In the main report, they draw out the following;
- Solvency I coverage down to 117% at 2011 year end (from 132% at end 2010) - similar to Aviva, they throw together a pro-forma estimate for end-February to show that the year-end number was something of an "exceptional volatility" fluke, and suggest it is back around 130% again (p76).
- "Restoring capital adequacy" slide on p5 shows the need for the pro-forma capital recovery mentioned above.
- Same slide shows economic capital was as low as 124% before the post-year end recovery (not disastrous bearing in mind they are calibrated to 1 year VaR at 99.95%, the same as Aviva and Zurich, and the same ballpark as Old Mutual).
- Analysis of change in the Solvency 1 Margin (p33) shows how both the ratio and the amount have been decimated y-o-y - relatily small dividend element, so that should be safe I guess.
- Economic Capital ratio change (p35) sees them also reference a more generous area of the PDF in order to give context to the level of coverage (only 124% covered at year end using AA rating as the calibration, but 159% covered using BBB rating). I'm guessing things look rosier at 99.5% for everyone else as well though fellas!
- A slide covering the Solvency I change between 2010 year end and the improved pro-forma number at the end of February 2012. They gain €1.1bn from "Italian anti-crisis legislation", which I'm guessing is bond-related, and amplifies why the economic issues in that area of the Eurozone have to be catered for.
- Some stress tests on the Solvency I ratio on p74 - useful for consideration