Fermat Solvency II

Capital Calculation (Pillar 1)

SII offers a complete solution for the two key capital calculations of Pillar 1: the Minimum Capital Requirement (MCR) and Solvency Capital Requirement (SCR). A key strength of the solution is its ability to calculate SCR, the key control that requires quantification of all types of risks insurers face, including insurance risk, market risk, credit risk and operational risk.

Client Behavior Modeling

SII enables firms to monitor the impact of voluntary deposits, lapse, renewal, mortality and other potential customer actions on the income statement and other indicators. Our solution also integrates advanced modeling techniques, including a multi-dimensional modeling of client behavior, and can also include renewals and new business in your simulations.

Better Manage the Asset Mix and Profit Sharing

In its advanced ALM engine, SII takes into consideration assets, liabilities and their interaction as a whole. Indeed, it dynamically computes the position of an insurer’s cash account by simulating asset and liability cash flows. Any surplus can be reinvested to change the asset mix according to a user’s specifications or using allocation rules such as matching duration or increasing equities proportion. In addition to this dynamic asset allocation, SII offers a flexible and versatile framework for profit sharing modeling in its ALM.

Risk Management Assessment (Pillar 2)

Data management, security, auditability and supervision are among the embedded functionalities of our platform which enables firms to demonstrate risk management. Pillar 2 also requires Own Risk and Solvency Assessment (ORSA) which aims to accurately capture a firm’s unique risk profile. SII provides an enterprise risk management framework for ORSA requirements by being able to provide multi-year financial projections, advanced modeling capabilities and a complete framework to deal with scenarios and stress testing.

Integrated Business Reporting

Insurance risk professionals need clear reports that enable action. SII provides reports on RAROC, solvency ratio, balance sheet forecasts, and it also allows clients to build their own reports. Additionally, SII offers a set of analytical reports with slice, dice and drill down features across many dimensions, such as product/policy type, counterparty type, asset class, country, industry and user-defined criteria.

Reporting (Pillar 3)

All the QRT reports required by the mandate can be created and delivered leveraging Moody’s Analytics award winning Regulatory Reporting solution. Moody’s Analytics delivers updates to the reports as the regulation evolves, and all reports are fully auditable.

An End-To-End Solution

Solvency II offers a complete end-to-end solution to manage insurance regulatory capital calculation and reporting. From data gathering and storage to report generation, the technological framework allows firms to deal with sophisticated requirements while offering a robust and secure platform. The combination of technological sophistication, reliability, knowledge, experience and commitment of the RiskIntegrity team results in a unique solution. It makes achieving regulatory requirements easy while enhancing and streamlining business processes.

Data Quality Management

The solution centralizes and stores all of the required data for regulatory capital management in one central platform (RiskFoundation™) which provides a comprehensive data management and business reporting platform with full auditability and compatibility with leading-edge calculation technologies. Customers can leverage pre-defined and customizable rules that check for integrity, coherence and validity. The solution offers GL reconciliation tools and provides the functionality to perform more than 4,000 quality check and error corrections. Additionally, integrity checks and constraints validate regulatory calculation data.

Award-winning and Integrated Regulatory Reporting

The solution leverages Moody’s Analytics award-winning Regulatory Reporting module for fast, integrated and cost-effective regulatory reporting. The solution produces insurer’s regulatory solvency capital reports in local supervisors’ commonly used formats, languages and templates (including XBRL). Although the solution can use results produced by Moody’s Analytics Solvency II calculation engines, it seamlessly processes and consolidates imported results from other internal systems upstream and downstream.

Flexible and Open Technology

The solution’s data and calculation engines are built for openness. It works with existing data source systems for smoother data extraction and loading. Customers can rapidly deploy the solution, expand users and volume and integrate into any additional upstream and downstream systems.

Comprehensive Coverage

Solvency II covers a wide range of instruments in which insurance companies invest. For these products, the solution provides built-in capabilities for cash flow generation and pricing using several methods (net present value, closed formula or Monte Carlo simulations). On the liability side, the solution covers products such as traditional life, protection insurance, savings, annuity and unit linked. On the asset side, our solution includes a liability engine that models the products, generates the cash flows and performs pricing. The solutions interface allows users to build new products from scratch, elaborate ratemaking and analyze current or future profitability.

RiskFoundation

RiskFoundation is the cornerstone of our suite of solutions for insurers. It contains the Risk and Financial Datamart, which offers built-in data quality management, security and storage capabilities, and model point generation functionality. RiskFoundation’s open architecture and modularity enables clients to incrementally build a robust and customized enterprise risk management framework.

Life Core

This integrated module helps insurance companies effectively manage their life insurance portfolios. Its integrated scenario engine performs stress tests on the organization’s main risk drivers such as client’s behavior or market data and it leverages customized what-if analysis for stronger risk-based decision-making. Mostly based on cash flows generation for both asset and liabilities, the module enables insurers to forecast the future balance sheet. This module offers the foundation for the Solvency II and related calculations covering standard formulas and internally developed models.

Non-life Core

Non-life Core module is designed to help insurance companies calculate, analyze, manage, and disclose their non-life portfolio related risk. Insurance companies can analyze the expected evolution of their portfolios under a range of scenarios and calculate the expected reserves. This module offers the foundation for the Solvency II and related calculations covering standard formulas and internally developed models.

Regulatory Datasets

Composed of separate reporting and reference datasets, they contain the latest regulatory rules related to the Solvency II Directive. These datasets act as a dictionary ensuring that clients are using regulatory defined terminology for correct reporting. With tight deadlines and large information requests, clients can be confident of delivering up-to-date reports in the required formats and timeframes.

Stochastic

This module takes simulations to the next level, allowing insurers to get the entire distribution for the margin. These calculations enable insurers to eventually adopt an internal model approach by computing Value-at-Risk (with a 99.5% confidence level for instance).

Solvency Capital Requirement (SCR)

The SCR module provides insurers with the SCR and MCR for a portfolio, and the capital charge and risk mitigating factor for each risk module. Calculations are performed according to supervisors requirements and/or internally developed models.