search

DmytroBigun / Kanban-Board

Kanban Board
0 stars 0 forks source link

FWH adjustment #11

Closed DmytroBigun closed 4 years ago

DmytroBigun commented 5 years ago

https://app.zenhub.com/files/195191452/dabbb58e-002b-4daf-91b9-87b8447e54ea/download

DmytroBigun commented 5 years ago

Bullets: 1) Before FWH related cash-flows have been netted within calc of the BEL. Now it is not allowed. 2) All FWH shown as such in the IFRS balance sheet will need to be shown as an FWH in the Solvency II balance sheet as well. 3) Timing - new approach will be applied from Q4 2019 onwards. Test run - in November with Q3 2019 data (including VA 2018 Q4 to 2019 Q3) on the new val basis for FWH. Also now the presentation of payables/receivables is discussed. 4) The changes have only presentational nature (extension of the balance sheet) with no impact on Solvency II Own Funds 5) The market value of the FWH will still be determined on a mark-to-model basis; especially the value of any "fixed investment income over risk-free". is the part of the value of the FWH. Technically, this wiil be determined as the PV of FWH releases plus interest payments discounted at the SII yield curve. 6) BEL cash-flows are subject to vola adjustment when being discounted in the calc of the BEL.q

DmytroBigun commented 5 years ago

Current status:

Uploaded:

File: https://app.zenhub.com/files/195191452/9ce63fc8-855d-4f16-87c9-6ba4044aa953/download

Checks: 1) Own funds under old and new approaches are the same (columns G & M) 2) Difference between Par Amount (col N) and IFRS FWH (col O) should be zero 3) Implied MV BV adjustment (FWH - IFRS FWH) should be exactly B/M value (big differences should be clarified)

DmytroBigun commented 5 years ago

Current status: 1) FWH under new Val Order (1141) are not loaded because of the LSR Problem => waiting for the IT correction 2) Unclear where should be the old FWH be shown (under Changes in Perimeter or Model Changes and Restatements) => waiting for the reply from Fabian 3) Unclear whether it is okay for the VA steps have differences under old and new approaches => waiting for the reply from Fabian 4) Provide the feedback to IR at the end of the day

Reply from Fabian: 2) Old FWH (with markets dependencies) should be shown under "model changes" 3) All steps of the VA should be correct. 3') FWH under the new approach should be shown under "model change"