Market Bulletin Ref: Y5344
Market BulletinRef: Y5344TitleEconomic Capital Assessment (ECA) Process for 2022 Underwriting Year ofAccountPurposeTo set out the ECA process for the 2022 underwriting year, including basis ofcalculation, and arrangements for distribution of the Member Modelling Software(‘Member Modeller’)TypeScheduledFromNeil Wells, Senior Manager Member Capital, Market Reserving and CapitalFinance 44 (0)20 7327 6034 neil.wells@lloyds.comDateAugust 2021DeadlineSee business timetable on Lloyds.com for all capital return submission datesRelated linksCapital Guidance Documentation(access via: Lloyds.com Resources & Services Capital & Reserving Capital Guidance InternalModel SCR Guidance Issued)ECA Guidance Manual(access via: Lloyds.com Resources & Services Finance Member Modelling Software)IntroductionThis Bulletin confirms the key process points to note for the setting and modelling ofmember capital for the 2022 underwriting year, during calendar years 2021/22. Readers ofthis Bulletin should also ensure that they are familiar with the fundamental process pointsset out in the ECA Guidance manual linked above.Key Points to Note: The Syndicate Business Forecast (SBF) and Lloyd’s Capital Return (LCR) submissiontimetable is staggered between 4 phases, as set out in Market Bulletin Y5337, to offermaximum flexibility within the constraints of business process deadlines. The capital setting timetable has been re-shaped by the recent review of theMembership and Underwriting Requirements and the impacts will be reflected in aseparate communication from Member Services. In particular, it should be noted thatPage 1 of 5Lloyd’s is authorised under the Financial Services and Markets Act 2000Classification: Confidential
MARKET BULLETIN final member capital will change between the pre-auction Member Modeller release andthe Q4 capital test, due to quarterly updates.The key changes to the Member Modeller are the addition of members’ participation onsyndicate information; additional member and syndicate exposure analytics to enablemembers to better understand their underwriting portfolio diversification; and anupdated user interface.The underlying Lloyd’s model has been updated to reflect the latest economicconditions.Lloyd’s Capital Returns (LCR)LCR Submission RequirementsThe deadline for LCR submission is 1pm on the date communicated to managing agents viatheir Account Manager. The full timetable is set out in market bulletin Y5337 and furtherdetail is provided via the “Capital Guidance Documentation” link above: “LCR 2022 YOAinstructions”, which details the documentation required with the LCR submission.Managing agents submitting multiple documents are advised to submit via SecureShareand not MDC, where document loading is slower. Further details on how to accessSecureShare are available via Lloyds.com Resources & Services SecureShare.Updates to Capital following 31/12/2021Agents are required to continually monitor their capital requirements throughout the yearand notify Lloyd’s when their SCR moves by more than 10%. Lloyd’s will be applying aminimum threshold to aggregate syndicate capital loadings in assessing capital for the 2022underwriting year (see below for further detail). For syndicates with a uSCR greater than 250m, any loading which has been waived by Lloyd’s (on materiality grounds) must beaggregated with the movement in SCR in applying the 10% test. Smaller syndicates do notneed to include the waived loading in this test. As in previous years, syndicates are askedto proactively engage with the Syndicate Capital team if they are likely to have materialchange to their capital position.Following year-end, all syndicates are required to re-assess their capital and submit themovement template on the 3rd of March 2022. If this return indicates a material (above 10%)movement in capital, including any waived loadings where relevant, a full capital submissionis required by 1pm on the same day. Lloyd’s reserves the right to request a capitalresubmission for the mid-year coming-into-line exercise, Irrespective of size of change, atits discretion.Market Data Collection PlatformThe 2022 returns are live for both the LCR and SBF in the MDC platform. The LCR hasundergone minor development (for full details see Capital Guidance Documentation link andselect both: “MDC LCR 2022 summary of changes” & “2022 LCR Specification (annotatedversion)” documents).New Quarterly Corridor Tests (QCT)The review of Lloyd’s Membership and Underwriting Requirements has removed theNovember Coming Into Line (CIL) exercise in 2021, with a single annual CIL conducted inQ2 from 2022, and introduced the concept of Quarterly Corridor Tests (QCTs). Each QCTClassification: ConfidentialPage 2 of 5
MARKET BULLETINwill include capital adjustments, recognising the latest Quarterly Solvency Return (QSR)submitted data. Please note, it is likely that any errors identified in the QSR submissionswill not be reflected until the next QCT.The QCT will adjust the agreed syndicate SCR to account for the latest quarterly data,including currency exchange rates (as at previous quarter end) and the latest submittedQSR (RICB and risk margin adjustments). The results will be notified at member levelwithin the QCT statement and updated to the Member Modeller. Further details on the QCTprocess will be made available via Member Services.Exchange RatesInitial LCR submissions should be based on 2022 SBF exchange rates (set as at 30 June2021 and detailed in Market Bulletin Y5342), but it should be noted that submitted numberswill be adjusted centrally to 30 September rates prior to their first capital setting use in theQ4 QCT. In each QCT, the ECA will be adjusted to the previous quarter-end exchangerate, to be consistent with the solvency and asset valuation basis.The table below summarises key dates and data sources relating to the QCT and CILexercises:QuarterlyCorridorTest (QCT)EstimatedDate of MMSoftwareReleaseBased onWhich FXRate?Based onWhichSolvencyReturn?Based onWhich SBF &LCR Data?Q412/11/202130/09/2021Q3 QSRAgreed 2022submissions asat 10/11/2021Q115/02/202231/12/2021Q4 QSRMid-Yr CIL14/04/202231/12/2021ASRData as at11/02/2022including anychanges post10/11/2021Data as at11/04/2022including MarchresubmissionsQ218/02/202231/03/2022Q1 QSRQ3 2022TBC30/06/2022Q2 QSRData as at08/08/2022including anychanges post12/05/2022Final 2022 midyear CIL data(*) Work Day (WD) shows number of work days from previous quarter endClassification: ConfidentialQCT / CIL Dates(StatementPublication andasset receiptdeadline)*Published: 18/11/2021(Work Day 35)Asset receipt:16/12/2021 (WD 55)Published:18/02/2022 (WD 35)Asset receipt:18/03/2022 (WD 55)Published:14/04/2022 (WD 35)Asset receipt:23/06/2022 (WD 55)Published:19/05/2022 (WD 35)Asset receipt:23/06/2022 (WD 55)Published:18/08/2022 (WD 35)Asset receipt:16/09/2022 (WD 55)Page 3 of 5
MARKET BULLETINMember Capital AdjustmentsDeterministic Loads Being RemovedThe 10% loading applied to inactive members and members reducing their underwriting by50% or more has been removed for the 2022 process onwards. The member ECApresented in the member modeller should, therefore, represent the final FAL requirement.The previously applied minimum FAL requirement equal to 40% of a member’s OverallPremium Limit (OPL) is also to be removed for 2022 capital setting. New members, inparticular, should be aware that this will mean that capital will rise more steeply in the earlyyears of underwriting.Capital & Planning Group Process UpdatesCPG Notification LettersCPG letters to managing agents will not reflect QCT data changes. Syndicates are advisedto reflect the approved SCR & ECA from their CPG letter within any future returns to Lloyd’s(the latest syndicate ECA including the QCT data is always available to users via themember modelling software). CPG letters will still be sent in the following scenarios: An LCR submission approval A Syndicate Benchmark Model (SBM) approval A new or removed CPG loading or adjustment (excluding those related to QCT)Waived LoadingsIn line with Lloyd’s move towards a principles-based approach, a minimum threshold will beapplied to the aggregate capital loading for a syndicate. Total loadings below the minimumthreshold will be waived. The minimum threshold is set at 5% of the syndicate’s submittedultimate SCR as default, although it is subject to review on a case by case basis. Furtherdetail is provided in the Capital Guidance Documentation link: “LCR 2022 YOA instructions.”Economic Capital Uplift (ECU)Lloyd’s will continue to apply an uplift to the agreed capital requirements to derive ECAs atmember level, currently 35%.Use of Tier 2 Assets Within FALThe limit on the proportion of Tier 2 (letters of credit, bank guarantees) capital allowed bymembers within FAL remains at a maximum exposure of 50% of ECA. Full details on tieringrequirements and solvency deficits were provided in Market Bulletin Y5177, dated 12 April2018.Member Modelling Software (‘Member Modeller’)New DevelopmentsThe three main changes to the Member Modeller this year are:i.an enhancement of the syndicate hub to include a link to a new “Member onSyndicate” page, showing relevant members participating on the syndicate(authorised users only). Life syndicates have also been added to Syndicate hub.ii.The inclusion of analytical data relating to member and syndicate underlyingpremium exposure by high level class of business, to aid members’ understandingof the diversification inherent in their underwriting portfolio.Classification: ConfidentialPage 4 of 5
MARKET BULLETINiii.An upgrade to the user interface to improve user experience and to bring more inline with current Lloyd’s standard branding.Other changes are minor improvements and internal administrative function improvements,to help Market Reserving and Capital support the market more efficiently. Changes (ii) and(iii) may not be available until the September Member Modeller release.Member Modeller Software ReleasesThe Member Modeller will be made available to registered users from 26th August. TheMember Modeller will then be updated in accordance with the capital business timetable,recognising SBF and LCR submissions, Capacity Auctions and QCT deadlines. The keyrelease dates are in the table below:Date of Release26 August16 September23 September30 September7 October15 October29 October12 NovemberDescription of ReleasePreliminary rolled-over data release – Indicative OnlyUpdated for Phase 1 syndicates’ SBF and LCR submissionsUpdated for Phase 2 syndicates’ SBF and LCR submissionsUpdated for Phase 3 syndicates’ SBF and LCR submissionsUpdated for Phase 4 syndicates’ SBF and LCR submissionsPre-Auction release updated for all Phase 1 syndicates’ approved ECAFinal date for updating Phase 2 and 3 syndicates’ approved ECAFinal date for updating Phase 4 syndicates’ approved ECA – Q4 QCTUse of the Member ModellerAll requirements and registration forms for prospective new users are set out in the ECAGuidance manual. Existing users will not need to do anything unless you are an agent thatchanges its name or authorising Director.Members’ Agent ‘Publish’ RequirementAll Members’ agents will be required to publish their final member underwriting position andcapital requirements in the Member Modeller during Quarter 4.Training and SupportThe ECA guidance manual provides information on the capital setting process. For allqueries in relation to the ECA process and software, and for other ECA related questions;please direct to the following e-mail:Lloyds-MRC-Help@lloyds.comNeil WellsSenior Manager, Member CapitalMarket Reserving & CapitalClassification: ConfidentialPage 5 of 5
final member capital will change between the pre-auction Member Modeller release and the Q4 capital test, due to quarterly updates. The key changes to the Member Modeller are the addition of members’ participation on syndicate information; add
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