Ported from the open-source IFRS 17 Calculation Engine — ifrs17/Report/ReportScopes.ipynb — originally written for Systemorph Cloud.

Reports and financial performance

The report scopes run after the import: they read what the import computed and, where needed, compute further at report time.

What the MeshWeaver port reports today. One report: the analysis of change of the best-estimate present value, per group, step, novelty and amount type, measured on each group's default economic basis (Ifrs17Reporting.Measure), translated from contractual to functional to group currency with an FX step (Fx, FxData), rolled up the reporting-node tree (ReportingNodeRollup) and reconciled opening to closing (AocReport). It is the movement report, and The IFRS 17 formulas derives its numbers. Every other report family below is not built in the port; the scopes that would feed several of them (actuals, deferrals, LoReCo) are not ported either.

Currency translation

The original's report scopes include the FX rates used to translate figures. In the port each AoC step is translated at the rate its configuration names — the opening at the previous period's spot rate, flows at the average rate, the closing at the current spot rate — and the translation residual becomes its own step, FX. The scopes and their formulas are in the Reporting table of The IFRS 17 formulas.

The report families

Best estimate

The best-estimate report shows the present values. The locked-in values are used when the valuation approach is BBA and the OCI option is active.

Risk adjustment

The risk-adjustment report shows the risk adjustment, with the same choice of locked-in values.

Fulfilment cash flows

The fulfilment cash flows (FCF) are the best estimate plus the risk adjustment.

LRC technical margin: CSM, LC, LoReCo

The LRC technical margin is allocated to the CSM, the loss component or the loss-recovery component. The report exists only for the liability for remaining coverage.

Written actuals, accruals, deferrals

The written-actuals report shows the imported actuals. The accrual report shows the advance and overdue actuals; the deferral report the deferrable actuals.

Experience adjustment

The experience adjustment combines the written actuals with the best estimate of the cash-flow step only.

LIC

The actuarial liability for incurred claims is the fulfilment cash flows. The LIC adds the advance and overdue actuals to it.

LRC

The actuarial liability for remaining coverage is

LrcActuarial = Fcf + Csm + Loreco

— the fulfilment cash flows (filtered to LRC), the CSM and the loss-recovery component, with no separate loss-component term: the onerous amount is already in the fulfilment cash flows, so adding the loss component would count it twice. (The original's prose lists the loss component among the contributions; its code, LrcActuarial in ReportScopes.ipynb, does not add it.) Under PAA the original computes it differently (LrcActuarialPaa: minus revenues, minus deferrals, plus the LoReCo, plus the premium and deferrable best estimate). The LRC adds the advance and overdue actuals to the actuarial LRC.

The financial performance

The IFRS 17 financial performance discloses the deltas — closing minus opening, the change in estimate — of the balance-sheet items (LRC, LIC), and the cash flows incurred in the period (premiums, claims, expenses, …).

It splits the result into at least four sections:

• insurance revenue (IR),
• insurance service expense (ISE),
• insurance finance income/expense (IFIE),
• other comprehensive income (OCI).

They can be arranged in a hierarchy, so aggregates and intermediate results show separately. Some items must be split across sections — gross LRC against reinsurance LRC, for example — so that insurance revenue and insurance service expense stay consistent.

IR   = −Δ gross non-financial LRC − Δ loss component − incurred incoming cash flows
       − claims investment component + amortization of insurance acquisition cash flows
       − experience adjustments
ISE  = −Δ reinsurance non-financial LRC − Δ non-financial LIC − Δ loss component
       − incurred outgoing cash flows − amortization of insurance acquisition cash flows
IFIE = −Δ financial LRC − Δ financial LIC
OCI  =  Δ LRC excl. CSM/LC/LoReCo at valuation rates + Δ LIC at valuation rates
       − Δ LRC excl. CSM/LC/LoReCo at current rates  − Δ LIC at current rates

For the CSM, the loss component and the LoReCo — and the amortization factors and coverage units behind them — the curve is the one the methodology prescribes: locked-in under BBA.

The fulfilment cash flows of the LIC and LRC are discounted according to the OCI option and the methodology. Under BBA:

• OCI option disabled — the FCF use current rates, and the OCI contribution is zero;
• OCI option enabled — the FCF use locked-in rates, and

OCI = Δ LRC excl. CSM/LC/LoReCo at locked-in rates + Δ LIC at locked-in rates
      − Δ LRC excl. CSM/LC/LoReCo at current rates  − Δ LIC at current rates

Implementations usually show more detail — the LRC split into FCF, RA and CSM/LC, the CSM amortization apart from other adjustments. That detail depends on how the amount types and AoC steps are structured, so the generic method leaves it implicit; it is there when a report is sliced by those dimensions.

Fulfilment cash flows (excluding the loss component)

The changes in estimate of the balance-sheet items come first. The FCF contributions — which some interpretations let include onerous amounts when a loss component exists — must be mapped to the right financial and non-financial sections. Reinsurance contributions to the LRC are kept apart, as they are expenses, not revenue. The OCI contribution comes from here too: under the method's assumptions the FCF are the only source of OCI. Every contribution has its sign flipped.

• Financial — the AoC types interest accretion, yield-curve update and credit-risk update.
• Non-financial — every other AoC type.
• OCI — the difference between the movement discounted on the current curve and on the locked-in curve.

The CSM, LC and LoReCo are then split into financial and non-financial parts as well, and their releases — CSM amortization, LC release, LoReCo release — are shown explicitly.

Contractual service margin

The CSM contributes to insurance revenue for a group of insurance contracts, to insurance service expense for a group of reinsurance contracts, and to insurance finance income/expense. Signs are flipped. Three parts:

• amortization (AoC type AM) — to CSM amortization under insurance revenue, or reinsurance CSM amortization under insurance service expense;
• financial (interest accretion, yield-curve update, credit-risk update) — to financial LRC changes;
• non-financial (every other AoC type) — to non-financial LRC changes (excl. CSM amortization), or non-financial reinsurance LRC changes (excl. LC/LoReCo).

Loss component

The LC contributes to insurance service expense and to insurance finance income/expense, with signs flipped: amortization to loss component release, financial to financial LRC changes, non-financial to loss component / LoReCo changes (excl. releases).

Loss-recovery component

The LoReCo contributes the same way: amortization to LoReCo release, financial to financial LRC changes, non-financial to loss component / LoReCo changes (excl. releases).

Incurred actuals

After the balance-sheet items come the cash flows incurred in the period — the effective actuals, taking write-offs on accruals into account. Investment components are excluded explicitly. By amount type:

• premiums — premiums under insurance revenue (insurance groups), or reinsurance premiums under insurance service expense (reinsurance groups);
• claims (non-investment and investment component) — claims;
• claims investment component — under insurance service expense, and with the sign changed under insurance revenue as excl. investment components;
• expenses — expenses under insurance service expense;
• commissions — commissions under insurance service expense.

Incurred deferrals and acquisition expenses

For deferrals only the amortization is shown, with its sign changed; under the method's assumptions deferrals have no other direct effect on the financial performance. It goes to acquisition expenses under insurance service expense and, with the sign changed, to acquisition expenses amortization under insurance revenue.

Experience adjustment on premium, investment components and acquisition expenses

Some experience adjustments were included in the CSM through the technical margin, so insurance revenue has to be adjusted accordingly.

• Premiums. The incurred values are shown explicitly. The expected values are implicitly in the LRC/FCF contributions, so the overall experience adjustment on premium must net to zero; the position is added for information. The financial performance carries full premiums for past, current and future service, for best estimate and actuals alike; the premium allocation factor has already adjusted the CSM for experience.
• Investment components. The same holds — the incurred values were added to insurance revenue to exclude them — but the experience adjustment is not shown, because it also nets to zero and there is no factor splitting recognition between the financial performance and the CSM.
• Acquisition expenses. The incurred values are not part of insurance revenue; they are implicitly in the CSM position, under the LRC changes.

Putting it together

All the contributions above are computed and combined into the financial performance, from which the final report is generated. The original also sketches an alternative view of the financial performance for reconciliation, without documentation.