Model Validation - benchmarks and best practices from the IRM, PRA and Lloyds

Models - seeking validation

Bearing in mind we have passed the 2013 financial year end, and all of the internal modellers amongst us will be trying out their new processes and technology in the production of a balance sheet for the first time, a few very timely pieces of material on internal model validation have been released, which should help anyone who is curious about what their neighbours are up to!

The Institute of Risk Management's rebadged Solvency II Special Interest Group held a get-together in December on IM Validation, and a couple of interesting documents have emerged.

One from a PRA Validation guru is particularly useful for anyone in the IMAP space who has any uncertainty about the PRA's approach to assessing the quality of one's validation processes and reports, covering;

• The purpose of validation
• The PRA's approach - Life and GI-specific SME groups
• An overview of IMAP findings - 40+ reviews conducted to date, and they also state what your evidence "should" demonstrate
• Their observations - Noting that Validation Reports are generally deficient
• A schematic view of what they consider the Validation process to be
• A bullet point list of how validation effectiveness can be demonstrated

I guess the odd thing for me is why this kind of material isn't presented/circulated more widely by the PRA, as it is surely of benefit to IMAP participants, who wouldn't always be in attendance at a pre-Christmas IRM event!

The other useful benchmarking item from this event is the survey on participants' experiences to date in the validation field. While the sample is small in absolute terms at 18, and is a touch heavy on the GI side (over half of respondents), this is as good a benchmarking aid as you will see for a while, so it is worth noting the following;

• Just over half have transitioned Validation into BAU
• Only 3 respondents had a Validation-specific steering committee to help govern the process, with others choosing to use existing committees or the CRO/Risk function
• Over 80% use the SCR contribution of each risk driver to determine the depth of validation activity. Other determinants include regulator feedback, risk registers and previosu validation reports
• Over 40% say that their independent validation work is identifying flaws in their "dependent" validation work, while over a quarter say that independent validation has been scaled back due to the quality of "dependent" work!
• Less than a quarter say that validation of external models (ESGs etc) has been effective
• Around two-thirds use peer review and sensitivity analysis to validate expert judgements. Horrifically, two respondents said they haven't been able to validate expert judgement at all!
• Over half are still using external contractors/consultants for independent validation
• Page 12 covers the popularity of certain sections of a Validation Report. Less than half include a section on benchmarking
• Most are keeping the Validation Report to under 100 pages, with management feedback being the main catalyst for changing the length.

Finally, a survey from LCP Consulting was published this week covering the progress of Lloyds syndicates in their Validation activity. This was an area which Lloyds acknowledged as "work to do" back in May last year, particularly around validation testing and documentation.

The findings appear to be positive on the whole, with most firms saying they are at least halfway towards their "ideal process". Unsurprisingly, dependency modelling and validating expert judgement make the list of "key challenges" remaining.

Lloyds of London on Validation - testing and reporting enhancement ideas

Lloyds of London delivered a presentation around model validation last week to its 80-odd syndicates which anyone in the world of IMAP would benefit from picking through the bones of, bearing in mind the rather unique position of the Lloyds application (i.e. in the door of the PRA, and seemingly well received!).

They had noted in that presentation linked to above that they had found some weaknesses in 5 areas in particular, so this presentation is a deep-dive examining the strengths and weaknesses of validation - one may expect the other 4 'weak' areas flagged may receive similar treatment in coming weeks.

While their 2013 programme aims only to close the gap between full compliance with Solvency II tests and standards and today's position, it's worth flagging some fundamentals;

• Only half of syndicates felt to meet tests and standards in full - a third are 'pending' positive assessment, the rest have not passed.
• 'Fails' seem to be centred around following up on test failures and documenting findings in the summary report, rather than anything broader.

Around the production of Validation Reports, they noted negative findings around;

• Uncertainty about how to progress when something 'unacceptable' is found during validation testing
• Content of validation reports being statistic-heavy (i.e. indigestible to any non-quants who need to make decisions off the back of the findings)
• A lack of sophistication in the testing of material risks in some instances.

The last one is particularly interesting, as the central team at Lloyds has devised a schematic (slide 11) to show the kind of testing they expect to see on the more material risks (RST, P&L attribution) versus less material (going as far as qualitative tests).

It is also worth highlighting for any benchmarkers out there that Lloyds appear to advocate around 5 pages of Validation Report per risk factor, leaving their overall expectation of reports to be 30-40 pages, with 5-10 pages of appendices (p16). Bearing in mind these reports will I suspect be some of the first to go through the PRA's hands, the frame of reference may help encourage you to bulk up or slim down your own versions!

A large amount of this presentation (from p19 onwards) is devoted to fairly granular examples of how a validation test may be 'failed', and what action would be performed in order to gain a 'pass', so for those in the test design/conduct game, you may find something to support your approaches in that detail, regardless of the risks shown in the example (premium and reserve).

The aim of Solvency II is...

As Solvency II implementation stubbornly drags its heels like a legislative bull in the Plaza del Toros of European bureaucracy, I noticed a few mutterings about the 'aim', 'purpose' and 'objective' of the Directive and its companion texts as the main protagonists play for time.

Aim of Solvency II - could be better

This is particularly frustrating as a practitioner, where consistency and brevity of message is vital when one generally has limited time with AMSB members (most notably Non-Executives), and therefore may find the messages being offered to the press differ from those previously communicated to clients.

In addition, EIOPA's status as "super-regulator" (Omnibus II pending!) now allows for further demarcation of message between those who currently determine the adequacy of senior management/director fitness, propriety and Solvency II knowledge, and those who will be co-ordinating the revised approach from 2014.

Finally from the bottom up, the stealthy creep of Solvency II into the general public/intermediaries worlds surely makes it imperative that the overriding purpose of the Directive (as well as the expense and delays!) can be explained in unequivocal lay terms - though maybe not as haplessly as the PRA's top man the other week when he tried to price Solvency II in terms of unfinished tunnel projects...


Regulators and industry tend to be focusing on policyholder protection when justifying the Solvency II approach to supervision, though in a rather long-winded manner in the CBoI's case!

Regulators

Bernadino to Croatian press, March 2013

Purpose of Solvency II is "...a harmonized prudential framework in the EU"

Bernadino to German press, April 2013

"The purpose [of Solvency II] was to increase policyholder protection and incentivise better risk management"

The Prudential Regulatory Authority

"[Solvency II's] main objective is the adequate protection of policyholders and beneficiaries"

Central Bank of Ireland

"Solvency II is a risk based approach that aims to provide the basis for a more ‘root and branch’ review of the overall financial position of an insurance undertaking. It represents a new system of supervision that assesses the overall financial position of an insurance undertaking or group. The new supervisory system is concerned with, amongst other areas, highlighting the importance of holistic risk management and prudential standards. Solvency II also aims to reduce the possibility of both insurance undertaking failure and, in a wider sense, of disruption to the efficient operation of the insurance market"

Industry

Lloyds (whose CEO has been a touch vocal on the threat of Solvency II early implementation recently) have the objectives bullet-pointed on their site as;

• Improved consumer protection
• Modernised supervision
• Deepened EU market integration
• Increased international competitiveness of EU insurers 

Others tend to get "protection" somewhere in the mix;

"[Solvency II] should bring consistency to the way in which EU insurers manage capital and risk with the aim of enhancing protection for consumers" - Standard Life AR&A 2012 p6

"[Solvency II's] objectives are to establish a solvency system that is better aligned to the true risks of insurers, and aims to enable supervisors to protect policyholder interests as effectively as possible" - Aviva AR&A 2012 p129

"The purpose of Solvency II is to unify a single EU insurance market and to enhance policyholder protection" - IPB 360 AR&A 2012 p69

"The aim of Solvency II is to introduce EU-wide regulations that match capital requirements as closely as possible to the risks incurred." - Munich Re

Expert lobbyists

"The overriding aim of Solvency II is to bring a common, risk-based approach to capital setting, supervision and disclosure to the whole of Europe" - ABI's Tim Breedon, 2010 (original speech text unavailable from ABI site)

"The primary purpose of Solvency II is consumer protection" - FERMA executive board member 

Naturally, the consultant/vested interest world generally prefers to keep it fluffier to justify the invoices (Thomson Reuters a notable exception);

Consultancies

"Solvency II represents an opportunity to not only improve insurers' operations, but also develop significant competitive advantage in a challenging market" - KPMG's Phil Smart

"[Solvency II] is expected to provide a catalyst to transform the way insurance companies run their business" - E&Y

"[The Solvency II] project aims to create a more harmonised, risk-oriented solvency regime resulting in capital requirements that are more reflective of the risks facing insurers" - Towers Watson

Vendors/vested interests

"The aim of Solvency II is to gather all risk together in a holistic way" - FINCAD

 "[Solvency II] will ensure that insurers are protected against financial collapse, which is rife in today's unstable financial environment" - Xactium, clearly not big readers of the SIFI materials currently doing the rounds!

"The primary aim of Solvency II is the creation of an effective single market in insurance services across all 27 countries, creating the conditions for an adequate level of consumer protection." - Thomson Reuters

"[Solvency II's] aim is to ensure the financial soundness of insurance companies to not only protect policyholders’ interest, but also increase competition in the EU insurance market" - SAS 

Saddening really to see how a decade of malaise and false starts can even start to erode the fundamentals...

Lloyds directors briefing and Solvency II update - looking well

With Solvency II news and comment pretty thin on the ground this month as the guys at EIOPA count their LTGA beans, it was nice to see the trailblazers at Lloyds release their director briefing slides from last week, an event one may assume is relatively frosty after the money spent in preparation and the distinctly agitated tone on the matter from their CEO recently!

Bling - things Lloyds could have
bought with £300m

As Lloyds are already well down the road of internal model development (having almost kept to their original IMAP deadline they were able to get materials down to the FSA prior to the implementation deadline shifting), the slides are very revealing as to where the group remain lacking when attempting to meet the Tests and Standards for Internal Model approval (TSIMs). With 84% of the market 'by materiality' meeting the principles of the TSIMs, they are clearly in good nick, although by stressing 'materiality', it implies that a relatively large number of smaller members are perhaps still lagging.

The list of "common issues" found will neither surprise nor delight anyone else in IMAP, given that the same themes have been festering for a good 18 months now, and the legislative paralysis on the continent has clearly done nothing to aid the industry (in particular, the FSA letter from this time last year touches on most of these!). Specifically, they observe problems in the following areas;

• ORSA - looking far enough forward (i.e. past year 1), and using stress and scenario testing effectively
• Validation - evidencing validation work done, and following up on test failures
• Model Change - justifying the thresholds for minor/major changes, and agreeing an approach for aggregating minor changes so that they can be considered as minor/major in aggregate
• Use Test - using the model for something other than spewing out an SCR, and it would appear also that when interviewed, the effectiveness of board training and their understanding of the model is being found wanting
• Documentation - documents are either not checking off against the TSIMs, or the content is contrary to the revised controls and processes which have been developed for Solvency II

As Julian Adams made clear at the turn of the year, full compliance with TSIMs is not part of the ICAS+ agenda down at the PRA, however they will expect firms to be fully aware of where they are currently light, and what they plan to do about it. Certainly looks like the Lloyds application won't struggle in this regard, and I wish them well.

Lloyds - cognition and how human factors affect risk perception

While the Solvency II world will be as grateful for as they are familiar with Lloyds of London's work in the Sol II sphere, they pushed out an intriguing paper for all risk practitioners this week around cognition, the impact of human behaviour, and our interaction with models when identifying and assessing risks.

This is a piece of academic research very much needed at this point in time, where the regulatory obligations around internal model challenge have yet to formally land, let alone be adequately road-tested, while at the same time the UK is continuing with its ICAS+ regime, where entrants will no doubt receive running commentary on their progress in upscaling both assumption/parameter challenge as well as model use.

Anyone involved in the 200-ish pre-applications for internal model use prior to Solvency II go-live in Europe would therefore benefit from a read of this, particularly if you are on the validation-side. I picked out the following;

Fundamentals which impact on modelling choices (data sets, interpolation/extrapolation, correlations, tail dependencies etc)

• "We are not equally aware of all risks...people make decisions based on a subset of the available evidence"
• "Expectations are strongly influenced by personal experience and current events"
• Tendency to "...lose sight of infrequent losses" in the face of more frequent visible events
• Tendency to procrastinate around risks which are difficult to assess
• "Some may query the relevance of human factors, given the prevalence of quantitative risk models - the suggestion being.modelling rules out biases"

Risk appetite

• "Low risk appetite can increase false alarms, and a high risk appetite increases misses"
• "The greater risk appetite of powerful individuals can stem from a tendency to focus more on rewards and successes, while people who are lacking in power are often more cautious and attentive to threats and potential obstacles" - is it this dichotomy which makes the role of the CRO ultimus inter pares in the boardroom?

Aide-memoire lists for risk practitioners

• How to counteract risk perceptions - p11
• Separating risk perceptions from immediate context - p13
• Awareness of bias linked to power - p16
• Risks in perspective - p20
• Behavioural principles which can create added value - p22

Lloyds of London on Validation - Workshop Output

For all of you working on one of the FSA's (and indeed I suspect other supervisors') pet peeves, Model Validation, the Lloyds guys published some slides from their recent workshop on the topic.

Anyone not in the IMAP space may still find their presentation of interest, particularly as they have already had to ask for 3 months leeway on their original application "landing window", perhaps hinting at the enormous complexity and expense of producing material to support a successful model application.

They start with a "Top 5" ways to improve existing validation practices, rather worryingly stressing coverage and ranking, which one would think would be par for the course rather than something which required additional emphasis. They go on to hint at, if not confirm;

• That both analysis of test results and subsequent escalation has been found to be lacking during their validation dry run
• That historical syndicate experience is "always necessary" in modelling, even if not sufficient on its won
• An over-reliance on sensitivity testing using pre-defined SCR ranges
• Their recommended materiality hierarchy of validation tests
• Their take on reserving risk (not my forte, but dig in if it's yours)
• Their take on correlations and the diversification matrix (interesting bit on diversification in the tail)
• That their model walkthrough exercises brought up material issues for "most" agents, and that clearly some syndicates have been asked to complete remedial action before the end of this month
• That they are waiting for L3 before reviewing their validation reporting formally.

Not sure whether this keeps the guys on track for their group application, but certainly not an unhealthy thing to be picking up such flaws at this stage - if it was that easy, everyone would be doing it!

ORSA guidance materials from CRO Forum and Lloyds - any help?

It is always nice to get a bit of friendly steer around ORSA when the powers that be stubbornly refuse to give us boxes to tick!

Released over the last week or so came two such documents, one from Lloyds of London and the other from the CRO Forum.

The Lloyds effort is of course tailored for their syndicates, but the areas they emphasise clearly have merit for any organisation which is embarking on the ORSA adventure, whether sponsored by Solvency II, IAIS ICPs, the NAIC, or indeed any other random acronym! In particular I liked;

• Clearly set out an explanation to cover difference between regulatory and economic capital measures
• That while the ORSA Report would be expected to set out the impact of shocks over the medium term, this does not imply that a multi-year model is required (anyone struggling to keep it stochastic after year 1 would be relieved to hear that!)
• Small set of simple questions which one might like to ask their Board after they review the report in order to establish use
• No specification on size!

The tables which make up the bulk of the document should be a useful reference point for anyone with an inferiority complex, as it highlights gaps which have been identified during their own QA work, as well as suggesting remediation. Appreciating ORSA is only required for IMAP from a use test evidence perspective (which they comment on in the Q&A in the appendix), any chance that these gaps contributed to the delay in their submission?

The CRO Forum paper on the other hand tries to cater for both the poachers and the gamekeepers by summarising observable best practices from regulatory-themed bodies (who I suppose will ultimately determine what's hot and what's not on the matter). From their doc, I noted the following;

• Potential divergence between what lobbyists said about ORSA supervisory report when feeding back on Level 3 (i.e shouldn't differ from that presented to the AMSB, otherwise what would supervisors be considering it against) and the CRO Forum (who expect it to be a "summary of the results of the ORSA assessment") - doesn't feel like semantics the more I read it, so worth highlighting
• Value of the ORSA Report for the AMSB is covered in a few paragraphs, which is always handy for board/senior management briefing
• Strange bit around internal approval of ORSA reports, stating that the AMSB should review but not approve the ORSA Report, and that this is as per Level 3 - worth some attention if you have structured your ORSA governance around Board sign-offs of the associated reporting
• An "illustrative purposes only" ORSA Report structure, which has no more or less merit than any others you may have seen, other than it is less granular than some which have emerged publicly from consultancies etc
• Tips the hat towards leveraging RSR and ORSA administrative efforts in order to reduce duplication.

Whether or not you gain something from reading these materials, it's always nice to know someone is having a go!

Lloyds of London on Solvency II - Annual Report content

Hot on the heels of their delay in submitting their IMAP pack to the FSA, Lloyds of London pushed out their annual report today - as ever, a riveting read in general (and emphasises the scale of Nat Cat activity last year), but I concentrated more on the Solvency II side. They noted;

• "… we have made excellent progress to ensure that, whatever its final implementation date, the Lloyd’s market will be operating to the standards required of Solvency II by January 2013" (p8) - no mention of the IMAP delay, although this could of course work in their favour when looking to achieve this target.
• "Lloyd’s preparations for Solvency II advanced well in 2011, both within the Corporation and the market, and the entire programme across all relevant parts of the business is on track" (p22) - again, odd when IMAP activity has been postponed 3 months!
• "...Solvency II may have a positive impact on the reinsurance sector by increasing demand for reinsurance products" (p49) - same message put out by Swiss Re.

They also note good progress on the ORSA process and reporting front;

• "Lloyd’s has also further developed its approach to the Own Risk and Solvency Assessment (ORSA) – which aligns all of the activities Lloyd’s uses to manage risks and ensure the right level and type of capital. This alignment improves the quality of management information and the resulting decisions. In 2011, we produced a series of pilot reports to enable senior management to review the ORSA’s proposed structure and content. A live report was finalised and approved by the Franchise Board during the first quarter of 2012. In future, the report will be produced at least annually." (p30)

And finally a nice piece of disclosure on economic capital;

• "The capital provided by every member is assessed according to the Lloyd’s Individual Capital Assessment (ICA) capital setting framework. When agreed, each ICA is then ‘uplifted’ (by 35% for 2011) to provide an extra buffer to support Lloyd’s rating and financial strength. This uplifted ICA, which is the Economic Capital Assessment (ECA), is used to determine members’ capital requirements subject to prescribed minimum levels. The FSA oversees the annual review of syndicate ICAs by the Corporation, which reviews the historical performance, business plans and risk appetite of that syndicate in assessing the adequacy of the capital level proposed." (p69).

Whether all of this is good enough to allow them to achieve their objective of avoiding parallel running ICA and the internal model in 2013 is anyone's guess, but let's wish them good luck.  

Early IMAP submission postponement - knock on effects?

Having seen the comments of the FSA's man (p4) on those firms scheduled for early internal model application assessment (namely that "it is vitally important that submission slots are adhered to"), it seemed more than coincidental that the Lloyds of London application, due in at the end of April, has been pushed back 3 months.

Not sure of the drivers behind it (indeed it is worded like they are doing the FSA a favour!), but the recent release of this PwC document on "learning from the early movers" seems prescient, particularly around bridging gaps in preparedness! Alternatively, this article suggests that avoiding dual runs of ICA and internal model in 2013 has driven the delay.

Regardless, while the FSA have gone to some lengths in the IMAP industry presentation to ask for adherence to timescales, pleading personnel poverty, is there a danger that such a big player getting reassigned this early on will have knock on effects for other applicants?

Late post script - Lloyds FD put some words out in relation to the delayed application, justifying it after some FSA 'backtracking' on application completeness.

ABI Conference - FSA's Adams speaks on Internal Model Applications

The FSA have just published Julian Adams' speech on Internal Models from yesterday at the ABI Conference.

Worth noting;

On the potential to replace ICA with SCR for 2013 (which Lloyds et al have been lobbying hard on);

“What we are in a position to do, however, is to invite firms to consider how they think their work on their Solvency II model could be used to meet those current rules, thereby removing the need for parallel running of two different models”

“As the current requirements will remain in force, it will be incumbent on firms to satisfy themselves that the Solvency II model, alongside their wider system of risk management and governance, meets the existing requirements in our Handbook. By approaching the issue in this way, we intend to avoid the need for firms to apply for a complicated series of waivers or to seek specific permission from us to make the transition early. We believe this is both proportionate and appropriate, given the amount of review work we will have done with firms following submission of their Solvency II model application to us”

On the basis to be used for internal model applications (the original guidance, or EIOPA's L2 on Tests and Standards for internal model approval)

“It is clear that the Level 2 text – and, in due course, the Level 3 text which will supplement it – is more appropriate to use as a matter of principle, since this sets out much more clearly the basis on which we are expected to assess firms’ applications, and it is the standard against which you and we will ultimately be judged”

“On balance, we feel that basing our application approach on the Level 2 text is the most sensible way to proceed, and we propose to do this is by cross-referencing the Level 2 text in the guidance materials we will be making available to firms in February of next year”

“I am aware that this will mean that some firms may feel that their efforts in following the Contents of Application approach will have been wasted, and I would like to reassure you that this is not the case. We will expect you to submit documentary evidence that you meet the requirements set out in the Directive, and completion of the Contents of Application is likely to go a long way towards demonstrating compliance with the Level 2 requirements, but it is those Level 2 requirements which will be definitive”

Looks like anyone who is going to get pre-approval to use their model to meet existing FSA handbook requirements is going to have to jump through a lot of hoops, and even then may fall short

Solvency II/FSA reference documents catch-up

Thanks to a dodgy laptop, I am a bit behind with blogging, although to be fair all of the real drama happened last week! I came across a number of handy documents this week which you might find handy, listed below;

Clifford Chance document "Guide to the European Union" - very useful if you have board training/briefing requirements and need to explain why Solvency II is taking so long!

Lloyds ORSA Guidance - in order to assist their syndicates in preparation for their December ORSA submissions, but obviously useful for all of us. In particular, they are not asking for a a great deal (15-25 pages), which seems a touch light, but probably proportional for a lot of syndicates.

SCOR Presentation at banking conference - Some cracking stuff in here related to risk, capital deployment and strategy in preparation for Solvency II. Model enhancements for Solvency II, diversification benefits, and risk appetite all touched upon in the slides, and should give you some good ORSA/MI ideas.

Milliman paper on Pillar III - Nice summary on the forgotten pillar and likely requirements!

Milliman legislative update - Generic and very useful Solvency II  presentation from Messirs Claffey and Coatesworth which again should be useful for anyone who needs to explain to their Boards what the hold up is! Three slides on proposed timeline divergence between Parliament, Commission and Council are very sobering...

FSA Newsletter - Fresh from the horse's mouth, the Solvency II update (including last week's news on internal model application timeline changes) confirms that "we must maintain the momentum and stay focused on implementation", despite adding as much as 14 months onto some firms' model submission windows! The Small Insurers Seminar on October 20th sounds like it will be a hoot. Also a nice piece on reverse stress testing which should help anyone in ORSA land.

PwC piece on FTSE 350 strategic/risk reporting - Claims that, having studied the FTSE 350, less than half explain the impact of identified risks to their business model (despite almost all detailing what their principal risk are), and subsequently portrays the downside of this being felt in a marked-down share price.

Gender diversity on boards feedback statement from the FRC- a topic I have blogged on before, and one which is seemingly the zeitgeist. This came out almost hand-in-hand with the Cranfield school monitoring report on Women on Boards which is reasonably critical of progress to date (bearing in mind the political pressure commenced around February).

From a Solvency II project planning perspective, the issue in hand is reconciling the Fit and Proper requirements in the System of Governance articles with "decision making bodies" in 2014/15 being artificially loaded with female Execs/NEDs/function holders. Likely that I will blog more extensively on this from a pure governance perspective another time, but some good media comment already out on this document (see here and here).

GCAE minutes for September - Quiet month by the looks of it, though it does mention that at the International Actuarial Association meeting in Zagreb, they discussed ORSA and ERM "including the need for educational material and standards" - land grabbers!

FSA ask risk and internal audit to "step up" - Slightly provocative language from Andrew Bailey, where wimpy Internal Audit and Risk functions appear to be the "untold story" of the financial crisis (provocative but pretty fair?). His point on the role and influence of both functions not being as it should be is also fair, though I would have some truck with the suggestion that companies want the FSA to do risk and internal audit for them (I would actually rather they discharged their Solvency II obligations in a timely manner, cheeky beggars!)

"First Class" FSA - last but not least, delightful story on how much it costs to fly the FSA Chair and Chief Exec around - it certainly puts my annual Flybe bill in the shade, though there isn't a business class option to be fair!

ABI, Lloyds & the FSA - behind closed doors...

Flagged elsewhere on Friday, I read through the FSA committee minutes which noted that “contingency” may be required (p3) if Solvency II is not implemented by 2013 – no mention of what that will consist of, though it sounds ominous and probably ends with the words “-million pounds”.

Also reported on Friday, the ABI and Lloyds are looking to lobby for a 2013 go-live date, regardless of the content of Omnibus II, so that Lloyds’ existing ICA process can be jettisoned and replaced by Internal Model SCR (thus restricting the dual ICA/SCR obligations to one year). I suspect they will have plenty of people who would ride on their coat-tails if they can squeeze this one through!

Lloyds of London - Governance, Risk Management and Use workshop

Some excellent material in this presentation which shows progress to date on these Lloyds worstreams. I noted;

• Seemingly the majority are behind the expected self-assessment score for Model Governance at this point in time
• ORSA process, outcomes and documentation work therefore necessarily further behind
• Actuarial function preparation providing thick range of self assessment scores at the low end
• Rest of the presentation has some good elements on Risk Appetite and Use Test

Obviously has some uses for benchmarking as well.