{"text_format":"1","workbook":"xlsx","n_sheets":3,"sheets":["Info","Lists","Validation Signposting Template"],"not_rendered":{"charts":0,"images":1,"macros":1,"external_links":1,"defined_names":4,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Info","index":0,"n_rows":14,"n_cols":3,"rows_kept":14,"cut":false,"hidden":false,"merged":[]}
[]
[]
[]
[]
[null,null,"Agent Name"]
[]
[null,null,"Contact e-mail"]
[null,null,"Completed by/Contact name"]
[null,null,"Contact Telephone number"]
[null,null,"Completion date"]
[]
[null,null,"Validation undertaken internally/externally?"]
[null,null,"If external, validation provider:"]
[null,null,"If other, validation provider:"]

{"sheet":"Lists","index":1,"n_rows":14,"n_cols":4,"rows_kept":14,"cut":false,"hidden":true,"merged":[]}
[]
[]
[null,"Internally","Barnett Waddingham","Yes"]
[null,"Externally","Deloitte","No"]
[null,"Both","Dynamo"]
[null,null,"Ernst & Young"]
[null,null,"Grant Thornton"]
[null,null,"KPMG"]
[null,null,"LCP"]
[null,null,"Milliman"]
[null,null,"PricewaterhouseCoopers"]
[null,null,"RPC"]
[null,null,"Willis Towers Watson"]
[null,null,"Other"]

{"sheet":"Validation Signposting Template","index":2,"n_rows":57,"n_cols":12,"rows_kept":57,"cut":false,"hidden":false,"merged":[[21,3,22,3],[23,3,26,3],[12,2,26,2],[5,3,11,3],[5,2,11,2],[13,3,15,3],[16,3,17,3],[53,2,56,2],[43,3,50,3],[27,2,42,2],[27,3,28,3],[31,3,35,3],[36,3,38,3],[39,3,40,3],[43,2,52,2]]}
[]
[]
[null,null,null,null,null,null,"Syndicate:","Syndicate:","Syndicate:","Syndicate:","Syndicate:","Syndicate:"]
[null,null,null,null,null,"Enter Syndicate Number here:"]
[null,null,"Category","Sub-category","Question ID","Question","Page reference(s)","Page reference(s)","Page reference(s)","Page reference(s)","Page reference(s)","Page reference(s)"]
[null,null,"Validation report","Board report content","1.1.1","Summary of key validation results and findings, including the number of test passes/fails. Key results should include both ultimate and one-year."]
[null,null,null,null,"1.1.2","Results of test failures and outcomes of escalation"]
[null,null,null,null,"1.1.3","Key expert judgements highlighted for Board consideration"]
[null,null,null,null,"1.1.4","Limitations of the internal model and validation process"]
[null,null,null,null,"1.1.5","Four confirmation statements, these are: validation has been conducted in line with validation policy; with sufficient independence; that the internal model is reliable; and that all material components and risks have been tested."]
[null,null,null,null,"1.1.6","Description of how feedback received from internal and external stakeholders (including Lloyd's) from the previous validation cycle was addressed."]
[null,null,null,null,"1.1.7","Confirmation that the modelling and validation has been undertaken in compliance with Solvency II tests and standards"]
[null,null,"Components of validation","Independence and appropriateness","2.1.1","Demonstration that the individuals responsible for validation have sufficient independence from the model components being validated"]
[null,null,null,"Risk coverage","2.2.1","Risk identification process outlined to assess that all material risks to the syndicate are captured in the internal model"]
[null,null,null,null,"2.2.2","Evidence that the validation of the calculation kernel of the internal model includes: premium risk (ex-cat), catastrophe risk, reserving risk, market risk, credit risk, operational risk and dependencies"]
[null,null,null,null,"2.2.3","Evidence that the validation of the non-calculation kernel components of the internal model includes: data, expert judgement, documentation, systems/IT, model governance, and use test"]
[null,null,null,"Risk ranking and risk profile","2.3.1","Risk ranking included to assess alignment to expectation and which areas of the internal model require the most extensive validation"]
[null,null,null,null,"2.3.2","Movement in capital has been considered in the context of the risk profile"]
[null,null,null,"Governance/ escalation","2.4.1","Governance around the different stages of the validation cycle is outlined. This should include details around the application of the validation test or tool, analysis of test result, escalation of test result, and implementation of any changes concluded."]
[null,null,null,"Pass/fail criteria","2.5.1","Pass/fail criteria which are sufficiently robust, to identify possible limitations"]
[null,null,null,"Expert judgements","2.6.1","Expert judgements summarised by both subjectivity and sensitivity of assumption"]
[null,null,null,"Limitations","2.7.1","For each limitation identified: the nature of the limitation; how it has been identified (e.g. via a validation test fail); the materiality of the limitation; and the rationale for accepting the limitation or plans for remediation"]
[null,null,null,null,"2.7.2","Accumulations of less material limitations considered in terms of whether these would aggregate to a more material limitation"]
[null,null,null,"Targeted validation","2.8.1","Reference been made to a 3-year cycle of validation testing for each risk category (if applicable)"]
[null,null,null,null,"2.8.2","Evidence that the planned validation tests have been performed as expected, or amendments to the plan outlined"]
[null,null,null,null,"2.8.3","Deep-dive reviews performed this year in sufficient detail to understand the work performed (if applicable)"]
[null,null,null,null,"2.8.4","Previous deep dives that are relied upon to inform the validation conclusion, including justification for their continued relevance"]
[null,null,"Validation testing","Sensitivity tests","3.1.1","Range of ST-1 (deterministic variation) sensitivity tests (in both directions) been carried out to aid assessment of parameter materiality"]
[null,null,null,null,"3.1.2","Range of ST-2 (plausible alternatives) sensitivity tests for material parameters"]
[null,null,null,"Stability test","3.2.1","Model stability testing outcome documented"]
[null,null,null,"Stress and scenario tests","3.3.1","Stress and scenario tests for material model components"]
[null,null,null,"Reverse stress test","3.4.1","At least one suitable reverse stress test based on the latest SCR submission"]
[null,null,null,null,"3.4.2","The reverse stress test(s) include(s) a rationale and an estimate for the return period, for syndicate unviability"]
[null,null,null,null,"3.4.3","Secondary impacts (knock-on effects) assessed both qualitatively and quantitatively, in addition to the primary drivers of loss"]
[null,null,null,null,"3.4.4","RST scenario been specified in terms of the contributions at a suitably granular level (e.g. from each risk category or class)"]
[null,null,null,null,"3.4.5","Well defined pass/fail criteria, based on identifying a model simulation within a defined collar around the return period been included"]
[null,null,null,"P&L attribution (historic and prospective)","3.5.1","P&L attribution exercise complete on a Solvency II basis"]
[null,null,null,null,"3.5.2","P&L attribution exercise reviews sources of profit or loss for the major Business Units"]
[null,null,null,null,"3.5.3","P&L attribution exercise allocates profits or losses to the risk categories modelled in the internal model"]
[null,null,null,"Testing against experience","3.6.1","Pass/fail criteria are assessed given the number of data points in the backtest (i.e. the strength of any statistical test is assessed)"]
[null,null,null,null,"3.6.2","All available data has been considered in backtesting, or justification given for why it was excluded"]
[null,null,null,"One year SCR","3.7.1","Validation performed for the SCR(1) for each risk category clearly highlighted (either as a separate section or within each risk category)"]
[null,null,null,"Model drift","3.8.1","Consideration of measures of model strength against exposure measures (standard formula, premium/reserve measures)"]
[null,null,"Focus areas","COVID-19","4.1.1","Additional testing of the adequacy of dependencies in the model, in particular tail dependency.  For instance, the dependency between classes of business, between Insurance Risk and Market Risk and between Insurance Risk and RI Credit Risk"]
[null,null,null,null,"4.1.2","Testing specific to the uncertainty of premium volumes"]
[null,null,null,null,"4.1.3","Testing of the Premium and Reserve Risk volatilities at a class level for classes exposed to COVID-19 losses"]
[null,null,null,null,"4.1.4","Evidence of testing the impact of contract exclusions related to pandemics being overturned"]
[null,null,null,null,"4.1.5","Choice of ESG model/version (if applicable) used been justified in the context of syndicate risk profile.  In particular any ESG overrides need validating"]
[null,null,null,null,"4.1.6","Consideration of additional market risk testing as a response to a material change in the economic environment for the current year and that projected for the coming year"]
[null,null,null,null,"4.1.7","Consideration and testing of the appropriateness of any pandemic drivers included in the model"]
[null,null,null,null,"4.1.8","Consideration and testing of COVID-19 as a \"near miss\" event"]
[null,null,null,"Model Completeness","4.2.1","Consideration of model completeness, including quantified allowance for non-modelled natural catastrophe risk and potential impact of climate change"]
[null,null,null,"Opening balance sheet","4.3.1","Consideration and testing of uncertainty of projected model balance sheet, especially taking into account impacts of COVID-19"]
[null,null,"Thematic review areas","Prospective loss ratios","5.1.1","Consideration and testing of adequacy of model prospective loss ratio assumptions in the context of track record of meeting plan loss ratios"]
[null,null,null,"Market risk","5.2.1","Consideration of additional market risk information if this risk makes a negative contribution to capital"]
[null,null,null,"Casualty Classes","5.3.1","Consideration and testing of adequacy of allowance for systemic trends within Casualty classes"]
[null,null,null,"Diversification","5.4.1","Consideration of additional dependency testing if the sum of squares test fails in any of the areas where the test is applied"]