2021-07-15 CoMeta release

Lloyd’s requires its syndicates to report on a set of six liability scenarios: (1) Financial Product Mis-selling UK, (2) Financial Market Manipulation US, (3) Pharmaceutical Product US, (4) Construction Product Global, (5) Chemicals in Food US, and (6) Offshore / Onshore Energy US. The liability scenarios posit mass litigation events that trigger coverage under general liability, directors & officers, professional liability, employer’s liability, and environmental impairment liability policies held by impacted policy holders. The document “Liability Scenarios: Documentation and Scenario Specification” (July 2021) describes the nature of each event and specifies ultimate economy-wide damages and the distribution of those damages across industries and lines of business.

 

Syndicates can estimate aggregate underwriting losses under these scenarios employing a suitable methodology of their own or they can employ damage ratios supplied by Lloyd’s. The damage ratios are specified by scenario, industry, and line of business. Syndicates sum limits exposed by industry and line of business and then multiply those sums by corresponding damage factors to arrive at estimated indemnity. Syndicates are then asked to estimate any defense costs incurred above and beyond indemnity.

 

With this release, syndicates can now obtain estimates of underwriting losses for in-force policies under the six Lloyd’s liability scenarios employing CoMeta’s scenario analysis feature. Simply upload your casualty portfolio consisting of one or more applicable lines of business using CoMeta’s portfolio upload feature and your aggregations under the Lloyd’s scenarios using Lloyd’s damage ratios will soon be available for review in scenario analysis. Please see release notes published March 31, 2021 and June 23, 2021 for more information about CoMeta’s portfolio upload and scenario analysis features.

 

Praedicat’s portfolio data submission template requires users to map individual policies to Praedicat BusinessIDs or NAICS, SIC, or ISO GL industry codes. Policies mapped to BusinessIDs will be assigned a single six-digit NAICS for the purposes of estimating aggregations under the Lloyd’s scenarios. Policies mapped to industry codes directly must use six-digit 2017 NAICS codes. Contact your account manager for assistance in translating SIC and ISO GL codes to 2017 NAICS. Because the Lloyd’s damage ratios are intended to be used with in-force policies only, any expired legacy policies in a portfolio will be disregarded.

 

A new field – “lloyds_defense_load” – is now available in the Portfolio tab of the data submission template that syndicates can use to specify a defense load factor greater than or equal to zero (e.g., 0, 0.1, 0.2).  Defense costs under the Lloyd’s scenarios are equal to estimated indemnity multiplied by the defense load factor.  Following Lloyd’s scenario guidance issued in December 2020, policies with defense costs paid inside limits have no additional defense costs (the damage ratios are assumed to account for defense costs for those policies).  If the defense load field is left empty, Lloyd’s scenarios will not be run against the portfolio.

 

 

Scenario analysis export files available for export under “Download all results” now include an Excel workbook that contains the summary data available in the scenario list view for a given portfolio. The Excel workbook reports indemnity and defense separately for Lloyd’s scenarios. Users can access complete scenario output for Lloyd’s scenarios using the detail (.txt) files as well. Contact your account manager for more information on how to work with these detail files.