabilities/Debt is identified through “look-through test”, please

advise whether it should be included in the Market Value or not.

As we refer to the Cell L162 in tab S3_Data Validation, we found that the

value of Liabilities/Debt for CIS items was excluded in the Total Market

Value of QIS and thus received an Error sign in cell N162. Therefore, please

suggest any tab to report the value of Liabilities/Debt for CIS items.

- The total market value of CIS should include the

liabilities/debt in <A5>. IA will correct the formula of the

total market value of CIS in <A5> and <A3> after receiving


- Please report the value of Liabilities/Debt for CIS in

negative value in <A5> tab.

7/11/2017S3_Data

ValidationL62:68

Could be another error in the tab. In "A3_Fixed Income", we have no

securities that are subject to repo arrangement (i.e. cells K11:K30 are all

zeros). But in "S3_Data Validation", cells L62:68 returns some values which

causes error alert in the template.

- The L62:68 in <S3> tab had been wrongly referenced.

- IA acknowledges the comments.





15/11/2017A3_Fixed

Income

"Effective Duration" in

column I

Investment team advised that they just report with "Modified Duration", and

do not have the information of "Effective Duration" . Is it fine for us to leave

"Effective Duration" blank?- Noted. OK.

13/11/2017A3_Fixed

Income

1 Economic Balance

Sheet

Do the definition of "listed" and "unlisted" refer to ICO's list of foreign

exchange, ie Annex C of Insurance Companies (General Business)

(Valuation) Regulation Guidance Note?

- Yes

21/11/2017A3_Fixed

IncomeG29:K29

We have only fund investment for CIS (Collective Investment Scheme). In

cell G29, do we need to fill in the face value of fixed income from CIS? Do

we need to fill in H29 to K29?

- Please input as much as you can for cells G29:K29. You

would need some of the information for calculating the

stressed net assets amount.

14/11/2017A3_Fixed

IncomeH14

For the average term, please advise the term to adopted for perpetual

corporate bond for QIS purpose.- Please consider the term of the perpetual is 0.

21/11/2017A3_Fixed

IncomeK10

In cell K10, it mentions “ any amount subject to repo arrangements” What

does “repo arrangement” means?

- Repo is for repurchase agreements (sell/buy-backs). In a

typical example, Party A sells an asset to Party B at a price

at the start of the transaction and commits to repurchase

the assets back from the Party B at a different price at a

future date.





21/11/2017A3_Fixed

Income

Row 11-29, row 55-71,

row 95-111

In row 11-29, we need to fill in Average term, Effective Duration and

Modified duration for different class of Assets. Is these figures record the

weighted average value (by market value) of individual asset under the

same class of asset?

- Yes

21/11/2017A3_Fixed

IncomeRow 114-116

In row 114-116, we don’t have Sovereign Bonds. Do we need to fill in this

part?- Please input 0 if you do not have any Sovereign Bonds.

21/11/2017A3_Fixed

IncomeApart from listed Corporate Bonds, we have listed Financial Institution Bond.

Do we need to fill in this tab? If so, which class of asset we should fill in?- Please input as corporate bonds.

26/11/2017A3_Fixed

IncomeRow 29

We are not able to obtain or calculate the modified duration and average

term for some of our CIS investments. Can we leave cell H29, I29, J29,

K29 blank?

- If you are taking the no look through approach on the

CIS, you may not be able to get the modified and effective

duration. Please leave it blank in such case.

23/11/2017 A4_Equities EBS

For those equities listed in the stock exchange which is not in the IA's list of

foreign exchange, ie Annex 3 of GL 2 Guideline on Insurance Companies

(General Business) (Valuation) Rules, should we classify as emerging

market listed or non-listed investments

- Please base on the Appendix IV to classify the developed

markets for listed shares. If the shares are listed in

markets other than that in Appendix IV, please classify as

"emerging market listed"

30/8/2017 A4_Equities

Currently the stock is classified into 10 categories like Energy, Financial,

Health cares etc. Please advise the treatment if the stock did not fall into

any of the above categories, like CKH Holding (0001) is a conglomerates

company or Tracker Fund (2800) which not belong to any of the categories

in Column F to Column O.

- Please follow the MSCI sector definition.

- From your example, CKH Holding (0001) in Industrial,

and a special case , Tracker Fund (2800), please split the

tracker fund based on its characteristic such as track HSI

industry weighting.

13/11/2017

A4_Equities,

A9_Investmen

ts in Affiliates

Strategic investment

If the Investment in Associate also meet the defintion of Strategic

investments under para.54 section VIII of General tech spec document.

Should we report the market value of the Investment in Associate under

"Strategic Investment" on sheet A4 or "Investment in Associates" on sheet

A9?

- If there is no significant influence, please classify it as

"strategic investment" and value as fair value in <A4>.





23/11/2017 A5_CISCurrently, the CIS is allocated to Real Estate, Cash, Fixed income, equities,

Derivative, any unknown allocations and Liabilities/Debt. One of our CIS

invests in commodities. Which column should I put for the allocation?

Please put the commodities in the unknown allocations,

and document it in a NEW tab of the template.

26/9/2017A8_Reinsuran

ce Assets

Per technical specification page 15, reinsurance assets are the sum of (i)

reinsurance recoverable and (ii) reinsurers’ share of premium liabilities.

(i) Regarding Reinsurance recoverable, should we need to include

both Recoverable on case reserve and also IBNR? Or only recoverable on

case reserve is enough?

(ii) Regarding Reinsurers’ share of premium liabilities, should we

including both Ceded UEPR and also PDR adjustment? Or only Ceded

UEPR is enough?

(iii) Please also confirm Claims receivable is necessary or is not

necessary to include here?

We are able to split the Recoverable on case reserve and Ceded UEPR by

ultimate reinsurer but not IBNR and PDR because they are just reserve.

Would like to clarify with IA whether IBNR and PDR should be included or

not in worksheet A8 for QIS purpose. If yes, how should we allocate IBNR

and PDR among the rating band?

- (i) It should include the recoverable on case reserve and

IBNR (if available).

- (ii) It should include the unearned premium reserve and

premium deficiency reserve.

- (iii) Not necessary to include claims receivable

- Please pro-rata the IBNR based on the Recoverable on

case reserve, and pro-rata the PDR based on the ceded

unearned premium reserve in <A8_Reinsurance Assets>

tab. Moreover, ensure the check is ok on cell N165 in

<S3_Data Validation> tab.

- Please also document the pro-rata methodology in the

last questions of the <Q2_Lines of Business> tab.

19/10/2017A9_Investmen

ts in Affiliates

In the technical spec, investment in subsidiaries should be presented as a

single line item using accounting value from entity level accounting balance

sheet, where the accounting value is at cost. However, in the QIS template,

it requires us to input market value. Please clarify if it is fine to input the

cost in the template for investment in subsidiaries.

- QIS 1 is in the solo entity basis. Please take the

accounting value at cost.





29/9/2017

L1_OS Claims

Liabilities

L2_Premium

Liabilities

D1_Business

Data

D2_Claims

Triangles,

Gross

D3_Claims

Triangles, Net

D4_Liabilities

by Currency

Reinsurance Inward

Information

Our system do not support the split of Reinsurance inward business into

Facultative and Treaty. Based on discussions with business departments,

around 90% of our inward business should be facultative inward, shall we fill

in all the reinsurance inward as facultative inward for the time being. We'll

start to store this information in the system from now on.

- In such case, please group all reinsurance inward as

facultative inward.

1/11/2017

L1_OS Claims

Liabilities,

D1_Business

Data,

D2_Claims

Triangles,

Gross

L1 - Column L

D1 - Column E-S

D2 - Column E-S

Our company has certain products which we offered policyholders no-claim-

bonus or premium refund in certain situations. The relevant transaction are

currently reported as part of claims payment, and relevant provision

included as part of outstanding claims reserves in the annual return. In the

QIS1 template, shall we continue to include them in the relevant claims

payment and reserves entries?

- Yes, please continue to include them in the relevant

claims payments and reserves entries.

21/11/2017

L1_Outstandi

ng Claims

Liabilities

Undiversified Risk

Margin & Diversified

Risk Margin (Column

T-W)

(1) What is the different between Diversified Risk Margin and Undiversified

Risk Margin?

(2) If the Diversified is 100 (according to actuarial review), how about the

undiversified?

'- Please refer to the paragraph #74, #77, and #114 of the

technical specification.

26/10/2017

L1_Outstandi

ng Claims

Liabilities

Per current Quarterly / Annual Return, we adopt taxation concept (i.e.

source of income) to divide onshore / offshore business. As we write all

business in HK, we classify all our business as onshore. However, for QIS,

is that right to divide onshore / offshore business by risk location? If so, we

can identify Property, Project Policy under Engineering and Marine Stock

Throughput by risk locations. For other LOB and worldwide policy, please

advise what bases should be used to identify onshore / offshore business.

- The onshore definition on Cap 41 and QIS 1 are the

same. If you write all business in HK, please classify all

business as onshore.





9/10/2017L2_Premium

LiabilitiesCell M19 & T19 to V19

As per our actuarial report, the gross URR is equal to the net URR, which

both included cost of reinsurance. However, it's excluded in the components

of gross URR in L2, which resulted sum of gross URR components <column

T to column X> smaller than the gross URR <Column M> and an error

resuled in row 173 of worksheet <S3 Data validation>. Please advise how

we should input our data for the gross URR components.

- Please distinguish the gross, cost of reinsurance and net

URR in the L2 tab.

9/11/2017L2_Premium

LiabilitiesColumn M, Q, T to AG

As reinsurer, we calculated Unearned Pipeline Premium to offset the URR.

Please let us know whether we should do the same for the QIS 1 purpose

and if so, where to enter such information.

- Yes, the Unearned Pipeline Premium can offset the URR.

Please adjust the URR on Column M & Q, and the

beakdown of URR on Column T to V, and Column AA to

AC.

9/10/2017L2_Premium

LiabilitiesColumn O, P & R

The net unearned premium reserve (Column O) may be smaller than net

deferred acquisition costs (Column P) and resulted a positive amount in

Column R. However, no URR was calculated for our non-motor classes

under existing Cap 41 basis, which means Column R of non-motor classes

should be zero. Please advise how to input our data for Column O and

Column P under Cap 41 basis.

- Please refer to the paragraph 68 in the Tech Spec.

26/10/2017L2_Premium

LiabilitiesD35:I85

1. The formula of sub-total (Row 36, 44, 52, 60, 68, 76) and grand total

(Row 35, 85) cannot reflect the sum of Premium Liabilities of each business

classes.

2. The formula of Premium Liabilities (Column D and Column I) is not net of

DAC if the (UPR - DAC) > URR

1. Acknowledged. The subtotal and grand total formulae in

QIS section is incorrect. IA will correct it after receiving the

results in December.

2. Please refer to paragraph 71 of the technical

specification for the definition of Premium Liabilities. It is

consistent with the current Cap 41 basis that premium

liabilities is not net of DAC.

6/11/2017L2_Premium

LiabilitiesG85, G118

Columns G to I formulas under QIS basis and Cap. 41 basis are not

consistent, for example cell G94 may not be the sum of cells G15, G37,

G45, G53, G61, G69 and G77. Hence on total basis (rows 85 and 115) the

amounts do not tally and we are only able to match the premium liabilities

figures under QIS basis with the actuarial report. Could you please advise

whether the formula under Cap. 41 basis will be revised, or do we need to

adjust the allocation of URR under Cap. 41 basis in order to tie the figures

under both bases?

Acknowledged. The subtotal and grand total formulae in

QIS section is incorrect. IA will correct it after receiving the

results in December.






Liabilities

Row 93-116, Column

M, T to AG

What is the definition of Unexpired Risk Reserve on the Cap.41 basis? As

far as we know, only "additional amount for unexpired risks" is defined under

Cap 41. In our regulatoy reporting, we have not disclosed any components

of Unexpired Risks. The Technical Specification Para 71 VII is the definition

on the QIS basis, but not Cap. 41.

- Noted that there is no detail definition of the components

of URR in Cap 41. The additional amount for unexpired risk

should be same as the Column N and R, and please leave

it blanks if you dont have the components of Unexpired

Risks in Cap 41 section in <L2> tab.


Liabilities

Unexpired Risk

Reserve (Column M)

In calculating the unexpired risk reserve, shall we net off the future cash

inflows of premium against future cash outflows of expected claims?

'- Please include the future cash outflows of expected

claims and expense for URR (Column M), and the break

down is showed in column T to column AG in <L2>, and

please also refer in paragraph 71 VII of technical

specification.

7/11/2017L2_Premium

Liabilities

1. Under the QIS basis, cell G14 does not equal sum of all LoBs. We

believe the total Gross premium liabilities should be equal to sum of each

individual lines (in column G), could you please clarify about our

understanding?

2. Under the Cap.41 basis, our company has calculated the premium

liabilities on a portfolio level currently (not in for individual basis) which is not

same as the setting in template. Could you please open the cell range N92-

N118 for us to fill up? Otherwise, the total figures in cell G118 will not tie

with our 2016 financial. Please confirm your allowance for us to fill up cell

range N92-N118. Or please allow us there is a discrepancy between cell

118 with our 2016 financial and all subsequence effect.

- 1. Acknowledged. The subtotal and grand total formulae

in QIS section are incorrect. IA will correct it after receiving


- 2. Please report the premium liabilities on the same class

level as in the current Cap. 41 basis. Please refer to

paragraph 71 of the technical specification for the definition

of Premium Liabilities. It is consistent with the current Cap

41 basis that premium liabilities is not net of DAC.

8/11/2017L2_Premium

LiabilitiesL11

The premium liabilities in our results are calculated as the higher of: [UPR

net of DAC] and [URR including risk margin]. This is in line with our

interpretation of point 68 of the Technical Specifications. However, we noted

that the QIS template produced by IA calculates premium liabilities as the

higher of: [UPR gross of DAC] and [URR including risk margin plus DAC].

We believed that this calculation is inconsistent with the Technical

Specifications. Is our understanding correct?

- Please refer to paragraph 71 of the technical specification

for the definition of Premium Liabilities. It is consistent with

the current Cap 41 basis that premium liabilities is not net

of DAC.





27/11/2017

P1_Asset

Risk - Stress

Based

"Interest rate risk

charge" and "Credit

spread risk charge"

Our investment is mainly in the "Collective Investment Scheme".

Investment team advised that on look through, there are approx 3000 items

under "Fixed Income" group. Therefore, calculation of "Interest rate risk

charge" and "Credit spread risk charge" according to page 50 & 51 of the

Technical Specifications is not practical. We will apply the approximation

approach as stated in paragraph 172 of the Techncial Specifications.

Is it correct that for "Fixed Income" group of both fixed interest rate and

variable interest rate, the same "stress" from tabs 1.2 to 1.5 of Annex -

Discount rate curves shall apply?

- Yes, both fixed and variable interest rate fixed income

apply the same discount rate curve at tabs 1.2 to 1.5.

- Please document your approximation method in

<Q9_Market and Credit Risk>.

16/8/2017

P1_Asset

Risk - Stress

Based

4. Currency mismatch

risk charge

Does the Assets and the Liability Exposure include all the items as reported

in the EBS Summary? How does this table tie to other tabs, eg, should the

claims liabilities split by currency in D4_Liabilities by Currency be used to fill

in the Currency mismatch risk charge table?

- Tab D4 refers to insurance liabilities only and not the

complete EBS. Tab S3_Data Validation would perform

consistency check. Participants are reminded to address

identified inconsistencies or input errors.

29/9/2017

P1_Asset

Risk - Stress

Based

4. Currency mismatch

risk charge

For insurance liabilities and related reinsurance assets, we only had 4

groups of currency information available, i.e. HKD, CNY, USD and others

(which is consistent with the information required in tab "D4_Liabilities by

Currency", ). We are not able to further split the IBNR or Premium liabilities

into currencies other than the 4 groups, shall we just fill in the template by

using these 4 groups.

- In such case, please fill in the template by four currency

groups.

- You are further advised to further breakdown the "other

currencies" in QIS 2. "Other currencies" are meant to

capture those immaterial ones.

14/9/2017

P1_Asset

Risk - Stress

Based

Column N

Are there suppose to have formula? How do we determine the capital

requirement? If we don't have financial mitigation arrangements, am I

correct to say that the numbers in column "F" & "G" will be the same as

column "K" & "L"?

- If you do not have any financial mitigation arrangements,

the asset & liability exposures and capital requirement are

the same between excluding/including financial mitigation

arrangements. (the numbers in column "F" & "G" & "J"

same as the column "K" & "L" & "N".)

13/10/2017

P1_Asset

Risk - Stress

Based

Column N1. Please advise what to fill in for "capital requirement".

2. Assuming all business are HK insurance business, does column N

referring to the net assets breakdown by currency reported in Part 9 return?

- The capital requirement (Column N) = Net exposure

(Column M) * Risk Factor (Column I).

- The stressed risk charges should be applied on QIS basis

EBS.





19/10/2017

P1_Asset

Risk - Stress

Based

Column N

We have deducted currency swaps from the liability exposure for Column L

to take into account financial mitigation arrangements. Please advise the

formula for calculating Column N in order to derive the "Capital

Requirement".

- The capital requirement (Column N) = Net exposure

(Column M) * Risk Factor (Column I).

- The stressed risk charges should be applied on QIS basis

EBS.

24/10/2017

P1_Asset

Risk - Stress

Based

Row 19/20

In the Q&A on 5/9/2017, IA's answer is that "The section 2 to 3 are related

to the impact on all assets sensitive to the interest rate and credit spread

risks". Can you please clarify whether for interest rate risk, insurance

liabilities (if interest rate risk sensitive) should be included in Section 2 in

row 20 or not, or this Section 2 relates to "all assets" only?

- Please input the insurance liabilities in row 20 of the

section 2. If your insurance liabilities is interest sensitive,

the interest rate up/ down liabilities will be different from

base case.

5/9/2017

P1_Asset

Risk - Stress

Based

We would like to confirm section 2 to 3 are for investments in bonds. While

section 4 should reflect all assets and liabilities balances in foreign

currencies (to compute the currency mismatch risk charge)

- The section 2 to 3 are related to the impact on all assets

sensitive to the interest rate and credit spread risks.

- The section 4 is related to all assets and liabilities in each

currency for the corresponding currency risk factors.

26/11/2017

P1_Asset

Risk Stress

Based

Table 2 and 3

We don't have detailed data for the fixed income investment in some of our

CIS investments and therefore, we are not able to perform the interest rate

risk charge and credit spread risk charge for these fixed income

investments. Please advise if we can exclude these fixed income

investment in performing the interest rate risk charge and credit spread risk

charge. Also, do we need to add the market value of these fixed income

investment to "other equity", Cell F15 in P2_Asset Risk - Factor Based?

- Referring to the paragraph #138 in the technical

specification doc, It should classify to the "other equity."

5/9/2017P5_Credit

Default RiskD50

The subheadings here refer to "loans" only but in the technical spec Pg 37

para 195, reference is made to "loans and receivables", which includes

intragroup receivables (unrelated to contract of reinsurance). We would like

to clarify if we should fill up D50 with intercompany receivables as well?

- Yes, please include the intercompany receivables in the

"loans" section of the <P5_Credit Default Risk> tab.

- Please note there are separately items 10a. Loans Made

to Affiliates and 10b. Receivables From Affiliates in

<S1_EBS Summary> tab.

14/9/2017P5_Credit

Default RiskD50

With refer to your reply , if we would have to be included the amount due by

affiliates in the "loans" section, there will be an error when validate the data

as it cross checked again tab "A7" which is the real "loans" from third party.

For our case, it was amount due by affiliated companies (nature of non-

trade: expenses paid on behalf). If that's the case, shall we group it in

"other non-investments assets" instead?

- No, please do not group it in "other non-investments

assets".

- Please include it in the loan section in <P5_Credit Default

Risk> tab and state the counterparty in column D.

- IA noted the inconsistency between A7 and P5 in line 318

of the <S3_Data Validation> tab.





28/11/2017P5_Credit

Default RiskRow 64-76

Q1. In row 64-76, we need to fill in information of deposits with banks and

other deposit taking Institution. However, in the header of E66, it shows

“Value of loans”. Should we input the amount of time deposits placed in

banks and other deposit taking Institution or the loan from them? If we don’t

have any loan in bank, is that we input $0 in this part?

Q2. If the answer for Q1 is to input amount of deposits placed in banks and

other deposit taking Institution, is the classification of rating classified by the

Bank and other deposit taking Institution in which we have placed time

deposit?

- Q1. Noted. Header of E66 is a typo. The definition of the

deposits with banks and other deposit taking institution is

referred to the paragraph # 197 in the technical

specification.

- Q2. Correct.

17/11/2017P5_Credit

Default RiskRow 82-89

For those not yet billed and not yet due premium, it is now booked under

both unearned premium and receivables. For the risk calculation, it seems

to be counted twice for premium liability and credit default risk. Anywhere

we can book to net off this double counting? Because the data validation

sheet will match the receivable with P5 figures. Therefore, there is

duplication if we input the above figures in P5. Please advise.

'- In term of the risk calculation, the premium risk is the risk

that the total claim losses, net of reinsurance, relating to

events that have not yet occurred, will be greater than

expected; the credit default risk is the risk of loss due to

the potential default of counterparty on current or future

obligations. There are two different risks prospective.

- The <S3> data validation is no matched the receivable

with P5 figures.

7/11/2017P5_Credit

Default Risk

Section 6 (O/S Premim

Credit Default Risk)

For the outstanding premium that is arising from business acquired via

brokers, should we use the rating of the RI broker or the cedant?

- It depends on the terms and condition of the reinsurance

treaty. For example, if the RI broker is insolvent, based on

the treaty, whether RI broker or cedant bear liability of the

outstanding premium.

5/9/2017P5_Credit

Default Risk

Where do we classify gross deferred acquistion cost, fixed assets, rental

deposits, prepayments and other assets like tax receivables into this

worksheet? Should only items 4,6,8,10 and 11 in S1_EBS Summary

worksheet flow to this P5_Credit Default Risk (any others)?

- The credit default risk factors are applied to the

exposures for non-investment counterparties.

- Deferred acquisition cost, fixed assets and tax

receivables do not generally have credit default risk.

- Rental deposits and prepayments do have credit default

risk. Please use the item 7 "Other Non-Investment Assets

Default Risk" (starting on Row 92) in <P5_Credit Default

Risk> tab if you have any other non-investment

counterparties risk.





20/11/2017D1_Business

DataPremium Data

We have premium rebate for certain policy based on overall claims ratio.

Please clarify if the premium rebate could be deducted from the "Gross

Earned Premiums" and "Net Earned Premiums" under the QIS template.

-Yes.

16/8/2017

D2_Claims

Triangles,

Gross

16 - 57 Cumulative

Paid claims,

Cumulative Incurred

Claims of different

business lines

Does the cumulataive paid claims refer to the claims paid? Does the

cumulative incurred claims refer to the summation of claims paid and the

movement in claim reserve for the year 2016 or summation of claims paid

and the claim reserve as at Dec 2016?

- The cumulative paid claims refer to the accumulation of

the paid claims; the cumulative incurred claims refer to the

summation of cumulative claims paid and the claim reserve

as at Dec 2016.

31/8/2017

D2_Claims

Triangles,

Gross

We want to clarify that are gross claim payments net of recoveries from

others other than reinsurance?

- No, the gross claim payments should not include the net

of recoveries from others other than reinsurance.

- The gross claim payments should not reflect any

reinsurance or other adjustments; the net claim payments

should reflect all adjustments such as reinsurance.

2/11/2017

D2_Claims

Triangles,

Gross

We would like to verify whether this worksheet is looking for paid/incurred

claims figures for year by year basis (e.g. for paid claims, for row of

underwriting year 2014, the figure for development year 1 is the paid claims

amount in 2014, the figure for development year 2 is the paid claims amount

in 2015, the figure for development year 3 is the paid claims amount in

2016), which is similar to what we have filled in for Forms 6 to 9, or

accumulative basis (e.g. for paid claims, for row of underwriting year 2014,

the figure for development year 1 is the paid claims amount in 2014, the

figure for development year 2 is the accumulative paid claims amount in

2014+2015, the figure for development year 3 is the accumulative paid

claims amount in 2014+2015+2016)?

- The cumulative paid claims refer to the accumulation of

the paid claims (i.e. accumulative basis).

2/11/2017

D2_Claims

Triangles,

Gross

For underwriting year "2002 and prior", we do not have the data with

development years for very old underwriting years (e.g. paid claims for

underwriting year 1997 contracts in development year 1 (1997),

development year 2 (1998), development year 3 (1999), etc.). We only

have data for very old underwriting years but paid in last 12 accounting

years (e.g. paid claims for underwriting year 1997 contracts in accounting

year 2005 to 2016). What is HKIA's suggestion for us to fill in the row "2002

and prior"?

- Please estimate the row "2002 and prior" in your best

effort.

- Please also add a NEW tab <Q0> in the QIS1 template

and separately document, at your own format, the

approximation you have made.





22/9/2017

D2_Claims

Triangles,

Gross and

D3_Claims

Triangles, Net

12 Direct Insurance

General Liability

As there are three sub-classess of General Liability under the LOB

Definitions for QIS in Appendix I of the technical specification, is General

Liability the sum of Consturction EC, EC (Others) and Other General

Liability same as current accounting class?

- Yes, the general liability is the sum of Construction EC,

EC (Others) and Other general liability in QIS 1 basis. The

total of general liability (QIS 1) is the same as current

accounting class.

13/10/2017

D2_Claims

Triangles,

Gross and

D3_Claims

Triangles, Net

We have not captured historical data split by the specified sub-classes. We

would like to know if we should:-

a) only fill up the triangles with data for the main classes, and leave out

the rest of the tables; or

b) allocate into the sub-classes.

Is there a preferred/common allocation method for b)?

- The QIS lines of business should be found in existing

annual or quarterly returns. You are advised to fill in the

triangles as far as possible.

- If the data cannot be sorted after best effort, you may

apply approximation based on estimate proportion or fill in

the data in the majority subclass business.

- Please also add a NEW tab <Q0> in the QIS1 template

and separately document, at your own format, the

approximation you have made.

26/9/2017

D2_Claims

Triangles,

Gross

D3_Claims

Triangles, Net

All data from row 578

onwards

Our company has changed the accounting reference date from 31 Mar to 31

Dec in the year of 2015. As such, underwriting year 2015 is a period of 9

months from 1 Apr 2015 to 31 Dec 2015.

For the QIS claims triangles, would like to check which method shall be

used for the treatment of underwriting year:-

a) follow the same treatment of underwriting year in the audited HKGBAR as

agreed with OCI and KPMG; i.e. underwriting year 2015 is a period of 9

months from 1 Apr 2015 to 31 Dec 2015. Underwriting year 2014 or before

is for 12 months from 1 Apr to 31 Mar. From 2016 onwards, underwriting

year will be 12 months from 1 Jan to 31 Dec (as per our e-mail of 19 Apr

2016 with OCI); OR

b) re-define underwriting year as 12 months period from 1 Jan to 31 Dec for

all years

- Suggest using method a.

7/11/2017

D2_Claims

Triangles,

Gross;

D3_Claims

Triangles, Net

Per the Q&A on 16/8/2017 related to tab D2, IA's answered is that "the

cumulative incurred claims refer to the summation of cumulative claims paid

and the claim reserve as at Dec 2016." Please can you clarify if "claim

reserve" refers to case reserve only, or should also include IBNR, ULAE,

etc. (similar to the terminology per para 67 of the technical spec)?

- It is only referred to case reserve.





9/10/2017D4_Liabilities

by CurrencyCurrency

For International P/C, we do not split our reserving cells by currency. Now

for QIS, they ask for discounting via different base yield curves (USD, HKD,

CNY). I will simplify the approach in the following way: Most of the business

in HKD is related to the fac Workers Comp segment. I will handle this

segment with the HKD base yield curve. All other segments are dominated

by business and reserves in USD. I will handle these segments with the

USD base yield curves.

- Noted.

- Please add a NEW tab <Q0> in the QIS1 template and

separately document, at your own format, which business /

currency using the HKD yield curve / USD yield curve in the

NEW tab. If you have any other approximation made due

to the proportionality, please also document as well.

18/10/2017D4_Liabilities

by CurrencyRow 34 The cells are protected which prevent us from inputting the data.

- IA already circulated revised QIS 1 template, with

unlocked row 34, on 3 Oct 2017 to the industry.

14/11/2017D5_Cap. 41

Solvency

We are a branch reinsurer writing both long term and general reinsurance

business. In the note of this worksheet, it mentioned that it does not apply

to branch who do not required to calculate HKICO solvency ratio. Do we

need to complete this tab? If yes, shall we report the number for the whole

branch or just a standalone general business?

- Correct. Please leave in blank if you are currently not

required calculating the HKICO solvency ratio.

11/10/2017

Q1_Branch

Ownership

Assets

If our company is a local company and is not branches of overseas insurers,

do we have to fill in Q1_Branch Ownership Assets? If so, what needs to be

provided and which column to fill in?

- Please leave it blank.

31/10/2017Q4_Premium

Liabilities

Row 14 (Premium for

bound but not incepted

policies)

We answer "Yes" for this question and, hence, we need to tell what lines

and approximate volume. As at 31/12/2016, assuming there are two policies

as below, we trust we need to include the UPR for (1) but do we need to

include UPR for (2) to calculate the approximate volume?

(1) Policy incepted on 1 Jan 2017, UPR = 100% of policy premium

(2) Policy incepted on 1 July 2016, UPR = 50% of policy premium

- Please only include the (1) to calculate the approximate

volume.

5/9/2017Q7_Insurance

Risk ChargesD13 What does risk grouping refers to?

- The risk grouping for insurance risk is referred to three

groups of risks, which are premium risk, reserve risk, and

catastrophe risk.





1/11/2017Q8_Catastrop

he Exposures

Lines 22-26 and in the

repeated tables further

down the tab

IA has requested details of each company's cat exposure; are gross or net

(of outwards reinsurance recoveries) figures intended for this tab?

- Please provide the gross figure for this tab. Moreover,

please also provide the net figure (of outwards reinsurance

recoveries) in Column L if you have it.


he Exposures

Col I Aggregrate

exposure

We had previously clarification from the RBC team that aggregrate

exposure refers to “the net retained sums insured (aggregates) underwritten

by the insurer for the specified lines of business and peril.” We would like

further clarification if this mean insurable values above the deductible and

below the limit? In other words, does “net” refers to a value after limit and

deductible?

Yes.


he ExposuresI22 to I26 vs L22 to L26

What is the definition of Aggregate Exposure versus Modelled Losses?

What is the difference?

- The aggregate exposure refers to the net retained sums

insured (aggregates) underwritten by the insurer for the

specified lines of business and peril.

- The modelled losses refers to the modelled probable

maximum loss at the 1 in 200 year return period

(equivalent to an annual occurrence exceedance

probability of 99.5%) based on your catastrophe model

output.


he ExposuresL22 to L26

What is basis for 200 year modeled event, i.e. Ground up (total amount of

loss); Gross (limits and deductibles applied); or Pre-cat Net (location/policy

level reinsurance applied)?

- No basis was defined.

- Please provide as much information as you have. It is

helpful on developing the methodology of measuring the

catastrophe risk.


he Exposures

Row 21, Column G, H,

I

The information requirement should not be applicable to Reinsurer as their

meaning is different to the primary company due to the reinsurance

participation may be via different contracts (proportional treaty, non-

proportional treaty, proportional facultative and non-proportional facultative).

They can not add up together.

- Please add more rows on Row #26 and then input the

information by contract type (proportional treaty, non-

proportional treaty, proportional facultative and non-

proportional facultative) separately.


he Exposures

Row 21, Column J, K,

L

For Reinsurers, it is common to have business from out side of Hong Kong.

The Cat Excess of Loss protection is for all business, rather than for Hong

Kong risks only. So the information might not be relevent.

'- Please report the risks not located in Hong Kong in Row

30+ in <Q8>. We understood that the Cat Excess of Loss

protection is for all business, rather than for Hong Kong

risks only. Please follow the materiality and proportionately

to decide whether reporting the Hong Kong portion

individually or not.






he Exposures

a) For Line (22-24), and Line (32-35), what data are we supposed to

provide? Claims incurred related to the relevant peril in 2016 or Amount of

Risk underwrite in 2016 related to the relevant peril ?

b) Can you please clarify each of the column (G-L) for Line (22-24) and (32-

35) ? E.g. Definition, period, and criteria

(a) Please provide the risk exposure respect to the each

relevant peril as at 31 Dec 2016.

(b) Total sum insured (Column G) is the total amount of

money that an insurer is obligated to cover in the envent of

a covered loss.

Maximum retention per risk (Column H) is the maximum

amount of a risk that an insurer retains.

The aggregate exposure (Column I) refers to the net

retained sums insured (aggregates) underwritten by the

insurer for the specified lines of business and peril.

The Catastrophe excess of loss reinsurance provides

coverage to the insurer when aggregated claims and claim

expenses from an occurrence of a peril, covered under a

portfolio of insurance contracts written by the insurer,

exceed the attachment point specified in the reinsurance

contract with the insurer.

- Deductibles (Column J): An amount the reinsurer will

deduct from the loss before paying up to its policy limits.

- Limits (Column K): The total amount of losses to be paid

under a reinsurance agreement.

The modelled losses (Column L) refers to the modelled

probable maximum loss at the 1 in 200 year return period

(equivalent to an annual occurrence exceedance

probability of 99.5%) based on your catastrophe model

output.

Please enter N/A if it is not applicable.

11/10/2017Q10_Operatio

nal Risks

a) We are required to state “top ten operational risk events in the past 3

years”. We would like to ask whether these events refer to the events that

had “occurred” during the past 3 years, or refer to “possible risk events” that

may occur?

b) If the response to a) above is “possible risk events”, is it necessary for us

to provide all 10 possible risks and “Estimated Monetary Loss Amount” ?

(a) The operational risk events is referred to any historical

and potential events. Indication of historical or potential

events would be helpful.

(b) Please provide top 10 operational risk events with the

estimated loss amount in dollars in your best effort. If you

could not provide estimated loss amount in dollars, please

provide the estimated loss amount in percentage of certain

benchmark (e.g. premium or liabilities) and estimated

probability.





29/9/2017Q11_Risk

MitigationColumn G and I

Our system can't split the ceded reinsurance into proportional RI and non-

proportional RI, can we leave column G and I in blank

- In your case, please leave it blank in QIS 1.

- You are further advised to start capturing this information

from now on.

24/10/2017Q11_Risk

Mitigation

We are a reinsurer and we have different reinsurance program for each

underwriting year. We have the following questions:

a) For Quota Share retrocession, if a class of business have reinsurance

coverage in some underwriting years but no reinsurance coverage in some

other underwriting years, should we still answer Yes for Column F? If yes,

please advise the % to be filled in (using actual 2016 figures?)

b) If we simply use actual 2016 figures for the retro %, the data will be

sometimes not accurate, especailly when there is prior year adjustment on

retro premium. Or shall we use the retro % for the latest underwriting year

(i.e 2016)?

c) We have XOL reinsurance program for our offshore property treaty

business due to Cat Loss, and it is not possible to split into Prop and Non-

Prop as this retro is not for a particular treaty but for the whole offshore

property treaty portfolio. How should we fill in the % for Non-Prop Treaty

Reinsurance for Offshore Property Damage (cell I58) and Prop Treaty

Reinsurance for Offshore Property Damage (cell I72)? (estimated by

proportion of non-proportional assumed premium and proportional assumed

premium written in 2016?)

- (a) Please answer "Yes" for Column F and fill in the

actual 2016 figure if the class of business have reinsurance

coverage in 2016.

- (b) Please use the actual 2016 figure for the retro %.

- (c) You may estimate the proportional and non

proportional % by the proportional of the premium written

in 2016.

- Please document all above in the Column J.

27/11/2017

Q13_Borrowin

g & Source of

Fund &

Q13.1_Paid

Up

Off balance sheet item

We are the branch of an oversea company, there is a letter of credit, which

was arranged by Head Office on behalf of HK branch, the beneficiary is

Hong Kong Insurance Authority. HK branch does not bear any LC charges

and in case of any withdrawal, we are not obligated. Despite of this, we

have included the LC as our local assets under Cap. 41 solvency

calculation. Please advise whether we should include the details in Q13 and

Q13.1 tabs.

- Please fill in the details in Q13 and Q13.1 tabs on your

best effort.

19/10/2017Q13.1_Paid

Up

The Company issued debt securities (over 50 series) to investors for the

purpose of providing funding for the Company. Is the debt issuance not

applicable for Q13.1_Paid Up Capital Questionnaire?

- The debt issuance should be applicable Q13.1.





31/10/2017Q13.1_Paid

Up

The company issued debt securities to investors at discount with no

conversion features. Shall we put zero in this row 38? If not, please

elaborate the information required for this row as the debt securities issued

by the company cannot be converted into shares.

- Yes, please put zero in Row 38.

29/9/2017

Q13.1_Paid

up

&

Q13.2 Non-

paid up

N/A

We are a Hong Kong Branch of an oversea company and we do not have

issued capital, only Head Office Account. Please advise how should we fill in

the information in these two tabs because "paid up" and "non-paid up" seem

not relevant to Head Office Account.

When you fill in the Q13, Q13.1 and Q13.2 tabs, please

input "N/A" if there is not applicable

28/8/2017

Q14_Financial

Risk

Mitigation

What is the definition of Financial Risk Mitigation Arrangement? Is it refer to

financial instruments like swap or derivative for hedging the financial risk

that the company expose to? E.g. interest rate swap for a floating rate

loan,etc.

Your understanding is correct. It refers to using financial

instruments hedging the financial risk of the company

expose to.

14/9/2017Q15_Strategic

ParticipationsWhat is the definition of strategic participations? Can you quote us some

example?

For definition of strategic investment, please refer to

section 6 para 54(VIII) in technical specification.

RBC First Quantitative Impact Study General Business ...€¦ · difference between the gross and...

Documents

Transcript of RBC First Quantitative Impact Study General Business ...€¦ · difference between the gross and...